CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate
Offering
Price
|
|
Amount
of Registration
Fee
|
Contingent
Income Auto-Callable Securities due 2022
|
|
$6,242,000
|
|
$756.53
|
June 2019
Pricing Supplement
No. 2,127
Registration Statement
Nos. 333-221595; 333-221595-01
Dated June 14, 2019
Filed pursuant to Rule
424(b)(2)
M
organ
S
tanley
F
inance
LLC
Structured
Investments
Opportunities
in U.S. Equities
Contingent Income Auto-Callable Securities due
June 17, 2022, With 6-month Initial Non-Call Period
All
Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of
Valero Energy Corporation
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 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 determination closing
price of
each
of the common stock of Exxon Mobil Corporation and the common stock of Valero Energy Corporation
, which we refer to collectively
as the underlying stocks,
is
at or above
50% of its respective
initial share price, which we refer to as the respective downside threshold level,
on
the related observation date. If, however, the determination closing price of
either underlying stock
is less than its respective
downside threshold level on any observation date, we will pay no interest for the related quarterly period. In addition, the securities
will be automatically redeemed if the determination closing
price of
each underlying stock
is
greater than or
equal to
its respective initial share price
on any quarterly redemption
determination date (beginning after six months) for the early redemption payment equal to the sum of the stated principal amount
plus the related contingent quarterly coupon. At maturity, if
the securities have not previously been redeemed and the final
share price of
each underlying stock
is
greater than or equal to
its respective downside threshold level, the payment
at maturity will also be the sum of the stated principal amount and the related contingent quarterly coupon. However, if the final
share price of
either underlying stock
is
less than
its respective downside threshold level, investors will be exposed
to the decline in the worst performing underlying stock 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 3-year term of the securities.
The securities are for investors who are willing to risk their principal
and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no quarterly
interest over the entire 3-year term and in exchange for the possibility of an automatic early redemption prior to maturity. Because
the payment of contingent quarterly coupons is based on the worst performing of the underlying stocks, the fact that the securities
are linked to two underlying stocks does not provide any asset diversification benefits and instead means that a decline of
either
underlying stock below the relevant downside threshold level will result in no contingent quarterly coupons, even if the other
underlying stock closes at or above its downside threshold level. Because all payments on the securities are based on the worst
performing of the underlying stocks, a decline beyond the respective downside threshold level of either underlying stock will result
in no contingent quarterly coupon payments and a significant loss of your investment, even if the other underlying stock has appreciated
or has not declined as much. Investors will not participate in any appreciation of either underlying stock. 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 stocks:
|
Exxon Mobil Corporation common stock (the “XOM Stock”) and Valero Energy Corporation common stock (the “VLO Stock”)
|
Aggregate principal amount:
|
$6,242,000
|
Stated
principal amount:
|
$1,000 per security
|
Issue
price:
|
$1,000 per security (see “Commissions and issue price” below)
|
Pricing
date:
|
June 14, 2019
|
Original
issue date:
|
June 19, 2019 (3 business days after the pricing date)
|
Maturity date:
|
June 17, 2022
|
Early
redemption:
|
The securities are not subject to automatic early redemption
until December 19, 2019. Following this initial six-month non-call period, if, on any redemption determination date, beginning
on December 16, 2019, the determination closing price of
each underlying stock
is greater than or equal to its respective
initial share price, 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 either underlying stock is below its respective initial share price
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 quarterly coupon with respect to the related observation date.
|
Determination
closing price:
|
With respect to each underlying stock, the closing price of such underlying stock on any redemption determination date or observation date (other than the final observation date),
times
the adjustment factor on such determination date or observation date, as applicable
|
Redemption
determination dates:
|
Beginning after six months, quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject to postponement for non-trading days and certain market disruption events
|
Early
redemption dates:
|
Starting on December 19, 2019, 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
|
Contingent
quarterly coupon:
|
A
contingent
quarterly coupon at an annual rate of 10.25%
(corresponding to approximately $25.625 per quarter per security) will be paid on the securities on each coupon payment date
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.
If, on any observation date, the determination closing price
of either underlying stock is less than its respective downside threshold level, no contingent quarterly coupon will be paid with
respect to that observation date. It is possible that one or both underlying stocks will remain below their respective downside
threshold level(s) for extended periods of time or even throughout the entire 3-year term of the securities so that you will receive
few or no contingent quarterly coupons.
|
Downside threshold level:
|
With respect to the XOM Stock, $37.18, which is equal to 50%
of its initial share price
With respect to the VLO Stock, $38.375, which is equal to 50%
of its initial share price
|
Payment
at maturity:
|
If the securities are not redeemed prior to maturity, investors
will receive a payment at maturity determined as follows:
·
If
the final share price of
each underlying stock
is
greater than or equal to
its respective downside threshold level:
(i) the stated principal amount
plus
(ii) the contingent quarterly coupon with respect to the final observation date
·
If
the final share price of
either 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
Under these circumstances, the payment at maturity
will be significantly less than the stated principal amount of $1,000, and will represent a loss of more than 50%, and possibly
all, of your investment.
