Morgan
Stanley Finance LLC
|
Free Writing Prospectus to Preliminary Terms No. 2,045
|
Registration Statement Nos. 333-221595; 333-221595-01
|
Dated May 29, 2019
|
Filed pursuant to Rule 433
|
|
Structured
Investments
Trigger PLUS Based on
the Value of the Worst Performing of the S&P 500
®
Index and the Russell 2000
®
Index due June
28, 2024
This document provides a summary of the terms
of the Trigger PLUS offered by Morgan Stanley Finance LLC. Investors should review carefully the accompanying preliminary terms,
product supplement, index supplement and prospectus prior to making an investment decision.
SUMMARY TERMS
|
Issuer:
|
Morgan Stanley Finance LLC (“MSFL”)
|
Guarantor:
|
Morgan Stanley
|
Maturity date:
|
June 28, 2024
|
Underlying indices:
|
S&P 500
®
Index (the “SPX Index”) and Russell 2000
®
Index (the “RTY Index”). For more information about the underlying indices, see the accompanying preliminary terms.
|
Valuation date:
|
June 25, 2024, subject to postponement for non-index business days and certain market disruption events
|
Payment at maturity:
|
If the final index value of
each underlying index
is
greater
than
its respective initial index value,
$1,000 + leveraged upside payment
In no event will the payment at maturity exceed the
maximum payment at maturity.
If the final index value of
either underlying index
is
less than or equal to
its respective initial index value, but the final index value of each underlying index is
greater
than or equal to
its respective trigger level:
$1,000
If the final index value of
either underlying index
is
less than
its respective trigger level:
$1,000 x index performance factor of the worst performing
underlying index
Under these circumstances, the payment at maturity will be
less than the stated principal amount of $1,000 and will represent a loss of at least 40%, and possibly all of your investment.
|
Leveraged upside payment:
|
$1,000 × leverage factor × index percent change of the worst performing underlying index
|
Leverage factor:
|
400%
|
Index percent change:
|
With respect to each underlying index, (final index value – initial index value) / initial index value
|
Worst performing underlying index:
|
The underlying index with the lesser index percent change
|
Index performance factor
|
With respect to each underlying index, final index value / initial index value
|
Maximum payment at maturity:
|
$1,540 to $1,590 per Trigger PLUS (154% to 159% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
|
Initial index value:
|
With respect to the SPX Index, the index closing value of such
index on the pricing date
With respect to the RTY Index, the index closing value of such
index on the pricing date
|
Final index value:
|
With respect to each underlying index, the index closing value of such index on the valuation date
|
Trigger level:
|
With respect to the SPX Index, 60% of the initial index value
of such index
With respect to the RTY Index, 60% of the initial index value
of such index
|
Stated principal amount:
|
$1,000 per Trigger PLUS
|
Pricing date:
|
June 25, 2019
|
Original issue date:
|
June 28, 2019 (3 business days after the pricing date)
|
CUSIP / ISIN:
|
61769HEA9 / US61769HEA95
|
Listing:
|
The Trigger PLUS will not be listed on any securities exchange.
|
Agent:
|
Morgan Stanley & Co. LLC, an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms. The agent commissions will be as set forth in the final pricing supplement.
|
Estimated value on the pricing date:
|
Approximately $932.80 per Trigger PLUS, or within $30.00 of that estimate. See “Investment Summary” in the accompanying preliminary terms.
|
|
|
Overview
The Trigger PLUS are unsecured obligations of MSFL and are fully
and unconditionally guaranteed by Morgan Stanley. The Trigger PLUS will pay no interest, do not guarantee any return of principal
at maturity and have the terms described in the accompanying preliminary terms, product supplement for PLUS, index supplement and
prospectus. The payment at maturity on the Trigger PLUS will be based on the value of the worst performing of the S&P 500
®
Index and the Russell 2000
®
Index, which we refer to as the underlying indices. At maturity, if
both
underlying
indices have
appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged
upside performance of the worst performing underlying index, subject to the maximum payment at maturity. If
either
of the
underlying indices
depreciates
in value, but the final index value of
each
underlying index is greater than or equal
to 60% of the respective initial index value, which we refer to as the respective trigger level, investors will receive the stated
principal amount of their investment. However, if the final index value of
either
underlying index is less than its respective
trigger level, investors will lose a significant portion or all of their investment, resulting in a loss of 1% for every 1% decline
in the worst performing underlying index from its initial index value.
