CALCULATION
OF REGISTRATION FEE
|
|
Maximum Aggregate
|
|
Amount of Registration
|
Title of Each Class of Securities Offered
|
|
Offering Price
|
|
Fee
|
|
|
|
|
|
Contingent Income Auto-Callable
|
|
$1,022,000
|
|
$123.87
|
Securities due 2029
|
|
|
|
|
May 2019
Pricing Supplement No. 1,951
Registration Statement Nos. 333-221595;
333-221595-01
Dated May 28, 2019
Filed pursuant to Rule 424(b)(2)
M
organ
S
tanley
F
inance
LLC
Structured
Investments
Opportunities in U.S. and
International Equities
Contingent Income Auto-Callable Securities due
June 1, 2029 with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst
Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The securities are unsecured obligations of Morgan Stanley Finance
LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities
have
the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented or modified by this
document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead,
the securities will pay a contingent quarterly coupon
but only if
the index closing value of
each
of the Russell
2000
®
Index, the
S&P 500
®
Index
and
the EURO STOXX 50
®
Index is
at or above
70% of its respective initial index value, which we refer to as the
respective
coupon threshold level
, on the related observation date. However, if the index closing value of
any
underlying
index is
less than
its
coupon threshold level
on any observation date, we will pay no interest for the related quarterly
period. In addition, starting one year after the original issue date, the securities will be automatically redeemed if the index
closing value of
each
underlying index is
greater than or equal to
its respective
initial index value
on any
quarterly redemption determination date, for the early redemption payment equal to the sum of the stated principal amount plus
the related contingent quarterly coupon. No further payments will be made on the securities once they have been redeemed. At maturity,
i
f the securities have not previously been redeemed and the final index value of
each
underlying index is
greater
than or equal to
50%
of its respective initial index value,
which we refer to as the respective downside threshold level, the payment at maturity will be the stated principal amount and,
if the final index value of
each
underlying index is also
greater than or equal to
its respective
coupon threshold
level
, the related contingent quarterly coupon. If, however, the final index value of
any
underlying index is
less
than
its respective downside threshold level, investors will be fully exposed to the decline in the worst performing underlying
index on a 1-to-1 basis and will receive a payment at maturity that is
less than
50% of the stated principal amount of the
securities and could be zero.
Accordingly,
i
nvestors in the securities must be willing to accept the risk of losing their
entire initial investment and also the risk of not receiving any contingent quarterly coupons throughout the 10-year term of the
securities.
Because all payments on the securities are based on the worst performing of the underlying indices, a decline beyond
the respective coupon threshold level or respective downside threshold level, as applicable, of any underlying index will result
in few or no contingent coupon payments or a significant loss of your investment, even if one or both of the other underlying indices
have appreciated or have not declined as much. These long-dated securities are for investors who are willing to risk their principal
based on the worst performing of three underlying indices and who seek an opportunity to earn interest at a potentially above-market
rate in exchange for the risk of receiving no quarterly coupons over the entire 10-year term, with no possibility of being called
out of the securities until after the initial 1-year non-call period. Investors will not participate in any appreciation of any
underlying index.
The securities 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 securities 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.
FINAL
TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlying indices:
|
Russell 2000
®
Index (the “RTY Index”), S&P 500
®
Index (the “SPX Index”) and EURO STOXX 50
®
Index (the “SX5E Index”)
|
Aggregate principal amount:
|
$1,022,000
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing date:
|
May 28, 2019
|
Original issue date:
|
May 31, 2019 (3 business days after the pricing date)
|
Maturity date:
|
June 1, 2029
|
Contingent quarterly coupon:
|
A
contingent
coupon will be paid on the securities on
each coupon payment date
but only if
the index closing value of
each
underlying index is at or above its respective
coupon threshold level
on the related observation date. If payable, the contingent quarterly coupon will be an amount in
cash per stated principal amount corresponding to a return of 6.90%
per annum
for each interest payment period for each
applicable observation date.
If, on any observation date, the index closing value of any
underlying index is less than its respective coupon threshold level, we will pay no coupon for the applicable quarterly period. It
is possible that any underlying index will remain below its respective coupon threshold level for extended periods of time or even
throughout the entire 10-year term of the securities so that you will receive few or no contingent quarterly coupons.
|
Payment at maturity:
|
If the securities have not been automatically redeemed prior
to maturity, the payment at maturity will be determined as follows:
If the final index value of
each
underlying index is
greater
than or equal to
its respective downside threshold level, investors will receive the stated principal amount and, if the final
index value of
each
underlying index is also
greater than or equal to
its respective
coupon threshold level
,
the contingent quarterly coupon with respect to the final observation date.
If the final index value of
any
underlying index is
less
than
its respective downside threshold level, investors will receive (i) the stated principal amount
multiplied by
(ii)
the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will
be less than 50% of the stated principal amount of the securities and could be zero.
|
|
Terms continued on the following page
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
|
Estimated value on the pricing date:
|
$940.30 per security. See “Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions
(1)
|
Proceeds to us
(2)
|
Per security
|
$1,000
|
$40
|
$960
|
Total
|
$1,022,000
|
$40,880
|
$981,120
|
|
(1)
|
Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co LLC., a fixed
sales commission of $40 for each security they sell. See “Supplemental information regarding plan of distribution; conflicts
of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
|
|
(2)
|
See “Use of proceeds and hedging” on page 31.
|
The securities
involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page
13.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations
of, or guaranteed by, a bank.
