The 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 product supplement and prospectus, as supplemented and modified by this document.
At maturity, we will pay per note the stated principal amount of $10 plus a supplemental redemption amount, if any, based on the
value of the underlying index on the determination date. The Morgan Stanley ETF-MAP 2 Index employs a rules-based quantitative
strategy, which uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns
for a given level of risk, as described more fully below. The underlying index is comprised of three sub-indices. The potential
components of each sub-index consist of U.S.-listed exchange-traded funds (ETFs), representing U.S. and non-U.S. equities, fixed
income securities, commodities and real estate, and the Morgan Stanley Two Year Treasury Index. Each sub-index is calculated on
an excess return basis, and therefore the respective level of each sub-index is determined by the weighted return of the optimized
portfolio of index components for such sub-index reduced by the return on an equivalent cash investment receiving the Federal
Funds rate. Each sub-index is rebalanced once per month according to a pre-determined schedule. Each sub-index is rebalanced using
the same methodology, but at different times of each month. Each monthly rebalancing for a sub-index is based on the index methodology,
which seeks to determine the asset portfolio that had the maximum historical return with 5% annualized volatility during the prior
63-business day period. There is also a daily adjustment to the allocation between the asset portfolio and cash component based
on the overall volatility of the asset portfolio. A servicing cost of 0.50% per annum, calculated on a daily basis, is deducted
when calculating the level of the index. For more information, see “Underlying Index” beginning on page 12. An investment
linked to the index involves risks. See “Risk Factors – There are risks related to the index” beginning on page
6. The notes are for investors who are concerned about principal risk but seek exposure to a multiple asset-linked index, who
are willing to accept that the underlying index’s volatility target feature may reduce upside performance in bullish markets,
and who are willing to forgo current income in exchange for the repayment of principal at maturity plus the potential to receive
a supplemental redemption amount, if any. The notes are notes issued as part of MSFL’s Series A Global Medium-Term Notes
program.
SUMMARY TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Issue price:
|
$10 per note (see “Commissions and issue price” below)
|
Stated principal amount:
|
$10 per note
|
Aggregate principal amount:
|
$
|
Pricing date:
|
August 30, 2019
|
Original issue date:
|
September 5, 2019 (3 business days after the pricing date)
|
Maturity date:
|
September 6, 2023
|
Interest:
|
None
|
Underlying index:
|
Morgan Stanley ETF-MAP 2 Index
|
Payment at maturity:
|
The payment due at maturity per $10 stated principal
amount will equal:
$10 + supplemental redemption amount, if
any.
The payment due at maturity will not be less than
$10 per note regardless of the performance of the underlying index.
|
Supplemental redemption amount:
|
(i) $10
times
(ii) the index percent change
times
(iii) the participation rate,
provided that
the supplemental redemption amount will not be less than $0.
|
Participation rate:
|
125%
|
Maximum payment at maturity:
|
None
|
Index percent change:
|
(final index value – initial index value) / initial index value
|
Initial index value:
|
, which is the index closing value on the pricing date
|
Final index value:
|
The index closing value on the determination date
|
Determination date:
|
August 31, 2023, subject to postponement for non-index business days and certain market disruption events
|
CUSIP:
|
61769Q535
|
ISIN:
|
US61769Q5356
|
Listing:
|
The notes will not be listed on any securities exchange.
|
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 $9.609 per note, or within $0.225 of that estimate. See “Investment Summary” beginning on page 2.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions
|
Proceeds to us
(3)
|
Per note
|
$10
|
$0.25
(1)
|
$9.70
|
|
|
$0.05
(2)
|
|
Total
|
$
|
$
|
$
|
|
(1)
|
Selected dealers, including
Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors
will collectively receive from the agent, MS & Co., a fixed sales commission of $0.25
for each note 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 equity-linked
notes.
|
|
(2)
|
Reflects a structuring
fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05
for each note.
|
|
(3)
|
See “Use of proceeds
and hedging” on page 20.
|
The notes involve risks not
associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 6
.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these notes, or determined if this document or the accompanying product supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The notes are not deposits or savings accounts and are not
insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations
of, or guaranteed by, a bank.
You should read this document together with the related product
supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Terms of
the 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.
Product Supplement for Equity-Linked Notes dated November 16, 2017
Prospectus dated November 16, 2017
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Investment Summary
Market-Linked Notes
The Market-Linked Notes due September 6, 2023 Based on the Value of the Morgan Stanley ETF-MAP 2 Index (the “notes”)
offer 125% participation in any positive performance of the underlying index. The notes provide investors:
|
§
|
an opportunity to gain exposure to the Morgan Stanley ETF-MAP 2 Index
|
|
§
|
the repayment of principal at maturity, subject to our credit risk
|
|
§
|
125% participation in any appreciation of the underlying index over the term of the notes
|
|
§
|
no exposure to any decline of the underlying index if the notes are held to maturity
|
At maturity, if the underlying index has depreciated or has not appreciated at all, you will receive the stated principal
amount of $10 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:
|
Approximately 4 years
|
Participation
rate:
|
125%
|
Interest:
|
None
|
The Morgan Stanley ETF-MAP 2 Index
The Morgan Stanley ETF-MAP 2 Index has been developed by
and is calculated, published and rebalanced by Morgan Stanley & Co. LLC (the “underlying index publisher”). ETF-MAP
stands for “Exchange-Traded Fund – Multi-Asset Portfolio.” The underlying index employs a rules-based quantitative
strategy, which uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns
for a given level of risk. The index is comprised of three sub-indices (each, a “Sub-Index” and together, the “Sub-Indices”).
The potential components of each Sub-Index consist of U.S.-listed exchange traded funds (“ETFs”), representing U.S.
and non-U.S. equities, fixed income securities, commodities and real estate, and the Morgan Stanley Two Year Treasury Index (collectively,
the “Index Components”).
In general, the construction of the asset portfolio for each
Sub-Index is based on the principles of modern portfolio theory and the efficient frontier. The fundamental premise of modern portfolio
theory is that the weighting of assets in an investment portfolio should be based not only on the individual risk and return characteristics
of each asset but also on each asset’s relationship, in terms of correlation, volatility and return, to the other portfolio
components. The efficient frontier represents a set of portfolios constructed using modern portfolio theory concepts, each of which
has a different risk and return profile. An investor choosing a portfolio from the “efficient frontier” should, the
theory says, be maximizing returns for the chosen level of risk.
Each Sub-Index is calculated on an excess return basis, and therefore
the respective level of each Sub-Index is determined by the weighted return of the optimized portfolio of Index Components for
such Sub-Index (each, an “Asset Portfolio”) reduced by the return on an equivalent cash investment receiving the Federal
Funds rate. The level of the index, which is published in respect of each day on which the New York Stock Exchange is open for
trading, tracks the average daily return of the Sub-Indices.