Investors may lose their entire initial investment in
the Trigger PLUS.
Because the payment at maturity of the Trigger PLUS is based on the worst performing of the underlying indices,
a decline in
either
underlying index below its respective trigger level will result in a significant loss of your investment,
even if the other underlying index has appreciated or has not declined as much. These long-dated Trigger PLUS are for investors
who seek an equity index-based return and who are willing to risk their principal, risk exposure to the worst performing of two
underlying indices and forgo current income and upside above the maximum payment at maturity in exchange for the upside leverage
feature and the limited protection against loss that applies only if the final index value of each underlying index is greater
than or equal to the respective trigger level. The Trigger PLUS are notes issued as part of MSFL’s Series A Global Medium-Term
Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Trigger PLUS are not secured obligations and you will
not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
Investing in the Trigger PLUS involves risks. See “Selected
Risks” on the following page and “Risk Factors” in the accompanying preliminary terms.
You should read this document together with the accompanying
preliminary terms, product supplement, index supplement and prospectus describing the offering before you decide to invest. You
may access the preliminary terms through the below link:
https://www.sec.gov/Archives/edgar/data/895421/000095010319006940/dp107416_fwp-ps2045.htm
|
The issuer has filed a registration statement (including a prospectus)
with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that
registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and
this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively,
the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request
it by calling toll-free 1-800-584-6837.
Risk Considerations
The risks set forth below are discussed in more detail in the
“Risk Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making
an investment decision.
|
·
|
The Trigger PLUS do not pay interest or guarantee
return of any principal.
|
|
·
|
The appreciation potential of the Trigger
PLUS is limited by the maximum payment at maturity.
|
|
·
|
You are exposed to the price risk of both
underlying indices.
|
|
·
|
Because the Trigger PLUS are linked to the
performance of the worst performing underlying index, you are exposed to greater risk of sustaining a significant loss on your
investment than if the Trigger PLUS were linked to just one underlying index.
|
|
·
|
The market price will be influenced by many
unpredictable factors.
|
|
·
|
The Trigger PLUS are subject to our credit
risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the
Trigger PLUS.
|
|
·
|
The Trigger PLUS are linked to the Russell
2000
®
Index and are subject to risks associated with small-capitalization companies.
|
|
·
|
The amount payable on the Trigger PLUS is
not linked to the values of the underlying indices at any time other than the valuation date.
|
|
·
|
As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
|
|
·
|
Investing in the Trigger PLUS is not equivalent
to investing in either underlying index.
|
|
·
|
Adjustments to the underlying indices could
adversely affect the value of the Trigger PLUS.
|
|
·
|
The rate we are willing to pay for securities
of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and
advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the
Trigger PLUS in the original issue price reduce the economic terms of the Trigger PLUS, cause the estimated value of the Trigger
PLUS to be less than the original issue price and will adversely affect secondary market prices.
|
|
·
|
The Trigger PLUS will not be listed on any
securities exchange and secondary trading may be limited.
|
|
·
|
The estimated value of the Trigger PLUS is
determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum
or minimum secondary market price.
|
|
·
|
Hedging and trading activity by our affiliates
could potentially adversely affect the value of the Trigger PLUS.
|
|
·
|
The calculation agent, which is a subsidiary
of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Trigger PLUS.
|
|
·
|
The U.S. federal income tax consequences of
an investment in the Trigger PLUS are uncertain.
|
Tax Considerations
You should review carefully the discussion in the accompanying
preliminary terms under the caption “Additional Information About the Trigger PLUS– Tax considerations” concerning
the U.S. federal income tax consequences of an investment in the Trigger PLUS. However, you should consult your tax adviser regarding
all aspects of the U.S. federal income tax consequences of an investment in the Trigger PLUS, as well as any tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction.