You should read this document together with the related product
supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Securities” and “Additional Information About the Securities” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product
Supplement for Auto-Callable Securities dated November 16, 2017
Index
Supplement dated November 16, 2017
Prospectus
dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Early redemption:
|
The securities are not subject to automatic early redemption
until one year after the original issue date. Following this initial 1-year non-call period, if, on any redemption determination
date, beginning on May 28, 2020, the index closing value of
each
underlying index is
greater than or equal to
its
respective initial index value, the securities will be automatically redeemed for an early redemption payment on the related early
redemption date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any early redemption
date if the index closing value of any underlying index is below the respective initial index value for such underlying index on
the related redemption determination date.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to the stated principal amount for each security you hold
plus
the contingent quarterly coupon with respect to the related observation date.
|
Redemption determination dates:
|
Quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject to postponement for non-index business days and certain market disruption events.
|
Early redemption dates:
|
Beginning on June 2, 2020, quarterly. See “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day
|
Downside threshold level:
|
With respect to the RTY Index: 752.010, which is approximately
50% of its initial index value
With respect to the SPX Index: 1,401.195, which is 50% of its
initial index value
With respect to the SX5E Index: 1,674.43, which is 50% of its
initial index value
|
Coupon threshold level:
|
With respect to the RTY Index: 1,052.813, which is approximately
70% of its initial index value
With respect to the SPX Index: 1,961.673, which is 70% of its
initial index value
With respect to the SX5E Index: 2,344.202, which is 70% of its
initial index value
|
Initial index value:
|
With respect to the RTY Index: 1,504.019, which is its index
closing value on the pricing date
With respect to the SPX Index: 2,802.39, which is its index closing
value on the pricing date
With respect to the SX5E Index: 3,348.86, which is its index
closing value on the pricing date
|
Final index value:
|
With respect to each index, the respective index closing value on the final observation date
|
Worst performing underlying:
|
The underlying index with the largest percentage decrease from the respective initial index value to the respective final index value
|
Index performance factor:
|
Final index value
divided by
the initial index value
|
Coupon payment dates:
|
Quarterly, beginning September 3, 2019, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below;
provided
that if any such day is not a business day, that coupon payment will be made on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day. The contingent quarterly coupon, if any, with respect to the final observation date will be paid on the maturity date
|
Observation dates:
|
Quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject to postponement for non-index business days and certain market disruption events. We also refer to the observation date immediately prior to the scheduled maturity date as the final observation date.
|
CUSIP / ISIN:
|
61769HAZ8 / US61769HAZ82
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Observation Dates, Redemption
Determination Dates, Coupon Payment Dates and Early Redemption Dates
Observation Dates / Redemption Determination Dates
|
Coupon Payment Dates / Early Redemption Dates
|
8/28/2019*
|
9/3/2019*
|
11/29/2019*
|
12/4/2019*
|
2/28/2020*
|
3/4/2020*
|
5/28/2020
|
6/2/2020
|
8/28/2020
|
9/2/2020
|
11/30/2020
|
12/3/2020
|
3/1/2021
|
3/4/2021
|
5/28/2021
|
6/3/2021
|
8/30/2021
|
9/2/2021
|
11/29/2021
|
12/2/2021
|
2/28/2022
|
3/3/2022
|
5/31/2022
|
6/3/2022
|
8/29/2022
|
9/1/2022
|
11/28/2022
|
12/1/2022
|
2/28/2023
|
3/3/2023
|
5/30/2023
|
6/2/2023
|
8/28/2023
|
8/31/2023
|
11/28/2023
|
12/1/2023
|
2/28/2024
|
3/4/2024
|
5/28/2024
|
5/31/2024
|
8/28/2024
|
9/3/2024
|
11/29/2024
|
12/4/2024
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Observation Dates / Redemption Determination Dates
|
Coupon Payment Dates / Early Redemption Dates
|
2/28/2025
|
3/5/2025
|
5/28/2025
|
6/2/2025
|
8/28/2025
|
9/3/2025
|
11/28/2025
|
12/3/2025
|
3/2/2026
|
3/5/2026
|
5/28/2026
|
6/2/2026
|
8/28/2026
|
9/2/2026
|
11/30/2026
|
12/3/2026
|
3/1/2027
|
3/4/2027
|
5/28/2027
|
6/3/2027
|
8/30/2027
|
9/2/2027
|
11/29/2027
|
12/2/2027
|
2/28/2028
|
3/2/2028
|
5/30/2028
|
6/2/2028
|
8/28/2028
|
8/31/2028
|
11/28/2028
|
12/1/2028
|
2/28/2029
|
3/5/2029
|
5/29/2029 (final observation date)
|
6/1/2029 (maturity date)
|
*
The securities are not subject to automatic early redemption until the fourth coupon payment date, which is June 2, 2020.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due June 1, 2029,
with 1-Year Initial Non-Call Period All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index (the “securities”) do not
provide for the regular payment of interest. Instead, the securities will pay a contingent quarterly coupon
but only if
the index closing value of
each
underlying index is
at or above
its respective
coupon threshold level
on the
related observation date. However, if the index closing value of
any
underlying index is
less than
its respective
coupon threshold level
on any observation date, we will pay no interest for the related quarterly period. If the index closing
value of
any
underlying index is
less than
its respective
coupon threshold level
on each observation date,
you will not receive any contingent quarterly coupon for the entire 10-year term of the securities. We refer to these coupons as
contingent, because there is no guarantee that you will receive a coupon payment on any coupon payment date. Even if each underlying
index were to be at or above its respective coupon threshold level on some quarterly observation dates, they may not all close
at or above their respective coupon threshold levels on other observation dates, in which case you will not receive some contingent
quarterly coupon payments. In addition, if the securities have not been automatically called prior to maturity and the final index
value of
any underlying index
is
less than
its respective downside threshold level, investors will be fully exposed
to the decline in the worst performing underlying index on a 1-to-1 basis, and will receive a payment at maturity that is less
than 50% of the stated principal amount of the securities and could be zero.
Accordingly,
i
nvestors in the securities
must be willing to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent
quarterly coupons throughout the entire 10-year term of the securities.
Maturity:
|
Approximately 10 years
|
Contingent quarterly coupon:
|
A
contingent quarterly coupon
will be paid on the securities on each coupon payment date
but only if
the index closing value of
each
underlying index is at or above its respective
coupon threshold level
on the related observation date. If payable, the contingent quarterly coupon will be an amount in cash per stated principal amount corresponding to a return of 6.90%
per annum
for each interest payment period for each applicable observation date.