Each Sub-Index is rebalanced once per month according to a pre-determined
schedule (the “Monthly Rebalancing”). Each Sub-Index is rebalanced using the same methodology, but at different times
of each month. The Monthly Rebalancing for each Sub-Index will occur over a period of several trading days (each such trading day,
a “Rebalancing Date”). During each Monthly Rebalancing for a Sub-Index, the index methodology determines the optimal
weightings of each component in the Asset Portfolio for such Sub-Index by analyzing historical returns and volatility for each
Index Component and the historical correlation between each pair of components. In particular, the index methodology seeks to determine
the Asset Portfolio for such Sub-Index that had the maximum historical return with 5% annualized volatility during the prior 63-trading-day
period. The exposure of each Sub-Index to each market sector and the weighting of each Index Component are subject to limits as
outlined below. In addition, there is a “Daily Allocation” for each Sub-Index, based on a 5% volatility target (the
“Volatility Target”) between its respective Asset Portfolio and cash. Accordingly, the exposure of each Sub-Index to
its respective Asset Portfolio will be monitored and adjusted so that it generally equals the Volatility Target divided by the
Realized Volatility (as defined below) of the Asset Portfolio for the relevant Sub-Index. The amount of the reduction in the exposure
to the Asset
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Portfolio for any Sub-Index will be allocated to cash. For each
Sub-Index, the sum of allocations to its respective Asset Portfolio and cash will not exceed 100%.
A
servicing cost of 0.50% per annum, calculated on a daily basis, is deducted when calculating the performance of the underlying
index. Please see “Underlying Index” beginning on page 12 for more information about the underlying index.
The original issue price of each note is $10. 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 $10. We estimate that the value of each note on the pricing date will
be approximately $9.609, or within $0.225 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 underlying index. The estimated value
of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying
index, instruments based on the underlying index, 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, 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.
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 underlying index, 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 underlying index, 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.
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Key Investment Rationale
Market-Linked Notes offer investors exposure
to the performance of the underlying index and provide for the repayment of principal at maturity. They are for investors who
are concerned about principal risk but seek exposure to a multiple asset-linked index, who are willing to accept that the underlying
index’s volatility target feature may reduce upside performance in bullish markets, and who are willing to forgo current
income in exchange for the repayment of principal at maturity plus the potential to receive a supplemental redemption amount,
if any, based on the performance of the underlying index.
The underlying index employs a rules-based
quantitative strategy, which uses modern portfolio theory principles and the related concept of efficient frontier to attempt
to maximize returns for a given level of risk. The index is comprised of three Sub-Indices. The potential components of each Sub-Index
consist of U.S.-listed exchange-traded funds (ETFs), representing U.S. and non-U.S. equities, fixed income securities, commodities
and real estate, and the Morgan Stanley Two Year Treasury Index. Each Sub-Index is calculated on an excess return basis, and therefore
the respective level of each Sub-Index is determined by the weighted return of the optimized portfolio of index components for
such Sub-Index reduced by the return on an equivalent cash investment receiving the Federal Funds rate.
Repayment
of Principal
|
The notes offer investors 125% upside exposure to the performance of the underlying
index, while providing for the repayment of principal in full at maturity, subject to our credit risk.
|
Exposure
to the Morgan Stanley ETF-MAP 2 Index
|
The Morgan Stanley ETF-MAP 2 Index attempts to maximize returns for a given level of risk. ETF-MAP
2 stands for “Exchange Traded Fund – Multi-Asset Portfolio.” The underlying index is comprised of
three Sub-Indices. The potential components of each Sub-Index consist of U.S.-listed exchange-traded funds (ETFs),
representing U.S. and non-U.S. equities, fixed income securities, commodities and real estate, and the Morgan Stanley Two Year
Treasury Index.
|
Upside
Scenario
|
The underlying index increases in value, and, at maturity, the notes pay
the stated principal amount of $10
plus
125% of the appreciation of the underlying index. There is no limitation
on the appreciation potential.
|
Par
Scenario
|
The underlying index declines or does not appreciate in value, and, at maturity, the notes pay
only the stated principal amount of $10.
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Hypothetical Payout on the Notes
At maturity, for each $10 stated principal
amount of notes that you hold, you will receive the stated principal amount of $10
plus
a supplemental redemption amount,
if any. The supplemental redemption amount will be calculated on the determination date as follows:
(i) $10
times
(ii) the index
percent change
times
(iii) the participation rate of 125%.
The payment due at maturity will not be less
than $10 per note regardless of the performance of the underlying index.
The table below illustrates the payment at
maturity for each note for a hypothetical range of index percent change and does not cover the complete range of possible payouts
at maturity. The table assumes a hypothetical initial index value of 1,000.
Index percent change
|
Final index value
|
Stated principal amount
|
Supplemental redemption amount
|
Payment at maturity
|
Return on $10 note
|
50%
|
1,500
|
$10
|
$6.25
|
$16.25
|
62.50%
|
40%
|
1,400
|
$10
|
$5.00
|
$15.00
|
50.00%
|
30%
|
1,300
|
$10
|
$3.75
|
$13.75
|
37.50%
|
20%
|
1,200
|
$10
|
$2.50
|
$12.50
|
25.00%
|
10%
|
1,100
|
$10
|
$1.25
|
$11.25
|
12.50%
|
0%
|
1,000
|
$10
|
$0
|
$10
|
0.00%
|
–10%
|
900
|
$10
|
$0
|
$10
|
0.00%
|
–20%
|
800
|
$10
|
$0
|
$10
|
0.00%
|
–30%
|
700
|
$10
|
$0
|
$10
|
0.00%
|
–40%
|
600
|
$10
|
$0
|
$10
|
0.00%
|
–50%
|
500
|
$10
|
$0
|
$10
|
0.00%
|
–60%
|
400
|
$10
|
$0
|
$10
|
0.00%
|
–70%
|
300
|
$10
|
$0
|
$10
|
0.00%
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
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 product 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 index percent
change is less than or equal to 0%, you will receive only the stated principal amount of $10 for each note you hold at maturity.
As the notes do not pay any interest, if the underlying index does not appreciate sufficiently over the term of the notes, 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 performance of the underlying index.
|
|
§
|
The market price of the notes will be influenced by many unpredictable factors.
Several
factors 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 value of the underlying index at any time, the volatility (frequency and
magnitude of changes in value) of the underlying index, dividend rate on the exchange traded funds (“ETFs”) underlying
the index
,
interest and yield rates in the market, time remaining until the notes mature,
geo
political conditions and economic, financial, political, regulatory or judicial events that
affect the underlying index or equities markets generally and which may affect the final index value of the underlying index and
any actual or anticipated changes in our credit ratings or credit spreads. The value of the underlying index may be, and has recently
been, volatile, and we can give you no assurance that the volatility will lessen. See “Hypothetical Retrospective and 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 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 underlying index at any time other than the determination
date.
The final index value will be based on the index closing value on the determination date, subject to postponement for
non-index business days and certain market disruption events. Even if the value of the underlying index appreciates prior to the
determination date but then drops by the determination date, the payment at maturity will be less, and may be significantly less,
than it would
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
have been had the payment at maturity
been linked to the value of the underlying index prior to such drop. Although the actual value of the underlying index on the stated
maturity date or at other times during the term of the notes may be higher than the final index value, the payment at maturity
will be based solely on the index closing value on the determination date.
|
§
|
There are risks associated with the underlying index.
|
|
§
|
Low volatility in the underlying index is not synonymous with low risk in an investment linked to the underlying index.
