CALCULATION
OF REGISTRATION FEE
|
|
Maximum Aggregate
|
|
Amount of Registration
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Title of Each Class of Securities Offered
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|
Offering Price
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|
Fee
|
|
|
|
|
|
Buffered Performance Leveraged
|
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$599,000
|
|
$72.60
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Upside Securities due 2024
|
|
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May 2019
Pricing Supplement
No. 1,898
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 International Equities
Buffered PLUS Based on the Value of the EURO
STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Buffered PLUS are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered PLUS will pay no
interest, provide a minimum payment at maturity of only 25% of the stated principal amount and have the terms described in the
accompanying product supplement for PLUS, index supplement and prospectus, as supplemented or modified by this document. At maturity,
if the underlying index has
appreciated
in value, investors will receive the stated principal amount of their investment
plus leveraged upside performance of the underlying index. If the underlying index has
depreciated
in value, but the underlying
index has not declined by more than the specified buffer amount, the Buffered PLUS will redeem for par. However, if the underlying
index has declined by more than the buffer amount, investors will lose 1% for every 1% decline beyond the specified buffer amount,
subject to the minimum payment at maturity of 25% of the stated principal amount. Investors may lose up to 75% of the stated principal
amount of the Buffered PLUS. These long-dated Buffered PLUS are for investors who seek an equity index-based return and who are
willing to risk their principal and forgo current income in exchange for the leverage and buffer features that in each case apply
to a limited range of performance of the underlying index. The Buffered PLUS are notes issued as part of MSFL’s Series A
Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Buffered PLUS are not secured obligations and you will
not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL Terms
|
Issuer:
|
Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Maturity date:
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May 31, 2024
|
Underlying index:
|
EURO STOXX 50
®
Index
|
Aggregate principal amount:
|
$599,000
|
Payment at maturity per Buffered PLUS:
|
If the final index value is greater than the initial index value:
$1,000 + leveraged upside payment
If the final index value is less than or equal to the initial
index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 25%:
$1,000
If the final index value is less than the initial index value
and has decreased from the initial index value by an amount greater than the buffer amount of 25%:
($1,000 x the index performance factor) + $250
Under these circumstances, the payment at maturity will be
less than the stated principal amount of $1,000. However, under no circumstances will the Buffered PLUS pay less than $250 per
Buffered PLUS at maturity.
|
Leveraged upside payment:
|
$1,000 × leverage factor × index percent increase
|
Index percent increase:
|
(final index value – initial index value) / initial index value
|
Initial index value:
|
3,348.86, which is the index closing value on the pricing date
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Final index value:
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The index closing value on the valuation date
|
Valuation date:
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May 28, 2024, subject to postponement for non-index business days and certain market disruption events
|
Leverage factor:
|
230%
|
Buffer amount:
|
25%. As a result of the buffer amount of 25%, the value at or above which the underlying index must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered PLUS is 2,511.645, which is 75% of the initial index value.
|
Minimum payment at maturity:
|
$250 per Buffered PLUS (25% of the stated principal amount)
|
Index performance factor:
|
Final index value
divided
by the initial index value
|
Stated principal amount:
|
$1,000 per Buffered PLUS
|
Issue price:
|
$1,000 per Buffered PLUS (see “Commissions and issue price” below)
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Pricing date:
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May 28, 2019
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Original issue date:
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May 31, 2019 (3 business days after the pricing date)
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CUSIP:
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61768D7T6
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ISIN:
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US61768D7T60
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Listing:
|
The Buffered PLUS will not be listed on any securities exchange.
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Agent:
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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:
|
$940.40 per Buffered PLUS. See “Investment Summary” beginning on page 2.
|
Commissions and issue price:
|
Price to public
(1)
|
Agent’s commissions and fees
(2)
|
Proceeds to us
(3)
|
Per Buffered PLUS
|
$1,000
|
$33
|
$967
|
Total
|
$599,000
|
$19,767
|
$579,233
|
|
(1)
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The price to public for investors purchasing the Buffered PLUS in fee-based advisory accounts will be $975.00 per Buffered
PLUS.
|
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(2)
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Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission
of $33 for each Buffered PLUS they sell; provided that dealers selling to investors purchasing the Buffered PLUS in fee-based advisory
accounts will receive a sales commission of $8 per Buffered PLUS. 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 for PLUS.
|
|
(3)
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See “Use of proceeds and hedging” on page
13.
|
The Buffered PLUS involve risks
not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 5.
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 Buffered PLUS 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 Buffered PLUS” and “Additional Information About the Buffered PLUS” 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 PLUS dated November 16, 2017
Index
Supplement dated November 16, 2017
Prospectus
dated November 16, 2017
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024 (the "Buffered PLUS") can be used:
|
§
|
As an alternative to direct exposure to the underlying index that enhances returns for any potential positive performance of
the underlying index
|
|
§
|
To enhance returns and potentially outperform the underlying index in a bullish scenario, with no limitation on the appreciation
potential
|
|
§
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To achieve similar levels of upside exposure to the underlying index as a direct investment, while using fewer dollars by taking
advantage of the leverage factor
|
|
§
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To obtain a buffer against a specified level of negative performance in the underlying index
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Maturity:
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5 years
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Leverage factor:
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230%
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Maximum payment at maturity:
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None
|
Buffer amount:
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25%, with 1-to-1 downside exposure below the buffer
|
Minimum payment at maturity:
|
$250 per Buffered PLUS (25% of the stated principal amount). Investors may lose up to 75% of the stated principal amount of the Buffered PLUS.
|
Coupon:
|
None
|
The original issue price of each Buffered PLUS is $1,000. This
price includes costs associated with issuing, selling, structuring and hedging the Buffered PLUS, which are borne by you, and,
consequently, the estimated value of the Buffered PLUS on the pricing date is less than $1,000. We estimate that the value of each
Buffered PLUS on the pricing date is $940.40.
What goes into the estimated value on the pricing date?
In valuing the Buffered PLUS on the pricing date, we take into
account that the Buffered PLUS comprise both a debt component and a performance-based component linked to the underlying index.
The estimated value of the Buffered PLUS is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying index, instruments based on the underlying index, 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 Buffered PLUS?
In determining the economic terms of the Buffered PLUS, including
the leverage factor, the buffer amount and the minimum payment at maturity, 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 Buffered PLUS
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 Buffered PLUS?
The price at which MS & Co. purchases the Buffered PLUS in
the secondary market, absent changes in market conditions, including those related to the underlying index, 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 Buffered PLUS are not fully
deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell
the Buffered PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index,
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
Buffered PLUS, and, if it once chooses to make a market, may cease doing so at any time.
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Key Investment Rationale
The Buffered PLUS offer leveraged upside exposure to the underlying
index, while providing limited protection against negative performance of the underlying index. Once the underlying index has decreased
in value by more than the specified buffer amount, investors are exposed to the negative performance of the underlying index, subject
to the minimum payment at maturity. At maturity, if the underlying index has appreciated, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying index. At maturity, if the underlying index has
depreciated and (i) if the final index value of the underlying index has not declined from the initial index value by more than
the specified buffer amount, the Buffered PLUS will redeem for par, or (ii) if the final index value of the underlying index has
declined by more than the buffer amount, the investor will lose 1% for every 1% decline beyond the specified buffer amount, subject
to the minimum payment at maturity.
Investors may lose up to 75% of the stated principal amount of the Buffered PLUS.
Leveraged Performance
|
The Buffered PLUS offer investors an opportunity to capture enhanced returns for any positive performance relative to a direct investment in the underlying index.
|
Upside Scenario
|
The underlying index increases in value, and, at maturity, the Buffered PLUS redeem for the stated principal amount of $1,000 plus 230% of the index percent increase.
|
Par Scenario
|
The underlying index declines in value by no more than 25%, and, at maturity, the Buffered PLUS redeem for the stated principal amount of $1,000.
|
Downside Scenario
|
The underlying index declines in value by more than 25%, and, at maturity, the Buffered PLUS redeem for less than the stated principal amount by an amount that is proportionate to the percentage decrease of the underlying index from the initial index value, plus the buffer amount of 25%. (Example: if the underlying index decreases in value by 45%, the Buffered PLUS will redeem for $800.00, or 80.00% of the stated principal amount.) The minimum payment at maturity is $250 per Buffered PLUS.
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Buffered PLUS based on the following terms:
Stated principal amount:
|
$1,000 per Buffered PLUS
|
Leverage factor:
|
230%
|
Buffer amount:
|
25%
|
Maximum payment at maturity:
|
None
|
Minimum payment at maturity:
|
$250 per Buffered PLUS
|
Buffered PLUS Payoff Diagram
|
|
How it works
§
Upside Scenario.
If the final index value is greater than the initial index value,
investors will receive the $1,000 stated principal amount
plus
230% of the appreciation of the underlying index over the
term of the Buffered PLUS.
|
§
|
If the underlying index appreciates 2%, the investor would receive a 4.60% return, or $1,046.00 per Buffered PLUS.
|
|
§
|
Par Scenario.
If the final index value is less than or equal to the initial index
value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 25%, investors will
receive the stated principal amount of $1,000 per Buffered PLUS.
|
|
§
|
If the underlying index depreciates 5%, investors will receive the $1,000 stated principal amount.
|
|
§
|
Downside Scenario.
If the final index value is less than the initial index value
and has decreased from the initial index value by an amount greater than the buffer amount of 25%, investors will receive an amount
that is less than the stated principal amount by an amount that is proportionate to the percentage decrease of the value of the
underlying index from the initial index value, plus the buffer amount of 25%. The minimum payment at maturity is $250 per Buffered
PLUS.
|
|
§
|
For example, if the underlying index depreciates 55%, investors would lose 30.00% of their principal and receive only $700
per Buffered PLUS at maturity, or 70.00% of the stated principal amount.
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Buffered PLUS. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. We also urge you to
consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Buffered PLUS.
|
§
|
Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 25% of your principal.
The terms
of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest, and provide a
minimum payment at maturity of only 25% of the stated principal amount of the Buffered PLUS, subject to our credit risk. If the
final index value is less than 75% of the initial index value, you will receive for each Buffered PLUS that you hold a payment
at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate to the decline in the
closing value of the underlying index from the initial index value, plus $250 per Buffered PLUS.
Accordingly, investors may
lose up to 75% of the stated principal amount of the Buffered PLUS.
|
|
§
|
The market price of the Buffered PLUS will be influenced by many unpredictable factors.
Several factors, many of which
are beyond our control, will influence the value of the Buffered PLUS in the secondary market and the price at which MS & Co.
may be willing to purchase or sell the Buffered PLUS in the secondary market, including the value, volatility (frequency and magnitude
of changes in value) and dividend yield of the underlying index, interest and yield rates in the market, time remaining until the
Buffered PLUS mature, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the
underlying index or equities markets generally and which may affect the final index value of the underlying index and 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 Buffered PLUS will be affected by the other factors described above. The value of the underlying index
may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See “EURO STOXX
50
®
Index Overview” below. You may receive less, and possibly significantly less, than the stated principal
amount per Buffered PLUS if you try to sell your Buffered PLUS prior to maturity.
|
|
§
|
There are risks associated with investments in securities linked to the value of foreign equity securities.
The Buffered
PLUS 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 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.
|
|
§
|
The Buffered PLUS are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit
spreads may adversely affect the market value of the Buffered PLUS.
You are dependent on our ability to pay all amounts due
on the Buffered PLUS at maturity and therefore you are subject to our credit risk. If we default on our obligations under the Buffered
PLUS, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the
Buffered PLUS 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 Buffered PLUS.
|
|
§
|
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.
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
§
|
The amount payable on the Buffered PLUS is not linked to the value of the underlying index at any time other than the valuation
date.
The final index value will be based on the index closing value on the valuation date, subject to postponement for non-index
business days and certain market disruption events. Even if the value of the underlying index appreciates prior to the valuation
date but then drops by the valuation date by more than 25% of the initial index value, the payment at maturity will be less, and
may be significantly less, than it would have been had the payment at maturity been linked to the value of the underlying index
prior to such drop. Although the actual value of the underlying index on the stated maturity date or at other times during the
term of the Buffered PLUS may be higher than the index closing value on the valuation date, the payment at maturity will be based
solely on the index closing value on the valuation date.
|
|
§
|
Investing in the Buffered PLUS is not equivalent to investing in the underlying index.
Investing in the Buffered PLUS
is not equivalent to investing in the underlying index or its component stocks. As an investor in the Buffered PLUS, you will not
have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute
the underlying index.
|
|
§
|
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 Buffered PLUS in the original issue price reduce the economic terms of the Buffered
PLUS, cause the estimated value of the Buffered PLUS 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 Buffered PLUS 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 Buffered PLUS in the original issue price and the lower rate we are willing to pay as issuer make the economic
terms of the Buffered PLUS less favorable to you than they otherwise would be.
However, because the costs associated with issuing,
selling, structuring and hedging the Buffered PLUS are not fully deducted upon issuance, for a period of up to 6 months following
the issue date, to the extent that MS & Co. may buy or sell the Buffered PLUS in the secondary market, absent changes in market
conditions, including those related to the underlying index, 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.
|
§
|
Adjustments to the underlying index could adversely affect the value of the Buffered PLUS.
The underlying index publisher
may add, delete or substitute the stocks constituting the underlying index or make other methodological changes that could change
the value of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the
underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated
and published by the calculation agent or any of its affiliates. If the calculation agent determines that there is no appropriate
successor index, the payment at maturity on the Buffered PLUS will be an amount based on the closing prices at maturity of the
securities composing the underlying index at the time of such discontinuance, without rebalancing or substitution, computed by
the calculation agent in accordance with the formula for calculating the underlying index last in effect prior to discontinuance
of the underlying index.
|
|
§
|
The estimated value of the Buffered PLUS is determined by reference to our pricing and valuation models, which may differ
from those of other dealers and is not a maximum or minimum secondary market price.
These 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 Buffered PLUS than those generated by others, including other dealers in the market, if they
attempted to value the Buffered PLUS. 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 Buffered PLUS in the secondary market (if any
exists) at any time. The value of your Buffered PLUS 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 of the Buffered PLUS will be influenced by many unpredictable factors” above.
|
|
§
|
The Buffered PLUS will not be listed on any securities exchange and secondary trading may be limited.
The Buffered PLUS
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Buffered PLUS. MS
& Co. may, but is not obligated to, make a market in the Buffered PLUS 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
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
prices based on its estimate of
the current value of the Buffered PLUS, 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 Buffered PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Buffered PLUS easily. Since other broker-dealers may not participate significantly in the secondary market
for the Buffered PLUS, the price at which you may be able to trade your Buffered PLUS 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 Buffered PLUS,
it is likely that there would be no secondary market for the Buffered PLUS. Accordingly, you should be willing to hold your Buffered
PLUS to maturity.
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and
an affiliate of MSFL, will make determinations with respect to the Buffered PLUS.
As calculation agent, MS & Co. has determined
the initial index value, will determine the final index value and will calculate the amount of cash you receive at maturity. 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 final index value in the event of a market disruption event or discontinuance of the underlying
index. These potentially subjective determinations may adversely affect the payout to you at maturity. For further information
regarding these types of determinations, see “Description of PLUS—Postponement of Valuation Date(s)” and “—Calculation
Agent and Calculations” and related definitions in the accompanying product supplement. In addition, MS & Co. has determined
the estimated value of the Buffered PLUS on the pricing date.
|
|
§
|
Hedging and trading activity by our affiliates could potentially adversely affect
the value of the Buffered PLUS.
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 Buffered PLUS (and possibly to other instruments linked to the underlying index
or its component stocks), including trading in the stocks that constitute the underlying index as well as in other instruments
related to the underlying index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the
Buffered PLUS, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation
date approaches. Some of our affiliates also trade the stocks that constitute the underlying index and other financial instruments
related to the underlying index 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, and, therefore, could have
increased the value at or above which the underlying index must close on the valuation date so that investors do not suffer a loss
on their initial investment in the Buffered PLUS. Additionally, such hedging or trading activities during the term of the Buffered
PLUS, including on the valuation date, could adversely affect the closing value of the underlying index on the valuation date,
and, accordingly, the amount of cash an investor will receive at maturity.
|
|
§
|
The U.S. federal income tax consequences of an investment in the Buffered PLUS are uncertain.
Please read the discussion
under “Additional Information—Tax considerations” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning
the U.S. federal income tax consequences of an investment in the Buffered PLUS. If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative treatment, the timing and character of income on the Buffered PLUS might differ significantly
from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek
to recharacterize the Buffered PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income original
issue discount on the Buffered PLUS every year at a “comparable yield” determined at the time of issuance and recognize
all income and gain in respect of the Buffered PLUS as ordinary income. Additionally, as discussed under “United States Federal
Taxation—FATCA” in the accompanying product supplement for PLUS, the withholding rules commonly referred to as “FATCA”
would apply to the Buffered PLUS if they were recharacterized as debt instruments. However, recently proposed regulations (the
preamble to which specifies that taxpayers are permitted to rely on them pending finalization) eliminate the withholding requirement
on payments of gross proceeds of a taxable disposition. The risk that financial instruments providing for buffers, triggers or
similar downside protection features, such as the Buffered PLUS, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding
the tax treatment of the Buffered PLUS, and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure
Sections.
|
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. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of
factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
the “constructive ownership”
rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest
charge. While the notice requests comments on appropriate transition rules and effective dates, 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 Buffered PLUS, possibly with retroactive effect. 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 Buffered PLUS, 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.
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
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
|
Current Index Value:
|
3,348.86
|
52 Weeks Ago:
|
3,428.14
|
52 Week High (on 7/27/2018):
|
3,527.18
|
52 Week Low (on 12/27/2018):
|
2,937.36
|
The following graph sets forth the daily index closing values
of the underlying index for each quarter in the period from January 1, 2014 through May 28, 2019. The related table sets forth
the published high and low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter in
the same period. The index closing value of the underlying 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 underlying index has at times experienced
periods of high volatility. You should not take the historical values of the underlying index as an indication of its future performance,
and no assurance can be given as to the index closing value of the underlying index on the valuation date.
EURO STOXX 50
®
Index
Daily Index Closing
Values
January 1, 2014 to May
28, 2019
|
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
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 50
®
” and “STOXX
®
”
are registered trademarks of STOXX Limited. For more information, see “EURO STOXX 50
®
Index” in the
accompanying index supplement.
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Additional Terms of the Buffered PLUS
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 publisher:
|
STOXX Limited, or any successor thereof
|
Interest:
|
None
|
Bull market or bear market PLUS:
|
Bull market PLUS
|
Postponement of maturity date:
|
If the scheduled valuation date is not an index business day or if a market disruption event occurs on that day so that the valuation date as postponed falls less than two business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the second business day following that valuation date as postponed.
|
Denominations:
|
$1,000 per Buffered PLUS and integral multiples thereof
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
MS & Co.
|
Issuer notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation 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 Buffered PLUS 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, 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
Buffered PLUS 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 actual valuation date for determining the final index value.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee and to the depositary of the amount of cash to be delivered with respect to each stated principal
amount of the Buffered PLUS, 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 due with respect to the Buffered PLUS to the trustee for delivery to the depositary, as
holder of the Buffered PLUS, on the maturity date.
|
M
organ
S
tanley
F
inance
LLC
Buffered PLUS Based on the Value of the EURO STOXX 50
®
Index due May 31, 2024
Buffered Performance Leveraged Upside Securities
SM
Principal at Risk Securities
Additional Information About the Buffered PLUS