If, on any observation date, the index closing value of any underlying index is less than the respective coupon threshold level, we will pay no coupon for the applicable quarterly period.
|
Automatic early redemption beginning after one year:
|
If the index closing value of
each
underlying index is
greater than or equal to
its
initial index value
on any quarterly redemption determination date, beginning on May 28, 2020 (approximately one year after the original issue date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
the contingent quarterly coupon with respect to the related observation date. No further payments will be made on the securities once they have been redeemed.
|
Payment at maturity:
|
If the securities have not been automatically redeemed prior
to maturity, the payment at maturity will be determined as follows:
If the final index value of
each
underlying index is
greater
than or equal to
its respective downside threshold level, investors will receive the stated principal amount and, if the final
index value of
each
underlying index is also
greater than or equal to
its respective
coupon threshold level
,
the contingent quarterly coupon with respect to the final observation date.
If the final index value of
any
underlying index is
less
than
its downside threshold level, investors will receive a payment at maturity equal to the stated principal amount
times
the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will
be less than 50% of the stated principal amount of the securities and could be zero. No quarterly coupon will be payable at maturity.
Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
The original issue price of each security is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently,
the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value of each security on the
pricing date is $940.30.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying indices. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying indices, instruments based on the underlying indices, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent quarterly coupon rate, the coupon threshold levels and the downside threshold levels, we use an internal funding
rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling,
structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic
terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases
the securities in the secondary market, absent changes in market conditions, including those related to the underlying indices,
may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account
our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction
of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities
are not fully deducted upon issuance, for a period of up to 12 months following the issue date, to the extent that MS & Co.
may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying
indices, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect
that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities will pay a contingent quarterly coupon
but only if
the index closing value of
each
underlying
index is
at or above
its respective
coupon threshold level
on the related observation date. However, if the index
closing value of
any
underlying index is
less than
its respective
coupon threshold level
on any observation
date, we will pay no interest for the related quarterly period. The securities have been designed for investors who are willing
to forgo market floating interest rates and accept the risk of receiving no coupon payments for the entire 10-year term of the
securities in exchange for an opportunity to earn interest at a potentially above-market rate if each underlying index closes at
or above its respective coupon threshold level on the quarterly observation dates until the securities are redeemed early or reach
maturity.
The following scenarios are for illustrative purposes only to
demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed) are calculated, and
do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed, the contingent
quarterly coupon may be payable in none of, or some but not all of, the quarterly periods during the 10-year term of the securities
and the payment at maturity may be less than 50% of the stated principal amount of the securities and may be zero.
Scenario
1: The securities are redeemed prior to maturity
|
This scenario assumes that, prior to early redemption, each underlying
index closes at or above its
coupon threshold level
on some quarterly observation dates, but one or more underlying indices
close below the respective coupon threshold level(s) on the others. Investors receive the contingent quarterly coupon, corresponding
to a return of 6.90%
per annum
, for the quarterly periods for which each index closing value is at or above the respective
coupon threshold level on the related observation date, but not for the quarterly periods for which any index closing value is
below the respective coupon threshold level on the related observation date.
Starting after one year, when
each
underlying index closes
at or above its respective
initial index value
on a quarterly redemption determination date, the securities will be automatically
redeemed for the stated principal amount
plus
the contingent quarterly coupon with respect to the related observation date.
|
Scenario
2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity
|
This scenario assumes that each underlying index closes at or
above the respective coupon threshold level on some quarterly observation dates, but one or more underlying indices close below
the respective coupon threshold level(s) on the others, and each underlying index closes below its respective initial index value
on every quarterly redemption determination date. Consequently, the securities are not automatically redeemed, and investors receive
the contingent quarterly coupon, corresponding to a return of 6.90%
per annum
, for the quarterly periods for which each
index closing value is at or above the respective coupon threshold level on the related observation date, but not for the quarterly
periods for which any index closing value is below the respective coupon threshold level on the related observation date.
On the final observation date, each underlying index closes at
or above its downside threshold level. At maturity, investors will receive the stated principal amount and, if the final index
value of
each
underlying index is also
greater than or equal to
its respective
coupon threshold level
, the
contingent quarterly coupon with respect to the final observation date.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Scenario
3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
|
This scenario assumes that each underlying index closes at or
above its respective coupon threshold level on some quarterly observation dates, but one or more underlying indices close below
the respective coupon threshold level(s) on the others, and each underlying index closes below its respective initial index value
on every quarterly redemption determination date. Consequently, the securities are not automatically redeemed, and investors receive
the contingent quarterly coupon, corresponding to a return of 6.90%
per annum
, for the quarterly periods for which each
index closing value is at or above the respective coupon threshold level on the related observation date, but not for the quarterly
periods for which any index closing value is below the respective coupon threshold level on the related observation date.
On the final observation date, one or more underlying indices
close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal
amount multiplied by the index performance factor of the worst performing underlying index. Under these circumstances, the payment
at maturity will be less than 50% of the stated principal amount and could be zero. No coupon will be paid at maturity in this
scenario.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the index closing values on each quarterly observation date, (2) the index closing values on each
quarterly redemption determination date (starting after one year) and (3) the final index values. Please see “Hypothetical
Examples” beginning on page 9 for illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Quarterly Coupons
(Beginning on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram #2: Automatic Early Redemption (Starting
after one year)
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payout upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 9.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly coupon is paid with respect to an observation date and how to calculate the payment at maturity,
if any, if the securities have not been automatically redeemed early. The following examples are for illustrative purposes only.
Whether you receive a contingent quarterly coupon will be determined by reference to the index closing value of each underlying
index on each quarterly observation date, and the amount you will receive at maturity, if any, will be determined by reference
to the final index value of each underlying index on the final observation date. The actual initial index value, coupon threshold
level and downside threshold level for each underlying index are set forth on the cover of this document. All payments on the securities,
if any, are subject to our credit risk. The numbers in the hypothetical examples below may have been rounded for the ease of analysis.
