CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
|
Buffered Performance Leveraged Upside Securities
due 2021
|
|
$1,100,000
|
|
$133.32
|
September 2019
Pricing Supplement No. 2,590
Registration Statement Nos. 333-221595; 333-221595-01
Dated September 26, 2019
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in International Equities
Buffered PLUS Based on the Value of the Worst
Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September
30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Buffered PLUS are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered PLUS will pay no
interest, provide a minimum payment at maturity of only 10% of the stated principal amount 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 Buffered PLUS will be based on the value of the worst performing of the iShares® MSCI Emerging
Markets ETF and the iShares® MSCI EAFE 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 90% of its respective initial share price, meaning that neither of the underlying shares has decreased from
its initial share price by an amount greater than the buffer amount of 10%, 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 90% of its
respective initial share price, meaning that either of the underlying shares has decreased from its respective initial share price
by an amount greater than the buffer amount of 10%, investors will lose 1% for every 1% decline in the worst performing underlying
shares beyond the specified buffer amount, subject to the minimum payment at maturity of 10% of the stated principal amount. Investors
may lose up to 90% of the stated principal amount of the Buffered PLUS. Because the payment at maturity of the Buffered PLUS
is based on the worst performing of the underlying shares, a decline in either of the underlying shares beyond the buffer
amount will result in a loss, and potentially a significant loss, of your investment even if the other underlying shares have appreciated
or have not declined as much. The Buffered 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 returns above the maximum
payment at maturity in exchange for the leverage and buffer features that in each case apply to a limited range of performance
of the worst performing underlying shares. The Buffered PLUS are notes issued as part of MSFL’s Series A Global Medium-Term
Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Buffered 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:
|
September 30, 2021
|
Underlying shares:
|
iShares® MSCI Emerging Markets ETF (the “EEM Shares”) and iShares® MSCI EAFE ETF (the “EFA Shares”)
|
Aggregate principal amount:
|
$1,100,000
|
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 90% of its respective initial share price, meaning that neither of the underlying shares has decreased from its initial share price by an amount greater than the buffer amount of 10%,
|
|
$1,000
|
|
If the final share price of either of the underlying shares is less than 90% of its initial share price, meaning that either of the underlying shares has decreased from its respective initial share price by an amount greater than the buffer amount of 10%,
|
|
($1,000 × share performance factor of the worst performing underlying shares) + $100
|
|
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the Buffered PLUS pay less than $100 per Buffered PLUS at maturity
|
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 EEM Shares, $41.17, which is the closing
price of such underlying shares on the pricing date
With respect to the EFA Shares, $65.19, 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:
|
September 27, 2021, subject to adjustment for non-trading days and certain market disruption events
|
Leverage factor:
|
200%
|
Maximum payment at maturity:
|
$1,260 per Buffered PLUS (126% of the stated principal amount)
|
Minimum payment at maturity:
|
$100 per Buffered PLUS (10% of the stated principal amount)
|
Buffer amount:
|
10%. As a result of the buffer amount of 10%, the price at or
above which each of the underlying shares must close on the valuation date so that investors do not suffer a loss on their initial
investment in the Buffered PLUS is as follows:
With respect to the EEM Shares, $37.053, which is 90% of its
initial share price
With respect to the EFA Shares, $58.671, which is 90% of its
initial share price
|
Stated principal amount:
|
$1,000 per Buffered PLUS
|
Issue price:
|
$1,000 per Buffered PLUS
|
Pricing date:
|
September 26, 2019
|
Original issue date:
|
September 30, 2019 (2 business days after the pricing date)
|
CUSIP / ISIN:
|
61769HWY7 / US61769HWY79
|
Listing:
|
The Buffered 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:
|
$957.60 per Buffered PLUS. See “Investment Summary” on page 2.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions(1)
|
Proceeds to us(2)
|
Per Buffered PLUS
|
$1,000
|
$35
|
$65
|
Total
|
$1,100,000
|
$38,500
|
$1,061,500
|
|
|
|
|
|
|
(1)
|
Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission
of $35 for each Buffered 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 Buffered 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 Buffered 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 Buffered PLUS” and “Additional Information About the Buffered 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
Buffered PLUS
Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI
EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
Principal at Risk Securities
The Buffered PLUS Based on the Value of the Worst Performing
of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021 (the
“Buffered PLUS”) can be used:
|
§
|
To gain exposure to the worst performing of two international equity underlyings
|
|
§
|
To potentially outperform the worst performing of the iShares® MSCI Emerging Markets
ETF and the iShares® MSCI EAFE ETF, subject to the maximum payment at maturity, by taking advantage of the leverage
factor
|
|
§
|
To obtain a buffer against a specified level of negative performance in the worst performing
underlying shares
|
If the final share price of either of the underlying shares
is less than 90% of its respective initial share price, investors will be negatively exposed to the decline in the worst
performing underlying shares beyond the buffer amount and will lose some or a substantial portion of their investment.
Maturity:
|
2 years
|
Leverage factor:
|
200%
|
Maximum payment at maturity:
|
$1,260 per Buffered PLUS (126% of the stated principal amount)
|
Minimum payment at maturity:
|
$100 per Buffered PLUS (10% of the stated principal amount). Investors may lose up to 90% of the stated principal amount of the Buffered PLUS.
|
Buffer amount:
|
10%, with 1-to-1 downside exposure to the worst performing underlying shares below the buffer
|
Coupon:
|
None
|
Listing:
|
The Buffered PLUS will not be listed on any securities exchange
|
The original issue price of each Buffered PLUS is $1,000. This
price includes costs associated with issuing, selling, structuring and hedging the Buffered PLUS, which are borne by you, and,
consequently, the estimated value of the Buffered PLUS on the pricing date is less than $1,000. We estimate that the value of each
Buffered PLUS on the pricing date is $957.60.
What goes into the estimated value on the pricing date?
In valuing the Buffered PLUS on the pricing date, we take into
account that the Buffered PLUS comprise both a debt component and a performance-based component linked to the underlying shares.
The estimated value of the Buffered 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 Buffered PLUS?
In determining the economic terms of the Buffered PLUS, including
the leverage factor, the buffer amount, the maximum payment at maturity and the minimum 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 Buffered 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 Buffered PLUS?
The price at which MS & Co. purchases the Buffered 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 Buffered 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 Buffered 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
Buffered PLUS, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
The Buffered PLUS offer leveraged exposure to the worst performing
of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF, subject to the maximum
payment at maturity, to the extent that the final share price of each of the underlying shares is greater than its respective initial
share price. 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 90% of its respective initial share price, 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 90% of its respective initial share price, investors will lose 1% of the stated principal amount for every
1% of decline in the worst performing underlying shares beyond the specified buffer amount, subject to the minimum payment at maturity.
Investors may lose up to 90% of the stated principal amount of the Buffered PLUS. All payments on the Buffered PLUS are subject
to our credit risk.
Leveraged Performance
|
The Buffered PLUS offer investors an opportunity to receive 200% 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 Buffered PLUS redeem for the stated principal amount of $1,000 plus 200% of the share percent change of the worst performing underlying shares, subject to the maximum payment at maturity of $1,260 per Buffered PLUS (126% 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 90% of its initial share price. At maturity, the Buffered PLUS redeem for the stated principal amount of $1,000.
|
Downside Scenario
|
The final share price of either of the underlying shares
is less than 90% of its respective initial share price.
In this case, the Buffered PLUS redeem for 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 Buffered PLUS, plus the buffer amount of 10%. Under these circumstances, the payment at
maturity will be less than the stated principal amount per Buffered PLUS. For example, if the final share price of the worst performing
underlying shares is 90% less than its initial share price, the Buffered PLUS will be redeemed at maturity for a loss of 80% of
principal at $200, or 20% of the stated principal amount. The minimum payment at maturity is $100 per Buffered PLUS. You could
lose up to 90% of your investment
|
Because the payment at maturity of the Buffered PLUS is based
on the worst performing of the underlying shares, a decline in either of the underlying shares beyond the specified buffer
amount will result in a loss, and potentially a significant loss, of your investment, even if the other underlying shares have
appreciated or have not declined as much.
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the payment at maturity on the Buffered PLUS. The following examples are for illustrative purposes only. The actual initial share
price for each of the underlying shares is set forth on the cover of this document. Any payment at maturity on the Buffered PLUS
is subject to our credit risk. The below examples are based on the following terms:
Stated principal amount:
|
$1,000 per Buffered PLUS
|
Leverage factor:
|
200%
|
Maximum payment at maturity:
|
$1,260
|
Hypothetical initial share price:
|
With respect to the EEM Shares: $40
With respect to the EFA Shares: $65
|
Minimum payment at maturity:
|
$100 per Buffered PLUS (10% of the stated principal amount)
|
Buffer amount:
|
10%
|
EXAMPLE 1: The final share price of each of the underlying
shares is significantly greater than its respective initial share price.
Final share price
|
|
EEM Shares: $52
|
|
|
|
EFA Shares: $91
|
Share percent change
|
|
EEM Shares: ($52 – $40) / $40 = 30%
EFA Shares: ($91 – $65) / $65 = 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 × 200% × 30%), subject to the maximum payment at maturity
|
|
=
|
$1,260
|
In example 1, the final share prices of both the EEM Shares and
the EFA Shares are greater than their initial share prices. The EEM Shares have appreciated by 30% while the EFA Shares have appreciated
by 40%. Therefore, investors receive at maturity the stated principal amount plus 200% of the appreciation of the worst
performing underlying shares, which are the EEM Shares in this example, subject to the maximum payment at maturity. Because the
payment at maturity cannot exceed the maximum payment at maturity, investors receive $1,260 per Buffered PLUS at maturity.
EXAMPLE 2: The final share price of each of the underlying
shares is greater than its respective initial share price.
Final share price
|
|
EEM Shares: $44
|
|
|
|
EFA Shares: $91
|
Share percent change
|
|
EEM Shares: ($44 – $40) / $40 = 10%
EFA Shares: ($91 – $65) / $65 = 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 × 200% × 10%), subject to the maximum payment at maturity
|
|
=
|
$1,200
|
In example 2, the final share prices of both the EEM Shares and
the EFA Shares are greater than their initial share prices. The EEM Shares have appreciated by 10% while the EFA Shares have appreciated
by 40%. Therefore, investors receive at maturity
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
the stated principal amount plus 200% of the appreciation
of the worst performing underlying shares, which are the EEM Shares in this example, subject to the maximum payment at maturity.
Investors receive $1,200 per Buffered PLUS at maturity.
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 but neither of the underlying shares has decreased from its initial share price by an amount
greater than the buffer amount of 10%.
Final share price
|
|
EEM Shares: $56
|
|
|
|
EFA Shares: $61.75
|
Share percent change
|
|
EEM Shares: ($56 – $40) / $40 = 40%
EFA Shares: ($61.75 – $65) / $65 = -5%
|
Payment at maturity
|
=
|
$1,000
|
In example 3, the final share price of the EEM Shares is greater
than its respective initial value, while the final share price of the EFA Shares is less than its respective initial share price.
While the EEM Shares have appreciated by 40%, the EFA Shares have declined by 5%, but neither of the underlying shares has decreased
from its initial share price by an amount greater than the buffer amount of 10%. Therefore, investors receive at maturity the stated
principal amount. Investors receive $1,000 per Buffered PLUS at maturity.
EXAMPLE 4: 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 90% of its respective initial share price.
Final share price
|
|
EEM Shares: $44
|
|
|
|
EFA Shares: $32.50
|
Share percent change
|
|
EEM Shares: ($44 – $40) / $40 = 10%
EFA Shares: ($32.50 – $65) / $65 = -50%
|
Share performance factor
|
|
EEM Shares: $44 / $40 = 110%
EFA Shares: $32.50 / $65 = 50%
|
Payment at maturity
|
=
|
$1,000 × share performance factor of the worst performing underlying shares + $100
|
|
=
|
$(1,000 × 50%) + $100
|
|
=
|
$600
|
In example 4, the final share price of the EEM Shares is greater
than its respective initial share price, while the final share price of the EFA Shares is less than 90% of its respective initial
share price. While the EEM Shares have appreciated by 10%, the EFA Shares have declined by 50%. Therefore, investors are exposed
to the negative performance of the EFA Shares, which are the worst performing underlying shares in this example, beyond the buffer
amount of 10%, and receive a payment at maturity of $600 per Buffered PLUS. 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 90% of its respective initial share
price.
EXAMPLE 5: The final share price of each of the underlying
shares is less than its respective initial share price, but neither of the underlying shares has decreased from its initial share
price by an amount greater than the buffer amount of 10%.
Final share price
|
|
EEM Shares: $38
|
|
|
|
EFA Shares: $61.10
|
Share percent change
|
|
EEM Shares: ($38 – $40) / $40 = -5%
EFA Shares: ($61.10 – $65) / $65 = -6%
|
Payment at maturity
|
=
|
$1,000
|
In example 5, the final share price of each of the underlying
shares is less than its respective initial share price, but neither of the underlying shares has decreased from its initial share
price by an amount greater than the buffer amount of 10%. The EEM
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Shares have declined by 5% while the EFA Shares have declined
by 6%. Therefore, investors receive at maturity the stated principal amount. Investors receive $1,000 per Buffered PLUS at maturity.
EXAMPLE 6: The final share price of each of the underlying
shares is less than 90% of its respective initial share price.
Final share price
|
|
EEM Shares: $12
|
|
|
|
EFA Shares: $26
|
Share percent change
|
|
EEM Shares: ($12 – $40) / $40 = -70%
EFA Shares: ($26 – $65) / $65 = -60%
|
Share performance factor
|
|
EEM Shares: $12 / $40 = 30%
EFA Shares: $26 / $65 = 40%
|
Payment at maturity
|
=
|
$1,000 × (share performance factor of the worst performing underlying shares) + $100
|
|
=
|
$(1,000 × 30%) + $100
|
|
=
|
$400
|
In example 6, the final share prices of both the EEM Shares and
the EFA Shares are less than their respective initial share prices by an amount greater than the buffer amount of 10%. The EEM
Shares have declined by 70% while the EFA Shares have declined by 60%. Therefore, investors are exposed to the negative performance
of the EEM Shares, which are the worst performing underlying shares in this example, beyond the buffer amount of 10%, and receive
a payment at maturity of $400 per Buffered PLUS.
Because the payment at maturity of the Buffered PLUS is based
on the worst performing of the underlying shares, a decline in either of the underlying shares beyond the buffer amount of 10%
will result in a loss, and potentially a significant loss, of your investment, even if the other underlying shares have appreciated
or have not declined as much.
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Buffered 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 Buffered PLUS.
|
§
|
The Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 10%
of the stated principal amount. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered
PLUS do not pay interest and provide a minimum payment at matuirty of only 10% of the stated principal amount of the Buffered PLUS.
If the final share price of either of the underlying shares is less than 90% of its respective initial share price,
you will receive for each Buffered PLUS that you hold a payment at maturity that is less than the stated principal amount of each
Buffered PLUS by an amount proportionate to the decline in the value of the worst performing underlying shares from its initial
share price, plus $100 per Buffered PLUS. Accordingly, investors may lose up to 90% of the stated principal amount of the Buffered
PLUS.
|
|
§
|
The appreciation potential of the Buffered PLUS is limited by the
maximum payment at maturity. The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity
of $1,260 per Buffered PLUS, or 126% of the stated principal amount. Although the leverage factor provides 200% exposure to any
increase in the final index value of the worst performing underlying index over its initial index value, because the payment at
maturity will be limited to 126% of the stated principal amount for the Buffered PLUS, any increase in the final share price of
the worst performing underlying shares over its initial share price by more than 13% of its initial share price will not further
increase the return on the Buffered PLUS.
|
|
§
|
You are exposed to the price risk of both underlying shares. Your return on the Buffered
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 securities 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 90% of its respective share price as of the valuation date, you will lose some or a significant portion 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.
|
|
§
|
Because the Buffered PLUS are linked to the performance of the worst performing underlying
shares, you are exposed to greater risk of sustaining a loss on your investment than if the Buffered PLUS were linked to just one
of the underlying shares. The risk that you will suffer a loss on your investment is greater if you invest in the Buffered
PLUS as opposed to substantially similar securities that are linked to the performance of just one of the underlying shares. With
two underlying shares, it is more likely that either of the underlying shares will decline to below 90% of its initial share price
as of the valuation date than if the Buffered PLUS were linked to only one of the underlying shares. Therefore it is more likely
that you will suffer a loss on your investment.
|
|
§
|
The market price of the Buffered PLUS will be influenced by many unpredictable factors.
Several factors will influence the value of the Buffered PLUS in the secondary market and the price at which MS & Co. may be
willing to purchase or sell the Buffered 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 “iShares® MSCI Emerging Markets ETF Overview” and “iShares® MSCI
EAFE ETF Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per Buffered
PLUS if you try to sell your Buffered PLUS prior to maturity.
|
|
§
|
There are risks associated with investments in securities, such as the Buffered PLUS, linked
to the value of foreign (and especially emerging markets) equity securities. The EEM Shares track the performance of the MSCI
Emerging Markets IndexSM, which is linked to the value of foreign (and especially emerging markets) equity securities.
The EFA Shares
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
track the performance of the MSCI
EAFE IndexSM, which is linked to the value of foreign equity securities. Investments in securities linked to the value
of foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility
in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there
is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial
reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued
in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy
in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources,
self-sufficiency and balance of payment positions.
In addition, the stocks included
in the MSCI Emerging Markets IndexSM and that are generally tracked by the EEM Shares have been issued by companies
in various emerging markets countries, which pose further risks in addition to the risks associated with investing in foreign equity
markets generally. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of
property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries,
may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens
or inflation rates.
|
§
|
The prices of the EEM Shares and the EFA Shares are subject to currency exchange risk.
Because the prices of the EEM Shares and the EFA Shares are related to the U.S. dollar value of stocks underlying the MSCI Emerging
Markets IndexSM and the MSCI EAFE IndexSM, respectively, holders of the Buffered PLUS will be exposed to
currency exchange rate risk with respect to each of the currencies in which such component securities trade. Exchange rate movements
for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand for, those
currencies, as well as relevant government policy, intervention or actions, but are also influenced significantly from time to
time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant region.
An investor’s net exposure will depend on the extent to which the currencies of the component securities strengthen or weaken
against the U.S. dollar and the relative weight of each currency. If, taking into account such weighting, the dollar strengthens
against the currencies of the component securities represented in the MSCI Emerging Markets IndexSM or the MSCI EAFE
IndexSM, the final level of the relevant underlying will be adversely affected and the payment at maturity on the Buffered
PLUS may be reduced.
|
Of
particular importance to potential currency exchange risk are:
|
·
|
existing and expected rates of inflation;
|
|
·
|
existing and expected interest rate levels;
|
|
·
|
the balance of payments; and
|
|
·
|
the extent of governmental surpluses or deficits in the countries represented in the MSCI
Emerging Markets IndexSM, the MSCI EAFE IndexSM and
the United States.
|
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various countries
represented in the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM
and the United States and other countries important to international trade and finance.
|
§
|
The Buffered 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 Buffered PLUS. You are dependent on our ability
to pay all amounts due on the Buffered PLUS at maturity and therefore you are subject to our credit risk. If we default on its
obligations under the Buffered 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 Buffered 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 Buffered PLUS.
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have
no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities
in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available
under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated
obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the
guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any
priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley,
including holders of Morgan Stanley-issued securities.
|
|
§
|
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 securities may be materially and adversely affected
|
|
§
|
The amount payable on the Buffered 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 underlying shares 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 less than 90% of its initial share price, 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 Buffered PLUS may
be higher than their respective final share prices, the payment at maturity will be based solely on the closing prices on the valuation
date.
|
|
§
|
Investing in the Buffered PLUS is not equivalent to investing in the underlying shares or
the stocks composing the share underlying indices. Investing in the Buffered 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 Buffered 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 Buffered PLUS. The investment advisor to each of the EEM Shares and the EFA Shares, BlackRock
Fund Advisors (the “Investment Advisor”), 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 Buffered PLUS. The publisher
of the share underlying indices is responsible for calculating and maintaining the share underlying indices. The publisher may
add, delete or substitute the securities constituting the share underlying indices or make other methodological changes that could
change the value of the share underlying indices, and, consequently, the price of the underlying shares and the value of the Buffered
PLUS. The publisher of the share underlying indices may discontinue or suspend calculation or publication of a share underlying
index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index
that is comparable to the discontinued share underlying index and 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
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk 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 securities 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 Buffered 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 Buffered 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 Buffered PLUS in the original issue price
reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered 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 Buffered 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 Buffered PLUS in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the Buffered PLUS less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the Buffered 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 Buffered 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, and we expect that those higher values will also be reflected in your
brokerage account statements.
|
§
|
The estimated value of the Buffered 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 Buffered PLUS than those generated by others, including other dealers in the
market, if they attempted to value the Buffered 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 Buffered PLUS in the secondary
market (if any exists) at any time. The value of your Buffered 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 of the Buffered PLUS will be influenced by many unpredictable factors” above.
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
§
|
The Buffered PLUS will not be listed on any securities exchange and secondary trading may
be limited. The Buffered PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary
market for the Buffered PLUS. MS & Co. may, but is not obligated to, make a market in the Buffered 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 Buffered 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 Buffered PLUS. Even if there is
a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily. Since other broker-dealers
may not participate significantly in the secondary market for the Buffered PLUS, the price at which you may be able to trade your
Buffered 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 Buffered PLUS, it is likely that there would be no secondary market for the Buffered PLUS.
Accordingly, you should be willing to hold your Buffered PLUS to maturity.
|
|
§
|
Hedging and trading activity by our affiliates could potentially adversely affect the value
of the Buffered 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 Buffered 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 Buffered 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 loss on their
initial investment in the Buffered PLUS (depending also on the performance of the other underlying shares). Additionally, such
hedging or trading activities during the term of the Buffered 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 (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 Buffered PLUS. As calculation agent, MS & Co. has determined the initial share
prices, will determine the final share prices, including whether either of the underlying shares have decreased to below 90% of
the respective initial share price, 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. 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. For further information
regarding 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 Buffered PLUS on the pricing date.
|
|
§
|
The U.S. federal income tax consequences of an investment in the Buffered 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 Buffered 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 Buffered 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 Buffered PLUS as debt
instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the Buffered PLUS every
year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect of the
Buffered PLUS as ordinary income. Additionally, as discussed under “United States Federal Taxation—FATCA” in
the
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
accompanying product supplement
for PLUS, the withholding rules commonly referred to as “FATCA” would apply to the Buffered 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 “FDAP income,” as defined in the accompanying product supplement for PLUS). The risk that financial
instruments providing for buffers, triggers or similar downside protection features, such as the Buffered 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 Buffered 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 Buffered 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 Buffered 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
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI Emerging Markets
ETF Overview
The iShares® MSCI Emerging Markets ETF is
an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance, before fees
and expenses, of the MSCI Emerging Markets IndexSM. The iShares® MSCI Emerging Markets ETF is managed
by iShares®, Inc. (“iShares”), a registered investment company that consists of numerous separate investment
portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided to or filed with the Securities
and Exchange Commission (the “Commission”) by iShares pursuant to the Securities Act of 1933 and the Investment Company
Act of 1940 can be located by reference to Commission file numbers 033-97598 and 811-09102, respectively, through the Commission’s
website at www.sec.gov. In addition, information may be obtained from other publicly available sources. Neither the issuer nor
the agent makes any representation that any such publicly available information regarding the iShares® MSCI Emerging
Markets ETF is accurate or complete.
Information as of market close on September 26, 2019:
Bloomberg Ticker Symbol:
|
EEM UP
|
Current Share Price:
|
$41.17
|
52 Weeks Ago:
|
$43.00
|
52 Week High (on 4/17/2019):
|
$44.59
|
52 Week Low (on 10/29/2018):
|
$38.00
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the EEM Shares for each quarter from January 1, 2014 through September
26, 2019. The closing price of the EEM Shares on September 26, 2019 was $41.17. We obtained the information in the table and graph
below from Bloomberg Financial Markets, without independent verification. The EEM Shares have at times experienced periods of high
volatility, and you should not take the historical values of the EEM Shares as an indication of future performance.
iShares® MSCI Emerging Markets ETF (CUSIP 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
40.99
|
37.09
|
40.99
|
Second Quarter
|
43.95
|
40.82
|
43.23
|
Third Quarter
|
45.85
|
41.56
|
41.56
|
Fourth Quarter
|
42.44
|
37.73
|
39.29
|
2015
|
|
|
|
First Quarter
|
41.07
|
37.92
|
40.13
|
Second Quarter
|
44.09
|
39.04
|
39.62
|
Third Quarter
|
39.78
|
31.32
|
32.78
|
Fourth Quarter
|
36.29
|
31.55
|
32.19
|
2016
|
|
|
|
First Quarter
|
34.28
|
28.25
|
34.25
|
Second Quarter
|
35.26
|
31.87
|
34.36
|
Third Quarter
|
38.20
|
33.77
|
37.45
|
Fourth Quarter
|
38.10
|
34.08
|
35.01
|
2017
|
|
|
|
First Quarter
|
39.99
|
35.43
|
39.39
|
Second Quarter
|
41.93
|
38.81
|
41.39
|
Third Quarter
|
45.85
|
41.05
|
44.81
|
Fourth Quarter
|
47.81
|
44.82
|
47.12
|
2018
|
|
|
|
First Quarter
|
52.08
|
45.69
|
48.28
|
Second Quarter
|
48.14
|
42.33
|
43.33
|
Third Quarter
|
45.03
|
41.14
|
42.92
|
Fourth Quarter
|
42.93
|
38.00
|
39.06
|
2019
|
|
|
|
Morgan Stanley Finance LLC
Buffered PLUS Based on the Value of Worst Performing of the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due September 30, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI Emerging Markets ETF (CUSIP 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
First Quarter
|
43.71
|
38.45
|
42.92
|
Second Quarter
|
44.59
|
39.91
|
42.91
|
Third Quarter (through September 26, 2019)
|
43.42
|
38.74
|
41.17
|
EEM Shares Daily Closing Prices
January 1, 2014 to September 26, 2019
|
|
This document relates only to the Buffered PLUS referenced
hereby and does not relate to the EEM Shares. We have derived all disclosures contained in this document regarding iShares from
the publicly available documents described above. In connection with the offering of the Buffered PLUS, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither we nor
the agent makes any representation that such publicly available documents or any other publicly available information regarding
iShares is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including
events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the
trading price of the EEM Shares (and therefore the price of the EEM Shares at the time we priced the Buffered PLUS) have been publicly
disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning
iShares could affect the value received with respect to the Buffered PLUS and therefore the value of the Buffered PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the EEM Shares.
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more
of our affiliates may publish research reports with respect to the EEM Shares. The statements in the preceding two sentences are
not intended to affect the rights of investors in the Buffered PLUS under the securities laws. As a purchaser of the Buffered PLUS,
you should undertake an independent investigation of iShares as in your judgment is appropriate to make an informed decision with
respect to an investment linked to the EEM Shares.
iShares® is a registered trademark of
BlackRock Institutional Trust Company, N.A. (“BTC”). The Buffered PLUS are not sponsored, endorsed, sold, or promoted
by BTC. BTC makes no representations or warranties to the owners of the Buffered PLUS or any member of the public regarding the
advisability of investing in the Buffered PLUS. BTC has no obligation or liability in connection with the operation, marketing,
trading or sale of the Buffered PLUS.
The MSCI Emerging Markets IndexSM. The
MSCI Emerging Markets IndexSM is a stock index calculated, published and disseminated daily by MSCI Inc. and is
intended to provide performance benchmarks for certain emerging equity markets including
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Buffered Performance Leveraged Upside SecuritiesSM
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Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece,
Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand,
Turkey and United Arab Emirates. The MSCI Emerging Markets IndexSM is described in “MSCI Emerging Markets
IndexSM” and “MSCI Global Investable Market Indices Methodology” in the accompanying index supplement.
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Principal at Risk Securities
iShares® MSCI EAFE ETF Overview
The iShares® MSCI EAFE ETF is an exchange-traded
fund that seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the
MSCI EAFE IndexSM. The iShares® MSCI EAFE ETF is managed by iShares Trust (“iShares”),
a registered investment company that consists of numerous separate investment portfolios, including the iShares® MSCI
EAFE ETF. Information provided to or filed with the Securities and Exchange Commission (the “Commission”) by iShares
pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers
333-92935 and 811-09729, respectively, through the Commission’s website at www.sec.gov.In addition, information may be obtained
from other publicly available sources. Neither the issuer nor the agent makes any representation that any such publicly
available information regarding the iShares® MSCI EAFE ETF is accurate or complete.
Information as of market close on September 26, 2019:
Bloomberg Ticker Symbol:
|
EFA UP
|
Current Share Price:
|
$65.19
|
52 Weeks Ago:
|
$68.69
|
52 Week High (on 9/26/2018):
|
$68.69
|
52 Week Low (on 12/24/2018):
|
$56.89
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the EFA Shares for each quarter from January 1, 2014 through September
26, 2019. The closing price of the EFA Shares on September 26, 2019 was $65.19. We obtained the information in the table and graph
below from Bloomberg Financial Markets, without independent verification. The EFA Shares have at times experienced periods of high
volatility, and you should not take the historical values of the EFA Shares as an indication of future performance.
iShares® MSCI EAFE ETF (CUSIP 464287465)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
68.03
|
62.31
|
67.17
|
Second Quarter
|
70.67
|
66.26
|
68.37
|
Third Quarter
|
69.25
|
64.12
|
64.12
|
Fourth Quarter
|
64.51
|
59.53
|
60.84
|
2015
|
|
|
|
First Quarter
|
65.99
|
58.48
|
64.17
|
Second Quarter
|
68.42
|
63.49
|
63.49
|
Third Quarter
|
65.46
|
56.25
|
57.32
|
Fourth Quarter
|
62.06
|
57.50
|
58.75
|
2016
|
|
|
|
First Quarter
|
57.80
|
51.38
|
57.13
|
Second Quarter
|
59.87
|
52.64
|
55.81
|
Third Quarter
|
59.86
|
54.44
|
59.13
|
Fourth Quarter
|
59.20
|
56.20
|
57.73
|
2017
|
|
|
|
First Quarter
|
62.60
|
58.09
|
62.29
|
Second Quarter
|
67.22
|
61.44
|
65.20
|
Third Quarter
|
68.48
|
64.83
|
68.48
|
Fourth Quarter
|
70.80
|
68.42
|
70.31
|
2018
|
|
|
|
First Quarter
|
75.25
|
67.94
|
69.68
|
Second Quarter
|
71.90
|
66.35
|
66.97
|
Third Quarter
|
68.98
|
65.43
|
67.99
|
Fourth Quarter
|
68.07
|
56.89
|
58.78
|
Morgan Stanley Finance LLC
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Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI EAFE ETF (CUSIP 464287465)
|
High ($)
|
Low ($)
|
Period End ($)
|
2019
|
|
|
|
First Quarter
|
65.61
|
58.13
|
64.86
|
Second Quarter
|
66.99
|
63.40
|
65.73
|
Third Quarter (through September 26, 2019)
|
66.68
|
61.30
|
65.19
|
EFA Shares Daily Closing Prices
January 1, 2014 to September 26, 2019
|
|
This document relates only to the Buffered PLUS referenced
hereby and does not relate to the EFA Shares. We have derived all disclosures contained in this document regarding iShares from
the publicly available documents described above. In connection with the offering of the Buffered PLUS, neither we nor the agent
has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither we nor
the agent makes any representation that such publicly available documents or any other publicly available information regarding
iShares is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including
events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the
trading price of the EFA Shares (and therefore the price of the EFA Shares at the time we priced the Buffered PLUS) have been publicly
disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning
iShares could affect the value received with respect to the Buffered PLUS and therefore the value of the Buffered PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the EFA Shares.
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more
of our affiliates may publish research reports with respect to the EFA Shares. The statements in the preceding two sentences are
not intended to affect the rights of investors in the Buffered PLUS under the securities laws. As a purchaser of the Buffered PLUS,
you should undertake an independent investigation of iShares as in your judgment is appropriate to make an informed decision with
respect to an investment linked to the EFA Shares.
iShares® is a registered trademark of
BlackRock Institutional Trust Company, N.A. (“BTC”). The Buffered PLUS are not sponsored, endorsed, sold, or promoted
by BTC. BTC makes no representations or warranties to the owners of the Buffered PLUS or any member of the public regarding the
advisability of investing in the Buffered PLUS. BTC has no obligation or liability in connection with the operation, marketing,
trading or sale of the Buffered PLUS.
The MSCI EAFE IndexSM. The
MSCI EAFE IndexSM is a stock index calculated, published and disseminated daily by MSCI Inc. (“MSCI”).
The index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed
markets, excluding the United States and Canada, and it consists of the following 21 developed market country indices: Australia,
Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands,
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Principal at Risk Securities
New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland
and the United Kingdom. For additional information about the MSCI EAFE IndexSM, see the information set forth under
“MSCI EAFE IndexSM” and “MSCI Global Investable Market Indices Methodology” in the accompanying
index supplement.
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Additional Terms of the Buffered PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Share underlying indices:
|
With respect to the EEM Shares, the MSCI Emerging Markets IndexSM
With respect to the EFA Shares, the MSCI EAFE IndexSM
|
Share underlying index publishers:
|
With respect to each of the EEM Shares and the EFA Shares, MSCI Inc., or any successor thereof.
|
Interest:
|
None
|
Denominations:
|
$1,000 per Buffered 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 Buffered 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 Buffered 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 Buffered
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 and to the depositary of the amount of cash to be delivered with respect to each stated principal
amount of the Buffered 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 Buffered PLUS to the trustee for delivery to the depositary, as
holder of the Buffered PLUS, on the maturity date.
|
Morgan Stanley Finance LLC
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Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities