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
2021
|
|
$1,021,000
|
|
$123.75
|
June
2019
Pricing
Supplement No. 2,160
Registration Statement Nos. 333-221595; 333-221595-01
Dated June 18, 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
March 23, 2021
All Payments on the Securities Based on the
Performance of the VanEck Vectors
®
Gold Miners ETF
Fully
and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The
securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed
by Morgan Stanley. The securities have the terms described in the accompanying product supplement, index supplement and prospectus,
as supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not provide for
the regular payment of interest. Instead, the securities will pay a contingent quarterly coupon
but only if
the determination
closing price of the underlying shares is
at or above
the coupon barrier level of 70% of the initial share price on the
related observation date. If, however, the determination closing price of the underlying shares is less than the coupon barrier
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 the underlying shares is greater than or equal to the initial share price on any
of the six quarterly redemption determination dates for the early redemption payment equal to the sum of the stated principal
amount plus the related contingent quarterly coupon. At maturity, i
f the securities have not previously been redeemed and
the determination closing price of the underlying shares has remained greater than or equal to 70% of the initial share price,
which we refer to as the downside threshold level, on
each trading day
during the term of the securities, the payment at
maturity will be the stated principal amount and the related contingent quarterly coupon. If, however, the determination closing
price of the underlying shares is less than the downside threshold level on
any trading day
during the term of the securities,
a trigger event will have occurred and investors will be fully exposed to the decline in the underlying shares on a 1-to-1 basis
and, if the final share price of the underlying shares is less than the initial share price, investors will receive a payment
at maturity that is less than 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 1.75-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 coupons over the entire 1.75-year term. Investors will not participate in any appreciation of the
underlying shares.
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 shares:
|
VanEck Vectors
®
Gold Miners ETF
|
Aggregate principal amount:
|
$1,021,000
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security
|
Pricing date:
|
June 18, 2019
|
Original issue date:
|
June 21, 2019 (3 business days after the pricing date)
|
Maturity date:
|
March 23, 2021
|
Early redemption:
|
If, on any of the six redemption determination dates,
beginning on September 18, 2019, the determination closing price of the underlying shares is
greater than or equal to
the
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 the underlying shares is below the 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:
|
The closing price of one underlying share on any redemption determination date or observation date, as applicable,
times
the adjustment factor on such redemption determination date or observation date, as applicable.
|
Contingent quarterly coupon:
|
A
contingent
coupon at an annual rate of 8.20%
(corresponding to approximately $20.50 per quarter per security)
will be paid on the securities on each coupon payment
date
but only if
the closing value of
the underlying shares
is at or above the coupon barrier level on the
related observation date.
If, on any observation date, the closing value of
the underlying shares is less than the coupon barrier level, we will pay no coupon for the applicable quarterly period. It is
possible that the underlying shares will remain below the coupon barrier level for extended periods of time or even throughout
the entire 1.75-year term of the securities so that you will receive few or no contingent quarterly coupons.
|
Trigger
event:
|
A trigger event occurs if, on any trading day from but excluding the pricing date to and including the final observation date, the determination closing price of the underlying shares is less than the downside threshold level. If a trigger event occurs on
any trading day
during the term of the securities, you will be exposed to the downside performance of the underlying shares at maturity.
|
Payment at maturity:
|
At maturity, investors will receive, in addition to
the final contingent quarterly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any trading
day from but excluding the pricing date to and including the final observation date
: the stated principal amount
If a trigger event HAS occurred on any trading day
from but excluding the pricing date to and including the final observation date:
(i) the stated principal amount
multiplied
by
(ii) the share performance factor, subject to a maximum payment at maturity of the stated principal amount.
If a trigger event occurs and the final share price
of the underlying shares is less than the initial share price, the payment at maturity will be less than the stated principal
amount of the securities and could be zero.
Under no circumstances will investors participate in
any appreciation of the underlying shares.
|
|
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:
|
$980.90 per security. See “Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions and fees
(1)
|
Proceeds to us
(2)
|
Per security
|
$1,000
|
$7.50
|
$992.50
|
Total
|
$1,021,000
|
$7,657.50
|
$1,013,342.50
|
|
(1)
|
Selected dealers and
their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $7.50 for each security
they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information,
see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
|
|
(2)
|
See “Use of proceeds
and hedging” on page 28.
|
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,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related product
supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Securities” and “Additional Information About the Securities” at the end of this document.
As
used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley
and MSFL collectively, as the context requires.
Product Supplement for Auto-Callable Securities dated November 16, 2017
Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
Terms continued from previous page:
|
Redemption determination dates:
|
Quarterly, beginning September 18, 2019, 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:
|
Quarterly, beginning September 23, 2019, 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 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.
|
Coupon barrier level:
|
$16.569, which is 70% of the initial share price
|
Downside threshold level:
|
$16.569, which is 70% of the initial share price
|
Initial share price:
|
$23.67, which is the determination closing price on the pricing date
|
Final share price:
|
The determination closing price on the final observation date
|
Share performance factor:
|
Final share price
divided by
the initial share price
|
Coupon payment dates:
|
Quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below;
provided
that if any such day is not a business day, that contingent quarterly coupon, if any, will be paid 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 will be paid on the maturity date
|
Observation dates:
|
Quarterly, as set forth under “Observation Dates, Coupon Payment Dates and Early Redemption Dates” below, subject to postponement for non-trading days and certain market disruption events. We also refer to March 18, 2021 as the final observation date.
|
Adjustment factor:
|
1.0, subject to adjustment in the event of certain events affecting the underlying shares
|
CUSIP / ISIN:
|
61769HHK4 / US61769HHK41
|
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 18, 2019
|
September 23, 2019
|
December 18, 2019
|
December 23, 2019
|
March 18, 2020
|
March 23, 2020
|
June 18, 2020
|
June 23, 2020
|
September 18, 2020
|
September 23, 2020
|
December 18, 2020
|
December 23, 2020
|
March 18, 2021 (final observation date)*
|
March 23, 2021 (maturity date)
|
*The securities are not subject to automatic early redemption
on the final observation date.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF (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 the underlying shares is
at or above
70% of its initial share price, which we
refer to as the coupon barrier level, on the related observation date. If the determination closing price of the underlying shares
is less than the coupon barrier level on any observation date, we will pay no coupon for the related quarterly period. It is possible
that the determination closing price of the underlying shares could remain below the coupon barrier level for extended periods
of time or even throughout the entire 1.75-year term of the securities so that you will receive few or no contingent quarterly
coupons during the 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 the underlying shares were to be at or above the coupon barrier level
on some quarterly observation dates, the underlying shares may fluctuate below the coupon barrier level on others. In addition,
if the securities have not been automatically called prior to maturity and the determination closing price of the underlying shares
is less than 70% of the initial share price, which we refer to as the downside threshold level, on
any trading day
during
the term of the securities, a trigger event will have occurred and investors will be fully exposed to the decline in the underlying
shares on a 1-to-1 basis and, if the final share price of the underlying shares is less than the initial share price, investors
will receive a payment at maturity that is less than the stated principal amount of the securities and could be zero. Investors
will not participate in any appreciation of the underlying shares.
Accordingly,
i
nvestors in the securities must be willing
to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent quarterly coupons
throughout the entire 1.75-year term of the securities.
Maturity:
|
Approximately 1.75 years
|
Contingent quarterly coupon:
|
A
contingent quarterly coupon
at an annual rate of 8.20% (corresponding to approximately $20.50 per quarter per security) will be paid on the securities on each coupon payment date
but only if
the closing value of the underlying shares is at or above the coupon barrier level on the related observation date.
If on any observation date, the closing value of the underlying shares is less than the coupon barrier level, we will pay no coupon for the applicable quarterly period.
|
Automatic early redemption:
|
If the determination closing price of the underlying shares is greater than or equal to the initial share price on any of the six quarterly redemption determination dates, beginning on September 18, 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.
|
Trigger
event:
|
A trigger event occurs if, on any trading day from but excluding the pricing date to and including the final observation date, the determination closing price of the underlying shares is less than the downside threshold level. If a trigger event occurs on
any trading day
during the term of the securities, investors will be exposed to the downside performance of the underlying shares at maturity.
|
Payment at maturity:
|
At maturity, investors will receive, in addition to
the final contingent quarterly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any trading
day from but excluding the pricing date to and including the final observation date
, investors will receive at maturity the
stated principal amount.
If a trigger event HAS occurred on any trading day
from but excluding the pricing date to and including the final observation date
, investors will receive a payment at maturity
equal to: (i) the stated principal amount
multiplied by
(ii) the share performance factor, subject to a maximum payment
at maturity of the stated principal amount.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
|
If a trigger event occurs and the final share price
of the underlying shares is less than the initial share price, the payment at maturity will be less than the stated principal
amount of the securities and could be zero.
Accordingly, investors in the securities must be
willing to accept the risk of losing their entire initial investment. Investors will not participate in any appreciation of the
underlying shares.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
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 $980.90.
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 shares. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying shares, instruments based on the underlying shares, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent quarterly coupon rate, the coupon barrier level and the downside threshold level, we use an internal funding rate,
which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling,
structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic
terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying shares, 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 shares,
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 March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
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 the underlying
shares is
at or above
the coupon barrier level on the related observation date. The securities have been designed for investors
who are willing to forgo market floating interest rates and accept the risk of receiving no coupon payments for the entire 1.75-year
term of the securities in exchange for an opportunity to earn interest at a potentially above market rate if the underlying shares
close at or above the coupon barrier level on each quarterly observation date until the securities are redeemed early or reach
maturity. The following scenarios are for illustrative purposes only to demonstrate how the coupon and the payment at maturity
(if the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation that may
occur. Accordingly, the securities may or may not be redeemed, the contingent coupon may be payable in none of, or some but not
all of, the quarterly periods during the 1.75-year term of the securities and the payment at maturity may be less than 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,
the underlying shares close at or above the coupon barrier level on some quarterly observation dates, but the underlying shares
close below the coupon barrier level on the others. Investors receive the contingent quarterly coupon for the quarterly periods
for which the determination closing price is at or above the coupon barrier level on the related observation date, but not for
the quarterly periods for which the determination closing price is below the coupon barrier level on the related observation date.
Starting on September 18, 2019, when the underlying
shares close at or above the initial share price on a quarterly redemption determination date, the securities will be automatically
redeemed for the stated principal amount
plus
the contingent quarterly coupon with respect to the related observation date.
|
Scenario
2: The securities are not redeemed prior to maturity and investors receive principal back at maturity
|
This scenario assumes that a trigger event has not occurred, as the underlying shares has closed at or above the downside threshold level on each trading day during the term of the securities. In addition, the underlying shares close below the initial share price on every quarterly redemption determination date. Consequently, the securities are not automatically redeemed, and investors receive the contingent quarterly coupon for each quarterly period, as the determination closing price was at or above the coupon barrier level on each observation date. Because a trigger event has not occurred on any trading day during the term of the securities, at maturity, investors will receive the stated principal amount and the contingent quarterly coupon with respect to the final observation date.
|
Scenario
3: The securities are not redeemed prior to maturity, a trigger event occurs on any trading day during the term
of the securities and investors suffer a loss of principal at maturity
|
This scenario assumes that the underlying shares close
at or above the coupon barrier level on some quarterly observation dates, but below the coupon barrier level on the others, and
the underlying shares close below the initial share price on every quarterly redemption determination date. Consequently, the
securities are not automatically redeemed and a trigger event will have occurred. Investors receive the contingent quarterly coupon
for the quarterly periods for which the determination closing price is at or above the coupon barrier level on the related observation
date, but not for the quarterly periods for which the determination closing price is below the coupon barrier level on the related
observation date. On the final observation date, the underlying shares close below the initial share price. At maturity, investors
will receive an amount equal to the stated principal amount multiplied by the share performance factor. Under these circumstances,
the payment at maturity will be less than the stated principal amount and could be zero.
If a trigger event occurs on
any
trading day
during the term of the securities, investors will have full downside exposure to the underlying shares at maturity. Under these
circumstances, if the final share price of the underlying shares is less than the initial share price, investors will lose some
or all of their investment in the securities.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
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 price. Please see “Hypothetical Examples”
beginning on page 9 for illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Quarterly Coupons
(Beginning on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram #2: Automatic Early Redemption
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payout upon an early redemption
or at maturity in different hypothetical scenarios, see “Hypothetical Examples” starting on page 9.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
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 the securities have not been automatically redeemed early. The following examples are for illustrative purposes only. Whether
you receive a contingent quarterly coupon will be determined by reference to the determination closing price of the underlying
shares on each quarterly observation date, and the amount you will receive at maturity, if any, will be determined by reference
to the determination closing price of the underlying shares throughout the term of the securities. The actual initial share price,
coupon barrier level and downside threshold level for the underlying shares are set forth on the cover of this document. All payments
on the securities, if any, are subject to our credit risk. The numbers in the hypothetical examples below may have been rounded
for the ease of analysis. The below examples are based on the following terms:
Contingent Quarterly Coupon:
|
8.20% per annum (corresponding to approximately $20.50
per quarter per security)*
With respect to each coupon payment date, a contingent
quarterly coupon is paid but only if the determination closing price of the underlying shares is at or above the coupon barrier
level on the related observation date.
|
Automatic Early Redemption:
|
If the determination closing price of the underlying shares is greater than or equal to the initial share price on any of the six quarterly redemption determination dates, 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.
|
Trigger
Event:
|
A trigger event occurs if, on any trading day from but excluding the pricing date to and including the final observation date, the determination closing price of the underlying shares is less than the downside threshold level. If a trigger event occurs on
any trading day
during the term of the securities, investors will be exposed to the downside performance of the underlying shares at maturity.
|
Payment at Maturity (if the securities have not been automatically redeemed early):
|
At maturity, investors will receive, in addition to
the final contingent quarterly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any trading
day from but excluding the pricing date to and including the final observation date
: the stated principal amount
If a trigger event HAS occurred on any trading day
from but excluding the pricing date to and including the final observation date:
(i) the stated principal amount
multiplied
by
(ii) the share performance factor, subject to a maximum payment at maturity of the stated principal amount.
If a trigger event occurs and the final share price
of
the underlying shares
is less than the initial share price, the payment at maturity will be less than the stated principal
amount of the securities and could be zero.
Under no circumstances will investors participate in
any appreciation of the underlying shares.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Share Price:
|
$23.00
|
Hypothetical Coupon Barrier Level:
|
$16.10, which is 70% of the hypothetical initial share price
|
Hypothetical Downside Threshold Level:
|
$16.10, which is 70% of the hypothetical initial share price
|
Hypothetical Adjustment Factor:
|
1.0
|
* The actual contingent quarterly coupon will be an amount determined
by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical
contingent quarterly coupon of $20.50 is used in these examples for ease of analysis.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
How to determine whether a contingent quarterly
coupon is payable with respect to an observation date:
|
Determination Closing Price
|
Contingent Quarterly Coupon
|
Hypothetical Observation Date 1
|
$18.00(
at or above
coupon barrier level)
|
$20.50
|
Hypothetical Observation Date 2
|
$15.00 (
below
coupon barrier level)
|
$0
|
On hypothetical observation date 1, the underlying shares close
at or above the coupon barrier level. Therefore a contingent quarterly coupon of $20.50 is paid on the relevant coupon payment
date.
On hypothetical observation date 2, the underlying shares close
below the coupon barrier 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 the underlying shares is below the coupon barrier level on the related
observation date.
How to calculate the payment at maturity (if
the securities have not been automatically redeemed early):
Example 1: A trigger event HAS NOT occurred.
Final Share Price
|
|
$27.60
|
|
|
Payment at Maturity
|
=
|
$1,000.00 + $20.50 (contingent quarterly coupon for the final quarterly period)
|
|
=
|
$1,020.50
|
In example 1, the determination closing price of the underlying
shares is at or above the downside threshold level on
each trading day
during the term of the securities. The final share
price is $27.60, which is above the coupon barrier level. Therefore, a trigger event has not occurred and 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 the underlying shares.
Example 2: A trigger event HAS occurred.
Final Share Price
|
|
$20.24
|
|
|
Payment at Maturity
|
=
|
$20.50 (contingent quarterly coupon for the final quarterly period) + [$1,000 x share performance factor, subject to a maximum of the stated principal amount]
|
|
=
|
$20.50 + [$1,000 x ($20.24 / $23.00)]
|
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=
|
$900.50
|
In example 2, the determination closing price of the underlying
shares is below the downside threshold level on one or more trading days during the term of the securities. The final share price
of the underlying shares is $20.24, which is above the coupon barrier level. However, because a trigger event has occurred, investors
are exposed to the downside performance of the underlying shares at maturity. Because the final share price of the underlying shares
is greater than the coupon barrier level, investors receive the contingent quarterly coupon with respect to the final observation
date. The payment at maturity would be calculated as $20.50 + [$1,000 x ($20.24 / $23.00)] = $900.50.
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Example 3: A trigger event HAS occurred.
Final Share Price
|
|
$9.20
|
|
|
Payment at Maturity
|
=
|
$1,000 x share performance factor
|
|
=
|
$1,000 x ($9.20 / $23.00) = $400
|
|
=
|
$400
|
In example 3, the determination closing price of the underlying
shares is below the downside threshold level on one or more trading days during the term of the securities. Therefore, a trigger
event has occurred, and investors are exposed to the downside performance of the underlying shares at maturity. Because the final
share price of the underlying shares of $9.20 is below the coupon barrier level, investors do not receive the contingent quarterly
coupon with respect to the final observation date. The payment at maturity would be calculated as $1,000 x ($9.20 / $23.00) = $400.
If a trigger event occurs on any trading day during the term
of the securities, investors will have full downside exposure to the underlying shares at maturity. Under these circumstances,
if the final share price of the underlying shares is less than the initial share price, investors will lose some or all of their
investment in the securities.
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Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus.
We also urge you to consult with your investment, legal, tax, accounting and other advisers
in connection with your
investment in the securities
.
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§
|
The securities do not guarantee the return of any principal.
The
terms of the securities differ from those of ordinary debt securities in that they do not guarantee the repayment of any principal.
If the securities have not been automatically redeemed prior to maturity and the determination closing price of the underlying
shares is less than the downside threshold level on
any trading day
during the term of the securities, a trigger event will
have occurred and you will be exposed to the decline in the closing value of the underlying shares, as compared to the initial
share price, on a 1-to-1 basis at maturity. If a trigger event occurs on any trading day during the term of the securities, investors
will have full downside exposure to the underlying shares at maturity. Under these circumstances, if the final share price of the
underlying shares is less than the initial share price, investors will lose some or all of their investment in the securities.
In this case, you will receive for each security that you hold at maturity an amount equal to the stated principal amount
times
the share performance factor, subject to a maximum payment at maturity of the stated principal amount.
In this case, the
payment at maturity will be less than the stated principal amount and could be zero.
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§
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The securities do not provide for the regular payment of interest.
The terms of the securities differ from those of ordinary debt securities in that they do not provide for the regular
payment of interest. Instead, the securities will pay a contingent quarterly coupon
but only if
the determination closing
price of the underlying shares is
at or above
70% of its initial share price, which we refer to as the coupon barrier level,
on the related observation date. If, on the other hand, the determination closing price of the underlying shares is lower than
the coupon barrier level on the relevant observation date for any interest period, we will pay no coupon on the applicable coupon
payment date. Moreover, in such a case, a trigger event will necessarily have occurred, and you will have full downside exposure
to the underlying shares at maturity. It is possible that the determination closing price of the underlying shares will remain
below the coupon barrier level for extended periods of time or even throughout the entire 1.75-year term of the securities so that
you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly coupons over the term
of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security
of ours of comparable maturity.
|
|
§
|
The contingent quarterly coupon, if any, is based on the value of the underlying shares on only the related quarterly observation
date at the end of the related interest period
.
Whether the
contingent quarterly coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the closing price of the underlying shares on the relevant quarterly observation date. As a result, you will not know
whether you will receive the contingent quarterly coupon on any coupon payment date until near the end of the relevant interest
period. Moreover, because the contingent quarterly coupon is based solely on the price of the underlying shares on quarterly observation
dates, if the closing price of the underlying shares on any observation date is below the coupon barrier level, you will receive
no coupon for the related interest period, even if the price of the underlying shares was at or above the coupon barrier level
on other days during that interest period.
|
|
§
|
Investors will not participate in any appreciation in the underlying shares.
Regardless of whether or not a trigger
event occurs, investors will not participate in any appreciation in the underlying shares from the initial share price, and the
return on the securities will be limited to the contingent quarterly coupons, if any, that are paid with respect to each observation
date on which the determination closing price of the underlying shares is greater than or equal to the coupon barrier level.
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§
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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 price of the underlying shares on
any trading day, including in relation to the coupon barrier level and downside threshold level, will affect the value of the securities
more than any other factors. Other factors that may influence the value of the securities include:
|
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|
o
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the trading price and volatility (frequency and magnitude of changes in value) of the underlying shares and the stocks constituting
the NYSE Arca Gold Miners Index (the “share underlying index”),
|
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o
|
whether the determination closing price of the underlying shares has been below its coupon barrier level on any observation
date,
|
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o
|
dividend rates on the stocks constituting the share underlying index,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying shares
or equity markets generally and which may affect the price of the underlying shares,
|
|
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 shares that may or may not require an adjustment to the adjustment
factor,
|
|
o
|
the composition of the underlying shares and changes in the constituents of the underlying shares, 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. In particular,
if the underlying shares has closed near or below the coupon barrier level and downside threshold level, the market value of the
securities is expected to decrease substantially, and you may have to sell your securities at a substantial discount from the stated
principal amount of $1,000 per security.
The price of the underlying shares
may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. The price of the underlying
shares may decrease and be below the coupon barrier level on each observation date so that you will receive no return on your investment,
and the underlying shares may close below the downside threshold level on any trading day during the term of the securities so
that you are exposed to the negative performance of the underlying shares at maturity. There can be no assurance that the closing
price of the underlying shares will be at or above its coupon barrier level on any observation date so that you will receive a
coupon payment on the securities for the applicable interest period, or that it will be at or above the downside threshold level
on each trading day during the term of the securities. See “VanEck Vectors
®
Gold Miners ETF” below.
|
§
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Investing in the securities exposes investors to risks associated
with investments in securities with a concentration in a single industry.
The securities
are subject to certain risks applicable to the gold and silver mining industry. The stocks included in the
share
underlying index
and that are generally tracked by
the underlying shares are stocks of companies primarily engaged in the mining of gold or silver. The underlying shares may be subject
to increased price volatility as they are linked to a single industry, market or sector and may be more susceptible to adverse
economic, market, political or regulatory occurrences affecting that industry, market or sector.
|
Because the underlying shares primarily
invest in stocks, American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) of companies
that are involved in the gold mining industry, the underlying shares are subject to certain risks associated with such companies.
Competitive pressures may have a
significant effect on the financial condition of companies in the gold mining industry. Also, gold mining companies are highly
dependent on the price of gold. Gold prices are subject to volatile price movements over short periods of time and are affected
by numerous factors. These include economic factors, including, among other things, the structure of and confidence in the global
monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the
currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional
economic, financial, political, regulatory, judicial or other events. Gold prices may also be affected by industry factors such
as industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other
governmental agencies and multilateral institutions which hold gold, levels of gold production and production costs, and short-term
changes in supply and demand because of trading activities in the gold market.
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The underlying shares invest to
a lesser extent in stocks, ADRs and GDRs of companies involved in the silver mining industry. Silver mining companies are highly
dependent on the price of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general
economic trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and
jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which
the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers,
global or regional political or economic events, and production costs and disruptions in major silver producing countries such
as Mexico and Peru. The supply of silver consists of a combination of new mine production and existing stocks of bullion and fabricated
silver held by governments, public and private financial institutions, industrial organizations and private individuals. In addition,
the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From time to time,
above-ground inventories of silver may also influence the market. The major end-uses for silver include industrial applications,
jewelry, photography and silverware.
|
§
|
The prices of the underlying shares are subject to currency exchange risk.
Because the prices of the underlying
shares are related to the U.S. dollar value of stocks underlying the share underlying index, holders of the securities will be
exposed to currency exchange rate risk with respect to the currencies in which such component securities trade. Exchange rate movements
for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand for, those
currencies, as well as relevant government policy, intervention or actions, but are also influenced significantly from time to
time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant region.
An investor’s net exposure will depend on the extent to which the currencies of the component securities strengthen or weaken
against the U.S. dollar and the relative weight of each currency. If, taking into account such weighting, the dollar strengthens
against the currencies of the component securities represented in the share underlying index, the price of the underlying shares
will be adversely affected.
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|
§
|
Adjustments to the underlying shares or
to the share underlying index could adversely affect the value of the securities.
The investment
advisor to the
VanEck Vectors
®
Gold Miners ETF, Van Eck
Associates Corporation (the “Investment Adviser”), seeks investment results that correspond generally to the price
and yield performance, before fees and expenses, of the share underlying index. Pursuant to its investment strategy or otherwise,
the Investment Advisor may add, delete or substitute the stocks composing the VanEck Vectors
®
Gold Miners ETF. Any
of these actions could adversely affect the price of the underlying shares and, consequently, the value of the securities. NYSE
Arca is responsible for calculating and maintaining the share underlying index. NYSE Arca may add, delete or substitute the stocks
constituting the share underlying index or make other methodological changes that could change the value of the share underlying
index. NYSE Arca may discontinue or suspend calculation or publication of the share underlying index at any time.
In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable
to the discontinued share underlying index and is permitted to consider indices that are calculated and published by
the calculation agent or any of its affiliates.
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|
§
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The performance and market price of the underlying shares, particularly
during periods of market volatility, may not correlate with the performance of the share underlying index, the performance of the
component securities of the share underlying index or the net asset value per share of the underlying shares.
The
Fund does not fully replicate the share underlying index and may hold securities that are different than those included in the
share underlying index. In addition, the performance of the underlying shares will reflect additional transaction costs and
fees that are not included in the calculation of the share underlying index. All of these factors may lead to a lack of correlation
between the performance of the underlying shares and the share underlying index. In addition, corporate actions (such as
mergers and spin-offs) with respect to the equity securities underlying the underlying shares may impact the variance between the
performances of the underlying shares and the share underlying index. Finally, because the shares of the underlying shares
are traded on an exchange and are subject to market supply and investor demand, the market price of one share of the underlying
shares may differ from the net asset value per share of the underlying shares.
|
In
particular, during periods of market volatility, or unusual trading activity, trading in the securities underlying the underlying
shares may be disrupted or limited, or such securities may be unavailable in the secondary market. Under these circumstances,
the liquidity of the underlying shares may be adversely affected, market participants may be unable to calculate accurately the
net asset value per share of the underlying shares, and their ability to create and
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redeem
shares of the underlying shares may be disrupted. Under these circumstances, the market price of shares of the underlying shares
may vary substantially from the net asset value per share of the underlying shares or the level of the share underlying index.
For
all of the foregoing reasons, the performance of the underlying shares may not correlate with the performance of the share underlying
index, the performance of the component securities of the share underlying index or the net asset value per share of the underlying
shares. Any of these events could materially and adversely affect the price of the shares of the underlying shares and, therefore,
the value of the securities. Additionally, if market volatility or these events were to occur on the final observation date,
the calculation agent would maintain discretion to determine whether such market volatility or events have caused a market disruption
event to occur, and such determination would affect the payment at maturity of the securities. If the calculation agent determines
that no market disruption event has taken place, the payment at maturity would be based solely on the published closing price per
share of the underlying shares on the final observation date, even if the underlying shares are underperforming the share underlying
index or the component securities of the share underlying index and/or trading below the net asset value per share of the underlying
shares.
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover
every event that could affect the underlying shares
. MS & Co., as calculation agent, will adjust the adjustment factor
for certain events affecting the underlying shares. However, the calculation agent will not make an adjustment for every event
that could affect the underlying shares. If an event occurs that does not require the calculation agent to adjust the adjustment
factor, the market price of the securities may be materially and adversely affected. The determination by the calculation agent
to adjust, or not to adjust, the adjustment factor may materially and adversely affect the value of the securities.
|
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the securities.
You are dependent on our ability to pay all amounts due on the securities
at maturity, upon early redemption or on any coupon payment date, and therefore you are subject to our credit risk. The securities
are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk
and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase
in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.
|
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated
pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
|
|
§
|
Not equivalent to investing in the underlying shares or the securities composing the
share underlying index.
Investing in the securities is not equivalent to investing in the underlying shares, the share underlying
index or the securities that constitute the share underlying index. Investors in the securities will not have voting rights or
rights to receive dividends or other distributions or any other rights with respect to the underlying shares or the stocks that
constitute the share underlying index.
|
|
§
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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.
|
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be limited
.
A
ccordingly, you should be willing to hold your securities for the entire 1.75-year term of the securities.
The
|
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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.
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§
|
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 shares, 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 pricing supplement 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 shares or the share underlying index), including trading in the underlying shares
as well as in other instruments related to the underlying shares or the share underlying index. As a result, these entities may
be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more
frequent dynamic adjustments to the hedge as the final observation date approaches. Some of our affiliates also trade underlying
shares or the stocks that constitute the share underlying index and other financial instruments related to the underlying shares
on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or
prior to the pricing date could have increased the
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initial share price, and, therefore,
could have increased (i) the value at or above which the underlying shares must close on the redemption determination dates so
that the securities are redeemed prior to maturity for the early redemption payment, (ii) the coupon barrier level, which is the
value at or above which the underlying shares must close on the observation dates in order for you to earn a contingent quarterly
coupon, and (iii) the downside threshold level, which is the value at or above which the underlying shares must close on each trading
day during the term of the securities so that you are not exposed to the negative performance of the underlying shares at maturity.
Additionally, such hedging or trading activities during the term of the securities could affect the value of the underlying shares
throughout the term of the securities, and, accordingly, whether we redeem the securities prior to maturity, whether we pay a contingent
quarterly coupon on the securities and the amount of cash you receive at maturity, if any.
|
§
|
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 price, the coupon barrier level and
the downside threshold level and will determine whether you receive a contingent quarterly coupon on each coupon payment date and/or
at maturity, whether the securities will be redeemed on any early redemption date, whether a trigger event has occurred, whether
to make any adjustments to the adjustment factor and the payment at maturity, if any. Moreover, certain determinations made by
MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as
with respect to the occurrence or non-occurrence of market disruption events and certain adjustments to the adjustment factor.
These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information
regarding these types of determinations, see "Description of Auto-Callable Securities— Auto-Callable Securities Linked
to Underlying Shares” and "—Calculation Agent and Calculations" in the accompanying product supplement In
addition, MS & Co. has determined the estimated value of the securities on the pricing date.
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§
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The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax
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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.
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VanEck Vectors
®
Gold Miners ETF Overview
The VanEck Vectors Gold Miners ETF is an exchange-traded fund
managed by Van Eck Associates Corporation (“Van Eck”), a registered investment company, that seeks investment results
that correspond generally to the price and yield performance, before fees and expenses, of the NYSE Arca Gold Miners Index. Information
provided to or filed with the Securities and Exchange Commission (“the Commission”) by Van Eck pursuant to the Securities
Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-123257 and 811-10325,
respectively, through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly
available sources.
Neither the issuer nor the agent makes any representation that any such publicly available information
regarding the VanEck Vectors Oil Services
TM
ETF is accurate or complete.
Information as of market close on June 18, 2019:
Bloomberg Ticker Symbol:
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GDX UP
|
52 Week High (on 6/18/2019):
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$23.67
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Current Share Price:
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$23.67
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52 Week Low (on 9/11/2018):
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$17.57
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52 Weeks Ago:
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$22.27
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|
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The following graph sets forth the daily closing prices of the
underlying shares for each quarter in the period from January 1, 2014 through June 18, 2019. The related table sets forth the published
high and low closing prices, as well as end-of-quarter closing prices, of the underlying shares for each quarter in the same period.
The closing price of the underlying shares on June 18, 2019 was $23.67. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical closing prices of the underlying shares should
not be taken as an indication of future performance.
VanEck Vectors
®
Gold Miners ETF
Daily Closing Prices
January 1, 2014 to June 18, 2019
|
|
*The red solid line indicates both the downside threshold
level and the coupon barrier level of $16.569, which is 70% of the initial share price.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
VanEck Vectors
®
Gold Miners ETF (CUSIP: 5706U100)
|
High ($)
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Low ($)
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Period End ($)
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2014
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|
|
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First Quarter
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27.73
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21.27
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23.60
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Second Quarter
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26.45
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22.04
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26.45
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Third Quarter
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27.46
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21.35
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21.35
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Fourth Quarter
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21.94
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16.59
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18.38
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2015
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|
|
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First Quarter
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22.94
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17.67
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18.24
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Second Quarter
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20.82
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17.76
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17.76
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Third Quarter
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17.85
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13.04
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13.74
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Fourth Quarter
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16.90
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13.08
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13.72
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2016
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|
|
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First Quarter
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20.86
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12.47
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19.98
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Second Quarter
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27.70
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19.53
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27.70
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Third Quarter
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31.32
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25.45
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26.43
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Fourth Quarter
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25.96
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18.99
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20.92
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2017
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|
|
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First Quarter
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25.57
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21.14
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22.81
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Second Quarter
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24.57
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21.10
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22.08
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Third Quarter
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25.49
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21.21
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22.96
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Fourth Quarter
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23.84
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21.42
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23.24
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2018
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|
|
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First Quarter
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24.60
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21.27
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21.98
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Second Quarter
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23.06
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21.81
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22.31
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Third Quarter
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22.68
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17.57
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18.52
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Fourth Quarter
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21.09
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18.39
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21.09
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2019
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|
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First Quarter
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23.36
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20.31
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22.42
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Second Quarter (through June 18, 2019)
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23.67
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20.17
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23.67
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This document relates only to the securities referenced hereby
and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding Van Eck 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 Van Eck. Neither we nor the
agent makes any representation that such publicly available documents or any other publicly available information regarding Van
Eck 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 underlying shares (and therefore the price of the underlying shares 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 Van Eck could affect the value received with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying shares.
We and/or our affiliates may presently or from time to time engage
in business with Van Eck. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to Van Eck, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more
of our affiliates may publish research reports with respect to the underlying shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities,
you should undertake an independent investigation of Van Eck as in your judgment is appropriate to make an informed decision with
respect to an investment linked to the underlying shares.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
The securities are not sponsored, endorsed, sold, or promoted
by Van Eck. Van Eck makes no representations or warranties to the owners of the securities or any member of the public regarding
the advisability of investing in the securities. Van Eck has no obligation or liability in connection with the operation, marketing,
trading or sale of the securities.
The NYSE Arca Gold Miners Index.
The
NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies involved
primarily in the mining of gold and silver. The NYSE Arca Gold Miners Index includes common stocks, American depositary receipts
or global depositary receipts of selected companies involved in the mining for gold and silver ore and are listed for trading and
electronically quoted on a major stock market that is accessible by foreign investors. For additional information about the NYSE
Arca Gold Miners Index, please see the information set forth under “NYSE Arca Gold Miners Index” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Terms:
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Share
underlying index:
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The NYSE Arca Gold Miners Index
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Share
underlying index publisher:
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NYSE Arca, or any successor thereof.
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Interest
period:
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The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
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Record
date:
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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.
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Downside
threshold level:
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The accompanying product supplement refers to the downside threshold level as the “trigger level.”
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Day
count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
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Postponement
of coupon payment dates (including the maturity date) and early redemption dates:
|
If any observation date or redemption determination date is postponed due to a non-trading day or certain market disruption events so that it falls less than two business days prior to the relevant scheduled coupon payment date (including the maturity date) or early redemption date, as applicable, the coupon payment date (or the maturity date) or the early redemption date will be postponed to the second business day following that observation date or redemption determination date as postponed, and no adjustment will be made to any coupon payment or early redemption payment made on that postponed date.
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Denominations:
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$1,000 per security and integral multiples thereof
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Trustee:
|
The Bank of New York Mellon
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Calculation
agent:
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MS & Co.
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Issuer notices to registered security holders, the trustee and the depositary:
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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.
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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities
|
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 March 23, 2021
All Payments on the Securities Based on the Performance of the VanEck Vectors
®
Gold Miners ETF
Principal at Risk Securities