The below examples are based on the following terms:
Contingent Quarterly Coupon:
|
A
contingent quarterly coupon
will be paid on the securities on each coupon payment date
but only if
the index closing value of
each
underlying index is at or above its respective
coupon threshold level
on the related observation date. If payable, the contingent quarterly coupon will be an amount in cash per stated principal amount corresponding to a return of 6.90%
per annum
for each interest payment period for each applicable observation date. These hypothetical examples reflect the contingent quarterly coupon rate of 6.90%
per annum
(corresponding to approximately $17.25 per quarter per security*).
|
Automatic Early Redemption (starting after one year):
|
If the index closing value of
each
underlying index is greater than or equal to its respective
initial index value
on any quarterly redemption determination date, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount
plus
the contingent quarterly coupon with respect to the related observation date.
|
Payment at Maturity (if the securities have not been automatically redeemed early):
|
If the final index value of
each
underlying index is
greater
than or equal to
its respective downside threshold level, investors will receive the stated principal amount and, if the final
index value of
each
underlying index is also
greater than or equal to
its respective
coupon threshold level
,
the contingent quarterly coupon with respect to the final observation date.
If the final index value of
any
underlying index is
less
than
its respective downside threshold level, investors will receive a payment at maturity equal to the stated principal amount
multiplied by
the index performance factor of the worst performing underlying index. Under these circumstances, the payment
at maturity will be less than 50% of the stated principal amount of the securities and could be zero.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the RTY Index: 1,200
With respect to the SPX Index: 2,500
With respect to the SX5E Index: 3,500
|
Hypothetical Coupon Threshold Level:
|
With respect to the RTY Index: 840, which is 70% of the hypothetical
initial index value for such index
With respect to the SPX Index: 1,750, which is 70% of the hypothetical
initial index value for such index
With respect to the SX5E Index: 2,450, which is 70% of the hypothetical
initial index value for such index
|
Hypothetical Downside Threshold level:
|
With respect to the RTY Index: 600, which is 50% of the hypothetical
initial index value for such index
With respect to the SPX Index: 1,250, which is 50% of the hypothetical
initial index value for such index
With respect to the SX5E Index: 1,750, which is 50% of the hypothetical
initial index value for such index
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
* The actual contingent quarterly coupon will be an amount determined
by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical
contingent quarterly coupon of $17.25 is used in these examples for ease of analysis.
How to determine whether a contingent quarterly
coupon is payable with respect to an observation date:
|
Index Closing Value
|
Contingent Quarterly Coupon
|
|
RTY Index
|
SPX Index
|
SX5E Index
|
Hypothetical Observation Date 1
|
1,750 (
at or above
the coupon threshold level)
|
2,800 (
at or above
the coupon threshold level)
|
2,800 (
at or above
the coupon threshold level)
|
$17.25
|
Hypothetical Observation Date 2
|
800 (
below
the coupon threshold level)
|
2,100 (
at or above
the coupon threshold level)
|
3,020 (
at or above
the coupon threshold level)
|
$0
|
Hypothetical Observation Date 3
|
1,400 (
at or above
the coupon threshold level)
|
900 (
below
the coupon threshold level)
|
2,400 (
below
the coupon threshold level)
|
$0
|
Hypothetical Observation Date 4
|
700 (
below
the coupon threshold level)
|
800 (
below
the coupon threshold level)
|
2,200 (
below
the coupon threshold level)
|
$0
|
On hypothetical observation date 1, each underlying index closes
at or above its respective coupon threshold level. Therefore, a contingent quarterly coupon of $17.25 is paid on the relevant coupon
payment date.
On each of hypothetical observation dates 2 and 3, at least one
underlying index closes at or above its respective coupon threshold level, but one or both of the other underlying indices close
below their respective coupon threshold levels. Therefore, no contingent quarterly coupon is paid on the relevant coupon payment
date.
On hypothetical observation date 4, each underlying index closes
below its respective coupon threshold level, and, accordingly, no contingent quarterly coupon is paid on the relevant coupon payment
date.
If the index closing value of any underlying index is less
than its respective coupon threshold level on each observation date, you will not receive any contingent quarterly coupons for
the entire 10-year term of the securities.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
How to calculate the payment at maturity (if
the securities have not been automatically redeemed):
Starting after one year, if the index closing value of each underlying
index is greater than or equal to its initial index value on any quarterly redemption determination date, the securities will be
automatically redeemed for an early redemption payment equal to the stated principal amount for each security you hold
plus
the contingent quarterly coupon with respect to the related observation date.
The examples below illustrate how to calculate the payment at
maturity if the securities have not been automatically redeemed prior to maturity.
|
Final Index Value
|
Payment at Maturity
|
|
RTY Index
|
SPX Index
|
SX5E Index
|
Example 1:
|
540 (
below
the downside threshold level)
|
1,200 (
below
the downside threshold level)
|
2,200 (
at or above
the downside threshold level)
|
$1,000 x index performance factor of the worst performing underlying index =
$1,000 x (540 / 1,200) = $450
|
Example 2:
|
1,200 (
at or above
the downside threshold level)
|
2,000 (
at or above
the downside threshold level)
|
1,400 (
below
the downside threshold level)
|
$1,000 x (1,400 / 3,500) = $400
|
Example 3:
|
540 (
below
the downside threshold level)
|
1,000 (
below
the downside threshold level)
|
1,050 (
below
the downside threshold level)
|
$1,000 x (1,050 / 3,500) = $300
|
Example 4:
|
360 (
below
the threshold level)
|
1,000 (
below
the threshold level)
|
1,400 (
below
the downside threshold level)
|
$1,000 x (360 / 1,200) = $300
|
Example 5:
|
1,300 (
at or above
the downside threshold level and the coupon threshold level)
|
3,000 (
at or above
the downside threshold level and the coupon threshold level)
|
4,100 (
at or above
the downside threshold level and the coupon threshold level)
|
The stated principal amount + the contingent
quarterly coupon with respect to the final observation date.