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the payment at maturity on the Trigger PLUS. The following examples are for illustrative purposes only. The actual initial index
value and trigger level for each underlying index will be determined on the pricing date. The payment at maturity on the Trigger
PLUS is subject to our credit risk. The below examples are based on the following terms:
Stated principal amount:
|
$1,000 per PLUS
|
Leverage factor:
|
400%
|
Hypothetical maximum payment at maturity:
|
$1,565 per Trigger PLUS (156.50% of the stated principal amount, the midpoint of the specified range)
|
Hypothetical trigger level:
|
With respect to the SPX Index, 1,200, 60% of the respective hypothetical
initial index value
With respect to the RTY Index, 600, 60% of the respective hypothetical
initial index value
|
Hypothetical initial index value:
|
With respect to the SPX Index: 2,000
With respect to the RTY Index: 1,000
|
EXAMPLE 1:
Both underlying indices appreciate significantly
and so investors receive only the maximum payment at maturity.
Final index value
|
|
SPX Index: 3,800
|
|
|
|
RTY Index: 1,800
|
|
Index percent change
|
|
SPX Index: (3,800 – 2,000) / 2,000 = 90%
RTY Index: (1,800 – 1,000) / 1,000 = 80%
|
|
Payment at maturity
|
=
|
$1,000 + leveraged upside payment, subject to the maximum payment at maturity
|
|
|
=
|
$1,000 + ($1,000 × leverage factor × index percent change of the worst performing underlying index), subject to the maximum payment at maturity
|
|
=
|
$1,000 + ($1,000 × 400% × 80%), subject to the maximum payment at maturity
|
|
|
=
|
maximum payment at maturity of $1,565 per Trigger PLUS
|
|
|
|
|
|
|
In example 1, the final index values of both the SPX Index and
the RTY Index are significantly greater than their initial index values. The SPX Index has appreciated by 90%, while the RTY Index
has appreciated by 80%. Therefore, investors receive at maturity the stated principal amount plus 400% of the appreciation of the
worst performing underlying index, subject to the hypothetical maximum payment at maturity of $1,565 per Trigger PLUS. Under the
terms of the Trigger PLUS, investors will realize the hypothetical maximum payment at maturity at a final index value of the worst
performing underlying index of 114.125% of its respective initial index value. Therefore, in this example, investors receive only
the hypothetical maximum payment at maturity of $1,565 per stated principal amount, even though both underlying indices have appreciated
significantly.
EXAMPLE 2
:
Both underlying indices appreciate
over the term of the Trigger PLUS, and investors receive the stated principal amount
plus
the leveraged upside payment,
calculated based on the index percent change of the worst performing underlying index.
Final index value
|
|
SPX Index: 2,200
|
|
|
|
RTY Index: 1,400
|
|
Index percent change
|
|
SPX Index: (2,200 – 2,000) / 2,000 = 10%
RTY Index: (1,400 – 1,000) / 1,000 = 40%
|
|
Payment at maturity
|
=
|
$1,000 + leveraged upside payment, subject to the maximum payment at maturity
|
|
|
=
|
$1,000 + ($1,000 × leverage factor × index percent change of the worst performing underlying index) , subject to the maximum payment at maturity
|
|
=
|
$1,000 + ($1,000 × 400% × 10%), subject to the maximum payment at maturity
|
|
|
=
|
$1,400
|
|
|
|
|
|
|
In example 2, the final index values of both the SPX Index and
the RTY Index are greater than their initial index values. The SPX Index has appreciated by 10%, while the RTY Index has appreciated
by 40%. Therefore, investors receive at maturity the stated principal amount
plus
400% of the appreciation of the worst
performing underlying index, which is the SPX Index in this example. Investors receive $1,400 per Trigger PLUS at maturity.
EXAMPLE 3
:
One underlying index appreciates,
while the other declines over the term of the Trigger PLUS but neither index declines below the respective trigger level, and investors
receive the stated principal amount.