|
|
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:
|
$959.30 per security. See “Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price to public
(1)
|
Agent’s commissions and fees
(2)
|
Proceeds to us
(3)
|
Per security
|
$1,000
|
$25
|
$975
|
Total
|
$6,242,000
|
$156,050
|
$6,085,950
|
|
(1)
|
The price to public for
investors purchasing the securities in fee-based advisory accounts will be $975 per security.
|
|
(2)
|
Selected dealers and their
financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $25 for each security they
sell; provided that dealers selling to investors purchasing the securities in fee-based advisory accounts will not receive a sales
commission. 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.
|
|
(3)
|
See “Use of proceeds
and hedging” on page 30.
|
The
securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning
on page 12.
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 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 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
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the
Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at
Risk Securities
Terms continued from previous page:
|
Initial share price:
|
With respect to the XOM Stock, $74.36, which is its
closing price on the pricing date
With respect to the VLO Stock, $76.75, which is its
closing price on the pricing date
|
Coupon payment dates:
|
Quarterly,
as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. 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;
provided further
that the contingent quarterly coupon, if any, with respect to the final observation date shall 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, independently in the case of each underlying stock, to postponement for non-trading days and certain market disruption events. We also refer to June 14, 2022 as the final observation 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
|
Adjustment factor:
|
With respect to each underlying stock, 1.0, subject to adjustment in the event of certain corporate events affecting such underlying stock
|
Worst performing underlying stock:
|
The underlying stock with the larger percentage decrease from the respective initial share price to the respective final share price
|
Share performance factor:
|
Final share price
divided by
the initial share price
|
CUSIP / ISIN:
|
61769HGJ8 / US61769HGJ86
|
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
|
September 16, 2019*
|
September 19, 2019*
|
December 16, 2019
|
December 19, 2019
|
March 16, 2020
|
March 19, 2020
|
June 15, 2020
|
June 18, 2020
|
September 14, 2020
|
September 17, 2020
|
December 14, 2020
|
December 17, 2020
|
March 15, 2021
|
March 18, 2021
|
June 14, 2021
|
June 17, 2021
|
September 14, 2021
|
September 17, 2021
|
December 14, 2021
|
December 17, 2021
|
March 14, 2022
|
March 17, 2022
|
June 14, 2022 (final observation date)
|
June 17, 2022 (maturity date)
|
*
The securities are not subject to automatic early redemption until the second coupon payment date, which is December 19, 2019.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at
Risk Securities
Contingent Income Auto-Callable Securities due June 17, 2022,
With 6-month Initial Non-Call Period All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon
Mobil Corporation and the Common Stock of Valero Energy Corporation (the “securities”) do not provide for the regular
payment of interest. Instead, the securities will pay a contingent quarterly coupon at an annual rate of 10.25%
but only if
the determination closing price of
each underlying stock
is
at or above
50% of its respective initial share price,
which we refer to as the respective downside threshold level, on the related observation date. If the determination closing price
of
either underlying stock
is less than its downside threshold level on any observation date, we will pay no coupon for
the related quarterly period. It is possible that the determination closing price of
one or both underlying stocks will remain
below their respective downside threshold levels
for extended periods of time or even throughout the entire 3-year term of
the securities so that you will receive few or no contingent quarterly coupons during the entire 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 both underlying stocks were to be at or above their respective downside threshold levels on some quarterly observation
dates, one or both underlying stocks may fluctuate below the respective downside threshold level(s) on others. In addition, if
the securities have not been automatically called prior to maturity and the final share price of
either underlying stock
is less than its respective downside threshold level, investors will be exposed to the decline in the worst performing underlying
stock 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 payments throughout the entire 3-year term of the
securities.
Maturity:
|
Approximately 3 years
|
|
|
Contingent quarterly coupon:
|
A
contingent
quarterly coupon at an annual rate of 10.25%
(corresponding to approximately $25.625 per quarter per security) will be paid on the securities on each coupon payment date
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.
If on any observation date, the determination closing price
of either underlying stock is less than its respective downside threshold level, we will pay no coupon for the applicable quarterly
period.
|
Automatic early redemption quarterly in or after December 2019:
|
Starting on December 19, 2019, if the determination closing price of
each underlying stock
is greater than or equal to their respective initial share price on any quarterly redemption determination date, beginning on December 16, 2019, 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 previously been redeemed and the final
share price of
each underlying stock
is
greater than or equal to
its respective downside threshold level, the payment
at maturity will be the sum of the stated principal amount and the related contingent quarterly coupon.
If the final share price of
either underlying stock
is less than its downside threshold level, investors will receive a payment at maturity based on the decline in the worst
performing underlying stock over the term of the securities. Under these circumstances, the payment at maturity will be 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.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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 $959.30.
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
stocks. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying stocks, instruments based on the underlying stocks, 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 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 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 stocks, 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 6 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
stocks, 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 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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 determination closing price of
each underlying
stock
is
at or above
its respective downside threshold level on the related observation date. The securities have been
designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept the risk
of receiving few or no coupon payments for the entire 3-year term of the securities in exchange for an opportunity to earn interest
at a potentially above-market rate if both underlying stocks close at or above their respective downside threshold levels on each
quarterly observation date, unless the securities are redeemed early. The following scenarios are for illustration 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
coupon may be payable in none of, or some but not all of, the quarterly periods during the 3-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, both underlying
stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one or both underlying
stocks close below the respective downside threshold level(s) on the others. Investors receive the contingent quarterly coupon
for the quarterly periods for which the determination closing prices of both underlying stocks are at or above their respective
downside threshold levels on the related observation date, but not for the quarterly periods for which the determination closing
price(s) of one or both underlying stocks are below the respective downside threshold level(s) on the related observation date.
When both underlying stocks close at or above their respective
initial share prices on a quarterly redemption determination date (beginning after six months), 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 both underlying stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one of both underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its initial share price on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing prices of both underlying stocks are at or above their respective downside threshold levels on the related observation date, but not for the quarterly periods for which the determination closing price(s) of one or both underlying stocks are below the respective downside threshold level(s) on the related observation date. On the final observation date, both underlying stocks close at or above their respective downside threshold levels. At maturity, in addition to the contingent quarterly coupon with respect to the final observation date, investors will receive the stated principal amount.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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 both underlying stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one or both underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its initial share prices on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing prices of both underlying stocks are greater than or equal to their respective downside threshold levels on the related observation date, but not for the quarterly periods for which the determination closing price(s) of one or both underlying stocks are below the respective downside threshold level(s) on the related observation date. On the final observation date, one or both underlying stocks close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying stock. 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 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the determination closing prices on each quarterly observation date, (2) the determination closing
prices on each quarterly redemption determination date and (3) the final share prices. Please see “Hypothetical Examples”
below for an 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
in December 2019)
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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” below.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only.
Whether you receive a contingent quarterly coupon will be determined by reference to the determination closing price of each underlying
stock on each quarterly 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 and downside threshold
level for each underlying stock are set forth on the cover of this document. All payments on the securities, if any, are subject
to our credit risk. The below examples are based on the following terms:
Contingent Quarterly Coupon:
|
10.25% per annum (corresponding to approximately $25.625 per
quarter per security)
1
With respect to each coupon payment date, a contingent
quarterly 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 quarterly coupon with
respect to the final observation date
If the final share price of
either
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 XOM Stock: $70.00
With respect to the VLO Stock: $75.00
|
Hypothetical Downside Threshold Level:
|
With respect to the XOM Stock: $35.00, which is 50% of its hypothetical
initial share price
With respect to the VLO Stock: $37.50, which is 50%
of its hypothetical initial share price
|
1
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 day count basis. The hypothetical contingent quarterly coupon of $25.625 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:
|
Determination Closing Price
|
Hypothetical Contingent Quarterly Coupon
|
|
XOM Stock
|
VLO Stock
|
|
Hypothetical Observation Date 1
|
$80.00 (
at or above
its downside threshold level)
|
$85.00 (
at or above
its downside threshold level)
|
$25.625
|
Hypothetical Observation Date 2
|
$30.50 (
below
its downside threshold level)
|
$60.00 (
at or above
its downside threshold level)
|
$0
|
Hypothetical Observation Date 3
|
$55.00 (
at or above
its downside threshold level)
|
$33.00 (
below
its downside threshold level)
|
$0
|
Hypothetical Observation Date 4
|
$32.00 (
below
its downside threshold level)
|
$30.00 (
below
its downside threshold level)
|
$0
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
On hypothetical observation date 1, both the XOM Stock and VLO
Stock close at or above their respective downside threshold levels. Therefore, a contingent quarterly coupon of $25.625 is paid
on the relevant coupon payment date.
On each of hypothetical observation dates 2 and 3, one underlying
stock closes at or above its downside threshold level but the other underlying stock closes below its downside threshold level.
Therefore, no contingent quarterly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each underlying stock closes
below its respective downside threshold level and accordingly no contingent quarterly coupon is paid on the relevant coupon payment
date.
You will not receive a contingent quarterly coupon on any
coupon payment date if the determination closing price of either 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 both underlying stocks close
below the respective initial share price(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
|
|
XOM Stock
|
VLO Stock
|
|
Example 1:
|
$90.00 (
at or above
its downside threshold level)
|
$95.00 (
at or above
its downside threshold level)
|
$1,025.625 (the stated principal amount
plus
the contingent quarterly coupon with respect to the final observation date)
|
Example 2:
|
$31.50 (
below
its downside threshold level)
|
$85.00 (
at or above
its initial share price)
|
$1,000 x share performance factor of the worst performing underlying stock = $1,000 x ($31.50 / $70.00) = $450.00
|
Example 3:
|
$40.00 (
at or above
its downside threshold level)
|
$30.00 (
below
its downside threshold level)
|
$1,000 x ($30.00 / $75.00) = $400.00
|
Example 4:
|
$28.00 (
below
its downside threshold level)
|
$26.25 (
below
its downside threshold level)
|
$1,000 x ($26.25 / $75.00) = $350.00
|
Example 5:
|
$21.00 (
below
its downside threshold level)
|
$26.25 (
below
its downside threshold level)
|
$1,000 x ($21.00 / $70.00 = $300.00
|
In example 1, the final share prices of both the XOM Stock and
VLO Stock are at or above their respective downside threshold levels. Therefore, investors receive at maturity the stated principal
amount of the securities and the contingent quarterly coupon with respect to the final observation date. However, investors do
not participate in any appreciation of either underlying stock.
In example 2, the final share price of one underlying stock is
above its initial share price, 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 price of one underlying stock is
at or above its downside threshold level, 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 both 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 XOM Stock has declined
60% from its initial share price to its final share price, while the VLO Stock has declined 65% from its initial share price to
its final share price. Therefore, the payment at maturity equals
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
the stated principal amount
times
the share performance
factor of the VLO Stock, which is the worst performing underlying stock in this example. In example 5, the XOM Stock has declined
70% from its initial share price to its final share price, while the VLO Stock has declined 65% from its initial share price. Therefore
the payment at maturity equals the stated principal amount
times
the share performance factor of the XOM Stock, which is
the worst performing underlying stock in this example.
If the final share price of EITHER 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.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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 and prospectus. You should
also 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 return of any of the principal
amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price of either
underlying stock is less than its downside threshold level of 50% of its initial share price, you will be exposed to the decline
in the closing price of the worst performing underlying stock, as compared to the initial share price, 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
times
the share
performance factor of the worst performing underlying stock. In this case, the payment at maturity will be less than 50% of the
stated principal amount and could be zero.
You could lose up to your entire investment in the securities.
|
|
§
|
The securities do not provide for the regular payment of interest
and may pay no interest over the entire term of the securities.
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 determination closing price of each underlying stock is
at or above
50% of its respective
initial share price, which we refer to as the respective downside threshold level, on the related observation date. If, on the
other hand, the determination closing price of
either
underlying stock is lower than its downside 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 determination closing price of either underlying stock could remain below the respective downside threshold level for
extended periods of time or even throughout the entire 3-year term of the securities so that you will receive few or no contingent
quarterly coupons. If you do not earn sufficient contingent 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 both underlying stocks, 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 both underlying stocks. Rather, it will be contingent upon the
independent performance of each underlying stock. 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 both
underlying stocks. Poor performance by
either
underlying stock over the term of
the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying
stock. To receive
any
contingent quarterly coupons,
both
underlying
stocks must close at or above their respective downside threshold levels on the applicable observation date. In addition, if
either
underlying stock 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 stock over the term of the securities on a 1-to-1 basis, even if the other underlying stock has appreciated. Under this
scenario, the payment at maturity will be less than 50% of the stated principal amount and could be zero. Accordingly, your investment
is subject to the price risk of both underlying stocks.
|
|
§
|
The contingent coupon, if any, is based only on the determination closing prices of the underlying stocks on the related
quarterly observation date at the end of the related interest period
.
Whether the contingent coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the determination closing price of each underlying stock on the relevant quarterly observation date. As a result, you
will not know whether you will receive the contingent coupon on any coupon payment date until near the end of the relevant interest
period. Moreover, because the contingent coupon is based solely on the price of each underlying stock on quarterly observation
dates, if the determination closing price of either underlying stock on any observation date is below the respective downside threshold
level, you will receive no coupon for the related interest period, even if the price(s) of one or both underlying stocks were higher
on other days during that interest period.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
|
§
|
Investors will not participate in any appreciation in the price of either underlying stock.
Investors will not participate
in any appreciation in the price of either underlying stock from its initial share price, and the return on the securities will
be limited to the contingent quarterly coupon, if any, that is paid with respect to each observation date on which both determination
closing prices are greater than or equal to their respective downside threshold levels, 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 prices of the
underlying
stocks
on any day, including in relation to the respective
downside threshold levels, 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 trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks,
|
|
o
|
whether the determination closing price of either underlying stock has been below its respective downside threshold level on
any observation date,
|
|
o
|
dividend rates on the underlying stocks,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks
and which may affect the prices of the underlying stocks,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment
factor, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example,
you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security if the price
of either underlying stock at the time of sale is near or below its downside threshold level or if market interest rates rise.
The
price of either or both underlying stocks may be, and have recently been, volatile, and we can give you no assurance that the volatility
will lessen.
The prices of either or both the underlying stocks may decrease and be below the respective downside threshold
level(s) on each observation date so that you will receive no return on your investment or receive a payment at maturity that is
less than 50% of the stated principal amount. There can be no assurance that the determination closing prices of both underlying
stocks will be at or above their respective downside threshold levels on any observation date so that you will receive a coupon
payment on the securities for the applicable interest period or, with respect to the final observation date, so that you do no
suffer a significant loss on your initial investment in the securities.
See
“
Exxon Mobil Corporation Overview
”
and “Valero Energy Corporation 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
on each coupon payment date, upon automatic redemption and at maturity 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.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk 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.
|
|
§
|
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 six months of the term of the securities.
|
|
§
|
Investing in the securities is not equivalent to investing in the
common stock of Exxon Mobil Corporation or the common stock of Valero Energy Corporation.
Investors
in the securities will not participate in any appreciation in the underlying stocks, and will not have voting rights or rights
to receive dividends or other distributions or any other rights with respect to the underlying stocks. As a result, any return
on the securities will not reflect the return you would realize if you actually owned shares of the underlying stocks and received
the dividends paid or distributions made on them.
|
|
§
|
No affiliation with Exxon Mobil Corporation or Valero Energy Corporation.
Exxon Mobil Corporation and Valero Energy
Corporation are not affiliates of ours, are not involved with this offering in any way, and have no obligation to consider your
interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry
with respect to Exxon Mobil Corporation or Valero Energy Corporation in connection with this offering.
|
|
§
|
We may engage in business with or involving Exxon Mobil Corporation or Valero Energy Corporation without regard to your
interests.
We or our affiliates may presently or from time to time engage in business with Exxon Mobil Corporation or Valero
Energy Corporation without regard to your interests and thus may acquire non-public information about Exxon Mobil Corporation or
Valero Energy Corporation. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition,
we or our affiliates from time to time have published and in the future may publish research reports with respect to Exxon Mobil
Corporation or Valero Energy Corporation, which may or may not recommend that investors buy or hold the underlying stock(s).
|
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect
the underlying stocks.
MS & Co., as calculation agent, will adjust the adjustment factors for certain corporate events
affecting the underlying stocks, such as stock splits, stock dividends and extraordinary dividends, and certain other corporate
actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment
for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required to make any
adjustments if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying
stocks, nor will adjustments be made following the final observation date. In addition, no adjustments will be made for regular
cash dividends, which are expected to reduce the price of the underlying stocks by the amount of such dividends. If an event occurs
that does not require the calculation agent to adjust an adjustment factor, such as a regular cash dividend, the market price of
the securities and your return on the
securities
may be materially and adversely affected. For example, if the record date for a regular cash dividend were to occur on or shortly
before an observation date, this may decrease the determination closing price of an underlying stock to be less than the respective
downside threshold level (resulting in no contingent quarterly coupon being paid with respect to such date) or the final share
price to be less than the respective downside threshold
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
level
(resulting in a loss of a significant portion of all of your investment in the securities), materially and adversely affecting
your return.
|
§
|
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 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 6 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 stocks, 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 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 securities 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 stocks), including trading in the underlying stocks. Some of
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
our
affiliates also trade the underlying stocks and other financial instruments related to the underlying stocks on a regular basis
as part of their general broker-dealer and other businesses. 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. Any of these hedging or trading activities on or prior to the pricing date could have
increased the initial share price of an underlying stock, and, therefore, could have increased (i) the value at or above which
such underlying stock must close on the redemption determination dates so that the securities are redeemed prior to maturity for
the early redemption payment (depending also on the performance of the other underlying stock) and (ii) the downside threshold
level for such underlying stock, which is the value at or above which the underlying stock must close on the observation dates
so that you receive a contingent quarterly coupon on the securities (depending also on the performance of the other underlying
stock), and, with respect to the final observation date, so that you are not exposed to the negative performance of the worst
performing underlying stock at maturity (depending also on the performance of the other underlying stock). Additionally, such
hedging or trading activities during the term of the securities could potentially affect the value of either underlying stock
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 will receive at maturity, if any (depending
also on the performance of the other underlying stock).
|
§
|
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 share prices and the downside threshold levels
and will determine the final share prices, the payment at maturity, if any, 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, whether a market
disruption event has occurred and whether to make any adjustments to the adjustment factors. 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 certain adjustments to the adjustment factors.
These potentially subjective determinations may affect the payout to you upon an automatic early redemption or at maturity, if
any. For further information regarding these types of determinations, see “Description of Auto-Callable Securities—Auto-Callable
Securities Linked to Underlying Shares” and “—Calculation Agent and Calculations” and related definitions
in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing
date.
|
|
§
|
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
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
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 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
Exxon Mobil
Corporation Overview
Exxon Mobil Corporation operates petroleum and petrochemicals
businesses on a worldwide basis. The XOM Stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange
Act”). Information provided to or filed with the Securities and Exchange Commission by Exxon Mobil Corporation pursuant to
the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-2256 through the Securities
and Exchange Commission’s website at.www.sec.gov. In addition, information regarding Exxon Mobil Corporation may be obtained
from other publicly available sources.
Neither the issuer nor the agent makes any representation that any such publicly
available information is accurate or complete.
Information as of market close on June 14, 2019:
Bloomberg Ticker Symbol:
|
XOM
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$74.36
|
52 Weeks Ago:
|
$81.96
|
52 Week High (on 9/24/2018):
|
$86.60
|
52 Week Low (on 12/24/2018):
|
$65.56
|
Current Dividend Yield:
|
4.65%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the XOM Stock for each quarter from January 1, 2016 through June 14, 2019.
The closing price of the XOM Stock on June 14, 2019 was $74.36. The associated graph shows the closing prices of XOM Stock for
each day from January 1, 2014 through June 14, 2019. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The historical performance of the XOM Stock should not be taken as an indication of
its future performance, and no assurance can be given as to the price of the XOM Stock at any time, including the redemption determination
dates or the observation dates.
Common Stock of Exxon Mobil Corporation (CUSIP 30231G102)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2016
|
|
|
|
First Quarter
|
84.53
|
73.18
|
0.73
|
Second Quarter
|
93.74
|
82.21
|
0.75
|
Third Quarter
|
95.12
|
82.54
|
0.75
|
Fourth Quarter
|
92.58
|
83.32
|
0.75
|
2017
|
|
|
|
First Quarter
|
90.89
|
80.93
|
0.75
|
Second Quarter
|
83.49
|
79.50
|
0.77
|
Third Quarter
|
82.19
|
76.10
|
0.77
|
Fourth Quarter
|
84.02
|
80.24
|
0.77
|
2018
|
|
|
|
First Quarter
|
89.07
|
72.81
|
0.77
|
Second Quarter
|
83.60
|
73.22
|
0.82
|
Third Quarter
|
86.60
|
76.94
|
0.82
|
Fourth Quarter
|
86.51
|
65.51
|
0.82
|
2019
|
|
|
|
First Quarter
|
81.79
|
68.62
|
0.82
|
Second Quarter (through June 14, 2019)
|
83.38
|
70.75
|
0.87
|
We make no representation as to the amount
of dividends, if any, that Exxon Mobil Corporation may pay in the future. In any event, as an investor in the Contingent Income
Auto-Callable Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Exxon
Mobil Corporation.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
Common Stock of Exxon Mobil Corporation – Daily Closing Prices
January 1, 2014 to June 14, 2019
|
|
* The red horizontal line indicates the downside threshold level
of $37.18, which is 50% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the XOM Stock or other securities of Exxon Mobil Corporation. We have derived all disclosures
contained in this document regarding Exxon Mobil Corporation stock from the publicly available documents described above. In connection
with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Exxon Mobil Corporation. Neither we nor the agent makes any representation that such publicly
available documents or any other publicly available information regarding Exxon Mobil Corporation is accurate or complete. Furthermore,
we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy
or completeness of the publicly available documents described above) that would affect the trading price of the XOM Stock (and
therefore the price of the XOM Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning Exxon Mobil Corporation could
affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the XOM Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
Valero Energy Corporation Overview
Valero Energy Corporation is a petroleum refining and marketing
company that owns and operates refineries in the United States, Canada, the United Kingdom and Aruba. The VLO Stock is registered
under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the
Securities and Exchange Commission by Valero Energy Corporation pursuant to the Exchange Act can be located by reference to the
Securities and Exchange Commission file number 001-13175 through the Securities and Exchange Commission’s website at .www.sec.gov.
In addition, information regarding Valero Energy Corporation may be obtained from other publicly available sources.
Neither
the issuer nor the agent makes any representation that any such publicly available information is accurate or complete.
Information as of market close on June 14, 2019:
Bloomberg Ticker Symbol:
|
VLO
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$76.75
|
52 Weeks Ago:
|
$116.83
|
52 Week High (on 8/27/2018):
|
$121.14
|
52 Week Low (on 12/24/2018):
|
$68.97
|
Current Dividend Yield:
|
4.66%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the VLO Stock for each quarter from January 1, 2016 through June 14, 2019.
The closing price of the VLO Stock on June 14, 2019 was $76.75. The associated graph shows the closing prices of VLO Stock for
each day from January 1, 2014 through June 14, 2019. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The historical performance of the VLO Stock should not be taken as an indication of
its future performance, and no assurance can be given as to the price of the VLO Stock at any time, including the redemption determination
dates or the observation dates.
Common Stock of Valero Energy Corporation (CUSIP 91913Y100)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2016
|
|
|
|
First Quarter
|
72.09
|
54.82
|
0.60
|
Second Quarter
|
63.29
|
50.79
|
0.60
|
Third Quarter
|
57.14
|
47.24
|
0.60
|
Fourth Quarter
|
69.45
|
52.90
|
0.60
|
2017
|
|
|
|
First Quarter
|
70.42
|
65.11
|
0.70
|
Second Quarter
|
67.47
|
61.47
|
0.70
|
Third Quarter
|
76.93
|
64.55
|
0.70
|
Fourth Quarter
|
92.30
|
76.29
|
0.70
|
2018
|
|
|
|
First Quarter
|
98.95
|
86.77
|
0.80
|
Second Quarter
|
124.44
|
91.56
|
0.80
|
Third Quarter
|
121.21
|
106.09
|
0.80
|
Fourth Quarter
|
119.99
|
68.94
|
0.80
|
2019
|
|
|
|
First Quarter
|
87.82
|
74.20
|
0.90
|
Second Quarter (through June 14, 2019)
|
91.17
|
70.41
|
0.90
|
We make no representation as to the amount
of dividends, if any, that Valero Energy Corporation may pay in the future. In any event, as an investor in the Contingent Income
Auto-Callable Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Valero
Energy Corporation.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
Common Stock of Valero Energy Corporation – Daily Closing Prices
January 1, 2014 to June 14, 2019
|
|
* The red horizontal line indicates the downside threshold level
of $38.375, which is 50% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the VLO Stock or other securities of Valero Energy Corporation. We have derived all disclosures
contained in this document regarding Valero Energy Corporation stock from the publicly available documents described above. In
connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents
or made any due diligence inquiry with respect to Valero Energy Corporation. Neither we nor the agent makes any representation
that such publicly available documents or any other publicly available information regarding Valero Energy Corporation is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price
of the VLO Stock (and therefore the price of the VLO Stock at the time we priced the securities) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Valero Energy
Corporation could affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the VLO Stock.
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
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 or prospectus, the terms described herein shall control.
|
Interest
period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previously 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.
|
Underlying
stock:
|
The accompanying product supplement refers to the underlying stock as the “underlying shares.”
|
Underlying
stock issuer:
|
With respect to the XOM Stock, Exxon Mobil Corporation
With respect to the VLO Stock, Valero Energy Corporation
The accompanying product supplement refers to the underlying
stock issuer as the “underlying company.”
|
Downside
threshold level:
|
The accompanying product supplement refers to the downside 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 for any underlying stock is postponed due to a non-trading day or certain market disruption events with respect to such underlying stock 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, early redemption payment or payment at maturity made on that postponed date.
|
Antidilution
adjustments:
|
The following replaces in its entirety the portion of the
section entitled “Antidilution Adjustments” in the accompanying product supplement for auto-callable securities from
the start of paragraph 5 to the end of such section.
5. If, with respect to either or both underlying stocks, (i)
there occurs any reclassification or change of such underlying stock, including, without limitation, as a result of the issuance
of any tracking stock by the underlying stock issuer for such underling stock, (ii) such underlying stock issuer or any surviving
entity or subsequent surviving entity of such underlying stock issuer (the “successor corporation”) has been subject
to a merger, combination or consolidation and is not the surviving entity, (iii) any statutory exchange of securities of such underlying
stock issuer or any successor corporation with another corporation occurs (other than pursuant to clause (ii) above), (iv) such
underlying stock issuer is liquidated, (v) such underlying stock issuer issues to all of its shareholders equity securities of
an issuer other than such underlying stock issuer (other than in a transaction described in clause (ii), (iii) or (iv) above) (a
“spin-off event”) or (vi) a tender or exchange offer or going-private transaction is consummated for all the outstanding
shares of such underlying stock (any such event in clauses (i) through (vi), a “reorganization event”), the method
of determining whether an early redemption has occurred and the amount payable upon an early redemption date or at maturity for
each security will be as follows:
·
Upon
any redemption determination date following the effective date of a reorganization event and prior to the final observation date:
If the exchange property value (as defined below) is greater than or equal to its initial share price, and the determination closing
price (or exchange property value, if applicable) of the other underlying stock is also greater than or equal to its initial share
price, the securities will be automatically redeemed for an early redemption payment.
·
Upon
the final observation date, if the securities have not previously been automatically redeemed: You will receive for each security
that you hold a payment at maturity equal
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
|
to:
·
If
the exchange property value on the final observation date is greater than or equal to the respective downside threshold level,
and the final share price of the other underlying stock (or exchange property value, as applicable) is also greater than its downside
threshold level:
(i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the final observation
date.
·
If
the exchange property value on the final observation date is less than the respective downside threshold level, or if the final
share price (or exchange property value, if applicable) of the other underlying stock is less than its downside threshold level:
·
If
the worst performing underlying stock has not undergone a reorganization event as described in paragraph 5 above:
(i) the stated
principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock.
·
If
the worst performing underlying stock has undergone a reorganization event as described in paragraph 5 above:
(i) the stated
principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock. For purposes of calculating
the share performance factor, the “final share price” of the worst performing underlying stock will be deemed to equal
the cash value, determined as of the final observation date, of the securities, cash or any other assets distributed to holders
of the worst performing underlying stock in or as a result of any such reorganization event, including (A) in the case of the issuance
of tracking stock, the reclassified share of such worst performing underlying stock, (B) in the case of a spin-off event, the share
of such worst performing underlying stock with respect to which the spun-off security was issued, and (C) in the case of any other
reorganization event where such worst performing underlying stock continues to be held by the holders receiving such distribution,
such worst performing underlying stock (collectively, the “exchange property”), per share of such worst performing
underlying stock times the adjustment factor for such worst performing underlying stock on the final observation date.
Following the effective date of a reorganization event, the contingent
quarterly coupon will be payable for each observation date on which the exchange property value is greater than or equal to the
downside threshold level and the determination closing price (or exchange property value, as applicable) of the other underlying
stock is also greater than or equal to its downside threshold level.
If exchange property includes a cash component,
investors will not receive any interest accrued on such cash component. In the event exchange property consists of securities,
those securities will, in turn, be subject to the antidilution adjustments set forth in paragraphs 1 through 5.
For purposes of determining whether or not
the exchange property value is less than the initial share price, or less than the downside threshold level, or for determining
the worst performing underlying stock, “exchange property value” means (x) for any cash received in any reorganization
event, the value, as determined by the calculation agent, as of the date of receipt, of such cash received for one share of such
underlying stock, as adjusted by the adjustment factor at the time of such reorganization event, (y) for any property other than
cash or securities received in any such reorganization event, the market value, as determined by the calculation agent in its sole
discretion, as of the date of receipt, of such exchange property received for one share of such underlying stock, as adjusted by
the adjustment factor at the time of such reorganization event and (z) for any security received in any such reorganization event,
an amount equal to the determination closing price, as of the day on which the exchange property value is determined, per share
of such security multiplied by the quantity of such security received for each share of such underlying stock, as adjusted by the
adjustment factor at the time of such reorganization event.
For purposes of paragraph 5 above,
in the case of a consummated tender or exchange offer or going-private transaction involving consideration of particular types,
exchange property shall be deemed to include the amount of cash or other property delivered by the offeror in the tender or exchange
offer (in an amount determined on the basis of the rate of exchange in such tender or exchange offer or going-private transaction).
In the event of a tender or exchange offer or a going-private transaction with respect to exchange property in which an offeree
may elect to receive cash or other property, exchange property shall be deemed to
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
|
include the kind and amount of cash and other
property received by offerees who elect to receive cash.
Following the occurrence of any reorganization
event referred to in paragraph 5 above, all references in this offering document and in the related product supplement with respect
to the securities to such “underlying stock” shall be deemed to refer to the exchange property and references to a
“share” or “shares” of such underlying stock shall be deemed to refer to the applicable unit or units of
such exchange property, unless the context otherwise requires.
No adjustment to the adjustment factor will
be required unless such adjustment would require a change of at least 0.1% in the adjustment factor then in effect. The adjustment
factor resulting from any of the adjustments specified above will be rounded to the nearest one hundred-thousandth, with five one-millionths
rounded upward. Adjustments to the adjustment factor will be made up to the close of business on the final observation date.
No adjustments to the adjustment factor or
method of calculating the adjustment factor will be required other than those specified above. The adjustments specified above
do not cover all events that could affect the determination closing price or the final share price of such underlying stock, including,
without limitation, a partial tender or exchange offer for such underlying stock.
The calculation agent shall be solely responsible
for the determination and calculation of any adjustments to the adjustment factor or method of calculating the adjustment factor
and of any related determinations and calculations with respect to any distributions of stock, other securities or other property
or assets (including cash) in connection with any corporate event described in paragraphs 1 through 5 above, and its determinations
and calculations with respect thereto shall be conclusive in the absence of manifest error.
The calculation agent will provide information as to
any adjustments to an adjustment factor or to the method of calculating the amount payable at maturity of the securities made
pursuant to paragraph 5 above upon written request by any investor in the securities.
|
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, 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.
|
Morgan Stanley Finance LLC
Contingent Income
Auto-Callable Securities due June 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities
|
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 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 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 17, 2022, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Common Stock of Exxon Mobil Corporation and the Common Stock of Valero Energy Corporation
Principal at Risk Securities