For example, even if the volatility of the underlying index was in line with the Volatility Target, the underlying index may
decrease over time, which may result in a zero return on the notes.
|
|
§
|
The level of the underlying index can go down as well as up.
Please see “Hypothetical Retrospective and Historical
Information” below.
|
|
§
|
Each Sub-Index of the underlying index’s portfolio of Index Components is varied and represents a number of different
asset classes in a number of different sectors. Investors should be experienced with respect to, and be able to evaluate and understand
the risks of (either alone or with the investor’s investment, legal, tax, accounting and other advisors), investments the
values of which are derived from different asset classes and sectors.
|
|
§
|
Each Sub-Index of the underlying index at any time may be composed of a very limited number of ETFs.
The components
of each Sub-Index’s Asset Portfolio are varied and will be selected from the index Components according to the index methodology.
Therefore, at any time, the Sub-Indices of the index may be composed of a very limited number of ETFs, and investors could be exposed
to the risks associated with a concentrated investment in that limited number of ETFs. In addition, if the trading of one or more
of such ETFs is disrupted, it is likely that the calculation agent will determine that a market disruption event with respect to
the notes has occurred and thus postpone the determination date or, if such market disruption event is continuing, determine the
level of the underlying index at its discretion. Investors’ interests may be adversely affected by such determination.
|
|
§
|
The value of the underlying index and any instrument linked to the underlying index may increase or decrease due to a number
of factors, many of which are beyond the underlying index publisher’s control
. The nature and weighting of the Index
Components can vary significantly, and no assurance can be given as to the underlying index’s allocations of the Sub-Indices
to any Index Component at any time.
|
|
§
|
While each Sub-Index, and therefore, the underlying index, has a Volatility Target of 5%, there can be no guarantee, even
if each Sub-Index’s allocation to its respective Asset Portfolio is adjusted as frequently as is permitted (i.e., daily),
that the realized volatility of the underlying index will not be less than or greater than 5%.
In fact, the historical volatility
of the underlying index, based on simulated returns, has generally been between 4% and 6%.
|
|
§
|
There can be no assurance that the actual volatility of the underlying index will be lower than the volatility of any or
all of the Index Components.
|
|
§
|
The volatility target feature of the underlying index may dampen its performance in bullish markets.
The underlying
index is designed to achieve a Volatility Target of 5% regardless of the direction of price movements in the market. Therefore,
in bullish markets, if the Realized Volatility is higher than the Volatility Target, the adjustments to the respective Asset Portfolios
of the Sub-Indices through Monthly Rebalancing or Daily Allocation might dampen the performance of the underlying index.
|
|
§
|
The future performance of the underlying index may bear little or no relation to the historical or hypothetical retrospective
performance of the underlying index.
Among other things, the trading prices of the Index Components and the dividends paid
on the Index Components will impact the level and the volatility of the underlying index. It is impossible to predict whether the
level of the underlying index will rise or fall.
|
|
§
|
The underlying index was established on June 16, 2014 and therefore has a limited history.
As such, performance for
periods prior to the establishment of the underlying index has been retrospectively
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
simulated by the underlying index
publisher on a hypothetical basis. A retrospective simulation means that no actual investment which allowed a tracking of the performance
of the underlying index existed at any time during the period of the retrospective simulation. The methodology and the underlying
index used for the calculation and retrospective simulation of the underlying index has been developed with the advantage of hindsight.
In reality, it is not possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical
and may not be indicative of future performance
. In addition,
the
Morgan Stanley Two Year Treasury Index and
certain ETFs included in the Index Components existed for only a portion of period
for which the underlying index publisher calculates hypothetical retrospective values. For any period during which data for
the
Morgan Stanley Two Year Treasury Index or
one or more ETFs did not exist, the historical simulation is based on
(i)
the value of the Morgan Stanley Two Year Treasury Index based on simulated historical performance and (ii)
the value of
each ETF’s benchmark index less the relevant ETF’s current expense ratio.
Investors should be aware that no actual
investment which allowed a tracking of the performance of the underlying index was possible at any time prior to June 16, 2014.
Such data must be considered illustrative only.
The historical data may not reflect future performance and no assurance can
be given as to the level of the underlying index at any time.
|
§
|
As the underlying index is new and has limited actual historical performance, any investment in the underlying index may
involve greater risk than an investment in an index with longer actual historical performance and a proven track record.
|
|
§
|
The underlying index is calculated on an excess return basis.
The level of the underlying index
tracks
the average daily return of the Sub-Indices. The level of each Sub-Index
is calculated as the excess of the weighted return
of the Asset Portfolio
for such Sub-Index
over an equivalent cash investment receiving
the Federal Funds rate. As a result, the level of
each Sub-Index, and therefore the level
of
the index, reflects a deduction of the Federal Funds rate that would apply to such a cash investment, and is less than
the average return on the weighted Asset
Portfolios of the Sub-Indices
. Changes in
the Federal Funds rate will affect the value of the underlying index. In particular, an increase in the Federal Funds rate will
negatively affect the value of the underlying index.
|
|
§
|
The underlying index contains embedded costs.
As described in more detail under “Underlying Index” below,
the underlying index contains an embedded servicing cost of 0.50% per annum. Such cost is deducted when calculating the level of
the index and will thus reduce the return of the index.
|
|
§
|
An investment in the notes involves risks associated with emerging markets equities and bonds, currency exchange rates and
commodities.
ETFs representing foreign equities (including emerging markets equities) can constitute up to 70% of the underlying
index. The underlying index can also consist of certain ETFs representing emerging markets bonds. Therefore, an investment in the
notes involve risks associated with the securities markets in those foreign markets and emerging markets countries, including but
not limited to risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies
in certain countries. 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. In addition, because the price of an ETF representing foreign securities is generally related to the U.S. dollar
value of securities underlying the index tracked by such ETF, an investment in the notes involve currency exchange rate risk with
respect to each of the currencies in which such 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.
|
In addition, potential underlying
index components also include ETFs representing commodities and thus investors are exposed to risks associated with commodities.
Investments linked to the prices of commodities are subject to sharp fluctuations in the prices of commodities over short periods
of time for a variety of factors, including: changes in supply and demand relationships; weather; climatic events; the occurrence
of natural disasters; wars; political and civil upheavals; acts of terrorism; trade, fiscal,
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organ
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monetary, and exchange control programs;
domestic and foreign political and economic events and policies; disease; pestilence; technological developments; changes in interest
rates; and trading activities in commodities and related contracts. These factors may affect the prices of commodities and therefore
of the underlying index and the notes, in varying and potentially inconsistent ways.
|
§
|
The Morgan Stanley Two Year Treasury Index can produce negative returns, which may
have an adverse effect on the level of the respective Sub-Indices, and consequently, the level of the index
.
