Preliminary Pricing Supplement
No. 2,232
Opportunities in U.S. and International Equities
Section 1The notes are unsecured obligations
of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The
notes will pay no interest and will have the terms described in the accompanying prospectus supplement, index supplement and prospectus,
as supplemented and modified by this document. At maturity, we will pay per note the stated principal amount of $1,000
plus
a supplemental redemption amount, if any, based on the closing value of a basket of two indices and an exchange-traded fund (ETF)
on the determination date, subject to the maximum payment at maturity. These long-dated notes are for investors who
are concerned about principal risk but seek a return based on the performance of the basket components, and who are willing to
forgo current income and upside returns beyond the maximum payment at maturity in exchange for the repayment of principal at maturity
plus a supplemental redemption amount, if any. The notes are notes issued as part of MSFL’s Series A Global Medium-Term Notes
program.
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Issue price:
|
$1,000 per note
|
Stated principal amount:
|
$1,000 per note
|
Aggregate principal amount:
|
$
|
Pricing date:
|
July 31, 2019
|
Original issue date:
|
August 5, 2019 (3 business days after the pricing date)
|
Maturity date:
|
August 5, 2024
|
Interest:
|
None
|
Basket:
|
Basket component*
|
Ticker symbol*
|
Basket component weighting
|
Initial basket component value
|
Multiplier
|
|
The S&P 500
®
Index (the “SPX Index”)
|
SPX
|
50%
|
|
|
|
The EURO STOXX 50
®
Index (the “SX5E Index”)
|
SX5E
|
25%
|
|
|
|
Shares of the iShares
®
MSCI Emerging Markets ETF (the “EEM Shares”)
|
EEM UP
|
25%
|
$
|
|
|
* Ticker symbols are being provided for reference purposes only. We refer to the SPX Index and the SX5E Index, collectively, as the underlying indices, and the EEM Shares as the underlying shares or the Fund and, together with the underlying indices, as the basket components.
|
Payment at maturity:
|
The payment due at maturity per $1,000 stated principal amount
will equal:
$1,000 + supplemental redemption amount,
if any.
In no event will the payment at maturity be less
than $1,000 per note or greater than the maximum payment at maturity.
|
Supplemental redemption amount:
|
(i) $1,000
times
(ii) the basket percent change
times
(iii) the participation rate,
provided
that the supplemental redemption amount will not be less than $0 or greater than $500 to $600 per note (to be determined on the pricing date)
|
Participation rate:
|
100%
|
Maximum payment at maturity:
|
$1,500 to $1,600 per note (150% to 160% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
|
Basket percent change:
|
(final basket closing value – initial basket value) / initial basket value
|
Listing:
|
The notes will not be listed on any securities exchange.
|
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:
|
Approximately $975.30 per note, or within $30.00 of that estimate. See “Investment Summary” on page 3.
|
Commissions and issue price:
|
Price to public
(1)
|
Agent’s commissions and fees
(2)
|
Proceeds to us
(3)
|
Per note
|
$1,000
|
$
|
$
|
Total
|
$
|
$
|
$
|
|
(1)
|
The notes will be sold only to investors purchasing
the securities in fee-based advisory accounts.
|
|
(2)
|
MS & Co. expects to sell all of the notes that
it purchases from us to an unaffiliated dealer at a price of $ per note, for further sale to
certain fee-based advisory accounts at the price to public of $1,000 per note. MS & Co. will not receive a sales commission
with respect to the notes. See “Supplemental information regarding plan of distribution; conflicts of interest.” For
additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.
|
|
(3)
|
See “Use of proceeds and hedging” on page
30.
|
The notes involve risks not associated
with an investment in ordinary debt securities. See “Risk Factors” beginning on page 8.
The Securities and Exchange Commission
and state securities regulators have not approved or disapproved these notes, or determined if this document or the accompanying
prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is
a criminal offense.
The notes are not bank deposits and are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed
by, a bank.
You should read this document together
with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please
also see “Additional Terms of the Notes” and “Additional Information About the Notes” 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.
Prospectus Supplement dated November 16, 2017
Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Terms continued from previous page:
|
Initial basket value:
|
The initial basket value will equal 100, which is equal to the sum of the products of (i) the initial basket component value of each basket component, as set forth under “Basket—Initial basket component value” above, and (ii) the multiplier for such basket component, as set forth under “Basket—Multiplier” above, each as determined on the pricing date.
|
Final basket closing value:
|
The basket closing value on the determination date
|
Basket closing value:
|
On any date, the sum of the products of (i) the basket component closing value for each basket component, and (ii) the multiplier for such basket component
|
Basket component closing value:
|
On any day, the basket component closing value for each basket
component shall be:
(i) in the case of each of the SPX Index and the SX5E Index,
the index closing value of such underlying index on such day; and
(ii) in the case of the EEM Shares, the closing price of one
share of the EEM Shares on such day
times
the adjustment factor on such day.
|
Multiplier:
|
The multiplier for each basket component will be set on the pricing date so that each basket component will represent its applicable basket component weighting in the predetermined initial basket value of 100. Each multiplier will remain constant for the term of the notes.
|
Adjustment factor:
|
With respect to the EEM Shares, 1.0, subject to adjustment in the event of certain events affecting the underlying shares. See “Additional Information About the Notes—Antidilution adjustments” below.
|
Determination date:
|
July 31, 2024, subject to postponement for non-index business days, non-trading days and certain market disruption events.
|
CUSIP:
|
61769HKS3
|
ISIN:
|
US61769HKS30
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Investment Summary
Market-Linked Notes
The Market-Linked Notes due August 5, 2024 Based on the Value
of a Basket Consisting of Two Indices and an Exchange-Traded Fund (the “notes”) offer the potential for a supplemental
redemption amount at maturity based on the closing value of a basket of two indices and an ETF on the determination date, subject
to the maximum payment at maturity. The notes provide investors:
|
§
|
an opportunity to gain upside exposure to any appreciation of the basket,
subject to the maximum payment at maturity of $1,500 to $1,600 per note (150% to 160% of the stated principal amount). The actual
maximum payment at maturity will be determined on the pricing date.
|
|
§
|
the repayment of principal at maturity, subject to our creditworthiness
|
|
§
|
no exposure to any decline of the final basket closing value below
the initial basket value if the notes are held to maturity
|
At maturity, if the basket percent change is less than or equal
to zero, you will receive the stated principal amount of $1,000 per note, without any positive return on your investment. All
payments on the notes, including the repayment of principal at maturity, are subject to our credit risk.
Maturity:
|
5 years
|
Participation rate:
|
100%
|
Maximum payment at maturity:
|
$1,500 to $1,600 per note (150% to 160% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
|
Interest:
|
None
|
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the notes. You may revoke your offer to purchase the notes at any time prior to the time at which we accept
such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes
prior to their issuance. In the event of any material changes to the terms of the notes, we will notify you.
The original issue price of each note is $1,000. This
price includes costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently,
the estimated value of the notes on the pricing date will be less than $1,000. We estimate that the value of each note
on the pricing date will be approximately $975.30, or within $30.00 of that estimate. Our estimate of the value of the
notes as determined on the pricing date will be set forth in the final pricing supplement.
What goes into the estimated value on the pricing date?
In valuing the notes on the pricing date, we take into account
that the notes comprise both a debt component and a performance-based component linked to the basket components. The
estimated value of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating to
the basket components, instruments based on the basket components, 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 notes?
In determining the economic terms of the notes, including the
participation rate and the maximum payment at maturity, we use an internal funding rate, which is likely to be lower than our secondary
market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne
by you were lower or if the internal funding rate were higher, one or more of the economic terms of the notes would be more favorable
to you.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
What is the relationship between the estimated value on the
pricing date and the secondary market price of the notes?
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to the basket components, 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 notes 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 notes in the secondary
market, absent changes in market conditions, including those related to the basket components, 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
notes, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Key Investment Rationale
Market-Linked Notes offer investors exposure to the performance
of a basket composed of the S&P 500
®
Index, the EURO STOXX 50
®
Index and the iShares
®
MSCI Emerging Markets ETF and provide for the repayment of principal at maturity. They are for investors who are concerned
about principal risk but seek a return based on the performance of the basket components, and who are willing to forgo current
income and upside beyond the maximum payment at maturity in exchange for the repayment of principal at maturity plus a supplemental
redemption amount, if any.
Repayment of Principal
|
The notes offer investors 100% exposure to any positive performance of the basket up to the maximum payment at maturity, while providing for the repayment of principal in full at maturity.
|
Upside Scenario
|
The basket closing value on the determination date is greater than the initial basket value of 100, and, at maturity, the notes pay the stated principal amount of $1,000
plus
100% of the positive percent change from the initial basket value to the final basket closing value, subject to the maximum payment at maturity of $1,500 to $1,600 per note (150% to 160% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
|
Par Scenario
|
The final basket closing value is less than or equal to the initial basket value, and, at maturity, the notes pay only the stated principal amount of $1,000.
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Hypothetical Payout on the
Notes
At maturity, for each $1,000 stated principal amount of notes
that you hold, you will receive the stated principal amount of $1,000
plus
a supplemental redemption amount, if any, subject
to the maximum payment at maturity. The supplemental redemption amount will be calculated as follows:
supplemental redemption amount
|
=
|
$1,000 x basket percent change x 100%
In no event will the supplemental redemption amount be less than zero or greater than $500 to $600 per note (to be determined on the pricing date).
|
where
|
|
|
basket percent change
|
=
|
(final basket closing value – initial basket value) / initial basket value
|
final basket closing value
|
=
|
the basket closing value on the determination date
|
maximum payment at maturity
|
=
|
$1,500 to $1,600 per note (150% to 160% of the stated principal amount). The actual maximum payment at maturity will be determined on the pricing date.
|
|
|
|
In no event will the payment at maturity be less than the stated
principal amount or greater than the maximum payment at maturity.
Hypothetical Payment at Maturity
The table below illustrates the payment at maturity for each
note for a hypothetical range of basket percent changes and does not cover the complete range of possible payouts at maturity.
The
table assumes a hypothetical maximum payment at maturity of $1,550 per note and reflects the initial basket value of 100 and the
participation rate of 100%. The actual maximum payment at maturity will be determined on the pricing date.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Basket percent change
|
Final basket closing value
|
Stated principal amount
|
Participation rate
|
Supplemental redemption amount
|
Payment at maturity
|
Return on $1,000 note
|
100.00%
|
200.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
90.00%
|
190.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
80.00%
|
180.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
70.00%
|
170.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
60.00%
|
160.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
55.00%
|
155.00
|
$1,000
|
100%
|
$550
|
$1,550
|
55.00%
|
50.00%
|
150.00
|
$1,000
|
100%
|
$500
|
$1,500.00
|
50.00%
|
40.00%
|
140.00
|
$1,000
|
100%
|
$400
|
$1,400.00
|
40.00%
|
30.00%
|
130.00
|
$1,000
|
100%
|
$300
|
$1,300.00
|
30.00%
|
20.00%
|
120.00
|
$1,000
|
100%
|
$200
|
$1,200.00
|
20.00%
|
10.00%
|
110.00
|
$1,000
|
100%
|
$100
|
$1,100.00
|
10.00%
|
0.00%
|
100.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–10.00%
|
90.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–20.00%
|
80.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–30.00%
|
70.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–40.00%
|
60.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–50.00%
|
50.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–60.00%
|
40.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–70.00%
|
30.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–80.00%
|
20.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–90.00%
|
10.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
–100.00%
|
0.00
|
$1,000
|
N/A
|
$0
|
$1,000
|
0.00%
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Risk Factors
The following is a non-exhaustive list
of certain key risk factors for investors in the notes. For further discussion of these and other risks you should read
the section entitled “Risk Factors” in the accompanying prospectus supplement, index supplement and the accompanying
prospectus. You should also consult with your investment, legal, tax, accounting and other advisers in connection with
your investment in the notes.
|
§
|
The notes do not pay interest and may not pay more than the stated principal amount at maturity.
If the basket
percent change is less than or equal to zero, you will receive only the stated principal amount of $1,000 for each note you hold
at maturity. As the notes do not pay any interest, if the final basket closing value is not sufficiently higher than
the initial basket value, the overall return on the notes (the effective yield to maturity) may be less than the amount that would
be paid on a conventional debt security of ours of comparable maturity. The notes have been designed for investors who
are willing to forgo market floating interest rates in exchange for a supplemental redemption amount, if any, based on the basket
closing value on the determination date.
|
|
§
|
The appreciation potential of the notes is limited by the maximum payment at maturity.
The appreciation potential
of the notes is limited by the maximum payment at maturity of $1,500 to $1,600 per note, or 150% to 160% of the stated principal
amount. Because the payment at maturity will be limited to 150% to 160% of the stated principal amount for the notes,
any increase in the final basket closing value beyond approximately 150% to 160% of the initial basket value will not further increase
the return on the notes. The actual maximum payment at maturity will be determined on the pricing date.
|
|
§
|
Changes in the prices of the basket components may offset each other.
Price movements in the basket components
may not correlate with each other. At a time when the price of one or more basket components increases, the price of
the other basket components may decline in value. Therefore, in calculating the payment at maturity, increases in the
price of one or more basket components may be moderated, or wholly offset, by declines in the price of the other basket components.
|
|
§
|
The market price of the notes will be influenced by many unpredictable factors.
Several
factors, many of which are beyond our control, will influence the value of the notes in the secondary market and the price at which
MS & Co. may be willing to purchase or sell the notes in the secondary market, including the values of the basket components
at any time, the volatility (frequency and magnitude of changes in value) of the basket components and the component stocks of
the basket components, the dividend rate on the component stocks of the basket components
,
the
occurrence of certain events affecting the underlying shares that may or may not require an adjustment to the respective adjustment
factor, interest and yield rates in the market, the time remaining until the notes mature,
geo
political
conditions and economic, financial, political, regulatory or judicial events that affect the basket components or equities markets
generally and which may affect the closing values of the basket components on the determination date, the exchange rates of the
U.S. dollar relative to the currencies in which the stocks comprising the EEM Shares trade and any actual or anticipated changes
in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price
of the notes will be affected by the other factors described above. The values of the basket components may be, and
have recently been, volatile, and we can give you no assurance that the volatility will lessen. See “Historical
Information” below. You may receive less, and possibly significantly less, than the stated principal amount per
note if you try to sell your notes prior to maturity.
|
|
§
|
The notes 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 notes.
You are dependent on our
ability to pay all amounts due on the notes at maturity and therefore you are subject to our credit risk. The notes
are not guaranteed by any other entity. If we default on our obligations under the notes, your investment would be at
risk and you could lose some or all of your investment. As a result, the market value of the notes prior to maturity
will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in
our
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
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 notes.
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent
assets
. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its
securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in
respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders
will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all
other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan
Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings
they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors
of Morgan Stanley, including holders of Morgan Stanley-issued securities.
|
|
§
|
The amount payable on the notes is not linked to the value of the basket components at any time other than the determination
date
. The amount payable on the notes will be based on the basket closing value on the determination date, subject
to postponement for non-index business days, non-trading days and certain market disruption events. Even if the value
of the basket appreciates prior to the determination date but then drops by the determination date, the payment at maturity may
be less, and may be significantly less, than it would have been had the payment at maturity been linked to the value of the basket
prior to such drop. Although the actual value of the basket on the stated maturity date or at other times during the
term of the notes may be higher than the final basket closing value, the payment at maturity will be based solely on the final
basket closing value.
|
|
§
|
There are risks associated with investments
in securities, such as the notes, linked to the value of foreign (and especially emerging markets) equity securities.
The EURO
STOXX 50
®
Index is linked to the value of foreign equity securities, and the EEM Shares track the performance of
the MSCI Emerging Markets Index
SM
, which is linked solely to the value of emerging markets equity securities. Investments
in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries,
including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies
that are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are
subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting
companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors
in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.
Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading
volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries
may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation,
capital reinvestment, resources, self-sufficiency and balance of payment positions between countries.
|
In
addition, the stocks included in the MSCI Emerging Markets Index
SM
and that are generally tracked by the EEM Shares
have been issued by companies in various emerging markets countries, which pose further risks in addition to the risks associated
with investing in foreign equity markets generally. Countries with emerging markets may have relatively unstable governments, may
present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets,
and may have less protection of property rights than more developed countries. The economies of countries with emerging markets
may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
§
|
The prices of the EEM Shares are subject to currency exchange risk.
Because
the prices of the EEM Shares are related to the U.S. dollar value of stocks underlying the
MSCI Emerging Markets Index
SM
,
holders of the notes will be exposed to currency exchange rate risk with respect to each of 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
MSCI Emerging Markets Index
SM
, the price of the EEM Shares will be adversely
affected and the payment at maturity on the notes may be reduced.
|
Of
particular importance to potential currency exchange risk are:
|
·
|
existing and expected rates of inflation;
|
|
·
|
existing and expected interest rate levels;
|
|
·
|
the balance of payments between countries; and
|
|
·
|
the extent of governmental surpluses or deficits in the relevant countries and the United
States.
|
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various countries
represented in the MSCI Emerging Markets Index
SM
, the United States and other
countries important to international trade and finance.
|
§
|
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 notes in the original issue price reduce the economic terms of the
notes, cause the estimated value of the notes 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 notes 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 notes in the original issue price and the lower rate we are willing to pay as issuer make
the economic terms of the notes less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the notes 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 notes in the secondary market, absent changes in
market conditions, including those related to the basket components, 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 notes 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 notes than those generated by others, including other dealers in the market, if
they attempted to value the notes.
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
In addition, the estimated value
on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to
purchase your notes in the secondary market (if any exists) at any time. The value of your notes 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 of the notes will be influenced by many unpredictable
factors” above.
|
§
|
Adjustments to an underlying index could adversely affect the value of the notes.
The
index publisher of each underlying index may add, delete or substitute the stocks constituting such underlying index or make other
methodological changes that could change the value of such underlying index. The index publisher of an underlying index
may discontinue or suspend calculation or publication of such underlying index at any time. In these circumstances,
the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying
index and is not precluded from considering indices that are calculated and published by the calculation agent or any of its affiliates.
If
the calculation agent determines that there is no appropriate successor index, the payment at maturity on the notes will be an
amount based on the closing prices of the securities composing such underlying index at the time of such discontinuance, without
rebalancing or substitution, computed by the calculation agent in accordance with the formula for calculating such underlying index
last in effect prior to discontinuance of such underlying index.
|
|
§
|
Adjustments to the EEM Shares or the index tracked by the underlying shares could adversely affect the value of the notes
. The
investment adviser to the iShares
®
MSCI Emerging Markets ETF, BlackRock Fund Advisors (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 iShares
®
MSCI Emerging Markets ETF. Any of these actions could adversely affect the price of the underlying
shares and, consequently, the value of the notes. MSCI Inc. (“MSCI”) is responsible for calculating and
maintaining the share underlying index. MSCI 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. MSCI 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. Any
of these actions could adversely affect the value of the underlying shares, and consequently, the value of the notes.
|
|
§
|
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 underlying shares do 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
Fund 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 Fund 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 redeem shares of the underlying shares may be disrupted. Under
these circumstances,
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
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 notes. Additionally, if market volatility or these events were to occur on the determination 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 notes. If the calculation agent determines
that no market disruption event has taken place, the payment at maturity would be based on the published closing price per share
of the underlying shares on the determination 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 can 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
notes
may be materially and adversely affected.
|
|
§
|
Not equivalent to investing in the EEM Shares or the stocks composing the underlying indices or the share underlying index.
Investing
in the notes is not equivalent to investing in the underlying indices or their respective component stocks, the EEM Shares, the
share underlying index or the stocks that constitute the share underlying index. Investors in the notes will not have
voting rights or rights to receive dividends or other distributions or any other rights with respect to the EEM Shares, or the
stocks that constitute the underlying indices or the share underlying index.
|
|
§
|
The notes will not be listed on any securities exchange and secondary trading may be limited.
The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. MS
& Co. may, but is not obligated to, make a market in the notes 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 notes, 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 notes. Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the notes easily. Since other broker-dealers may not participate significantly
in the secondary market for the notes, the price at which you may be able to trade your notes 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 notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to
hold your notes to maturity.
|
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the notes.
As calculation agent, MS & Co. will determine the initial basket component value and multiplier
for each basket component, the final basket closing value and the basket percent change, and will calculate the amount of cash
you will receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence
of market disruption events and the selection of a successor index or calculation of the basket closing value in the event of a
discontinuance of any share underlying index or a market disruption event with respect to any basket component. These
potentially subjective determinations may affect the payout to you at maturity. For further information regarding these
types of determinations, see “Additional Information About the Notes—Additional Provisions—Calculation agent,”
“—
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Closing price,” “—Market
disruption event,” “—Postponement of determination date,” “Discontinuance of an underlying index;
alteration of method of calculation,” “—Discontinuance of the EEM Shares and/or the share underlying index; alteration
of method of calculation,” “—Alternate exchange calculation in case of an event of default” and “—Antidilution
adjustments” below. In addition, MS & Co. has determined the estimated value of the notes on the pricing
date.
|
§
|
Hedging and trading activity by our affiliates could potentially adversely affect the value of the notes.
One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the notes (and to other
instruments linked to the basket components or the share underlying index), including trading in the basket components and the
component stocks of the basket components and in other instruments related to the share underlying index. As a result, these entities
may be unwinding or adjusting hedge positions during the term of the notes, and the hedging strategy may involve greater and more
frequent dynamic adjustments to the hedge as the determination date approaches. Some of our affiliates also trade the
basket components or the component stocks of the basket components and other financial instruments related to the share underlying
index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading
activities on or prior to the pricing date could potentially increase the initial basket component values, and, therefore, could
increase the values at or above which the basket components must close on the determination date before an investor receives a
payment at maturity that exceeds the stated principal amount of the notes. Additionally, such hedging or trading activities
during the term of the notes, including on the determination date, could adversely affect the values of the basket components on
such determination date, and, accordingly, the amount of cash an investor will receive at maturity.
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Basket Overview
S&P 500
®
Index.
The S&P 500
®
Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC (“S&P”),
consists of stocks of 500 component companies selected to provide a performance benchmark for the U.S. equity markets. The
calculation of the S&P 500
®
Index is based on the relative value of the float adjusted aggregate market capitalization
of the 500 component companies as of a particular time as compared to the aggregate average market capitalization of 500 similar
companies during the base period of the years 1941 through 1943. For additional information about the S&P 500
®
Index, see the information set forth under “S&P 500
®
Index” in the accompanying index supplement.
“Standard & Poor’s
®
,”
“S&P
®
,” “S&P 500
®
,” “Standard & Poor’s 500”
and “500” are trademarks of Standard and Poor’s Financial Services LLC. See “S&P 500
®
Index”
in the accompanying index supplement.
EURO
STOXX 50
®
Index
The EURO STOXX 50
®
Index
was created by STOXX
®
Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the
EURO STOXX 50
®
Index began on February 26, 1998, based on an initial basket component value of 1,000 at December
31, 1991. The EURO STOXX 50
®
Index is composed of 50 component stocks of market sector leaders from within
the STOXX 600 Supersector Indices, which includes stocks selected from the Eurozone. The component stocks have a high degree of
liquidity and represent the largest companies across all market sectors. For additional information about the EURO STOXX 50
®
Index, see the information set forth under “EURO STOXX 50
®
Index” in the accompanying index
supplement.
“EURO
STOXX 50
®
” and “STOXX
®
” are registered trademarks of STOXX Limited. For more information,
see “EURO STOXX 50
®
Index” in the accompanying index supplement.
iShares
®
MSCI Emerging Markets ETF
.
The iShares
®
MSCI
Emerging Markets ETF is an exchange-traded fund that seeks investment results that correspond generally to the price and yield
performance, before fees and expenses, of the MSCI Emerging Markets Index
®
. The iShares
®
MSCI
Emerging Markets ETF is managed by iShares Inc. (“iShares”), a registered investment company that consists of numerous
separate investment portfolios, including the iShares
®
MSCI Emerging Markets ETF. Information provided
to or filed with the Commission by iShares Inc. pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can
be located by reference to Commission file numbers 033-97598 and 811-09102, 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 iShares
®
MSCI Emerging Markets ETF is accurate or complete.
The MSCI Emerging Markets Index
SM
.
The
MSCI Emerging Markets Index
SM
is a stock index calculated, published and disseminated daily by MSCI Inc. and is
intended to provide performance benchmarks for certain emerging equity markets including Brazil, Chile, China, Colombia, Czech
Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia,
South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI Emerging Markets Index
SM
is described
in “MSCI Emerging Markets Index
SM
” and “MSCI Global Investable Market Indices Methodology” in
the accompanying index supplement.
This preliminary pricing supplement relates only to the notes
offered hereby and does not relate to the EEM Shares. We have derived all disclosures contained in this preliminary
pricing supplement regarding iShares from the publicly available documents described above. In connection with the offering
of the notes, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry
with respect to iShares. Neither we nor the agent makes any representation that such publicly available documents or
any other publicly available information regarding iShares 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 EEM Shares (and therefore the price
of the EEM Shares at the time we price the notes) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning iShares could affect the value received at maturity
with respect to the notes and therefore the value of the notes.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the EEM Shares.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to iShares, 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 EEM Shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the notes under the securities laws. As
a prospective purchaser of the notes, you should undertake an independent investigation of iShares as in your judgment is appropriate
to make an informed decision with respect to an investment linked to the EEM Shares.
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Information as of market close on June 28, 2019:
Basket Component Information as of June 28, 2019
|
|
Ticker Symbol
|
Current Value
|
52 Weeks Ago
|
52 Week High
|
52 Week Low
|
SPX Index
|
SPX
|
2,941.76
|
2,716.31
|
2,954.18 (on 6/20/2019)
|
2,351.10 (on 12/24/2018)
|
SX5E Index
|
SX5E
|
3,473.69
|
3,365.52
|
3,527.18 (on 7/27/2018)
|
2,937.36 (on 12/27/2018)
|
EEM Shares
|
EEM UP
|
$42.91
|
$42.69
|
$45.03 (on 7/25/2018)
|
$38.00 (on 10/29/2018)
|
The following graph is calculated based on an initial basket
value of 100 on January 1, 2014 (assuming that each basket component is weighted as described in “Basket” on the cover
page) and illustrates the effect of the offset and/or correlation among the basket components during such period. The
graph does not take into account the terms of the notes, nor does it attempt to show in any way your expected return on an investment
in the notes. The historical performance of the basket should not be taken as an indication of its future performance.
Basket Historical Performance
January 1, 2014 to June
28, 2019
|
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Historical Information
The following
tables set forth the published high and low closing values as well as end-of-quarter closing values for each of the basket components
for each quarter in the period from January 1, 2014 through June 28, 2019. The closing values on June 28, 2019 were
(i) in the case of the SPX Index, 2,941.76, (ii) in the case of the SX5E Index, 3,473.69, and (iii) in the case of the EEM Shares,
$42.91. The related graphs set forth the daily closing values for each of the basket components in the same period. We
obtained the information in the tables and graphs below from Bloomberg Financial Markets, without independent verification. The
historical information of the basket components should not be taken as an indication of their future performance, and no assurance
can be given as to the basket closing value on the determination date.
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,238.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,519.36
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter (through June 28, 2019)
|
2,954.18
|
2,744.45
|
2,941.76
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
The S&P 500
®
Index
Daily Index Closing Values
January 1, 2014 to June 28, 2019
|
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
EURO STOXX 50
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,267.52
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2016
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter (through June 28, 2019)
|
3,514.62
|
3,280.43
|
3,473.69
|
|
|
|
|
EURO STOXX 50
®
Index
Daily Index Closing Values
January 1, 2014 to June
28, 2019
|
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
iShares
®
MSCI Emerging Markets ETF
(CUSIP 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
41.77
|
37.09
|
40.99
|
Second Quarter
|
43.95
|
40.82
|
43.23
|
Third Quarter
|
45.85
|
41.56
|
41.56
|
Fourth Quarter
|
42.44
|
37.73
|
39.29
|
2015
|
|
|
|
First Quarter
|
41.07
|
37.92
|
40.13
|
Second Quarter
|
44.09
|
39.04
|
39.62
|
Third Quarter
|
39.78
|
31.32
|
32.78
|
Fourth Quarter
|
36.29
|
31.55
|
32.19
|
2016
|
|
|
|
First Quarter
|
34.28
|
28.25
|
34.25
|
Second Quarter
|
35.26
|
31.87
|
34.36
|
Third Quarter
|
38.20
|
33.77
|
37.45
|
Fourth Quarter
|
38.10
|
34.08
|
35.01
|
2017
|
|
|
|
First Quarter
|
39.99
|
35.01
|
39.39
|
Second Quarter
|
41.93
|
38.81
|
41.39
|
Third Quarter
|
45.85
|
41.05
|
44.81
|
Fourth Quarter
|
47.81
|
44.81
|
47.12
|
2018
|
|
|
|
First Quarter
|
52.08
|
45.69
|
48.28
|
Second Quarter
|
48.28
|
42.33
|
43.33
|
Third Quarter
|
45.03
|
41.14
|
42.92
|
Fourth Quarter
|
42.93
|
38.00
|
39.06
|
2019
|
|
|
|
First Quarter
|
43.71
|
38.45
|
42.92
|
Second Quarter (through June 28, 2019)
|
44.59
|
39.91
|
42.91
|
|
|
|
|
Shares of the iShares
®
MSCI Emerging Markets ETF
Daily Closing Prices
January 1, 2014 to June 28, 2019
|
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
Additional Terms of the Notes
Please read this information in conjunction
with the summary terms on the front cover of this preliminary pricing supplement.
If the terms described herein are inconsistent with those described in the accompanying prospectus supplement, index supplement or prospectus, the terms described herein shall control.
|
Underlying index publisher:
|
With respect to the SPX Index, S&P Dow
Jones Indices LLC, or any successor thereof.
With respect to the SX5E Index, STOXX Limited, or any
successor thereof.
|
Shares underlying index:
|
The MSCI Emerging Markets Index
SM
|
Share underlying index publisher:
|
MSCI Inc. or any successor thereof
|
Denominations:
|
$1,000 and integral multiples thereof
|
Senior security or subordinated security:
|
Senior
|
Specified currency:
|
U.S. dollars
|
Interest:
|
None
|
Call right:
|
The notes are not callable prior to the maturity date.
|
Business day:
|
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in The City of New York.
|
Index business day:
|
With respect to each of the SPX Index and the SX5E Index, any day, as determined by the calculation agent, on which trading is generally conducted on each of the relevant exchange(s) for such underlying index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price.
|
Trading day:
|
A day, as determined by the calculation agent, on which trading is generally conducted on the New York Stock Exchange, The Nasdaq Stock Market LLC (the “Nasdaq”), the Chicago Mercantile Exchange and the Chicago Board of Options Exchange and in the over-the-counter market for equity securities in the United States.
|
Index closing value:
|
With respect to each of the SPX Index and the SX5E Index, the index closing value on any index business day will be determined by the calculation agent and will equal the official closing value of such underlying index, or any successor underlying index (as defined under “—Discontinuance of an underlying index; alteration of method of calculation” below), published at the regular official weekday close of trading on such index business day by the underlying index publisher for such underlying index. In certain circumstances, the index closing value for the SPX Index or the SX5E Index will be based on the alternate calculation of such underlying index described under “—Discontinuance of an underlying index; alteration of method of calculation” below.
|
Closing price:
|
Subject to the provisions set out under “Discontinuance
of the EEM Shares and/or the share underlying index; alteration of method of calculation” below, the closing price for one
share of the EEM Shares (or one unit of any other security for which a closing price must be determined) on any trading day means:
(i)
if the EEM Shares (or any such other security) are
listed on a national securities exchange (other than the Nasdaq), the last reported sale price, regular way, of the principal trading
session on such day on the principal national securities exchange registered under the Securities Exchange Act of 1934, as amended,
on which the EEM Shares (or any such other security) are listed,
(ii)
if the EEM Shares (or any such other security) are
securities of the Nasdaq, the official closing price of the EEM Shares published by the Nasdaq on such day, or
(iii)
if the EEM Shares (or any such other security) are
not listed on any national securities exchange but are included in the OTC Bulletin Board Service (the “OTC Bulletin Board”)
operated by the Financial Industry Regulatory Authority, Inc. (“FINRA”), the last reported sale price of the principal
trading session on the OTC Bulletin Board on such day for the EEM Shares.
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
If the EEM Shares (or any such other security) are listed on any national securities exchange but the last reported sale price or the official closing price published by such exchange, or by the Nasdaq, as applicable, is not available pursuant to the preceding sentence, then the closing price for one share of the EEM Shares (or one unit of any such other security) on any trading day will mean the last reported sale price of the principal trading session on the over-the-counter market as reported on the Nasdaq or the OTC Bulletin Board on such day. If a market disruption event (as defined below) occurs with respect to the EEM Shares (or any such other security) or the last reported sale price or the official closing price published by the Nasdaq, as applicable, for the EEM Shares (or any such other security) is not available pursuant to either of the two preceding sentences, then the closing price for any trading day will be the mean, as determined by the calculation agent, of the bid prices for the EEM Shares (or any such other security) for such trading day obtained from as many recognized dealers in such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids of MS & Co. and its successors or any of its affiliates may be included in the calculation of such mean, but only to the extent that any such bid is the highest of the bids obtained. If no bid prices are provided from any third-party dealers, such closing price will be determined by the calculation agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant. The term “OTC Bulletin Board Service” will include any successor service thereto, or, if applicable, the OTC Reporting Facility operated by FINRA.
|
Market disruption event:
|
Market disruption event
means:
(A)
with respect
to each of the SPX Index and the SX5E Index:
(i)
the occurrence
or existence of any of:
(a) a suspension,
absence or material limitation of trading of securities then constituting 20 percent or more of the value of such underlying index
(or a successor index) on the relevant exchange(s) for such securities for more than two hours of trading or during the one-half
hour period preceding the close of the principal trading session on such relevant exchange(s), or
(b) a breakdown
or failure in the price and trade reporting systems of any relevant exchange as a result of which the reported trading prices for
securities then constituting 20 percent or more of the value of such underlying index (or a successor index) during the last one-half
hour preceding the close of the principal trading session on such relevant exchange(s) are materially inaccurate, or
(c) the suspension,
material limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts or exchange-traded
funds related to such underlying index (or a successor index) for more than two hours of trading or during the one-half hour period
preceding the close of the principal trading session on such market,
in each case
as determined by the calculation agent in its sole discretion; and
(ii) a determination by
the calculation agent in its sole discretion that any event described in clause (i) above materially interfered with our ability
or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with respect to the
notes.
For the purpose
of determining whether a market disruption event with respect to the SPX Index or the SX5E Index exists at any time, if trading
in a security included in such underlying index is materially suspended or materially limited at that time, then the relevant percentage
contribution of that security to the value of such underlying index will be based on a comparison of (x) the portion of the value
of such underlying index attributable to that security relative to (y) the overall value of such underlying index, in each case
immediately before that suspension or limitation.
For the purpose
of determining whether a market disruption event with respect to the SPX Index or the SX5E Index exists at any time: (1) a limitation
on the hours or number of days of trading will not constitute a market disruption event if it results from an announced change
in the regular business hours of the relevant exchange or market, (2) a decision to permanently discontinue trading in the relevant
futures or options contract or exchange-traded fund will not constitute a market disruption event, (3) a suspension of trading
in futures or options contracts or exchange-traded funds on such underlying index by the primary securities market trading in such
contracts or
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
funds by reason
of (A) a price change exceeding limits set by such securities exchange or market, (B) an imbalance of orders relating to such contracts
or funds or (C) a disparity in bid and ask quotes relating to such contracts or funds will constitute a suspension, absence or
material limitation of trading in futures or options contracts or exchange-traded funds related to such underlying index and (4)
a “suspension, absence or material limitation of trading” on any relevant exchange or on the primary market on which
futures or options contracts or exchange-traded funds related to are traded will not include any time when such securities
market is itself closed for trading under ordinary circumstances.
(B)
with respect to the EEM Shares:
(i)
the occurrence or existence of any of:
(a) a suspension, absence or material limitation
of trading of the EEM Shares on the respective primary market for the EEM Shares for more than two hours of trading or during the
one-half hour period preceding the close of the principal trading session in such market; or a breakdown or failure in the price
and trade reporting systems of the primary market for the EEM Shares as a result of which the reported trading prices for the EEM
Shares during the last one-half hour preceding the close of the principal trading session in such market are materially inaccurate;
or the suspension, absence or material limitation of trading on the primary market for trading in futures or options contracts
related to the EEM Shares, if available, during the one-half hour period preceding the close of the principal trading session in
the applicable market, or
(b) a suspension, absence or material limitation
of trading of stocks then constituting 20 percent or more of the value of the share underlying index for the EEM Shares on the
relevant exchange(s) for such securities, as applicable, for more than two hours of trading or during the one-half hour period
preceding the close of the principal trading session on such relevant exchange(s), or
(c) the suspension, material limitation or absence
of trading on any major U.S. securities market for trading in futures or options contracts related to the EEM Shares or the share
underlying index for the EEM Shares for more than two hours of trading or during the one-half hour period preceding the close of
the principal trading session on such market,
in each case as determined by the calculation agent
in its sole discretion; and
(ii)
a determination by the calculation agent in its sole
discretion that any event described in clause (i) above materially interfered with our ability or the ability of any of our affiliates
to unwind or adjust all or a material portion of the hedge position with respect to the notes.
For the purpose of determining whether a market disruption event
exists at any time, if trading in a security included in the share underlying index for the EEM Shares is materially suspended
or materially limited at that time, then the relevant percentage contribution of that security to the level of such share underlying
index shall be based on a comparison of (x) the portion of the level of the share underlying index attributable to that security
relative to (y) the overall level of the share underlying index, in each case immediately before that suspension or limitation.
For the purpose of determining whether a market disruption event
has occurred with respect to the EEM Shares: (1) a limitation on the hours or number of days of trading will not constitute
a market disruption event if it results from an announced change in the regular business hours of the relevant exchange or market,
(2) a decision to permanently discontinue trading in the EEM Shares or in the futures or options contracts related to the share
underlying index for the EEM Shares will not constitute a market disruption event, (3) a suspension of trading in futures or options
contracts on the EEM Shares or the share underlying index by the primary securities market trading in such contracts by reason
of (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating to such contracts
or (c) a disparity in bid and ask quotes relating to such contracts will constitute a suspension, absence or material limitation
of
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
trading in futures or options contracts related to the EEM Shares or the share underlying index and (4) a “suspension, absence or material limitation of trading” on any relevant exchange or on the primary market on which futures or options contracts related to the EEM Shares or the share underlying index are traded will not include any time when such securities market is itself closed for trading under ordinary circumstances. Regarding any permanent discontinuance of trading in the EEM Shares, see “Discontinuance of the EEM Shares and/or the share underlying index; alteration of method of calculation.”
|
Relevant exchange:
|
Relevant exchange means:
(i) with respect to the SPX Index and the SX5E Index or their
respective successor indices, the share underlying index or its successor index, the primary exchange(s) or market(s) of trading
for (i) any security then included in such index, and (ii) any futures or options contracts related to the relevant index or to
any security then included in such index; and
(ii) with respect to the EEM Shares, the primary exchange(s)
or market(s) of trading for any security (or any combination thereof) then included in the share underlying index or any Successor
Index to such share underlying index.
|
Postponement of determination date:
|
The determination date is subject to postponement
due to non-index business days, non-trading days or certain market disruption events, as described in the following paragraph.
If the scheduled determination date is not
an index business day with respect to an underlying index or a trading day with respect to the EEM Shares, or if a market disruption
event with respect to any basket component occurs on the scheduled determination date, the determination date solely for such affected
basket component shall be postponed to the next succeeding day that is an index business day or a trading day, as applicable, on
which there is no market disruption event with respect to the affected basket component; provided that the index closing value
of an underlying index for the scheduled determination date will not be determined on a date later than the fifth scheduled index
business day after the scheduled determination date, and, if such day is a non-index business day, or if there is a market disruption
event with respect to such underlying index on such date, the calculation agent will determine the index closing value of such
underlying index on such date in accordance with the formula for calculating such underlying index last in effect prior to the
commencement of the market disruption event (or prior to the non-index business day), without rebalancing or substitution, using
the closing price (or, if trading in the relevant securities has been materially suspended or materially limited, its good faith
estimate of the closing price that would have prevailed but for such suspension, limitation or non-index business day) on such
date of each security most recently constituting such underlying index, provided further that the closing price of the underlying
shares for the scheduled determination date will not be determined on a date later than the fifth scheduled trading day after the
scheduled determination date, and, if such day is a non-trading day, or if there is a market disruption event with respect to the
underlying shares on such date, the calculation agent will determine the closing price of the underlying shares on such day based
on the mean, as determined by the calculation agent, of the bid prices for the underlying shares for such date obtained from as
many recognized dealers in such security, but not exceeding three, as will make such bid prices available to the calculation agent. Bids
of MS & Co. or any of its affiliates may be included in the calculation of such mean, but only to the extent that any such
bid is the highest of the bids obtained. If no bid prices are provided from any third-party dealers, any such closing
price shall be determined by the calculation agent in its sole and absolute discretion (acting in good faith) taking into account
any information that it deems relevant.
|
Postponement of the maturity date:
|
If, due to a market disruption event or otherwise, the determination date for any basket component is postponed so that it falls less than two business days prior to the scheduled maturity date, the maturity date shall be postponed to the second business day following the determination date as postponed, by which date the basket component closing value of each basket component has been determined.
|
Discontinuance of an underlying index; alteration of method of calculation:
|
If any underlying index publisher, or any
respective successor publisher of an underlying index discontinues publication of an underlying index and the index publisher of
such underlying index or another entity (including MS & Co.) publishes a successor or substitute index that the calculation
agent determines, in its sole discretion, to be comparable to such discontinued Index, then any subsequent index closing value
for such underlying index will be determined by reference to the published value of such successor index at the regular
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
weekday close of trading on any index business
day that the index closing value is to be determined, and, to the extent the index closing value of the successor index differs
from the index closing value of such underlying index at the time of such substitution, proportionate adjustments will be made
by the calculation agent to the initial basket component value and multiplier for such underlying index.
Upon any selection by the calculation agent of an successor index,
the calculation agent will cause written notice thereof to be furnished to the Trustee, to us and to DTC, as holder of the notes,
within three trading days of such selection. We expect that such notice will be made available to you, as a beneficial
owner of the notes, in accordance with the standard rules and procedures of DTC and its direct and indirect participants.
If an underlying index publisher discontinues publication of
an underlying index prior to, and such discontinuance is continuing on, the determination date and the calculation agent determines,
in its sole discretion, that no successor index is available at such time, then the calculation agent will determine the index
closing value for such date. The index closing value will be computed by the calculation agent in accordance with the
formula for calculating such underlying index last in effect prior to such discontinuance, using the closing price (or, if trading
in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing price that
would have prevailed but for such suspension or limitation) at the close of the principal trading session of the relevant exchange
on such date of each security most recently constituting such underlying index without any rebalancing or substitution of such
securities following such discontinuance. Notwithstanding these alternative arrangements, discontinuance of the publication
of the Index may adversely affect the value of the notes.
If at any time the method of calculating
an underlying index or an successor index, or the value thereof, is changed in a material respect, or if such underlying index
or an successor index is in any other way modified so that such index does not, in the sole opinion of the calculation agent, fairly
represent the value of such underlying index or such successor index had such changes or modifications not been made, then, from
and after such time, the calculation agent will, at the close of business in New York City on each date on which the index closing
value is to be determined, make such calculations and adjustments as, in the good faith judgment of the calculation agent, may
be necessary in order to arrive at a value of a stock index comparable to such underlying index or such successor index, as the
case may be, as if such changes or modifications had not been made, and the calculation agent will calculate the basket component
closing value for such underlying index with reference to such underlying index or such successor index, as adjusted. Accordingly,
if the method of calculating such underlying index or such successor index is modified so that the value of such index is a fraction
of what it would have been if it had not been modified (
e.g.
, due to a split in the index), then the calculation agent will
adjust such index in order to arrive at a value of such underlying index or such successor index as if it had not been modified
(
e.g.
, as if such split had not occurred).
|
Discontinuance of the EEM Shares and/or the
share underlying index; alteration of method of calculation:
|
If trading in the EEM Shares on every applicable national securities
exchange, on the OTC Bulletin Board and in the over-the-counter market is permanently discontinued, or the exchange-traded fund
relating to the EEM Shares is liquidated or otherwise terminated (a “Discontinuance or Liquidation Event”), the closing
price of the EEM Shares on any trading day following the Discontinuance or Liquidation Event shall be determined by the calculation
agent and shall be deemed to equal the product of (i) the closing value of the share underlying index for the EEM Shares (or any
Successor Index, as described below) on such date (taking into account any material changes in the method of calculating the share
underlying index following such Discontinuance or Liquidation Event) and (ii) a fraction, the numerator of which is the closing
price of the EEM Shares and the denominator of which is the closing value of such share underlying index (or any Successor Index,
as described below), each determined as of the last day prior to the occurrence of the Discontinuance or Liquidation Event on which
a closing price was available.
If, subsequent to a Discontinuance or Liquidation Event, the
share underlying index publisher discontinues publication of the share underlying index and such share underlying index publisher
or another entity (including MS & Co.) publishes a successor or substitute index that the calculation agent determines, in
its sole discretion, to be comparable to the
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
discontinued share underlying index (such index being referred
to herein as a “Successor Index”), then any subsequent closing price for the EEM Shares on any trading day following
a Discontinuance or Liquidation Event shall be determined by reference to the published value of such Successor Index at the regular
weekday close of trading on such trading day, and, to the extent the value of the Successor Index differs from the value of the
share underlying index at the time of such substitution, proportionate adjustments shall be made by the calculation agent for purposes
of calculating payments on the notes.
If, subsequent to a Discontinuance or Liquidation Event, the
share underlying index publisher discontinues publication of the share underlying index prior to, and such discontinuance is continuing
on, the determination date, and the calculation agent determines, in its sole discretion, that no Successor Index is available
at such time, then the calculation agent shall determine the closing price for the EEM Shares for such date. Such closing
price shall be computed by the calculation agent in accordance with the formula for calculating the share underlying index last
in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities has been materially
suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such suspension
or limitation) at the close of the principal trading session of the relevant exchange on such date of each security most recently
composing the share underlying index without any rebalancing or substitution of such securities following such discontinuance.
|
Alternate exchange calculation in case of an event of default:
|
If an event of default with respect to the notes shall have occurred
and be continuing, the amount declared due and payable upon any acceleration of the notes (the “Acceleration Amount”)
will be an amount, determined by the calculation agent in its sole discretion, that is equal to the cost of having a qualified
financial institution, of the kind and selected as described below, expressly assume all our payment and other obligations with
respect to the notes as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing
substantially equivalent economic value to you with respect to the notes. That cost will equal:
·
the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
·
the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the notes in preparing any documentation
necessary for this assumption or undertaking.
During the default quotation period for the notes, which we describe
below, the holders of the notes and/or we may request a qualified financial institution to provide a quotation of the amount it
would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other
party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or,
if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period. With
respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to
the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing
of those grounds within two business days after the last day of the default quotation period, in which case that quotation will
be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary
liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending
on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the notes is accelerated because of an event
of default as described above, we shall, or shall cause the calculation agent to, provide written notice to the trustee at its
New York office, on which notice the trustee may conclusively rely, and to the depositary of the Acceleration Amount and the aggregate
cash amount due, if any, with respect to the notes as promptly as possible and in no event later than two business days after the
date of such acceleration.
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
|
|
Default quotation period
The default quotation period is the period beginning on the day
the Acceleration Amount first becomes due and ending on the third business day after that day, unless:
·
no quotation of the kind referred to above is obtained, or
·
every quotation of that kind obtained is objected to within five business days after the due date as described above.
If either of these two events occurs, the default quotation period
will continue until the third business day after the first business day on which prompt notice of a quotation is given as described
above. If that quotation is objected to as described above within five business days after that first business day,
however, the default quotation period will continue as described in the prior sentence and this sentence.
In any event, if the default quotation period and the subsequent
two business day objection period have not ended before the determination date, then the Acceleration Amount will equal the principal
amount of the notes.
Qualified financial institutions
For the purpose of determining the Acceleration Amount at any
time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United
States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date
of issue and rated either:
·
A-2 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that
rating agency, or
·
P-2 or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.
|
Antidilution adjustments:
|
If the EEM Shares are subject to a stock split or reverse stock
split, then once such split has become effective, the adjustment factor for the EEM Shares shall be adjusted by the calculation
agent to equal the product of the prior adjustment factor and the number of shares issued in such stock split or reverse stock
split with respect to one share of the EEM Shares.
No adjustment to the adjustment factor pursuant to the paragraph
above shall be required unless such adjustment would require a change of at least 0.1% in the amount being adjusted as then in
effect. Any number so adjusted shall be rounded to the nearest one hundred-thousandth with five one-millionths being
rounded upward.
The calculation agent shall be solely responsible for the determination
and calculation of any adjustments to any adjustment factor or method of calculating the adjustment factor and of any related determinations
and its determinations and calculations with respect thereto shall be conclusive in the absence of manifest error.
|
Trustee:
|
The Bank of New York Mellon, a New York banking corporation
|
Calculation agent:
|
The calculation agent for the notes will be MS & Co. All
determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of
manifest error, be conclusive for all purposes and binding on you, the trustee and us.
All calculations with respect to the payment at maturity shall
be made by the calculation agent and shall be rounded to the nearest one billionth, with five ten-billionths rounded upward (e.g.,
.9876543215 would be rounded to .987654322); all dollar amounts related to determination of the amount of cash payable per note
will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded
up to .7655); and all dollar amounts paid on the aggregate principal amount of the notes will be rounded to the nearest cent, with
one-half cent rounded upward.
Because the calculation agent is our affiliate, the economic
interests of the calculation agent and its affiliates may be adverse to your interests as an investor in the notes, including with
|
Morgan Stanley Finance LLC
|
Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
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respect to certain determinations and judgments that the calculation agent must make in determining the payment that you will receive at maturity or whether a market disruption event has occurred. See “Antidilution Adjustments,” “Market disruption event,” “Discontinuance of an underlying index; alteration of method of calculation” and “Discontinuance of the EEM Shares and/or the share underlying index; alteration of method of calculation.” MS & Co. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable judgment.
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Issuer notice to registered note holders, the trustee and the depositary:
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In the event that the maturity date is postponed due to postponement
of the determination 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 notes 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 notes
in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not
such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than
(i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity
date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the actual determination date.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee at its New York office, on which notice the trustee may conclusively rely, and to the depositary
of the payment at maturity 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 notes to the trustee for delivery to the depositary, as a holder of the
notes, on the maturity date.
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Morgan Stanley Finance LLC
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Market-Linked Notes due August 5, 2024
Based on the Value of a Basket Consisting of Two Indices and an Exchange-Traded Fund
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