Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 01 2019 - 6:02AM
Edgar (US Regulatory)
Morgan
Stanley
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Free Writing Prospectus to Preliminary Terms No.
2,611
Registration Statement Nos. 333-221595; 333-221595-01
Dated September 30, 2019; Filed pursuant to Rule
433
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2.5-Year Worst-of SPX and RTY Dual Directional Buffered
PLUS
This document provides a summary of the terms of the
Buffered PLUS. Investors must carefully review the accompanying preliminary terms referenced below, product supplement, index
supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision
1All payments are subject to our credit risk
Hypothetical Payout at Maturity1
The payment at maturity will be based solely
on the performance of the worst performing underlying, which could be either underlying. The graph and table below illustrate the
payment at maturity depending on the performance of the worst performing underlying.
Change in Worst Performing Underlying
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Return on Buffered PLUS
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+60.00%
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63.90%*
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+50.00%
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53.25%*
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+40.00%
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42.60%*
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+30.00%
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31.95%*
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+20.00%
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21.30%*
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+10.00%
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10.65%*
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0.00%
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0.00%
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-10.00%
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10.00%
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-15.00%
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15.00%
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-20.00%
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-5.00%
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-30.00%
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-15.00%
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-40.00%
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-25.00%
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-50.00%
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-35.00%
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-60.00%
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-45.00%
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*Assumes a leverage factor of 106.50% (the midpoint of the specified range)
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The issuer has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlying Indices
For more information about the underlying indices, including historical
performance information, see the accompanying preliminary terms.
Risk Considerations
The risks set forth below are discussed in more detail in the “Risk
Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making an investment
decision.
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The Buffered PLUS do not pay interest and
provide a minimum payment at maturity of only 15% of the stated principal amount.
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You are exposed to the price risk of both
underlying indices.
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Because the Buffered PLUS are linked to the
performance of the worst performing underlying index, you are exposed to greater risk of sustaining a loss on your investment than
if the Buffered PLUS were linked to just one underlying index.
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The market price of the Buffered PLUS will
be influenced by many unpredictable factors.
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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.
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As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
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The estimated value of the Buffered PLUS is
$973.90 per Buffered Security, or within $15.00 of that estimate, and 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.
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The
Buffered PLUS are linked to the Russell 2000® Index and are subject to
risks associated with small-capitalization companies.
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The amount payable on the Buffered PLUS is
not linked to the values of the underlying indices at any time other than the valuation date.
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Investing in the Buffered PLUS is not equivalent
to investing in either underlying index.
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Adjustments to the underlying indices could
adversely affect the value of the Buffered PLUS.
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The rate we are willing to pay for securities
of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and
advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the
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.
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The Buffered PLUS will not be listed on any
securities exchange and secondary trading may be limited.
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Hedging and trading activity by our affiliates
could potentially adversely affect the value of the Buffered PLUS.
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The calculation agent, which is a subsidiary
of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Buffered PLUS.
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The U.S. federal income tax consequences of
an investment in the Buffered PLUS are uncertain.
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Tax Considerations
You should review carefully the discussion in the accompanying preliminary
terms under the caption “Additional Information About the Buffered PLUS– Tax considerations” concerning the U.S.
federal income tax consequences of an investment in the Buffered PLUS, and you should consult your tax adviser.
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