Final index value
|
|
SPX Index: 2,600
|
|
|
|
RTY Index: 800
|
Index percent change
|
|
SPX Index: (2,600 – 2,000) / 2,000 = 30%
RTY Index: (800 – 1,000) / 1,000 = -20%
|
Payment at maturity
|
=
|
$1,000
|
In example 3, the final index value of the SPX Index is greater
than its initial index value, while the final index value of the RTY Index is less than its initial index value, but is greater
than or equal to the respective trigger level. The SPX Index has appreciated by 30% while the RTY index has declined by 20%. Investors
will receive the stated principal amount of $1,000.
EXAMPLE 4
:
One underlying index appreciates
while the other declines over the term of the Trigger PLUS, and the final index value of the worst performing underlying index
is less than the respective trigger level. Investors are therefore exposed to the decline in the worst performing underlying index
from its initial index value.
Final index value
|
|
SPX Index: 2,600
|
|
|
|
RTY Index: 400
|
Index percent change
|
|
SPX Index: (2,600 – 2,000) / 2,000 = 30%
RTY Index: (400 – 1,000) / 1,000 = -60%
|
Payment at maturity
|
=
|
$1,000 × [index performance factor of the worst performing index]
|
|
=
|
$1,000 x [400 / 1,000]
|
|
=
|
$400
|
In example 4, the final index value of the SPX Index is greater
than its initial index value, while the final index value of the RTY Index has declined below the trigger level. The SPX Index
has appreciated by 30% while the RTY Index has depreciated by 60%. Because the final index value of the RTY Index has declined
below the trigger level, investors are exposed to the negative performance of the RTY Index, which is the worst performing underlying
index in this example. Investors receive a payment at maturity of $400.
EXAMPLE 5
:
Both underlying indices decline below
their respective trigger levels, and investors are therefore exposed to the decline in the worst performing underlying index from
its initial index value.
Final index value
|
|
SPX Index: 600
|
|
|
|
RTY Index: 400
|
Index percent change
|
|
SPX Index: (600 – 2,000) / 2,000 = -70%
RTY Index: (400 – 1,000) / 1,000 = -60%
|
Payment at maturity
|
=
|
$1,000 × [index performance factor of the worst performing index]
|
|
=
|
$1,000 × [600 / 2,000]
|
|
=
|
$300
|
In example 5, the final index values of both the SPX Index and
the RTY Index are less than their respective trigger levels. The SPX Index has declined by 70% while the RTY Index has declined
by 60%. Therefore, investors are exposed to the negative performance of the SPX Index, which is the worst performing underlying
index in this example. Investors receive a payment at maturity of $300.
Because the payment at maturity of the Trigger PLUS is based
on the worst performing of the underlying indices, a decline in either underlying index below its respective trigger level will
result in a significant loss of your investment, even if the other underlying index has appreciated or has not declined as much
.
S&P 500
®
Index Historical
Performance
The following graph sets forth the daily index closing values of the S&P 500
®
Index for each quarter in the period from January 1, 2014 through May 28, 2019. You should not take the historical values of the S&P 500
®
Index as an indication of its future performance, and no assurance can be given as to the index closing value of the S&P 500
®
Index on the valuation date.
|
S&P 500
®
Index
Daily Index Closing
Values
January 1, 2014 to May
28, 2019
|
Russell 2000
®
Index Historical
Performance
The following graph sets forth the daily index closing values
of the Russell 2000
®
Index for each quarter in the period from January 1, 2014 through May 28, 2019. You should
not take the historical values of the Russell 2000
®
Index as an indication of its future performance, and no assurance
can be given as to the index closing value of the Russell 2000
®
Index on the valuation date.
Russell 2000
®
Index
Daily Index Closing
Values
January 1,
2014 to May 28, 2019
|
Morgan Stanley Depository Shares Representing 1/1000TH Preferred Series 1 Fixed TO Floating Non (Cum) (NYSE:MSPI)
Historical Stock Chart
From Jun 2024 to Jul 2024
Morgan Stanley Depository Shares Representing 1/1000TH Preferred Series 1 Fixed TO Floating Non (Cum) (NYSE:MSPI)
Historical Stock Chart
From Jul 2023 to Jul 2024