The Index methodology for the Morgan Stanley Two Year Treasury Index was developed based on historical data and conditions, and
there can be no assurances that the methodology can generate positive performance in the future. Therefore, the past performance
of the Morgan Stanley Two Year Treasury Index, whether actual or retrospectively calculated, is not a reliable indication of future
performance. Poor performance by the Morgan Stanley Two Year Treasury Index will have a negative effect on the performance of the
respective Sub-Indices, and consequently on the performance of the index.
|
|
§
|
If the underlying index is discontinued and no successor index is available, at maturity, Morgan Stanley will pay an alternative
supplemental redemption amount, if any, in lieu of the supplemental redemption amount.
If MS & Co., as the underlying index
publisher, discontinues publication of the underlying index and, as the calculation agent, determines in its sole discretion that
no successor index is available, no supplemental redemption amount will be paid on the notes. Instead,
on the date of such determination
,
the calculation agent will determine, in good faith and in a commercially reasonable manner, an alternative supplemental redemption
amount, which will equal its estimate of the value, if any, of the investors’ forgone opportunity to receive any supplemental
redemption amount, determined by reference to the calculation agent’s pricing models, inputs, assumptions about future market
conditions including, without limitation, the volatility of the ETF-MAP 2 Index and its components and current and expected interest
rates. The alternative supplemental redemption amount, if any, will be paid
at maturity
in addition to the stated principal
amount of the notes. As a result, investors will have no more exposure to the underlying index once the calculation agent determines
that no successor index is available to replace the discontinued underlying index, but will not receive the alternative supplemental
redemption amount until the maturity date. See “Additional Information About the Notes—Discontinuance of the underlying
index” below.
|
|
§
|
MS & Co., which is a subsidiary of Morgan Stanley and an affiliate of MSFL, is both the calculation agent and the underlying
index publisher, and will make determinations with respect to the notes and the underlying index.
As calculation agent, MS
& Co. will determine the initial index value and the final index value, and will calculate the amount of cash you will receive
at maturity. Determinations made by MS & Co. in its capacity as calculation agent, including with respect to the occurrence
or non-occurrence of market disruption events and the selection of a successor index or calculation of the alternative supplemental
redemption amount in the event of a discontinuance of the
underlying index or a market disruption
event
, may adversely affect the payout to you at maturity.
|
MS & Co. is also the underlying
index publisher and retains the final discretion as to the manner in which the underlying index is calculated and constructed.
The underlying index publisher may change the methodology of the underlying index or discontinue the publication of the underlying
index without prior notice, and such changes or discontinuance may affect the value of the underlying index. The underlying index
publisher’s calculations and determinations in relation to the underlying index shall be binding in the absence of manifest
error.
In performing its duties as the
calculation agent of the notes and the underlying index publisher, MS & Co. may have interests adverse to your interests, which
may affect the value of the underlying index and the value of the notes.
|
§
|
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
|
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organ
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Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
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 underlying index, 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. 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 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 of the notes will be influenced
by many unpredictable factors” above.
|
|
§
|
Adjustments to the underlying index could adversely affect the value of the notes.
MS & Co., as the underlying index
publisher, can add, delete or substitute the Index Components, and can make other methodological changes required by certain events
relating to the Index Components. Any of these actions could adversely affect the value of the notes. The underlying index publisher
may also discontinue or suspend calculation or publication of the underlying index at any time. In these circumstances, MS &
Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable to the discontinued
index. MS & Co., in its capacity as both the calculation agent for the notes and underlying index publisher, could have an
economic interest that is different than that of investors in the notes.
|
|
§
|
Investing in the notes is not equivalent to investing in the underlying index.
Investing in the notes is not equivalent
to investing in the underlying index or its component ETFs. Investors in the notes will not have voting rights or rights to receive
dividends or other distributions or any other right with respect to the component ETFs of the underlying index.
|
|
§
|
The notes will not be listed on any securities exchange and secondary trading may be limited. Accordingly, you should be
willing to hold your notes for the entire 4-year term of the notes.
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
|
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organ
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Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
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.
|
§
|
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 underlying index or its component ETFs), including trading in the component ETFs of the underlying index, in options
contracts on the component ETFs, or in other instruments related to the 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 component ETFs of the underlying
index and other financial instruments related to the 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 index value, and, therefore, could increase the value at or above which the underlying index 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 closing
value of the underlying index on the determination date, and, accordingly, the amount of cash an investor will receive at maturity.
|
M
organ
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Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Underlying Index
Morgan Stanley ETF-MAP 2 Index – Index
Description
The Morgan Stanley ETF-MAP 2 Index has been developed by and
is calculated, published and rebalanced by MS & Co. as the “underlying index publisher.” This section outlines
the key steps in constructing the underlying index, including the timing and methodology of the underlying index calculation and
adjustment. In general, the construction of the Asset Portfolio for each Sub-Index is based on the principles of modern portfolio
theory and the efficient frontier. The fundamental premise of modern portfolio theory is that the weighting of assets in an investment
portfolio should be based not only on the individual risk and return characteristics of each asset but also on each asset’s
relationship, in terms of correlation, volatility and return, to the other portfolio components. The efficient frontier represents
a set of portfolios constructed using modern portfolio theory concepts, each of which has a different risk and return profile.
An investor choosing a portfolio from the “efficient frontier” should, the theory says, be maximizing returns for the
chosen level of risk.
The index methodology is applied to the Sub-Index scheduled for
monthly rebalancing on the specific rebalancing date (the “Rebalancing Selection Date”) to determine the Asset Portfolio
for such Sub-Index that had the maximum historical return with 5% annualized volatility during the prior 63-trading-day period
(the “Monthly Rebalancing”). Beginning on the trading day after the Rebalancing Selection Date and continuing for a
period of several trading days (each such trading day, a “Rebalancing Date”), the weight of each Index Component is
adjusted from its prior level and the new Asset Portfolio for the applicable Sub-Index is formed.
Inputs to the index methodology are price-transparent and include
the historical returns and historical volatilities of each Index Component as well as the historical correlations between any two
Index Components. All levels are calculated based on objective price inputs on an annualized basis over the preceding 63-trading-day
calculation window, with more recent data emphasized for volatility and correlation calculations. The index methodology also applies
pre-defined limits for Index Component weightings and sector exposures.
To calculate the “Daily Allocation” between the Asset
Portfolio and cash for each Sub-Index, on each business day the Calculation Agent determines the realized volatility of the Asset
Portfolio for each Sub-Index over a shorter-term and a longer-term period (the greater of which is the “Realized Volatility”).
If the Realized Volatility for a Sub-Index exceeds 5.5%, the allocation to the Asset Portfolio for such Sub-Index will be decreased,
with the objective of reducing Index volatility, and if the Realized Volatility is below 5%, the allocation to the Asset Portfolio
for such Sub-Index may be increased. In each case, the Asset Portfolio allocation for each Sub-Index will generally equal the Volatility
Target divided by its Realized Volatility, subject to a maximum of 100%. For example, if the Realized Volatility of a Sub-Index
is 7.5%, the allocation to the Asset Portfolio for such Sub-Index will equal the 5% Volatility Target divided by its 7.5% Realized
Volatility, or 66.67%. Volatility is a market standard statistical measure of the magnitude and frequency of price changes of a
financial asset over a period of time, used to express the riskiness of the asset. Note, however, that volatility does not identify
the direction of the asset’s price movement.