For more information, please see above under
“How to determine whether a contingent quarterly coupon is payable with respect to an observation date.”
|
In examples 1 and 2, the final index value(s) of one or two of
the underlying indices are at or above the respective downside threshold level(s), but the final index value(s) of one or both
of the other underlying indices are below the respective downside threshold level(s). Therefore, investors are exposed to the downside
performance of the worst performing underlying index at maturity and receive at maturity an amount equal to the stated principal
amount
multiplied by
the index performance factor of the worst performing underlying index. Moreover, investors do not receive
any contingent quarterly coupon for the final quarterly period.
Similarly, in examples 3 and 4, the final index value of each
underlying index is below its respective downside threshold level, and investors receive at maturity an amount equal to the stated
principal amount
times
the index performance factor of the worst performing underlying index. In example 3, the RTY Index
has declined 55% from its initial index value to its final index value, the SPX Index has declined 60% from its initial index value
to its final index value and the SX5E Index has declined 70% from its initial index value to its final index value. Therefore,
the payment at maturity equals the stated principal amount
multiplied by
the index performance factor of the SX5E Index,
which is the worst performing underlying index in this example. In example 4, the RTY Index has declined 70% from its initial index
value to its final index value, the SPX Index has declined 60% from its initial index value to its final index value and the SX5E
Index has declined 60% from its initial index value. Therefore, the payment at maturity equals the stated principal amount
times
the index performance factor of the RTY Index, which is the worst performing underlying index in this example. Moreover, investors
do not receive the contingent quarterly coupon for the final quarterly period.
In example 5, the final index value of each underlying index
is at or above its respective downside threshold level and coupon threshold level. Therefore, investors receive at maturity the
stated principal amount of the securities
plus
the contingent quarterly coupon with respect to the final observation date.
However, investors do not participate in any appreciation of the underlying indices.
If the final index value of ANY underlying index is below
its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying index
at maturity, and your payment at maturity will be less than $500 per security and could be zero.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus.
We also urge you to consult with your investment, legal, tax, accounting and other advisers
in connection with your
investment in the securities
.
|
§
|
The securities do not guarantee the return of any principal.
The
terms of the securities differ from those of ordinary debt securities in that they do not guarantee the repayment of any principal.
If the securities have not been automatically redeemed prior to maturity, and if the final index value of
any
underlying
index is less than its downside threshold level of 50% of its initial index value, you will be exposed to the decline in the index
closing value of the worst performing underlying index, as compared to its initial index value, on a 1-to-1 basis, and you will
receive for each security that you hold at maturity an amount equal to the stated principal amount
multiplied by
the index
performance factor of the worst performing underlying index.
In this case, the payment at maturity will be less than 50% of
the stated principal amount and could be zero.
|
|
§
|
The securities do not provide for the regular payment of interest.
The terms of the securities differ from those of ordinary debt securities in that they do not provide for the regular
payment of interest. Instead, the securities will pay a contingent quarterly coupon
but only if
the index closing value
of
each
underlying index is
at or above
its respective
coupon threshold level
on the related observation date.
If the index closing value of
any
underlying index is lower than its
coupon threshold level
on the relevant observation
date for any interest period, we will pay no coupon on the applicable coupon payment date. It is possible that the index closing
value of any underlying index will be less than its respective
coupon threshold level
for extended periods of time or even
throughout the entire term of the securities so that you will receive few or no contingent quarterly coupons
.
If you do
not earn sufficient contingent quarterly coupons over the term of the securities, the overall return on the securities may be less
than the amount that would be paid on a conventional debt security of ours of comparable maturity.
|
|
§
|
You are exposed to the price risk of each underlying index, with
respect to both the contingent quarterly coupons, if any, and the payment at maturity, if any.
Your
return on the securities is not linked to a basket consisting of the underlying indices. Rather, it will be contingent upon the
independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets, in
which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each
underlying index. Poor performance by
any
underlying index over the term of the
securities will negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying
indices. To receive
any
contingent quarterly coupons,
each
underlying
index must close at or above its respective coupon threshold level on the applicable observation date. In addition, if
the
securities have not been automatically redeemed early and
any
underlying
index has declined to below its respective downside threshold level as of the final observation date, you will be
fully
exposed
to the decline in the worst performing underlying index over the term of the securities
on a 1-to-1 basis, even if one or both of the other underlying indices have appreciated or have not declined as much. Under this
scenario, the value of any such payment will be less than 50% of the stated principal amount and could be zero. Accordingly, your
investment is subject to the price risk of each underlying index.
|
|
§
|
Because the securities are linked to the performance of the worst performing underlying index, you are exposed to greater
risks of receiving no contingent quarterly coupons and sustaining a significant loss on your investment than if the securities
were linked to just one index.
The risk that you will not receive any contingent quarterly coupons, or that you will suffer
a significant loss on your investment, is greater if you invest in the securities as opposed to substantially similar securities
that are linked to the performance of just one underlying index. With three underlying indices, it is more likely that any underlying
index will close below its coupon threshold level on any observation date, and below its downside threshold level on the final
observation date, than if the securities were linked to only one underlying index. Therefore, it is more likely that you will not
receive any contingent quarterly coupons and that you will suffer a significant loss on your investment. In addition, because each
underlying index must close above its initial index value on a quarterly redemption determination date in order for the securities
to be called prior to
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
maturity, the securities are less
likely to be called on any early redemption date than if the securities were linked to just one underlying index.
|
§
|
The contingent quarterly coupon, if any, is based on the value of each underlying index on only the related quarterly observation
date at the end of the related interest period
.
Whether the
contingent quarterly coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the index closing value of each underlying index on the relevant quarterly observation date. As a result, you will not
know whether you will receive the contingent quarterly coupon on any coupon payment date until near the end of the relevant interest
period. Moreover, because the contingent quarterly coupon is based solely on the value of each underlying index on quarterly observation
dates, if the index closing value of any underlying index on any observation date is below the coupon threshold level for such
index, you will not receive the contingent quarterly coupon for the related interest period, even if the level of such underlying
index was at or above its respective coupon threshold level on other days during that interest period, and even if the index closing
value(s) of one or both of the other underlying indices are at or above their respective coupon threshold level(s).
|
|
§
|
Investors will not participate in any appreciation in any underlying index.
Investors will not participate in any appreciation
in any underlying index from the initial index value for such index, and the return on the securities will be limited to the contingent
quarterly coupons, if any, that are paid with respect to each observation date on which the index closing value of each underlying
index is greater than or equal to its respective coupon threshold level, if any.
|
|
§
|
The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the value of each
underlying
index
on any day, including in relation to its respective
coupon threshold level, downside threshold level and initial index value, will affect the value of the securities more than any
other factors. Other factors that may influence the value of the securities include:
|
|
o
|
the volatility (frequency and magnitude of changes in value) of the underlying indices,
|
|
o
|
whether the index closing value of any underlying index has been below its respective coupon threshold level on any observation
date,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks
of the underlying indices or securities markets generally and which may affect the value of each underlying index,
|
|
o
|
dividend rates on the securities underlying the
underlying
indices,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the composition of the underlying indices and changes in the constituent stocks of such indices, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Generally,
the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described
above. Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity.
In particular, if any underlying index has closed near or below its coupon threshold level, and especially if any underlying index
has closed near or below its downside threshold level, the market value of the securities is expected to decrease substantially,
and you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security.
You cannot predict the future performance
of any underlying index based on its historical performance. The value of any underlying index may decrease and be below the respective
coupon threshold level for such index on each observation date so that you will receive no return on your investment, and any or
all of the underlying indices may
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
close below the respective downside
threshold level(s) on the final observation date so that you will lose more than 50% or all of your initial investment in the securities.
There can be no assurance that the index closing value of each underlying index will be at or above the respective coupon threshold
level on any observation date so that you will receive a coupon payment on the securities for the applicable interest period, or
that it will be at or above its respective downside threshold level on the final observation date so that you do not suffer a significant
loss on your initial investment in the securities. See “Russell 2000
®
Index Overview,” “S&P
500
®
Index Overview” and “EURO STOXX 50
®
Index Overview” below.
|
§
|
The securities 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 securities.
You are dependent on our ability to pay all amounts due on the securities
at maturity, upon early redemption or on any coupon payment date, and therefore you are subject to our credit risk. The securities
are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk
and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase
in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.
|
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets
. As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated
pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
|
|
§
|
The securities are linked to the Russell 2000
®
Index and are subject to risks associated with small-capitalization
companies.
As the Russell 2000
®
Index is one of the underlying indices, and the Russell 2000
®
Index consists of stocks issued by companies with relatively small market capitalization, the securities are linked to the value
of small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies and therefore the Russell 2000
®
Index may be more volatile than
indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies
are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks
of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less
well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
|
|
§
|
The securities are linked to the EURO STOXX 50
®
Index and are subject to risks associated with investments
in securities linked to the value of foreign equity securities.
As the EURO STOXX 50
®
Index
is one of the underlying indices, the securities are linked to the value of foreign equity securities. Investments in securities
linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including
risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain
countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that
are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject
to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those
countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities
markets may trade a small
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
number of securities and may be
unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible
at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States in
such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance
of payment positions between countries.
|
§
|
Not equivalent to investing in the underlying indices.
Investing in the securities
is not equivalent to investing in any underlying index or the component stocks of any underlying index. Investors in the securities
will not participate in any positive performance of any underlying index, and will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to stocks that constitute any underlying index.
|
|
§
|
Reinvestment risk.
The term
of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no more contingent quarterly coupons and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns. However, under no circumstances will the securities
be redeemed in the first year of the term of the securities.
|
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be limited
.
A
ccordingly, you should be willing to hold your securities for the entire 10-year term of the securities.
The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS &
Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so
at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based
on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility,
the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and
the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any,
at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it
is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities
to maturity.
|
|
§
|
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 securities in the original issue price reduce the economic terms of the securities,
cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market
prices.
Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 12 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying indices, and to our secondary market credit spreads, it would do
so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage
account statements.
|
§
|
The estimated value of the securities 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.
These
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
pricing and valuation models are
proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may
prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may
yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they
attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum
price at which dealers, including MS & Co., would be willing to purchase your notes in the secondary market (if any exists)
at any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot
be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price will
be influenced by many unpredictable factors” above.
|
§
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities.
One or more of
our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the securities
(and to other instruments linked to the underlying indices or their component stocks), including trading in the stocks that constitute
the underlying indices as well as in other instruments related to the underlying indices. As a result, these entities may be unwinding
or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent
dynamic adjustments to the hedge as the final observation date approaches. Some of our affiliates also trade the stocks that constitute
the underlying indices and other financial instruments related to the underlying indices on a regular basis as part of their general
broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could have increased
the initial index value of an underlying index, and, therefore, could have increased (i) the level at or above which such underlying
index must close on any redemption determination date so that the securities are redeemed prior to maturity for the early redemption
payment (depending also on the performance of the other underlying indices), (ii) the level at or above which such underlying index
must close on each observation date in order for you to earn a contingent quarterly coupon (depending also on the performance of
the other underlying indices) and (iii) the level at or above which such underlying index must close on the final observation date
so that you are not exposed to the negative performance of the worst performing underlying index at maturity (depending also on
the performance of the other underlying indices). Additionally, such hedging or trading activities during the term of the securities
could affect the value of an underlying index on the redemption determination dates and the observation dates, and, accordingly,
whether we redeem the securities prior to maturity, whether we pay a contingent quarterly coupon on the securities and the amount
of cash you receive at maturity, if any (depending also on the performance of the other underlying indices).
|
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities.
As calculation agent, MS & Co. has determined the initial index value, coupon threshold level and downside
threshold level for each underlying index and will determine whether you receive a contingent quarterly coupon on each coupon payment
date and/or at maturity, whether the securities will be redeemed on any early redemption date and the payment at maturity, if any.
Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion
and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection
of a successor index or calculation of the index closing value in the event of a market disruption event or discontinuance of an
underlying index. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further
information regarding these types of determinations, see "Description of Auto-Callable Securities—Postponement of Determination
Dates," "—Alternate Exchange Calculation in Case of an Event of Default,” "—Discontinuance of
Any Underlying Index; Alteration of Method of Calculation” and "—Calculation Agent and Calculations" in the
accompanying product supplement In addition, MS & Co. has determined the estimated value of the securities on the pricing date.
|
|
§
|
Adjustments to the underlying indices could adversely affect the value of the securities.
The publisher of each underlying
index may add, delete or substitute the component stocks of such underlying index or make other methodological changes that could
change the value of such underlying index. Any of these actions could adversely affect the value of the securities. The publisher
of each underlying index may also discontinue or suspend calculation or publication of such underlying index at any time. In these
circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable
to the discontinued index. MS & Co. could have an economic interest that is different than that of investors in the securities
insofar as, for example, MS & Co. is
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
permitted to consider indices that
are calculated and published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate
successor index on any observation date, the determination of whether a contingent quarterly coupon will be payable on the securities
on the applicable coupon payment date, whether the securities will be redeemed and/or the amount payable at maturity, if any, will
be based on the value of such underlying index, based on the closing prices of the stocks constituting such underlying index at
the time of such discontinuance, without rebalancing or substitution, computed by MS & Co. as calculation agent in accordance
with the formula for calculating such underlying index last in effect prior to such discontinuance, as compared to the relevant
initial index value, coupon threshold level or downside threshold level, as applicable (depending also on the performance of the
other underlying indices).
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index is an index calculated,
published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000 companies incorporated
in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities
that form the Russell 3000
®
Index. The Russell 3000
®
Index is composed of the 3,000
largest U.S. companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The
Russell 2000
®
Index consists of the smallest 2,000 companies included in the Russell 3000
®
Index and represents a small portion of the total market capitalization of the Russell 3000
®
Index. The
Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S.
equity market. For additional information about the Russell 2000
®
Index, see the information set forth
under “Russell 2000
®
Index” in the accompanying index supplement.
Information as of market close on May 28, 2019:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 8/31/2018):
|
1,740.753
|
Current Index Value:
|
1,504.019
|
52 Week Low (on 12/24/2018):
|
1,266.925
|
52 Weeks Ago:
|
1,623.649
|
|
|
The following graph sets forth the daily index closing values
of the RTY Index for the period from January 1, 2014 through May 28, 2019. The related table sets forth the published high and
low index closing values, as well as end-of-quarter index closing values, of the RTY Index for each quarter for the period from
January 1, 2014 through May 28, 2019. The index closing value of the RTY Index on May 28, 2019 was 1,504.019. We obtained the information
in the table below from Bloomberg Financial Markets, without independent verification. The RTY Index has experienced periods of
high volatility, and you should not take the historical values of the RTY Index as an indication of its future performance.
RTY Index Daily Index
Closing Values
January 1, 2014 to May
28, 2019
|
|
* The red line in the graph indicates the downside threshold level of 752.010, which is approximately 50% of the initial index value, and the black line in the graph indicates the coupon threshold level of 1,052.813, which is approximately 70% of the initial index value.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
1,535.511
|
2018
|
|
|
|
First Quarter
|
1,610.706
|
1,463.793
|
1,529.427
|
Second Quarter
|
1,706.985
|
1,492.531
|
1,643.069
|
Third Quarter
|
1,740.753
|
1,653.132
|
1,696.571
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
1,348.559
|
2019
|
|
|
|
First Quarter
|
1,590.062
|
1,330.831
|
1,539.739
|
Second Quarter (through May 28, 2019)
|
1,614.976
|
1,501.380
|
1,504.019
|
The “Russell 2000
®
Index” is a trademark of FTSE Russell. For more information, see “Russell 2000
®
Index”
in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500
®
Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500
®
Index, see the information set forth under “S&P
500
®
Index” in the accompanying index supplement.
Information as of market close on May 28, 2019:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High (on 4/30/2019):
|
2,945.83
|
Current Index Value:
|
2,802.39
|
52 Week Low (on 12/24/2018):
|
2,351.10
|
52 Weeks Ago:
|
2,689.86
|
|
|
The following graph sets forth the daily index closing values
of the SPX Index for in the period from January 1, 2014 through May 28, 2019. The related table sets forth the published high and
low index closing values, as well as end-of-quarter index closing values, of the SPX Index for each quarter for the period from
January 1, 2014 to May 28, 2019. The index closing value of the SPX Index on May 28, 2019 was 2,802.39. We obtained the information
in the table and graph below from Bloomberg Financial Markets, without independent verification. The SPX Index has at times experienced
periods of high volatility, and you should not take the historical values of the SPX Index as an indication of its future performance.
SPX Index Daily Index
Closing Values
January 1, 2014 to May
28, 2019
|
|
* The red line in the graph indicates the downside threshold level of 1,401.195, which is 50% of the initial index value, and the black line in the graph indicates the coupon threshold level of 1,961.673, which is 70% of the initial index value
.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter (through May 28, 2019)
|
2,945.83
|
2,802.39
|
2,802.39
|
Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
,” “Standard & Poor’s 500”
and “500” are trademarks of Standard and Poor’s Financial Services LLC. See “S&P 500
®
Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The EURO STOXX 50
®
Index was created by STOXX
Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50
®
Index
began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50
®
Index
is composed of 50 component stocks of market sector leaders from within the STOXX 600 Supersector Indices, which includes stocks
selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all
market sectors. For additional information about the EURO STOXX 50
®
Index, see the information set forth under “EURO
STOXX 50
®
Index” in the accompanying index supplement.
Information as of market close on May 28, 2019:
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High (on 7/27/2018):
|
3,527.18
|
Current Index Value:
|
3,348.86
|
52 Week Low (on 12/27/2018):
|
2,937.36
|
52 Weeks Ago:
|
3,428.14
|
|
|
The following graph sets forth the daily index closing values
of the SX5E Index for the period from January 1, 2014 through May 28, 2019. The related table sets forth the published high and
low index closing values, as well as end-of-quarter index closing values, of the SX5E Index for each quarter for the period from
January 1, 2014 through May 28, 2019. The index closing value of the SX5E Index on May 28, 2019 was 3,348.86. We obtained the information
in the table and graph below from Bloomberg Financial Markets, without independent verification. The SX5E Index has experienced
periods of high volatility, and you should not take the historical values of the SX5E Index as an indication of its future performance.
SX5E Index Daily Index Closing Values
January 1, 2014 to May 28, 2019
|
|
* The red line in the graph indicates the downside threshold
level of 1,674.43, which is 50% of the initial index value, and the black line in the graph indicates the coupon threshold level
of 2,344.202, which is 70% of the initial index value.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,178.01
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter (through May 28, 2019)
|
3,514.62
|
3,320.78
|
3,348.86
|
“EURO STOXX
®
” and “STOXX
®
”
are registered trademarks of STOXX Limited. For more information, see “EURO STOXX 50
®
Index” in
the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Terms:
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Underlying
index publishers:
|
With respect to the RTY Index, FTSE Russell or any successor
thereof
With respect to the SPX Index, S&P Dow Jones Indices LLC
or any successor thereof
With respect to the SX5E Index, STOXX Limited or any successor
thereof
|
Index
closing value:
|
With respect to the RTY Index, the index closing value on any
index business day shall be determined by the calculation agent and shall equal the closing value of the RTY Index, or any successor
underlying index (as defined under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in
the accompanying product supplement), reported by Bloomberg Financial Services, or any successor reporting service the calculation
agent may select, on such index business day. In certain circumstances, the index closing value for the RTY Index shall be based
on the alternate calculation of the RTY Index described under “Discontinuance of an Underlying Index; Alteration of Method
of Calculation” in the accompanying product supplement.
With respect to each of the SPX Index and the SX5E Index, the
index closing value on any index business day shall be determined by the calculation agent and shall equal the official closing
value of such underlying index, or any successor underlying index (as defined under “Discontinuance of an Underlying Index;
Alteration of Method of Calculation” in the accompanying product supplement), published at the regular official weekday close
of trading on such index business day by the underlying index publisher for such underlying index. In certain circumstances, the
index closing value for the SPX Index or the SX5E Index shall be based on the alternate calculation of such underlying index described
under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in the accompanying product supplement.
|
Interest
period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Record
date:
|
The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date;
provided
, however, that any coupon payable at maturity (or upon early redemption) shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable.
|
Threshold
level:
|
The accompanying product supplement refers to the threshold level as the “trigger level.”
|
Day
count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Postponement
of coupon payment dates (including the maturity date) and early redemption dates:
|
If any observation date or redemption determination date is postponed due to a non-index business day or certain market disruption events so that it falls less than two business days prior to the relevant scheduled coupon payment date (including the maturity date) or early redemption date, as applicable, the coupon payment date (or the maturity date) or the early redemption date will be postponed to the second business day following that observation date or redemption determination date as postponed, and no adjustment will be made to any coupon payment or early redemption payment made on that postponed date.
|
Denominations:
|
$1,000 per security and integral multiples thereof
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due
to postponement of the final observation date, the issuer shall give notice of such postponement and, once it has been determined,
of the date to which the maturity date has been rescheduled (i) to each registered holder of the securities by mailing notice
of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon
the registry books, (ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage
prepaid,
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
at its New York office and (iii) to The Depository Trust Company
(the “depositary”) by telephone or facsimile confirmed by mailing such notice to the depositary by first class mail,
postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall be conclusively
presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The issuer
shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the maturity
date, the business day immediately preceding the scheduled maturity date and (ii) with respect to notice of the date to which the
maturity date has been rescheduled, the business day immediately following the final observation date as postponed.
In the event that the securities are subject to early redemption,
the issuer shall, (i) on the business day following the applicable redemption determination date, give notice of the early redemption
and the early redemption payment, including specifying the payment date of the amount due upon the early redemption, (x) to each
registered holder of the securities by mailing notice of such early redemption by first class mail, postage prepaid, to such registered
holder’s last address as it shall appear upon the registry books, (y) to the trustee by facsimile confirmed by mailing such
notice to the trustee by first class mail, postage prepaid, at its New York office and (z) to the depositary by telephone or facsimile
confirmed by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or prior to the early redemption
date, deliver the aggregate cash amount due with respect to the securities to the trustee for delivery to the depositary, as holder
of the securities. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall be conclusively
presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. This notice
shall be given by the issuer or, at the issuer’s request, by the trustee in the name and at the expense of the issuer, with
any such request to be accompanied by a copy of the notice to be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee,
on which notice the trustee may conclusively rely, and to the
depositary of the amount of cash to be delivered as contingent quarterly coupon, if any, with respect to each security on or prior
to 10:30 a.m. (New York City time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash
amount due, if any, with respect to the contingent quarterly coupon to the trustee for delivery to the depositary, as holder of
the securities, on the applicable coupon payment date.
The issuer shall, or shall cause the calculation
agent to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of
the amount of cash to be delivered, if any, with respect to each stated principal amount of the securities, on or prior to 10:30
a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount, if any,
due with respect to the securities to the trustee for delivery to the depositary, as holder of the securities, on the maturity
date.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due June 1, 2029, with 1-Year Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index, the S&P 500
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities