CALCULATION OF REGISTRATION FEE
|
|
Maximum Aggregate
|
|
Amount of Registration
|
Title of Each Class of Securities Offered
|
|
Offering Price
|
|
Fee
|
|
|
|
|
|
Trigger Performance Leveraged Upside Securities due 2022
|
|
$4,631,000
|
|
$561.28
|
|
|
|
|
|
July 2019
Pricing Supplement No. 2,257
Registration Statement Nos. 333-221595; 333-221595-01
Dated July 19, 2019
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Trigger PLUS Based on the Value of the Worst
Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF
due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Trigger PLUS are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Trigger PLUS will pay no interest,
do not guarantee any return of principal at maturity and have the terms described in the accompanying product supplement for PLUS,
index supplement and prospectus, as supplemented or modified by this document. The payment at maturity on the Trigger
PLUS will be based on the value of the worst performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF, which we refer to as the underlying shares. At maturity, if the final share price of
each
of the underlying shares is
greater than
its respective initial share price, investors will receive the stated principal
amount of their investment
plus
leveraged upside performance of the worst performing underlying shares, subject to the maximum
payment at maturity. If the final share price of
either
of the underlying shares is
less than or equal
to
its respective initial share price but the final share price of
each
of the underlying shares is
greater than or equal
to
its respective trigger level, investors will receive the stated principal amount of their investment. However,
if the final share price of
either
of the underlying shares is
less than
its respective trigger level, investors
will be negatively exposed to the full decline in the worst performing underlying shares and will lose 1% of the stated principal
amount for every 1% of decline in the worst performing underlying shares, without any buffer. Because the payment at maturity of
the Trigger PLUS is based on the worst performing of the underlying shares, a decline in
either
of the underlying shares
beyond its respective trigger level will result in a significant loss of your investment even if the other underlying shares have
appreciated or have not declined as much. The Trigger PLUS are for investors who seek an equity-based return and who
are willing to risk their principal, risk exposure to the worst performing of two underlying shares and forgo current income and
upside above the maximum payment at maturity in exchange for the leverage feature that applies to a limited range of performance
of the worst performing underlying shares. The Trigger PLUS are notes issued as part of MSFL’s Series A Global
Medium-Term Notes program.
The Trigger PLUS differ from the PLUS described in the accompanying
product supplement for PLUS in that the Trigger PLUS offer the potential for a positive return at maturity if the worst performing
underlying shares depreciates by no more than 30%. The Trigger PLUS are not the Buffered PLUS described in the accompanying
product supplement for PLUS. Unlike the Buffered PLUS, the Trigger PLUS do not provide any protection if the worst performing
underlying shares depreciate by more than 30%.
All payments are subject to our credit risk. If
we default on our obligations, you could lose some or all of your investment. These Trigger PLUS are not secured obligations
and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Maturity date:
|
July 22, 2022
|
Underlying shares:
|
VanEck Vectors
®
Gold Miners ETF (the “GDX Shares”) and VanEck Vectors
®
Junior Gold Miners ETF (the “GDXJ Shares”)
|
Aggregate principal amount:
|
$4,631,000
|
Payment at maturity:
|
If the final share price of
each of the underlying shares
is
greater than
its respective initial share price,
|
|
$1,000 + ($1,000 × leverage factor ×
share percent change of the worst performing underlying shares)
In no event will the payment at maturity
exceed the maximum payment at maturity.
|
|
If the final share price of
either of the underlying shares
is
less than or equal to
its respective initial share price but the final share price of
each of the underlying shares
is
greater than or equal to
its respective trigger level,
|
|
$1,000
|
|
If the final share price of
either of the underlying shares
is
less than
its respective trigger level,
|
|
$1,000 × share performance factor of the worst performing underlying shares
|
|
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000, and will represent a loss of at least 30%, and possibly all, of your investment.
|
Share percent change:
|
With respect to each of the underlying shares, (final share price – initial share price) / initial share price
|
Worst performing underlying shares:
|
The underlying shares with the lesser share percent change
|
Share performance factor:
|
With respect to each of the underlying shares, final share price / initial share price
|
Initial share price:
|
With respect to the GDX Shares, $27.98, which is the closing
price of such underlying shares on the pricing date
With respect to the GDXJ Shares, $39.49, which is the
closing price of such underlying shares on the pricing date
|
Final share price:
|
With respect to each of the underlying shares, the closing price of such underlying shares on the valuation date times the adjustment factor of such underlying shares on such date
|
Adjustment factor:
|
With respect to each of the underlying shares, 1.0, subject to adjustment in the event of certain events affecting such underlying shares
|
Valuation date:
|
July 19, 2022, subject to adjustment for non-trading days and certain market disruption events
|
Leverage factor:
|
150%
|
Maximum payment at maturity:
|
$1,800 per Trigger PLUS (180% of the stated principal amount)
|
Trigger level:
|
With respect to the GDX Shares, $19.586, which is 70% of its
initial share price
With respect to the GDXJ Shares, $27.643, which is 70%
of its initial share price
|
Stated principal amount:
|
$1,000 per Trigger PLUS
|
Issue price:
|
$1,000 per Trigger PLUS
|
Pricing date:
|
July 19, 2019
|
Original issue date:
|
July 24, 2019 (3 business days after the pricing date)
|
CUSIP / ISIN:
|
61769HLP8 / US61769HLP81
|
Listing:
|
The Trigger PLUS will not be listed on any securities exchange.
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See “Supplemental information regarding plan of distribution; conflicts of interest.”
|
Estimated value on the pricing date:
|
$929.70 per Trigger PLUS. See “Investment Summary” on page 2.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions
(1)
|
Proceeds to us
(2)
|
Per Trigger PLUS
|
$1,000
|
$9
|
$991
|
Total
|
$4,631,000
|
$41,679
|
$4,589,321
|
|
(1)
|
Selected dealers and their financial advisors will
collectively receive from the agent, MS & Co., a fixed sales commission of $9 for each Trigger PLUS they sell. See
“Supplemental information regarding plan of distribution; conflicts of interest.” For additional information,
see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for PLUS.
|
|
(2)
|
See “Use of proceeds and hedging” on page
21.
|
The Trigger PLUS involve risks not associated with an investment
in ordinary debt securities. See “Risk Factors” beginning on page 7.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related product
supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see
“Additional Terms of the Trigger PLUS” and “Additional Information About the Trigger PLUS” at the end of
this document.
References to “we,” “us” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Trigger PLUS Based on the Value of the Worst Performing of
the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
(the “Trigger PLUS”) can be used:
|
§
|
To gain exposure to the worst performing of two U.S.
equity underlyings
|
|
§
|
To potentially outperform the worst performing of
the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF, subject to the
maximum payment at maturity, by taking advantage of the leverage factor
|
If the final share price of
either
of the underlying shares
is
less than
its respective trigger level, investors will be negatively exposed to the full amount of the percent decline
in the worst performing underlying shares and will lose 1% of the stated principal amount for every 1% of decline in the worst
performing underlying shares, without any buffer.
Maturity:
|
Approximately 3 years
|
Leverage factor:
|
150%
|
Maximum payment at maturity:
|
$1,800 per Trigger PLUS (180% of the stated principal amount)
|
Minimum payment at maturity:
|
None. Investors may lose all their entire initial investment in the Trigger PLUS.
|
Trigger level:
|
With respect to each of the underlying shares, 70% of its initial share price
|
Coupon:
|
None
|
Listing:
|
The Trigger PLUS will not be listed on any securities exchange
|
The original issue price of each Trigger PLUS is $1,000. This
price includes costs associated with issuing, selling, structuring and hedging the Trigger PLUS, which are borne by you, and, consequently,
the estimated value of the Trigger PLUS on the pricing date is less than $1,000. We estimate that the value of each
Trigger PLUS on the pricing date is $929.70.
What goes into the estimated value on the pricing date?
In valuing the Trigger PLUS on the pricing date, we take into
account that the Trigger PLUS comprise both a debt component and a performance-based component linked to the underlying shares. The
estimated value of the Trigger PLUS is determined using our own pricing and valuation models, market inputs and assumptions relating
to the underlying shares, instruments based on the underlying shares, volatility and other factors including current and expected
interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at
which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the Trigger PLUS?
In determining the economic terms of the Trigger PLUS, including
the leverage factor, the trigger levels 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
Trigger PLUS would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the Trigger PLUS?
The price at which MS & Co. purchases the Trigger PLUS in
the secondary market, absent changes in market conditions, including those related to the underlying shares, may vary from, and
be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market
credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and
other factors. However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS
are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co.
may buy or sell the Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the underlying
shares, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We
expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
Trigger PLUS, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Key Investment Rationale
The Trigger PLUS offer exposure to the worst performing underlying
shares. At maturity, if the final share price of
each
of the underlying shares is
greater than
its respective
initial share price, investors will receive the stated principal amount of their investment
plus
leveraged upside performance
of the worst performing underlying shares, subject to the maximum payment at maturity. If the final share price of
either
of the underlying shares is
less than or equal
to its respective initial share price but the final share price of
each
of the underlying shares is
greater than or equal to
its respective trigger level, investors will receive the stated
principal amount of their investment. However, if the final share price of
either
of the underlying shares is
less than
its respective trigger level, investors will be negatively exposed to the full decline in the worst performing
underlying shares and will lose 1% of the stated principal amount for every 1% of decline in the worst performing underlying shares,
without any buffer.
Investors may lose their entire initial investment in the Trigger PLUS. All payments
on the Trigger PLUS are subject to our credit risk.
Leveraged Performance Up to a Cap
|
The Trigger PLUS offer investors an opportunity to receive 150% of the positive return of the worst performing of the underlying shares, subject to the maximum payment at maturity, if
both
underlying shares have appreciated in value.
|
Upside Scenario
|
Both
underlying shares increase in value, and, at maturity, the Trigger PLUS redeem for the stated principal amount of $1,000
plus
150% of the share percent change of the worst performing underlying shares, subject to the maximum payment at maturity of $1,800 per Trigger PLUS (180% of the stated principal amount).
|
Par Scenario
|
The final share price of
either
of the underlying shares is
less than or equal
to its respective initial share price
but
the final share price of
each of the underlying shares
is
greater than or equal to
its respective trigger level. In this case, the payment at maturity will be $1,000 per Trigger PLUS.
|
Downside Scenario
|
The final share price of
either
of the underlying shares
is
less than
its respective trigger level.
In this case, the Trigger PLUS redeem for at least 30% less than
the stated principal amount, and this decrease will be by an amount proportionate to the full decline in the value of the worst
performing underlying shares over the term of the Trigger PLUS. Under these circumstances, the payment at maturity will
be less than 70% of the stated principal amount per Trigger PLUS. For example, if the final share price of the worst performing
underlying shares is 70% less than its initial share price, the Trigger PLUS will be redeemed at maturity for a loss of 70% of
principal at $300.00, or 30% of the stated principal amount.
There is no minimum payment at maturity on the Trigger
PLUS, and you could lose your entire investment.
|
Because the payment at maturity of the Trigger PLUS is based
on the worst performing of the underlying shares, a decline in
either
of the underlying shares beyond its respective trigger
level will result in a significant loss of your investment even if the other underlying shares have appreciated or have not declined
as much.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the payment at maturity on the Trigger PLUS. The following examples are for illustrative purposes only. The
actual initial share price and trigger level for each of the underlying shares are set forth on the cover page of this document. Any
payment at maturity on the Trigger PLUS is subject to our credit risk. The below examples are based on the following
terms:
Stated principal amount:
|
$1,000 per Trigger PLUS
|
Leverage factor:
|
150%
|
Hypothetical initial share price:
|
With respect to the GDX Shares: $25
With respect to the GDXJ Shares: $35
|
Hypothetical trigger level:
|
With respect to the GDX Shares: $17.50
With respect to the GDXJ Shares: $24.50
|
Maximum payment at maturity:
|
$1,800 per Trigger PLUS (180% of the stated principal amount)
|
EXAMPLE 1: The final share price of each of the underlying
shares is greater than its respective initial share price.
Final share price
|
|
GDX Shares: $27.50
|
|
|
GDXJ Shares: $49
|
Share percent change
|
|
GDX Shares: ($27.50 – $25) / $25 = 10%
GDXJ Shares: ($49 – $35) / $35 = 40%
|
Payment at maturity
|
=
|
$1,000 + ($1,000 × leverage factor × share percent change of the worst performing underlying shares), subject to the maximum payment at maturity
|
|
=
|
$1,000 + ($1,000 × 150% × 10%), subject to the maximum payment at maturity
|
|
=
|
$1,150
|
|
|
|
In example 1, the final share prices of both the GDX Shares and
the GDXJ Shares are greater than their initial share prices. The GDX Shares have appreciated by 10% while the GDXJ Shares
have appreciated by 40%. Therefore, investors receive at maturity the stated principal amount
plus
150% of the
appreciation of the worst performing underlying shares, which are the GDX Shares in this example. Investors receive
$1,150 per Trigger PLUS at maturity.
EXAMPLE 2: Both underlying shares appreciate significantly
above their respective initial share prices, and so investors receive only the maximum payment at maturity.
Final share price
|
|
GDX Shares: $50
|
|
|
GDXJ Shares: $66.50
|
Share percent change
|
|
GDX Shares: ($50 – $25) / $25 = 100%
GDXJ Shares: ($66.50 – $35) / $35 = 90%
|
Payment at maturity
|
=
|
$1,000 + ($1,000 × leverage factor × share percent change of the worst performing underlying shares), subject to the maximum payment at maturity
|
|
=
|
$1,000 + ($1,000 × 150% × 90%), subject to the maximum payment at maturity
|
|
=
|
maximum payment at maturity of $1,800 per Trigger PLUS
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
In example 2, the final share prices of both the GDX Shares and
the GDXJ Shares are greater than their initial share prices. The GDX Shares have appreciated by 100% while the GDXJ
Shares have appreciated by 90%. Therefore, investors receive at maturity the stated principal amount
plus
150%
of the appreciation of the worst performing underlying shares, subject to the maximum payment at maturity of $1,800 per Trigger
PLUS. Under the terms of the Trigger PLUS, investors will realize the maximum payment at maturity at a final share price of the
worst performing underlying shares of approximately 153.33% of its respective initial share price. Therefore, in this example,
investors receive only the maximum payment at maturity of $1,800 per stated principal amount, even though both underlying shares
have appreciated significantly.
EXAMPLE 3: The final share price of one of the underlying
shares is greater than its respective initial share price while the final share price of the other underlying shares is less than
its respective initial share price and trigger level.
Final share price
|
|
GDX Shares: $27.50
|
|
|
GDXJ Shares: $17.50
|
Share percent change
|
|
GDX Shares: ($27.50 – $25) / $25 = 10%
GDXJ Shares: ($17.50 – $35) / $35 = -50%
|
Share performance factor
|
|
GDX Shares: $27.50 / $25 = 110%
GDXJ Shares: $17.50 / $35 = 50%
|
Payment at maturity
|
=
|
$1,000 × share performance factor of the worst performing underlying shares
|
|
=
|
$1,000 × 50%
|
|
=
|
$500
|
|
|
|
In example 3, the final share price of the GDX Shares is greater
than its respective initial share price, while the final share price of the GDXJ Shares is less than its respective initial share
price and trigger level. While the GDX Shares have appreciated by 10%, the GDXJ Shares have declined by 50%. Therefore,
investors are exposed to the negative performance of the GDXJ Shares, which are the worst performing underlying shares in this
example, and receive a payment at maturity of $500. In this example, investors are exposed to the negative performance
of the worst performing underlying shares even though the other underlying shares have appreciated in value by 10%, because the
final share price of each of the underlying shares is not greater than or equal to its respective trigger level.
EXAMPLE 4
:
The final share price of each of the underlying
shares is less than its respective trigger level.
Final share price
|
|
GDX Shares: $7.50
|
|
|
GDXJ Shares: $14
|
Share percent change
|
|
GDX Shares: $7.50 – $25) / $25 = -70%
GDXJ Shares: ($14 – $35) / $35 = -60%
|
Share performance factor
|
|
GDX Shares: $7.50 / $25 = 30%
GDXJ Shares: $14 / $35 = 40%
|
Payment at maturity
|
=
|
$1,000 × (share performance factor of the worst performing underlying shares)
|
|
=
|
$1,000 × 30%
|
|
=
|
$300
|
|
|
|
In example 4, the final share prices of both the GDX Shares and
the GDXJ Shares are less than their respective trigger levels. The GDX Shares have declined by 70% while the GDXJ Shares
have declined by 60%. Therefore, investors are exposed to the negative performance of the GDX Shares, which are the
worst performing underlying shares in this example, and receive a payment at maturity of $300.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Because the payment at maturity of the Trigger PLUS is based
on the worst performing of the underlying shares, a decline in either of the underlying shares beyond its respective trigger level
will result in a significant loss of your investment even if the other underlying shares have appreciated or have not declined
as much.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Trigger PLUS. For further discussion of these and other risks, you should read the section
entitled “Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. We
also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Trigger
PLUS.
|
§
|
The Trigger PLUS do not pay interest or guarantee
the return of any principal.
The terms of the Trigger PLUS differ from those of ordinary debt securities in that
the Trigger PLUS do not pay interest or guarantee the payment of any principal amount at maturity. If the final share
price of
either
of the underlying shares is
less than
its respective trigger level, the payment at maturity will
be an amount in cash that is at least 30% less than the $1,000 stated principal amount of each Trigger PLUS, and this decrease
will be by an amount proportionate to the full amount of the decline in the value of the worst performing underlying shares over
the term of the Trigger PLUS, without any buffer.
There is no minimum payment at maturity on the Trigger PLUS, and,
accordingly, you could lose your entire initial investment in the Trigger PLUS.
|
|
§
|
The appreciation potential
of the Trigger PLUS is limited by the maximum payment at maturity.
The appreciation potential of the Trigger PLUS
is limited by the maximum payment at maturity of $1,800 per Trigger PLUS, or 180% of the stated principal amount. Although the
leverage factor provides 150% exposure to any increase in the final share price of the worst performing underlying shares over
its initial share price, because the payment at maturity will be limited to 180% of the stated principal amount for the Trigger
PLUS, any increase in the final share price of the worst performing underlying shares over its initial share price by more than
approximately 53.33% of its initial share price will not further increase the return on the Trigger PLUS.
|
|
§
|
You are exposed to the price risk of both underlying
shares.
Your return on the Trigger PLUS it not linked to a basket consisting of both underlying shares. Rather,
it will be based upon the independent performance of each of the underlying shares. Unlike an instrument with a return
linked to a basket of underlying assets in which risk is mitigated and diversified among all the components of the basket, you
will be exposed to the risks related to both underlying shares. Poor performance by either of the underlying shares
over the term of the Trigger PLUS will negatively affect your return and will not be offset or mitigated by any positive performance
by the other underlying shares. If either of the underlying shares declines to below its respective trigger level as
of the valuation date, you will be exposed to the negative performance of the worst performing underlying shares at maturity, and
you will lose a significant portion or all of your investment, even if the other underlying shares have appreciated or have not
declined as much. Accordingly, your investment is subject to the price risk of both underlying shares.
|
|
§
|
Investing in the Trigger PLUS exposes investors
to risks associated with investments in securities with a concentration in the gold and silver mining industry.
The
Trigger PLUS are subject to certain risks applicable to the gold and silver mining industry. The stocks included in
the NYSE Arca Gold Miners Index and the MVIS
®
Global Junior Gold Miners Index and that are generally tracked by
the GDX Shares and GDXJ Shares are stocks of companies primarily engaged in the mining of gold or silver. The underlying
shares may be subject to increased price volatility as they are linked to a single industry, market or sector and may be more susceptible
to adverse economic, market, political or regulatory occurrences affecting that industry, market or sector.
|
Because the GDX Shares and GDXJ Shares primarily invest
in stocks, American Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) of companies that
are involved in the gold mining industry, they are subject to certain risks associated with such companies.
Competitive pressures may have a significant effect
on the financial condition of companies in the gold mining industry. Also, gold mining companies are highly dependent
on the price of gold. Gold prices are subject to volatile price movements over short periods of time and are affected
by numerous factors. These include economic factors, including, among other things, the structure of and confidence
in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S.
dollar (the currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and
global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may also be affected
by industry factors such as industrial and
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
jewelry demand, lending, sales and purchases of gold
by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold,
levels of gold production and production costs, and short-term changes in supply and demand because of trading activities in the
gold market.
The GDX Shares and GDXJ Shares invest to a lesser
extent in stocks, ADRs and GDRs of companies involved in the silver mining industry. Silver mining companies are highly
dependent on the price of silver. Silver prices can fluctuate widely and may be affected by numerous factors. These
include general economic trends, technical developments, substitution issues and regulation, as well as specific factors including
industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the
currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales
by producers, global or regional political or economic events, and production costs and disruptions in major silver producing countries
such as Mexico and Peru. The supply of silver consists of a combination of new mine production and existing stocks of
bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations and private
individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative
activities. From time to time, above-ground inventories of silver may also influence the market.
|
§
|
The prices of the GDX Shares and the GDXJ Shares
are subject to currency exchange risk.
Because the prices of the GDX Shares and GDXJ Shares are related to the U.S. dollar
value of stocks underlying the NYSE Arca Gold Miners Index and the MVIS
®
Global Junior Gold Miners Index, respectively,
holders of the Trigger PLUS will be exposed to currency exchange rate risk with respect to the currencies in which such component
securities trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors including
the supply of, and the demand for, those currencies, as well as relevant government policy, intervention or actions, but are also
influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative
actions related to the relevant region. An investor’s net exposure will depend on the extent to which the currencies of the
component securities strengthen or weaken against the U.S. dollar and the relative weight of each currency. If, taking into account
such weighting, the dollar strengthens against the currencies of the component securities represented in the NYSE Arca Gold Miners
Index or the MVIS
®
Global Junior Gold Miners Index, the price of the relevant underlying shares will be adversely
affected.
|
|
§
|
The Trigger PLUS are linked to the VanEck Vectors
®
Junior Gold Miners ETF and are subject to risks associated with small-capitalization companies.
As the VanEck Vectors
®
Junior Gold Miners ETF is one of the underlying shares, and the VanEck Vectors
®
Junior Gold Miners ETF consists
of shares issued by companies with relatively small market capitalization, the Trigger PLUS are linked to the value of small-capitalization
companies. These companies often have greater share price volatility, lower trading volume and less liquidity than large-capitalization
companies and therefore the VanEck Vectors
®
Junior Gold Miners ETF may be more volatile than funds that consist
of shares issued by large-capitalization companies. Share prices of small-capitalization companies are also more vulnerable than
those of large-capitalization companies to adverse business and economic developments, and the shares of small-capitalization companies
may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially
than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel.
Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer
financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments
related to their products.
|
|
§
|
The market price will be influenced by many unpredictable
factors.
Several factors will influence the value of the Trigger PLUS in the secondary market and the price at which
MS & Co. may be willing to purchase or sell the Trigger PLUS in the secondary market, including the value, volatility and dividend
yield of the underlying shares, interest and yield rates, time remaining to maturity, geopolitical conditions and economic, financial,
political and regulatory or judicial events and any actual or anticipated changes in our credit ratings or credit spreads. The
levels of the underlying shares may be, and have recently been, extremely volatile, and we can give you no assurance that the volatility
will lessen. See “VanEck Vectors
®
Gold Miners ETF Overview” and “VanEck Vectors
®
Junior Gold Miners ETF Overview” below. You may receive less, and possibly significantly less, than the stated
principal amount per Trigger PLUS if you try to sell your Trigger PLUS prior to maturity.
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
|
§
|
The Trigger PLUS are subject to our credit risk,
and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the Trigger
PLUS.
You are dependent on our ability to pay all amounts due on the Trigger PLUS at maturity and therefore you
are subject to our credit risk. If we default on its obligations under the Trigger PLUS, your investment would be at
risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS prior to maturity
will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in
our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect
the market value of the Trigger PLUS.
|
|
§
|
As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
As a finance subsidiary, MSFL has no independent operations beyond
the issuance and administration of its securities and will have no independent assets available for distributions to holders of
MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly,
any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee
will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse
only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly
assume that in any such proceedings they would not have any priority over and should be treated
pari passu
with the claims
of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.
|
|
§
|
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 factors 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 an adjustment factor, the market price of the Trigger PLUS may be materially and adversely affected.
|
|
§
|
The amount payable on the Trigger PLUS is not linked
to the values of the underlying shares at any time other than the valuation date.
The final share price of each
of the underlying shares will be based on the closing price of such index on the valuation date, subject to adjustment for non-trading
days and certain market disruption events. Even if both underlying shares appreciate prior to the valuation date but
the value of
either
of the underlying shares drops by the valuation date to below its respective trigger level, the payment
at maturity will be significantly less than it would have been had the payment at maturity been linked to the values of the underlying
shares prior to such drop. Although the actual values of the underlying shares on the stated maturity date or at other
times during the term of the Trigger PLUS may be higher than their respective trigger levels, the payment at maturity will be based
solely on the closing prices on the valuation date.
|
|
§
|
Investing in the Trigger PLUS is not equivalent
to investing in the underlying shares or the stocks composing the share underlying indices.
Investing in the Trigger PLUS is
not equivalent to investing in the underlying shares, the share underlying indices or the stocks that constitute the share underlying
indices. Investors in the Trigger PLUS will not have voting rights or rights to receive dividends or other distributions or any
other rights with respect to the underlying shares or the stocks that constitute the share underlying indices.
|
|
§
|
Adjustments to the underlying shares or the indices
tracked by the underlying shares could adversely affect the value of the Trigger PLUS.
The investment advisor to
each of the underlying shares, VanEck Associates Corporation (“VanEck”), seeks investment results that correspond generally
to the price and yield performance, before fees and expenses, of the relevant share underlying indices. Pursuant to its investment
strategy or otherwise, the investment advisor may add, delete or substitute the stocks composing the respective underlying shares.
Any of these actions could adversely affect the price of the respective underlying shares and, consequently, the value of the Trigger
PLUS. The publisher of each of the share underlying indices is responsible for calculating and maintaining the relevant share underlying
index. The publisher may add, delete or substitute the securities constituting the relevant share underlying index or make other
methodological changes that could change the value of the relevant share underlying index, and, consequently, the price of the
relevant underlying shares and the value of the Trigger PLUS. The publisher of a share underlying index may discontinue or suspend
calculation or publication of such share underlying index at any time. In these circumstances, the calculation agent will have
the sole discretion to substitute a successor index that is
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
comparable to the discontinued share underlying index
and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.
|
§
|
The performance and market price of any of the
underlying shares, particularly during periods of market volatility, may not correlate with the performance of its respective share
underlying index, the performance of the component securities of such share underlying index or the net asset value per share of
such underlying shares.
The underlying shares do not fully replicate their respective share underlying indices, and each may
hold securities that are different than those included in its respective share underlying index. In addition, the performance
of each of the underlying shares will reflect additional transaction costs and fees that are not included in the calculation of
the share underlying indices. All of these factors may lead to a lack of correlation between the performance of each
of the underlying shares and its respective share underlying index. In addition, corporate actions (such as mergers
and spin-offs) with respect to the equity securities underlying each of the underlying shares may impact the variance between the
performance of each of the underlying shares and its respective share underlying index. Finally, because the shares
of each 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 each of the underlying shares may differ from the net asset value per share of such underlying shares.
|
In particular, during periods of market volatility,
or unusual trading activity, trading in the Trigger PLUS underlying each of the underlying shares may be disrupted or limited,
or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of each underlying
shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of each
of the underlying shares, and their ability to create and redeem shares of each of the underlying shares may be disrupted. Under
these circumstances, the market price of shares of each of the underlying shares may vary substantially from the net asset value
per share of each underlying share or the level of its respective share underlying index.
For all of the foregoing reasons, the performance
of each of the underlying shares may not correlate with the performance of its respective share underlying index, the performance
of the component securities of such share underlying index or the net asset value per share of such underlying shares. Any
of these events could materially and adversely affect the prices of each of the underlying shares and, therefore, the value of
the Trigger PLUS. Additionally, if market volatility or these events were to occur on the valuation 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 Trigger PLUS. If the calculation agent determines
that no market disruption event has taken place, the payment at maturity would be based solely on the published closing price per
share of each of the underlying shares on the valuation date, even if any of the underlying shares is underperforming its respective
share underlying index or the component securities of such share underlying index and/or trading below the net asset value per
share of such underlying shares.
|
§
|
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
Trigger PLUS in the original issue price reduce the economic terms of the Trigger PLUS, cause the estimated value of the Trigger
PLUS to be less than the original issue price and will adversely affect secondary market prices.
Assuming no change
in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing
to purchase the Trigger PLUS in secondary market transactions will likely be significantly lower than the original issue price,
because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the
original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads
and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.
|
The inclusion of the costs of issuing, selling, structuring
and hedging the Trigger PLUS in the original issue price and the lower rate we are willing to pay as issuer make the economic terms
of the Trigger PLUS less favorable to you than they otherwise would be.
However, because the costs associated with issuing,
selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 6 months following
the issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market
conditions, including those related to the
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
underlying shares, and to our secondary market credit
spreads, it would do so based on values higher than the estimated value, and we expect that those higher values will also be reflected
in your brokerage account statements.
|
§
|
The estimated value of the Trigger PLUS is determined
by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum
secondary market price.
These pricing and valuation models are proprietary and rely in part on subjective views
of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result,
because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the
Trigger PLUS than those generated by others, including other dealers in the market, if they attempted to value the Trigger PLUS. In
addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS
& Co., would be willing to purchase your Trigger PLUS in the secondary market (if any exists) at any time. The value
of your Trigger PLUS at any time after the date of this document will vary based on many factors that cannot be predicted with
accuracy, including our creditworthiness and changes in market conditions. See also “The market price will be
influenced by many unpredictable factors” above.
|
|
§
|
The Trigger PLUS will not be listed on any securities
exchange and secondary trading may be limited.
The Trigger PLUS will not be listed on any securities exchange. Therefore,
there may be little or no secondary market for the Trigger PLUS. MS & Co. may, but is not obligated to, make a market
in the Trigger PLUS and, if it once chooses to make a market, may cease doing so at any time. When it does make a market,
it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value
of the Trigger PLUS, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the
proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will
be able to resell the Trigger PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate significantly in the secondary
market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend on the price, if
any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the
Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be
willing to hold your Trigger PLUS to maturity.
|
|
§
|
Hedging and trading activity by our affiliates
could potentially adversely affect the value of the Trigger PLUS.
One or more of our affiliates and/or third-party
dealers have carried out, and will continue to carry out, hedging activities related to the Trigger PLUS (and possibly to other
instruments linked to the underlying shares and the share underlying indices), including trading in the stocks that constitute
the underlying shares. As a result, these entities may be unwinding or adjusting hedge positions during the term of
the Trigger PLUS, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation
date approaches. Some of our affiliates also trade the underlying shares and other financial instruments related to the underlying
shares and the share underlying indices on a regular basis as part of their general broker-dealer and other businesses. Any
of these hedging or trading activities on or prior to the pricing date could have increased the initial share price of either of
the underlying shares, and, therefore, could have increased the value at or above which such underlying shares must close on the
valuation date so that investors do not suffer a significant loss on their initial investment in the Trigger PLUS (depending also
on the performance of the other underlying shares). Additionally, such hedging or trading activities during the term
of the Trigger PLUS, including on the valuation date, could adversely affect the value of either of the underlying shares on the
valuation date, and, accordingly, the amount of cash an investor will receive at maturity, if any (depending also on the performance
of the other underlying shares).
|
|
§
|
The calculation agent, which is a subsidiary of
Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Trigger PLUS.
As calculation
agent, MS & Co. has determined the initial share prices and the trigger levels, will determine the final share prices, including
whether either of the underlying shares have decreased to below the respective trigger level, whether a market disruption event
has occurred and whether to make any adjustments to the adjustment factors, and will calculate the amount of cash you receive at
maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require
it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption
events or calculation of the final share price in the event of a market disruption event. These potentially subjective determinations
may adversely affect the payout to you at maturity, if any. For further information regarding
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
these types of determinations, see “Description
of PLUS—Postponement of Valuation Date(s),” “—Alternate Exchange Calculation in case of an Event of Default”
and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS
& Co. has determined the estimated value of the Trigger PLUS on the pricing date.
|
§
|
The U.S. federal income tax consequences of an
investment in the Trigger PLUS are uncertain.
Please read the discussion under “Additional Information—Tax
considerations” in this document and the discussion under “United States Federal Taxation” in the accompanying
product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences
of an investment in the Trigger PLUS. As discussed in the Tax Disclosure Sections, there is a substantial risk that
the “constructive ownership” rule could apply, in which case all or a portion of any long-term capital gain recognized
by a U.S. Holder could be recharacterized as ordinary income and an interest charge could be imposed. If the Internal
Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income
on the Trigger PLUS might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example, under
one possible treatment, the IRS could seek to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders
would be required to accrue into income original issue discount on the Trigger PLUS every year at a “comparable yield”
determined at the time of issuance and recognize all income and gain in respect of the Trigger PLUS as ordinary income. Additionally,
as discussed under “United States Federal Taxation—FATCA” in the accompanying product supplement for PLUS, the
withholding rules commonly referred to as “FATCA” would apply to the Trigger PLUS if they were recharacterized as debt
instruments. However, recently proposed regulations (the preamble to which specifies that taxpayers are permitted to
rely on them pending finalization) eliminate the withholding requirement on payments of gross proceeds of a taxable disposition
(other than amounts treated as interest). The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the Trigger PLUS, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS
regarding the tax treatment of the Trigger PLUS, and the IRS or a court may not agree with the tax treatment described in the Tax
Disclosure Sections.
|
In 2007, the U.S. Treasury Department and the IRS
released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar
instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income
or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance
of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, as
discussed in this document. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect
the tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS,
including possible alternative treatments, the potential application of the constructive ownership rule, the issues presented by
this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
VanEck Vectors
®
Gold Miners ETF
Overview
The VanEck Vectors Gold Miners ETF is an exchange-traded fund
managed by VanEck, a registered investment company that seeks investment results that correspond generally to the price and yield
performance, before fees and expenses, of the NYSE Arca Gold Miners Index.
VanEck Vectors
®
ETF Trust (the “Trust”) is an investment portfolio managed by VanEck.
Information provided to or filed with
the Commission by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference
to Commission file numbers 333-123257 and 811-10325, respectively, through the Commission’s website at www.sec.gov. In addition,
information may be obtained from other publicly available sources.
Neither the issuer nor the agent makes any representation
that any such publicly available information regarding the VanEck Vectors
®
Gold Miners ETF is accurate or complete.
Information as of market close on July 19, 2019:
Bloomberg Ticker Symbol:
|
GDX
|
Current Share Price:
|
$27.98
|
52 Weeks Ago:
|
$21.58
|
52 Week High (on 7/18/2019):
|
$28.25
|
52 Week Low (on 9/11/2018):
|
$17.57
|
|
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the GDX Shares for each quarter from January 1, 2014 through July 19,
2019. The closing price of the GDX Shares on July 19, 2019 was $27.98. We obtained the information in the table and
graph below from Bloomberg Financial Markets, without independent verification. The GDX Shares have at times experienced
periods of high volatility, and you should not take the historical values of the GDX Shares as an indication of future performance.
VanEck Vectors
®
Gold Miners ETF (CUSIP: 5706U100)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
27.73
|
21.27
|
23.60
|
Second Quarter
|
26.45
|
22.04
|
26.45
|
Third Quarter
|
27.46
|
21.35
|
21.35
|
Fourth Quarter
|
21.94
|
16.59
|
18.38
|
2015
|
|
|
|
First Quarter
|
22.94
|
17.67
|
18.24
|
Second Quarter
|
20.82
|
17.76
|
17.76
|
Third Quarter
|
17.85
|
13.04
|
13.74
|
Fourth Quarter
|
16.90
|
13.08
|
13.72
|
2016
|
|
|
|
First Quarter
|
20.86
|
12.47
|
19.98
|
Second Quarter
|
27.70
|
19.53
|
27.70
|
Third Quarter
|
31.32
|
25.45
|
26.43
|
Fourth Quarter
|
25.96
|
18.99
|
20.92
|
2017
|
|
|
|
First Quarter
|
25.57
|
21.14
|
22.81
|
Second Quarter
|
24.57
|
21.1
|
22.08
|
Third Quarter
|
25.49
|
21.21
|
22.96
|
Fourth Quarter
|
23.84
|
21.42
|
23.24
|
2018
|
|
|
|
First Quarter
|
24.60
|
21.27
|
21.98
|
Second Quarter
|
23.06
|
21.81
|
22.31
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
VanEck Vectors
®
Gold Miners ETF (CUSIP: 5706U100)
|
High ($)
|
Low ($)
|
Period End ($)
|
Third Quarter
|
22.68
|
17.57
|
18.52
|
Fourth Quarter
|
21.09
|
18.39
|
21.09
|
2019
|
|
|
|
First Quarter
|
23.36
|
20.31
|
22.42
|
Second Quarter
|
26.17
|
20.17
|
25.56
|
Third Quarter (through July 19, 2019)
|
28.25
|
24.58
|
27.98
|
|
|
|
|
GDX Shares Daily Closing Prices
January 1, 2014 to July 19, 2019
|
|
This document relates only to the Trigger PLUS referenced
hereby and does not relate to the GDX Shares. We have derived all disclosures contained in this document regarding the Trust from
the publicly available documents described above. In connection with the offering of the Trigger PLUS, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither we nor
the agent makes any representation that such publicly available documents or any other publicly available information regarding
the Trust 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 GDX Shares (and therefore the price of the GDX Shares at the time we priced the Trigger PLUS) have
been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events
concerning the Trust could affect the value received with respect to the Trigger PLUS and therefore the value of the Trigger PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the GDX Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to the Trust, 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 GDX Shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the Trigger PLUS under the securities laws. As
a purchaser of the Trigger PLUS, you should
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
undertake an independent investigation of the Trust as in your
judgment is appropriate to make an informed decision with respect to an investment linked to the GDX Shares.
The Trigger PLUS are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust makes no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding
the advisability of investing in the Trigger PLUS. The Trust has no obligation or liability in connection with the operation, marketing,
trading or sale of the Trigger PLUS.
The Trigger PLUS are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust make no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding
the advisability of investing in the Trigger PLUS. The Trust has no obligation or liability in connection with the operation, marketing,
trading or sale of the Trigger PLUS.
The NYSE Arca Gold Miners Index.
The
NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies involved
primarily in the mining of gold and silver. The NYSE Arca Gold Miners Index includes common stocks, American depositary receipts
or global depositary receipts of selected companies involved in the mining for gold and silver ore and are listed for trading and
electronically quoted on a major stock market that is accessible by foreign investors. For additional information about the NYSE
Arca Gold Miners Index, please see the information set forth under “NYSE Arca Gold Miners Index” in the accompanying
index supplement.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
VanEck Vectors
®
Junior Gold Miners
ETF Overview
The VanEck Vectors
®
Junior Gold Miners ETF is an exchange-traded fund that seeks to provide investment results that correspond generally to the price
and yield performance, before fees and expenses, of publicly traded small-capitalization companies involved primarily in the mining
of gold or silver, as measured by the
MVIS
®
Global Junior Gold Miners
Index. VanEck Vectors
®
ETF Trust (the “Trust”) is an investment portfolio managed by VanEck. Information
provided to or filed with the Securities and Exchange Commission (the “Commission”) by the Trust pursuant
to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-123257
and 811-10325, respectively, through the Commission’s website at
www.sec.gov. In
addition, information may be obtained from other publicly available sources.
Neither the issuer nor the agent makes
any representation that such publicly available documents or any other publicly available information regarding the VanEck Vectors
®
Junior Gold Miners ETF is accurate or complete
.
Information as of market close on July 19, 2019:
Bloomberg Ticker Symbol:
|
GDXJ
|
Current Share Price:
|
$39.49
|
52 Weeks Ago:
|
$31.86
|
52 Week High (on 7/18/2019):
|
$39.93
|
52 Week Low (on 11/13/2018):
|
$26.17
|
|
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the GDXJ Shares for each quarter from January 1, 2014 through July 19,
2019. The closing price of the GDXJ Shares on July 19, 2019 was $39.49. We obtained the information in the table and
graph below from Bloomberg Financial Markets, without independent verification. The GDXJ Shares have at times experienced
periods of high volatility, and you should not take the historical values of the GDXJ Shares as an indication of future performance.
VanEck Vectors
®
Junior Gold Miners ETF (CUSIP: 92189F791)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
44.83
|
31.09
|
36.13
|
Second Quarter
|
43.07
|
33.10
|
42.26
|
Third Quarter
|
45.51
|
33.62
|
33.62
|
Fourth Quarter
|
34.46
|
21.47
|
23.93
|
2015
|
|
|
|
First Quarter
|
30.10
|
21.29
|
22.74
|
Second Quarter
|
26.71
|
23.62
|
24.15
|
Third Quarter
|
23.84
|
18.31
|
19.59
|
Fourth Quarter
|
23.34
|
18.6
|
19.21
|
2016
|
|
|
|
First Quarter
|
28.71
|
17.09
|
27.85
|
Second Quarter
|
42.62
|
27.50
|
42.62
|
Third Quarter
|
51.68
|
41.77
|
44.29
|
Fourth Quarter
|
43.54
|
28.18
|
31.55
|
2017
|
|
|
|
First Quarter
|
42.29
|
32.98
|
35.98
|
Second Quarter
|
38.04
|
29.65
|
33.38
|
Third Quarter
|
37.68
|
31.29
|
33.59
|
Fourth Quarter
|
34.97
|
30.04
|
34.13
|
2018
|
|
|
|
First Quarter
|
35.74
|
30.63
|
32.15
|
Second Quarter
|
34.10
|
31.90
|
32.70
|
Third Quarter
|
33.51
|
26.44
|
27.36
|
Fourth Quarter
|
30.22
|
26.17
|
30.22
|
Morgan Stanley Finance LLC
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Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
VanEck Vectors
®
Junior Gold Miners ETF (CUSIP: 92189F791)
|
High ($)
|
Low ($)
|
Period End ($)
|
2019
|
|
|
|
First Quarter
|
34.41
|
29.33
|
31.73
|
Second Quarter
|
35.60
|
27.95
|
34.96
|
Third Quarter (through July 19, 2019)
|
39.93
|
33.23
|
39.49
|
|
|
|
|
GDXJ Shares Daily Closing Prices
January 1, 2014 to July 19, 2019
|
|
This document relates only to the Trigger PLUS referenced
hereby and does not relate to the GDXJ Shares. We have derived all disclosures contained in this document regarding the Trust from
the publicly available documents described above. In connection with the offering of the Trigger PLUS, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither we nor
the agent makes any representation that such publicly available documents or any other publicly available information regarding
the Trust 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 GDXJ Shares (and therefore the price of the GDXJ Shares at the time we priced the Trigger PLUS)
have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future
events concerning the Trust could affect the value received with respect to the Trigger PLUS and therefore the value of the Trigger
PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the GDXJ Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to the Trust, 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 GDXJ Shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the Trigger PLUS under the securities laws. As
a purchaser of the Trigger PLUS, you should undertake an independent investigation of the Trust as in your judgment is appropriate
to make an informed decision with respect to an investment linked to the GDXJ Shares.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
The Trigger PLUS are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust makes no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding
the advisability of investing in the Trigger PLUS. The Trust has no obligation or liability in connection with the operation, marketing,
trading or sale of the Trigger PLUS.
The Trigger PLUS are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust make no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding
the advisability of investing in the Trigger PLUS. The Trust has no obligation or liability in connection with the operation, marketing,
trading or sale of the Trigger PLUS.
MVIS
®
Global Junior Gold Miners Index.
The MVIS
®
Global Junior
Gold Miners Index is a modified market capitalization-based index intended to track the performance of the most liquid small-capitalization
companies in the global gold and silver mining industry. As of July 19, 2019, the MVIS
®
Global Junior Gold Miners
Index included 66 component stocks in the materials industry.
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|
Additional Terms of the Trigger PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Share underlying indices:
|
With respect to the GDX Shares, the NYSE Arca Gold Miners Index
With respect to the GDXJ Shares, the MVIS
®
Global Junior Gold Miners Index
|
Share underlying index publishers:
|
With respect to the GDX Shares, NYSE Arca, or any successor thereof.
With respect to the GDXJ Shares, MVIS
®
Investable Indices, or any successor thereof.
|
Denominations:
|
$1,000 per Trigger PLUS and integral multiples thereof
|
Postponement of maturity date:
|
If the scheduled valuation date is not a trading day with respect to either of the underlying shares or if a market disruption event occurs with respect to either of the underlying shares on that day so that the valuation date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the second business day following the latest valuation date as postponed with respect to either of the underlying shares.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
MS & Co.
|
Issuer notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which
the maturity date has been rescheduled (i) to each registered holder of the Trigger PLUS by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New
York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing
such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder
of the Trigger PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder,
whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible,
and in no case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding
the scheduled maturity date and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business
day immediately following the actual valuation date.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, if any, to be delivered with respect to the Trigger PLUS, on or prior to 10:30 a.m. (New York City time) on the business
day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to the Trigger PLUS, if any, to the
trustee for delivery to the depositary, as holder of the Trigger PLUS, on the maturity date.
|
Morgan Stanley Finance LLC
|
Trigger PLUS Based on the Value of Worst Performing of the VanEck Vectors
®
Gold Miners ETF and the VanEck Vectors
®
Junior Gold Miners ETF due July 22, 2022
Trigger Performance Leveraged Upside Securities
SM
Principal at Risk Securities
|