MSPI Morgan Stanley Depository Shares Representing 1/1000TH Preferred Series 1 Fixed TO Floating Non (Cum)

 

Morgan Stanley Finance LLC

Free Writing Prospectus relating to Preliminary Terms No. 2,133 Registration Statement Nos. 333-221595; 333-221595-01 Dated June 10, 2019 Filed pursuant to Rule 433

Structured Investments

Contingent Income Auto-Callable Securities due June 30, 2022

All Payments on the Securities Based on the Worst Performing of the Common Stock of Amazon.com, Inc., the Common Stock of Apple Inc., the Common Stock of Netflix, Inc. and the Class C Common Stock of Alphabet Inc.

This document provides a summary of the terms of the securities offered by Morgan Stanley Finance LLC. Investors should review carefully the accompanying preliminary terms, product supplement and prospectus prior to making an investment decision.

 

Terms continued from previous page:

Early redemption:	If, on any redemption determination date, beginning on September 25, 2019, the determination closing price of each underlying stock is greater than or equal to its respective call threshold level, 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 determination closing price of any underlying stock is below its respective call threshold level on the related redemption determination date.
Early redemption payment:	The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii) the contingent monthly coupon with respect to the related observation date.
Redemption determination dates:	September 25, 2019, December 26, 2019, March 25, 2020, June 25, 2020, September 25, 2020, December 28, 2020, March 25, 2021, June 25, 2021, September 27, 2021, December 27, 2021 and March 25, 2022, subject to postponement for non-trading days and certain market disruption events.
Early redemption dates:	September 30, 2019, December 31, 2019, March 30, 2020, June 30, 2020, September 30, 2020, December 31, 2020, March 30, 2021, June 30, 2021, September 30, 2021, December 30, 2021 and March 30, 2022, provided that 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 AMZN Stock: 50% of its initial share price With respect to the AAPL Stock: 50% of its initial share price With respect to the NFLX Stock: 50% of its initial share price With respect to the GOOG Stock: 50% of its initial share price
Call threshold level:	With respect to the AMZN Stock: 100% of its initial share price With respect to the AAPL Stock: 100% of its initial share price With respect to the NFLX Stock: 100% of its initial share price With respect to the GOOG Stock: 100% of its initial share price
Initial share price:	With respect to the AMZN Stock, $ , which is its closing price on the pricing date With respect to the AAPL Stock, $ , which is its closing price on the pricing date With respect to the NFLX Stock, $ , which is its closing price on the pricing date With respect to the GOOG Stock, $ , which is its closing price on the pricing date
Final share price:	With respect to each underlying stock, the closing price of such underlying stock on the final observation date times the adjustment factor on such date
Worst performing underlying stock:	The underlying stock with the largest percentage decrease from the respective initial share price to the respective final share price
Adjustment factor:	With respect to each underlying stock, 1.0, subject to adjustment in the event of certain corporate events affecting such underlying stock
Coupon payment dates:	Monthly, as set forth under “Observation Dates and Coupon Payment Dates” in the accompanying preliminary terms; 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 monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
Observation dates:	Monthly, as set forth under “Observation Dates and Coupon Payment Dates” in the accompanying preliminary terms, subject, independently in the case of each underlying stock, to postponement for non-trading days and certain market disruption events.  We also refer to June 27, 2022 as the final observation date.
CUSIP / ISIN:	61769HGU3 / US61769HGU32
Listing:	The securities will not be listed on any securities exchange.

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates.  Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering.  You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-584-6837.

 

Risk Considerations

The risks set forth below are discussed in more detail in the “Risk Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making an investment decision.

 

·

The securities do not guarantee the return of any principal.

·

The securities do not provide for the regular payment of interest and may pay no interest over the entire term of the securities.

·

You are exposed to the price risk of all of the underlying stocks, with respect to both the contingent monthly coupons, if any, and the payment at maturity, if any.

·

The contingent coupon, if any, is based only on the determination closing prices of the underlying stocks on the related monthly observation date at the end of the related interest period .

·

Investors will not participate in any appreciation in the price of any underlying stock.

·

The market price will be influenced by many unpredictable factors.

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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.

·

As a finance subsidiary, MSFL has no independent operations and will have no independent assets.

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Reinvestment risk.

·

Investing in the securities is not equivalent to investing in the common stock of Amazon.com, Inc., the common stock of Apple Inc., the common stock of Netflix, Inc. or the class C common stock of Alphabet Inc.

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No affiliation with Amazon.com, Inc., Apple Inc., Netflix, Inc. or Alphabet Inc.

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We may engage in business with or involving Amazon.com, Inc., Apple Inc., Netflix, Inc. or Alphabet Inc. without regard to your interests.

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The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect the underlying stocks.

·

The securities will not be listed on any securities exchange and secondary trading may be limited , and accordingly, you should be willing to hold your securities for the entire 3-year term of the securities.

·

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.

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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.

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Hedging and trading activity by our affiliates could potentially affect the value of the securities.

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The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities.

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The U.S. federal income tax consequences of an investment in the securities are uncertain.

 

Tax Considerations

You should review carefully the discussion in the accompanying preliminary terms under the caption “Additional Information About the Securities– Tax considerations” concerning the U.S. federal income tax consequences of an investment in the securities. However, you should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the securities, as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

 

 

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity, if any, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined by reference to the determination closing price of each underlying stock on each monthly observation date, and the amount you will receive at maturity, if any, will be determined by reference to the final share price of each underlying stock on the final observation date. The actual initial share price, call threshold level and downside threshold level for each underlying stock will be determined on the pricing date. All payments on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:

 

Hypothetical Contingent Monthly Coupon:	11.00% per annum (corresponding to approximately $9.167 per month per security) 1 With respect to each coupon payment date, a contingent monthly coupon is paid but only if the determination closing price of each underlying stock is at or above its respective downside threshold level on the related observation date.
Payment at Maturity (if the securities are not redeemed prior to maturity):	If the final share price of each underlying stock is greater than or equal to its respective downside threshold level: the stated principal amount and the contingent monthly coupon with respect to the final observation date If the final share price of any underlying stock is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock
Stated Principal Amount:	$1,000
Hypothetical Initial Share Price:	With respect to the AMZN Stock: $1,850.00 With respect to the AAPL Stock: $190.00 With respect to the NFLX Stock: $350.00 With respect to the GOOG Stock: $1,040.00
Hypothetical Call Threshold Level:	With respect to the AMZN Stock: $1,850.00, which is 100% of its hypothetical initial share price With respect to the AAPL Stock: $190.00, which is 100% of its hypothetical initial share price With respect to the NFLX Stock: $350.00, which is 100% of its hypothetical initial share price With respect to the GOOG Stock: $1,040.00, which is 100% of its hypothetical initial share price
Hypothetical Downside Threshold Level:	With respect to the AMZN Stock: $925.00, which is 50% of its hypothetical initial share price With respect to the AAPL Stock: $95.00, which is 50% of its hypothetical initial share price With respect to the NFLX Stock: $175.00, which is 50% of its hypothetical initial share price With respect to the GOOG Stock: $520.00, which is 50% of its hypothetical initial share price

¹ The actual contingent monthly coupon will be an amount determined by the calculation agent based on the actual contingent monthly coupon rate and the number of days in the applicable payment period, calculated on a 30/360 day-count basis. The hypothetical contingent monthly coupon of $9.167 is used in these examples for ease of analysis.

 

How to determine whether a contingent monthly coupon is payable with respect to an observation date:

	Determination Closing Price				Hypothetical Contingent Monthly Coupon
	AMZN Stock	AAPL Stock	NFLX Stock	GOOG Stock
Hypothetical Observation Date 1	$1,400.00 ( at or above its downside threshold level)	$150.00 ( at or above its downside threshold level)	$200.00 ( at or above its downside threshold level)	$800.00 ( at or above its downside threshold level)	$9.167
Hypothetical Observation Date 2	$850.00 ( below its downside threshold level)	$165.00 ( at or above its downside threshold level)	$275.00 ( at or above its downside threshold level)	$875.00 ( at or above its downside threshold level)	$0
Hypothetical Observation Date 3	$1,350.00 ( at or above its downside threshold level)	$90.00 ( below its downside threshold level)	$100.00 ( below its downside threshold level)	$500.00 ( below its downside threshold level)	$0
Hypothetical Observation Date 4	$800.00 ( below its downside threshold level)	$85.00 ( below its downside threshold level)	$150.00 ( below its downside threshold level)	$450.00 ( below its downside threshold level)	$0

 

On hypothetical observation date 1, each of the underlying stocks closes at or above its respective downside threshold level. Therefore, a hypothetical contingent monthly coupon of $9.167 is paid on the relevant coupon payment date.

 

On each of hypothetical observation dates 2 and 3, at least one underlying stock closes at or above its downside threshold level, but one or more of the other underlying stocks close below their respective downside threshold level(s). Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.

 

 

On hypothetical observation date 4, each of the underlying stocks closes below its respective downside threshold level, and accordingly no contingent monthly coupon is paid on the relevant coupon payment date.

 

You will not receive a contingent monthly coupon on any coupon payment date if the determination closing price of any underlying stock is below its respective downside threshold level on the related observation date.

 

How to calculate the payment at maturity:

In the following examples, one or more underlying stocks close below the respective call threshold level(s) on each redemption determination date, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

 

	Final Share Price				Payment at Maturity
	AMZN Stock	AAPL Stock	NFLX Stock	GOOG Stock
Example 1:	$2,000.00 ( at or above its downside threshold level)	$300.00 ( at or above its downside threshold level)	$400.00 ( at or above its downside threshold level)	$1,300.00 ( at or above its downside threshold level)	$1,009.167 (the stated principal amount plus the contingent monthly coupon with respect to the final observation date)
Example 2:	$740.00 ( below its downside threshold level)	$275.00 ( at or above its initial share price)	$400.00 ( at or above its initial share price)	$1,200.00 ( at or above its initial share price)	$1,000 x share performance factor of the worst performing underlying stock = $1,000 x ($740.00 / $1,850.00) = $400.00
Example 3:	$1,350.00 ( at or above its downside threshold level)	$160.00 ( at or above its downside threshold level)	$200.00 ( at or above its downside threshold level)	$312.00 ( below its downside threshold level)	$1,000 x ($312.00 / $1,040.00) = $300.00
Example 4:	$555.00 ( below its downside threshold level)	$76.00 ( below its downside threshold level)	$140.00 ( below its downside threshold level)	$416.00 ( below its downside threshold level)	$1,000 x ($555.00 / $1,850.00) = $300.00
Example 5:	$740.00 ( below its downside threshold level)	$57.00 ( below its downside threshold level)	$140.00 ( below its downside threshold level)	$208.00 ( below its downside threshold level)	$1,000 x ($208.00 / $1,040.00) = $200.00

 

In example 1, the final share prices of each of the AMZN Stock, the AAPL Stock, the NFLX Stock and the GOOG Stock are at or above their respective downside threshold levels. Therefore, investors receive at maturity the stated principal amount of the securities and the hypothetical contingent monthly coupon with respect to the final observation date. Investors do not participate in the appreciation of any of the underlying stocks.

 

In example 2, the final share prices of three underlying stocks are above their respective initial share prices, but the final share price of the other underlying stock is below its downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock at maturity and receive an amount equal to the stated principal amount times the share performance factor of the worst performing underlying stock.

 

In example 3, the final share prices of three underlying stocks are at or above their respective downside threshold levels, but the final share price of the other underlying stock is below its downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock at maturity and receive at maturity an amount equal to the stated principal amount times the share performance factor of the worst performing underlying stock.

 

In examples 4 and 5, the final share prices of all of the underlying stocks are below their respective downside threshold levels, and investors receive at maturity an amount equal to the stated principal amount times the share performance factor of the worst performing underlying stock. In example 4, the AMZN Stock has declined 70% from its initial share price to its final share price, the AAPL Stock has declined 60% from its initial share price to its final share price, the NFLX Stock has declined 60% from its initial share price to its final share price and the GOOG Stock has declined 60% from its initial share price to its final share price. Therefore, the payment at maturity equals the stated principal amount times the share performance factor of the AMZN Stock, which represents the worst performing underlying stock in this example. In example 5, the AMZN Stock has declined 60% from its initial share price to its final share price, the AAPL Stock has declined 70% from its initial share price to its final share price, the NFLX Stock has declined 60% from its initial share price to its final share price and the GOOG Stock has declined 80% from its initial share price to its final share price. Therefore the payment at maturity equals the stated principal amount times the share performance factor of the GOOG Stock, which represents the worst performing underlying stock in this example.

 

If the final share price of ANY underlying stock is below its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock at maturity, and your payment at maturity will be less than 50% of the stated principal amount per security and could be zero.

 

  

Amazon.com, Inc. Historical Performance

The following graph shows the closing prices of the Amazon.com, Inc. for each day from January 1, 2014 through June 5, 2019. The historical performance of the AMZN Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the AMZN Stock at any time, including on the redemption determination dates or the observation dates.

 

Common Stock of Amazon.com, Inc. Daily Closing Prices January 1, 2014 to June 5, 2019

 

Apple Inc. Historical Performance

The following graph shows the closing prices of the common stock of Apple Inc. for each day from January 1, 2014 through June 5, 2019. The historical performance of the AAPL Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the AAPL Stock at any time, including on the redemption determination dates or the observation dates..

 

Common Stock of Apple Inc. Daily Closing Prices January 1, 2014 to June 5, 2019

 

 

Netflix, Inc. Historical Performance

The following graph shows the closing prices of the Netflix, Inc. for each day from January 1, 2014 through June 5, 2019. The historical performance of the NFLX Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the NFLX Stock at any time, including on the redemption determination dates or the observation dates.

 

Common Stock of Netflix, Inc. Daily Closing Prices January 1, 2014 to June 5, 2019

 

Alphabet Inc. Historical Performance

The following graph shows the closing prices of the Alphabet Inc. for each day from March 27, 2014 through June 5, 2019. The historical performance of the GOOG Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the GOOG Stock at any time, including on the redemption determination dates or the observation dates.

 

Common Stock of Alphabet Inc. Daily Closing Prices March 27, 2014 to June 5, 2019

** The green vertical line indicates October 5, 2015. In the graph, the performance to the left of the green vertical line reflects the class C capital stock of Google Inc. and the performance to the right of the green vertical line reflects the class C capital stock of Alphabet Inc.