Because the Realized Volatility metric used to determine exposure
of each Sub-Index to its respective Asset Portfolio is the greater of shorter-term and longer-term volatility, Realized Volatility
for the Sub-Indices will increase more quickly when daily volatility increases, and Index exposure to the respective Asset Portfolios
will be correspondingly reduced. Conversely, Realized Volatility for the Sub-Indices will decrease more slowly when daily volatility
decreases, resulting in a more gradual increase in allocations to the respective Asset Portfolios.
The Daily Allocations with respect to the Sub-Indices will only
seek to adjust the volatility of the underlying index and will not attempt to optimize the asset allocations within the respective
Asset Portfolios. Because the underlying index will not use leverage it may not be possible to achieve the Volatility Target of
5% during periods of very low volatility.
Morgan Stanley ETF-MAP 2 Index – Index
Rules
|
·
|
The maximum asset weightings on each Rebalancing Date for each market
sector and for each Index Component within a given market sector are specified in the table below.
|
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Market-Linked Notes due September 6, 2023
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|
·
|
Asset weightings will not be rebalanced between each respective Monthly
Rebalancing for the Sub-Indices due to changes in market value of Index Components.
|
|
·
|
If between Monthly Rebalancings the Realized Volatility of a Sub-Index
exceeds 5.5% or falls below 5%, the allocation to the Asset Portfolio for such Sub-Index may be adjusted pursuant to the Daily
Allocation as described above.
|
|
·
|
The allocation to the Asset Portfolio for each Sub-Index will equal
the Volatility Target divided by its observed historical volatility, subject to a maximum of 100%.
|
|
·
|
The sum of allocations to the respective Asset Portfolio and cash will
not exceed 100% for any Sub-Index. Because the underlying index will not use leverage it may not be possible to achieve the Volatility
Target of 5% during periods of very low volatility.
|
|
·
|
The level of the index tracks the average daily returns of the Sub-Indices,
which are calculated on an excess return basis. Specifically, the level of each Sub-Index is determined by the weighted return
of the Asset Portfolio for such Sub-Index reduced by the return on an equivalent cash investment receiving the Federal Funds rate.
|
|
·
|
A servicing cost of 0.50% per annum, calculated on a daily basis, is
deducted when calculating the index level.
|
Index Components
The potential Index Components that can be
included in the Sub-Indices, and therefore the underlying index, at any time and the maximum asset weightings on each Rebalancing
Date for each market sector and for each Index Component within a given market sector are specified in the table below.
Sector
And
Maximum
Weight
|
Asset Class
|
index components
|
MaxIMUM Asset Weight
|
Short-Term Treasuries 100%
|
Short-Term Treasuries
|
Morgan Stanley Two Year Treasury Index
|
100%
|
Foreign Equity 70%
|
Developed Market Equities
|
iShares MSCI EAFE Index Fund
|
35%
|
Emerging Market Equities
|
Vanguard FTSE Emerging Markets ETF
|
35%
|
Japan Equities
|
iShares MSCI Japan ETF
|
35%
|
US Equity 50%
|
US Large Cap Equities
|
SPDR S&P 500 ETF Trust
|
50%
|
US Low Volatility Equities
|
PowerShares S&P 500 Low Volatility Portfolio
|
10%
|
Bonds 75%
|
Senior Loan
|
PowerShares Senior Loan Portfolio
|
10%
|
20+ Year Treasuries
|
iShares Barclays 20+ Year Treasury Bond Fund
|
25%
|
7-10 Year Treasuries
|
iShares Barclays 7-10 Year Treasury Bond Fund
|
25%
|
High Yield Bonds
|
iShares iBOXX High Yield Corporate Bond Fund
|
25%
|
Investment Grade Corporate Bonds
|
iShares iBOXX Investment Grade Corporate Bond Fund
|
10%
|
Emerging Markets Bonds
|
iShares JP Morgan USD Emerging Markets Bond Fund
|
15%
|
Alternative Investments 50%
|
Gold
|
SPDR Gold Trust
|
25%
|
Real Estate
|
iShares Dow Jones U.S. Real Estate Index Fund
|
25%
|
The Morgan Stanley Two Year Treasury Index has been developed
by Morgan Stanley & Co. LLC (the “Sponsor'') and will be calculated and rebalanced by Morgan Stanley & Co. LLC. The
Morgan Stanley Two Year Treasury Index is a rules-based index that seeks to capture the yield from US Treasury notes with a maturity
of between two years and two years and three months by notionally purchasing futures contracts on US Treasury notes. The
Morgan Stanley Two Year Treasury Index is published on Bloomberg under the ticker symbol MSUST2TR <Index>.
The Morgan Stanley Two Year Treasury Index, including its name,
methodology and levels (the “Index Information”) is the exclusive property of the Sponsor. Unless specifically agreed
by the Sponsor, no third party is authorized to use the Index Information in any way. The Sponsor and its affiliates disclaim any
responsibility for any unauthorised use
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organ
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of the Index Information by any third party intending to promote,
sponsor, endorse, market, offer, sell, distribute or reference the Index Information or any product, service or contract relating
or linked to or otherwise referencing the Index Information.
iShares
®
is a registered mark of BlackRock Institutional
Trust Company, N.A. (“BTC”). The underlying index is not sponsored, endorsed, sold, or promoted by BTC. BTC makes no
representations or warranties to the owners of any investment linked to the underlying index or any member of the public regarding
the advisability of investing in any investment linked to the underlying index. BTC has no obligation or liability in connection
with the operation, marketing, trading or sale of any investment linked to the underlying index.
“S&P
®
”, “S&P 500
®
”
and “SPDR
®
” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”).
The underlying index is not sponsored, endorsed, sold, or promoted by S&P or the SPDR
®
Gold Trust (together,
the “Trusts”). S&P and the Trusts make no representations or warranties to the owners of any investment linked
to the underlying index or any member of the public regarding the advisability of investing in any investment linked to the underlying
index. S&P and the Trusts have no obligation or liability in connection with the operation, marketing, trading or sale of any
investment linked to the underlying index.
“PowerShares
®
” is a registered trademark
of Invesco PowerShares Capital Management LLC (“Invesco PowerShares”). The Index is not sponsored, endorsed, sold,
or promoted by Invesco PowerShares. Invesco PowerShares makes no representations or warranties to the owners of any investment
linked to the underlying index or any member of the public regarding the advisability of investing in any investment linked to
the underlying index. Invesco PowerShares has no obligation or liability in connection with the operation, marketing, trading or
sale of any investment linked to the underlying index.
“Vanguard
®
” is a registered mark
of The Vanguard Group, Inc. (“Vanguard”). The Index is not sponsored, endorsed, sold, or promoted by Vanguard. Vanguard
makes no representations or warranties to the owners of any investment linked to the underlying index or any member of the public
regarding the advisability of investing in any investment linked to the underlying index. Vanguard has no obligation
or liability in connection with the operation, marketing, trading or sale of any investment linked to the underlying index.
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organ
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Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Hypothetical
Retrospective and Historical Information
The
inception date for the underlying index was June 16, 2014. The information regarding the underlying index prior to June 16, 2014
is a hypothetical retrospective simulation calculated by the underlying index publisher, using the same methodology as is currently
employed for calculating the underlying index based on historical data. A retrospective simulation means that no actual investment
which allowed a tracking of the performance of the index existed at any time during the period of the retrospective simulation.
In addition, the Morgan Stanley Two Year Treasury Index and certain ETFs included in the Index Components existed for only a portion
of period for which the underlying index publisher calculates hypothetical retrospective values. For any period during which data
for the Morgan Stanley Two Year Treasury Index or one or more ETFs did not exist, the historical simulation is based on (i) the
value of the Morgan Stanley Two Year Treasury Index based on simulated historical performance and (ii) the value of each ETF’s
benchmark index less the relevant ETF’s current expense ratio. Therefore, information regarding the underlying index prior
to June 16, 2014 is hypothetical only and does not reflect actual historical performance.
Investors should be aware that
no actual investment which allowed a tracking of the performance of the underlying index was possible at any time prior to June
16, 2014. Such data must be considered illustrative only.
You should
not take the historical or hypothetical retrospective values of the underlying index as an indication of its future performance.
Information
as of market close on July 26, 2019:
Bloomberg
Ticker Symbol:
|
MSUSMAP2
|
Current
Index Value:
|
1,164.85
|
The
following graph sets forth the hypothetical retrospective and historical daily closing values of the underlying index for the period
from January 1, 2003 through July 26, 2019. The related table sets forth the hypothetical retrospective and historical high and
low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter from January 1, 2014 through
July 26, 2019. The closing value of the index on July 26, 2019 was 1,164.85.
The underlying index was established on June
16, 2014. The information prior to June 16, 2014 is a hypothetical retrospective simulation calculated by the underlying index
publisher and must be considered illustrative only.
Morgan
Stanley ETF-MAP 2 Index Hypothetical Retrospective and Historical Performance
Daily Closing Values
January
1, 2003 to July 26, 2019
|
|
*The red vertical line indicates June 16, 2014,
which is the date on which the underlying index was established.
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organ
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Morgan Stanley ETF-MAP 2 Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
971.58
|
943.41
|
961.52
|
Second Quarter
|
1,009.70
|
961.88
|
1,009.31
|
Third Quarter
|
1,027.28
|
1,000.77
|
1,000.89
|
Fourth Quarter
|
1,032.25
|
995.82
|
1,026.67
|
2015
|
|
|
|
First Quarter
|
1,059.51
|
1,023.06
|
1,036.32
|
Second Quarter
|
1,053.64
|
1,030.53
|
1,033.80
|
Third Quarter
|
1,035.85
|
992.09
|
1,005.94
|
Fourth Quarter
|
1,012.61
|
981.93
|
984.74
|
2016
|
|
|
|
First Quarter
|
983.78
|
965.22
|
982.17
|
Second Quarter
|
1,012.82
|
975.90
|
1,012.82
|
Third Quarter
|
1,032.61
|
1,012.29
|
1,025.49
|
Fourth Quarter
|
1,029.12
|
1,003.69
|
1,020.24
|
2017
|
|
|
|
First Quarter
|
1,064.50
|
1,024.29
|
1,063.22
|
Second Quarter
|
1,096.14
|
1,062.31
|
1,084.20
|
Third Quarter
|
1,106.95
|
1,075.58
|
1,085.41
|
Fourth Quarter
|
1,129.28
|
1,084.24
|
1,124.04
|
2018
|
|
|
|
First Quarter
|
1,176.91
|
1,125.92
|
1,129.14
|
Second Quarter
|
1,133.84
|
1,113.86
|
1,125.82
|
Third Quarter
|
1,159.71
|
1,124.50
|
1,145.81
|
Fourth Quarter
|
1,145.95
|
1,087.62
|
1,111.51
|
2019
|
|
|
|
First Quarter
|
1,143.63
|
1,106.00
|
1,143.63
|
Second Quarter
|
1,170.21
|
1,129.72
|
1,159.96
|
Third Quarter (through July 26, 2019)
|
1,171.66
|
1,159.27
|
1,164.85
|
The underlying index was established on June 16, 2014. The
information prior to June 16, 2014 is a hypothetical retrospective simulation calculated by the underlying index publisher and
must be considered illustrative only.
Hypothetical Underlying Index Return
The following table shows the
hypothetical
return on the
underlying index from January 1, 2003 to July 26, 2019. Because the publication of the underlying index began on June 16, 2014,
the return on the underlying index shown below is retrospectively simulated.
No actual investment which allowed a tracking of
the performance of the underlying index was possible at any time prior to June 16, 2014.
|
|
Index Returns
1
|
|
|
|
|
|
|
1/1/2003–7/26/2019
|
2003
|
2004
|
2005
|
2006
|
2007
|
2008
|
2009
|
2010
|
2011
|
2012
|
2013
|
2014
|
2015
|
2016
|
2017
|
2018
|
2019
2
|
Returns
|
6.16%
|
18.80%
|
6.97%
|
3.00%
|
7.55%
|
3.71%
|
0.82%
|
10.98%
|
11.12%
|
10.77%
|
5.43%
|
5.50%
|
6.78%
|
-4.08%
|
3.61%
|
10.20%
|
-1.11%
|
4.80%
|
Data based on simulated returns
from January 1, 2003 to June 16, 2014 and actual returns thereafter.
1
All returns except year-to-date 2019 returns are annualized.
2
Year-to-date 2019 returns are not annualized.
|
|
|
|
|
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Additional Terms of the Notes
Please read this information in conjunction
with the summary terms on the front cover of this document.
Additional Terms:
|
If
the terms described herein are inconsistent with those described in the accompanying product supplement or prospectus, the
terms described herein shall control.
|
Denominations:
|
$10
and integral multiples thereof
|
Interest:
|
None
|
Underlying
index publisher:
|
MS & Co. or any successor thereof
|
Bull
or bear notes:
|
Bull
notes
|
Call
right:
|
The notes are not callable prior to the maturity date.
|
Market
disruption event:
|
The following provision supersedes in its entirety “Description
of Equity-Linked Notes—General Terms of the Notes—market disruption event” in the accompanying product supplement:
“Market disruption event” means the occurrence or
existence of any of the following events with respect to any ETF included in the underlying index, as determined by the calculation
agent in its sole discretion:
(i) (a) the occurrence or existence of a suspension, absence
or material limitation of trading of the ETF on the primary market for the ETF 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
(b) a breakdown or failure in the price and trade reporting systems
of the primary market for the ETF as a result of which the reported trading prices for the ETF 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 ETF, if available, during the one-half
hour period preceding the close of the principal trading session in the applicable market; 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, if applicable, the ETF underlying index
or the ETF 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; and
(ii) a determination by the calculation agent in its sole discretion
that any event described in clause (a), (b) or (c) 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 an ETF included in the underlying index is materially suspended or materially limited at that
time, then the relevant percentage contribution of that ETF to the value of the underlying index shall be based on a comparison
of (x) the portion of the value of the underlying index attributable to that ETF relative to (y) the overall value of the underlying
index, in each case immediately before the suspension or limitation.
For the purpose of determining whether a market disruption
event has occurred: (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 ETF or in futures or options contract related to the ETF underlying index or the ETF will not constitute
a market disruption event, (3) a suspension of trading in futures or options contracts on the ETF underlying index or the ETF
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 trading in futures or options contracts related
to the ETF underlying index or the ETF 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 ETF underlying index or the ETF are traded
will not include any time when such securities market is itself closed for trading under ordinary circumstances.
|
Relevant
exchange:
|
The following provision supersedes in its entirety “Description
of Equity-Linked Notes—General Terms of the Notes—relevant exchange” in the accompanying product supplement:
The primary exchange(s) or market(s)
of trading for any ETF then-included in the underlying index, or any successor index.
|
Postponement
of determination date:
|
If a market disruption event with respect to the underlying index occurs on the scheduled determination date, or if the schedule determination date is not an index business day, the index closing value for such day shall be determined on the immediately succeeding index business day on which no market disruption event shall have occurred with respect to the underlying index;
provided
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
|
that the final index value shall not be determined on a date later than the fifth scheduled index business day after the scheduled determination date, and if such date is not an index business day, or if there is a market disruption event on such date, the calculation agent shall determine the final index value using the index closing value as determined by the calculation agent in accordance with the formula for calculating the 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 ETF most recently constituting the underlying index.
|
Postponement
of maturity date:
|
If the determination date is postponed so that it falls less than two business days prior to the scheduled maturity date, the maturity date will be postponed to the second business day following the determination date as postponed.
|
Discontinuance
of the underlying index:
|
The following provision supersedes in its entirety “Description
of Equity-Linked Notes—Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation”
in the accompanying product supplement:
If the underlying index publisher discontinues publication of
the underlying index and such underlying index publisher or another entity publishes a successor or substitute index that MS &
Co., as the calculation agent, determines, in its sole discretion, to be comparable to the discontinued underlying index (such
index being referred to herein as a “successor index”), then any subsequent index closing value will be determined
by reference to the published value of such successor index at the regular 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 such successor index differs from the
index closing value of the underlying index at the time of such substitution, a proportionate adjustment will be made by the calculation
agent to the initial index value.
Upon any selection by the calculation agent of a successor index,
the calculation agent will cause written notice thereof to be furnished to the trustee, to us and to The Depositary Trust Company,
New York, New York (“DTC”), as holder of such notes, within three business days of such selection. We expect that such
notice will be made available to you, as a beneficial owner of the relevant notes, in accordance with the standard rules and procedures
of DTC and its direct and indirect participants.
If the underlying index publisher discontinues publication
of the underlying index and the calculation agent determines, in its sole discretion, that no successor index is available, then,
on the date of such determination, the calculation agent will determine, in good faith and in a commercially reasonable manner,
an alternative supplemental redemption amount, which will equal its estimate of the value, if any, of the investors’ forgone
opportunity to receive any supplemental redemption amount, determined by reference to the calculation agent’s pricing models,
inputs, assumptions about future market conditions including, without limitation, the volatility of the ETF-MAP 2 Index and its
components and current and expected interest rates. The alternative supplemental redemption amount, if any, will be paid at maturity
in addition to the stated principal amount of the notes.
|
Equity-linked
notes:
|
All references to “equity-linked notes” or related terms in the accompanying product supplement for equity-linked notes shall be deemed to refer to market-linked notes when read in conjunction with this document.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notice to registered note holders, the trustee and the depositary:
|
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 for determining the final index value.
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 holder of the notes, on the maturity date.
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Additional Information About the Notes
Additional Information:
|
Minimum
ticketing size:
|
$1,000 / 100 notes
|
Tax
considerations:
|
In the opinion of our counsel, Davis Polk & Wardwell LLP,
the notes should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described
in the section of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to U.S.
Holders.” Under this treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based
on the “comparable yield” (as defined in the accompanying product supplement) of the notes, adjusted upward or downward
to reflect the difference, if any, between the actual and projected amount of the payments on the notes. The comparable yield will
be determined on the pricing date and may be significantly higher or lower than the comparable yield if the notes were priced on
the date hereof. The comparable yield and the projected payment schedule (or information about how to obtain them) will be provided
in the final pricing supplement. In addition, any gain recognized by U.S. taxable investors on the sale or exchange, or at maturity,
of the notes generally will be treated as ordinary income.
You should read the discussion under “United States Federal
Taxation” in the accompanying product supplement concerning the U.S. federal income tax consequences of an investment in
the notes.
|
|
The comparable yield and the projected payment schedule will
not be provided for any purpose other than the determination of U.S. Holders’ accruals of interest income and adjustments
thereto in respect of the notes for U.S. federal income tax purposes, and we make no representation regarding the actual amount
of the payments that will be made on the notes.
If you are a non-U.S. investor, please also read the section
of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to Non-U.S. Holders.”
As discussed in the accompanying product supplement, Section
871(m) of the Internal Revenue Code of 1986, as amended (the “Code”), and Treasury regulations promulgated thereunder
(“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents
paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include
U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to
securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests
set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an Internal Revenue
Service (“IRS”) notice, Section 871(m) will not apply to securities issued before January 1, 2021 that do not have
a delta of one with respect to any Underlying Security. Based on the terms of the notes and current market conditions, we expect
that the notes will not have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide
an updated determination in the final pricing supplement. Assuming that the notes do not have a delta of one with respect to any
Underlying Security, our counsel is of the opinion that the notes should not be Specified Securities and, therefore, should not
be subject to Section 871(m). Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section
871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions
with respect to an Underlying Security.
If withholding is required, we will not be required to pay any additional amounts with
respect to the amounts so withheld.
You should consult your tax adviser regarding the potential application of Section 871(m)
to the notes.
In addition, as discussed in the accompanying product supplement,
withholding rules commonly referred to as “FATCA” apply to certain financial instruments (including the notes) with
respect to payments of amounts treated as interest and to any payment of gross proceeds of a disposition (including retirement)
of such an instrument. 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 “FDAP income,” as defined in the accompanying product supplement).
You should consult your tax adviser regarding all aspects
of the U.S. federal income tax consequences of an investment in the notes, as well as any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction. Moreover, neither this document nor the accompanying product supplement addresses
the consequences to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
The discussion in the preceding paragraphs under
“Tax considerations” and the discussion contained in the section entitled “United States Federal Taxation”
in the accompanying product supplement, insofar as they purport to describe provisions of U.S. federal income tax laws or legal
conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
tax consequences of an investment in the notes.
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
Use
of proceeds and hedging:
|
The proceeds from the sale of the notes will
be used by us for general corporate purposes. We will receive, in aggregate, $10 per note issued, because, when we enter into hedging
transactions in order to meet our obligations under the notes, our hedging counterparty will reimburse the cost of the agent’s
commissions. The costs of the notes borne by you and described beginning on page 2 above comprise the agent’s commissions
and the cost of issuing, structuring and hedging the notes.
On or prior to the pricing date, we expect to hedge
our anticipated exposure in connection with the notes by entering into hedging transactions with our affiliates and/or third-party
dealers. We expect our hedging counterparties to take positions in the component ETFs of the underlying index, in options contracts
on the component ETFs, or in any other available securities or instruments that they may wish to use in connection with such hedging.
Such purchase activity could increase the value of the underlying index on the pricing date, and, therefore, the value at or above
which the underlying index must close on the determination date before you would receive at maturity a payment that exceeds the
stated principal amount of the notes. In addition, through our affiliates, we are likely to modify our hedge position throughout
the term of the notes, including on the determination date, by purchasing and selling the component ETFs or positions in any other
available securities or instruments that we may wish to use in connection with such hedging activities. 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. We cannot give any assurance that our hedging
activities will not affect the value of the underlying index, and, therefore, adversely affect the value of the notes or the payment
you will receive at maturity. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging”
in the accompanying product supplement.
|
Benefit plan investor considerations:
|
Each fiduciary of a pension, profit-sharing
or other employee benefit plan subject to Title I of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”)
(a “Plan”), should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances
before authorizing an investment in the notes. Accordingly, among other factors, the fiduciary should consider whether the investment
would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments
governing the Plan.
In addition, we and certain of our affiliates,
including MS & Co., may each be considered a “party in interest” within the meaning of ERISA, or a “disqualified
person” within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to many
Plans, as well as many individual retirement accounts and Keogh plans (such accounts and plans, together with other plans, accounts
and arrangements subject to Section 4975 of the Code, also “Plans”). ERISA Section 406 and Code Section 4975 generally
prohibit transactions between Plans and parties in interest or disqualified persons. Prohibited transactions within the meaning
of ERISA or the Code would likely arise, for example, if the notes are acquired by or with the assets of a Plan with respect to
which MS & Co. or any of its affiliates is a service provider or other party in interest, unless the notes are acquired pursuant
to an exemption from the “prohibited transaction” rules. A violation of these “prohibited transaction”
rules could result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for those persons, unless
exemptive relief is available under an applicable statutory or administrative exemption.
The U.S. Department of Labor has issued five
prohibited transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited
transactions resulting from the purchase or holding of the notes. Those class exemptions are PTCE 96-23 (for certain transactions
determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE
91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance
company separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified professional asset managers).
In addition, ERISA Section 408(b)(17) and Section 4975(d)(20) of the Code provide an exemption for the purchase and sale of securities
and the related lending transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises
any discretionary authority or control or renders any investment advice with respect to the assets of the Plan involved in the
transaction and provided further that the Plan pays no more, and receives no less, than “adequate consideration” in
connection with the transaction (the so-called “service provider” exemption). There can be no assurance that any of
these class or statutory exemptions will be available with respect to transactions involving the notes.
Because we may be considered a party
in interest with respect to many Plans, the notes may not be purchased, held or disposed of by any Plan, any entity whose underlying
assets include “plan assets” by reason of any Plan’s investment in the entity (a “Plan Asset Entity”)
or any person investing “plan assets” of any Plan, unless such purchase, holding or disposition is eligible for exemptive
relief, including relief available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase,
holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee
or holder of the notes will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding
of the notes that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such notes on behalf of or with “plan
assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject to any federal, state,
local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code (“Similar
Law”) or (b) its purchase, holding and
|
M
organ
S
tanley
F
inance
LLC
Market-Linked Notes due September 6, 2023
Based on the Value of the Morgan Stanley ETF-MAP 2 Index
|
disposition of these notes will not constitute
or result in a non-exempt are not prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any
Similar Law.
Due to the complexity of these rules and the
penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the notes on behalf of or with “plan assets” of any Plan consult with their
counsel regarding the availability of exemptive relief.
Each purchaser and holder of the notes has
exclusive responsibility for ensuring that its purchase, holding and disposition of the notes do not violate the prohibited transaction
rules of ERISA or the Code or any Similar Law. The sale of any notes to any Plan or plan subject to Similar Law is in no respect
a representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements
with respect to investments by plans generally or any particular plan, or that such an investment is appropriate for plans generally
or any particular plan. In this regard, neither this discussion nor anything provided in this document is or is intended to be
investment advice directed at any potential Plan purchaser or at Plan purchasers generally and such purchasers of these notes should
consult and rely on their own counsel and advisers as to whether an investment in these notes is suitable.
However, individual retirement accounts,
individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment
of their accounts, will not be permitted to purchase or hold the notes if the account, plan or annuity is for the benefit of an
employee of Morgan Stanley or Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such
as, for example, an addition to bonus) based on the purchase of the notes by the account, plan or annuity.
|
Additional
considerations:
|
Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the notes, either directly or indirectly.
|
Supplemental
information regarding plan of distribution; conflicts of interest:
|
The Agent may distribute the securities
through Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”), as selected dealer, or other dealers,
which may include Morgan Stanley & Co. International plc (“MSIP”) and Bank Morgan Stanley AG. Morgan Stanley Wealth
Management, MSIP and Bank Morgan Stanley AG are affiliates of ours. Selected dealers, including Morgan Stanley Wealth Management,
and their financial advisors will collectively receive from the Agent, Morgan Stanley & Co. LLC, a fixed sales commission of
$0.25 for each note they sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $0.05 for each note.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging
the notes. When MS & Co. prices this offering of notes, it will determine the economic terms of the notes such that for each
note the estimated value on the pricing date will be no lower than the minimum level described in “Investment Summary”
beginning on page 2.
MS & Co. will conduct this
offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is
commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related
conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account.
See “Plan of Distribution (Conflicts of Interest)” and “Use of Proceeds and Hedging” in the accompanying
product supplement.
|
Where
you can find more information:
|
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by the product supplement for Equity-Linked Notes) with the Securities and Exchange Commission, or
SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement, the product
supplement for Equity-Linked Notes and any other documents relating to this offering that Morgan Stanley and MSFL have filed with
the SEC for more complete information about Morgan Stanley, MSFL and this offering. You may get these documents without cost by
visiting EDGAR on the SEC web site at
.
www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter
or any dealer participating in the offering will arrange to send you the prospectus and the product supplement for Equity-Linked
Notes if you so request by calling toll-free 800-584-6837.
You may access these documents on the SEC web site at
.
www.sec.gov
as follows:
Product Supplement for Equity-Linked Notes dated November 16, 2017
Prospectus dated November 16, 2017
Terms used but not defined in this document are defined
in the product supplement for Equity-Linked Notes or in the prospectus.
|