CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered
|
|
Maximum Aggregate Offering Price
|
|
Amount of Registration Fee
|
Contingent Income Auto-Callable Securities due 2021
|
|
$4,048,000
|
|
$525.43
|
September
2019
Pricing Supplement No. 2,604
Registration Statement Nos. 333-221595;
333-221595-01
Dated September 27, 2019
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities
in U.S. Equities
Contingent Income
Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the
Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson
& Johnson
Fully and Unconditionally
Guaranteed by Morgan Stanley
Principal at Risk Securities
The
securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally
guaranteed by Morgan Stanley. The securities have the terms described
in the accompanying product supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee
the repayment of principal and do not provide for the regular payment of interest. Instead, the securities will pay a contingent
quarterly coupon but only if the determination closing price of each of the common stock of Facebook, Inc.,
the common stock of Booking Holdings Inc. and the common stock of Johnson & Johnson, which we refer to collectively as the
underlying stocks, is at or above 55% of its respective
initial share price, which we refer to as the respective downside threshold level, on
the related observation date. If the determination closing price of any underlying stock is less than its respective downside
threshold level on any observation date, we will pay no interest for the related quarterly period. However, if the determination
closing price of each of the underlying stocks is at or above its respective downside threshold level on any subsequent observation
date, investors will receive, in addition to the contingent quarterly coupon for the related quarterly period, any previously
unpaid contingent quarterly coupons from prior observation dates. In addition, the securities will be automatically redeemed if
the determination closing price of each underlying stock is greater than or equal to its respective redemption
threshold level on any quarterly redemption determination date for the
early redemption payment equal to the sum of the stated principal amount plus the related contingent quarterly coupon and any
previously unpaid contingent quarterly coupons from prior observation dates. At maturity, if the securities have not previously
been redeemed and the final share price of each underlying stock is greater than or equal to its respective downside
threshold level, the payment at maturity will also be the sum of the stated principal amount plus the related contingent quarterly
coupon and any previously unpaid contingent quarterly coupons from prior observation dates. However, if the final share price
of any underlying stock is less than its respective downside threshold level, investors will be exposed to the decline
in the worst performing underlying stock on a 1-to-1 basis and will receive a payment at maturity that is less than 55% of the
stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing
to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent quarterly coupons
throughout the 1.5-year term of the securities. The securities are for investors who are willing to risk their principal and
seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no quarterly interest
over the entire 1.5-year term and in exchange for the possibility of an automatic early redemption prior to maturity. Because
the payment of contingent quarterly coupons is based on the worst performing of the underlying stocks, the fact that the securities
are linked to three underlying stocks does not provide any asset diversification benefits and instead means that a decline of
any underlying stock below the relevant downside threshold level will result in no contingent quarterly coupons, even if
one or both of the other underlying stocks close at or above the respective downside threshold levels. Because all payments on
the securities are based on the worst performing of the underlying stocks, a decline beyond the respective downside threshold
level of any underlying stock will result in no contingent quarterly coupon payments and a significant loss of your investment,
even if one or both of the other underlying stocks have appreciated or have not declined as much. Investors will not participate
in any appreciation of any underlying stock. The securities 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 securities 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
|
Underlying
stocks:
|
Facebook, Inc. common stock (the “FB Stock”), Booking Holdings Inc. common stock (the “BKNG Stock”) and Johnson & Johnson common stock (the “JNJ Stock”)
|
Aggregate principal amount:
|
$4,048,000
|
Stated
principal amount:
|
$1,000 per security
|
Issue
price:
|
$1,000 per security
|
Pricing
date:
|
September 27, 2019
|
Original
issue date:
|
October 3, 2019 (4 business days after the pricing date)
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Maturity
date:
|
April 5, 2021
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Early
redemption:
|
If, on any redemption determination date, beginning
on December 26, 2019, the determination closing price of each underlying stock is greater than or equal to its respective
redemption threshold level, the securities will be automatically redeemed for an early redemption payment on the related early
redemption date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any
early redemption date if the determination closing price of any underlying stock is below its respective redemption threshold
level on the related redemption determination date.
|
Early
redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii) the contingent quarterly coupon with respect to the related observation date and any previously unpaid contingent quarterly coupons from the prior observation dates.
|
Determination
closing price:
|
With respect to each underlying stock, the closing price of such underlying stock on any redemption determination date or observation date (other than the final observation date), times the adjustment factor on such determination date or observation date, as applicable
|
Early
redemption dates:
|
Quarterly, on the fifth business day following each redemption determination date.
|
Contingent
quarterly coupon:
|
A contingent quarterly coupon at an annual rate
of 6.12% (corresponding to approximately $15.30 per quarter per security) plus any previously unpaid contingent quarterly
coupons from any prior observation dates will be paid on the securities on each coupon payment date but only if
the determination closing price of each underlying stock is at or above its respective downside threshold level on the
related observation date; provided, however, in the case of any such payment of a previously unpaid contingent quarterly
coupon, no additional interest shall accrue or be payable in respect of such unpaid contingent quarterly coupon from and after
the end of the original interest period for such unpaid contingent quarterly coupon. You will not receive such unpaid contingent
quarterly coupons if the determination closing price of any underlying stock is less than its respective redemption threshold
level on each subsequent observation date.
If, on any observation date, the determination closing
price of any underlying stock is less than its respective downside threshold level, no contingent quarterly coupon will be paid
with respect to that observation date. It is possible that one or more underlying stocks will remain below their respective downside
threshold levels for extended periods of time or even throughout the entire 1.5-year term of the securities so that you will receive
few or no contingent quarterly coupons.
|
Downside
threshold level:
|
With respect to the FB Stock, $99.061, which is equal
to approximately 55% of its initial share price
With respect to the BKNG Stock, $1,088.148, which is
equal to approximately 55% of its initial share price
With respect to the JNJ Stock, $70.868, which is equal
to approximately 55% of its initial share price
|
Payment
at maturity:
|
If the securities are not redeemed prior to maturity,
investors will receive a payment at maturity determined as follows:
· If
the final share price of each underlying stock is greater than or equal to its respective downside threshold level:
(i) the stated principal amount plus (ii) the contingent quarterly coupon with respect to the final observation date and
any previously unpaid contingent quarterly coupons from the prior observation dates
· If
the final share price of any underlying stock is less than its respective downside threshold level: (i) the stated
principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock
Under these circumstances, the payment
at maturity will be significantly less than the stated principal amount of $1,000, and will represent a loss of more than 45%,
and possibly all, of your investment.
|
|
Terms continued on the following page
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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.”
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Estimated
value on the pricing date:
|
$969.90 per security. See “Investment Summary” beginning on page 3.
|
Commissions
and issue price:
|
Price to public
|
Agent’s commissions(1)
|
Proceeds to us(2)
|
Per
security
|
$1,000
|
$20
|
$980
|
Total
|
$4,048,000
|
$80,960
|
$3,967,040
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|
(1)
|
Selected dealers and their financial advisors will
collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $20 for each security 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.
|
|
(2)
|
See “Use of proceeds and hedging” on page
33.
|
The securities involve risks not associated
with an investment in ordinary debt securities. See “Risk Factors” beginning on page 13.
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
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or saving 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 Securities” and “Additional Information About the Securities” 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 Auto-Callable Securities dated November 16, 2017 Prospectus
dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Terms continued from previous page:
|
Redemption
determination dates:
|
December 26, 2019, March 26, 2020, June 26, 2020, September 28, 2020 and December 28, 2020, subject to postponement for non-trading days and certain market disruption events.
|
Redemption
threshold level:
|
With respect to the FB Stock, $162.099, which is equal
to 90% of its initial share price
With respect to the BKNG Stock, $1,780.605, which is
equal to 90% of its initial share price
With respect to the JNJ Stock, $115.965, which is equal
to 90% of its initial share price
|
Initial
share price:
|
With respect to the FB Stock, $180.11, which is its
closing price on September 26, 2019
With respect to the BKNG Stock, $1,978.45, which is
its closing price on September 26, 2019
With respect to the JNJ Stock, $128.85, which is its
closing price on September 26, 2019
|
Coupon
payment dates:
|
Quarterly, on the fifth business day following each observation date; provided that the contingent quarterly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
|
Observation
dates:
|
December 26, 2019, March 26, 2020, June 26, 2020, September 28, 2020, December 28, 2020 and March 26, 2021, subject, independently in the case of each underlying stock, to postponement for non-trading days and certain market disruption events. We also refer to March 26, 2021 as the final observation date.
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Final
share price:
|
With respect to each underlying stock, the closing price of such underlying stock on the final observation date times the adjustment factor on such date
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Adjustment
factor:
|
With respect to each underlying stock, 1.0, subject to adjustment in the event of certain corporate events affecting such underlying stock
|
Worst
performing underlying stock:
|
The underlying stock with the largest percentage decrease from the respective initial share price to the respective final share price
|
Share
performance factor:
|
Final share price divided by the initial share price
|
CUSIP
/ ISIN:
|
61769HXG5 / US61769HXG54
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common stock of Facebook, Inc., the Common Stock of Booking
Holdings Inc. and the Common Stock of Johnson & Johnson (the “securities”) do not provide for the regular payment
of interest. Instead, the securities will pay a contingent quarterly coupon at an annual rate of 6.12% but only if the determination
closing price of each underlying stock is at or above 55% of its respective initial share price, which we refer to
as the respective downside threshold level, on the related observation date. If the determination closing price of any underlying
stock is less than its downside threshold level on any observation date, we will pay no coupon for the related quarterly period.
However, if the determination closing price of each of the underlying stocks
is at or above its respective downside threshold level on any subsequent observation date, investors will receive, in addition
to the contingent quarterly coupon for the related quarterly period, any previously unpaid contingent quarterly coupons from prior
observation dates. It is possible that the determination closing price of one or more underlying stocks will remain below
their respective downside threshold levels for extended periods of time or even throughout the entire 1.5-year term of the
securities so that you will receive few or no contingent quarterly coupons during the entire term of the securities. We refer to
these coupons as contingent, because there is no guarantee that you will receive a coupon payment on any coupon payment date. Even
if all of the underlying stocks were to be at or above their respective downside threshold levels on some quarterly observation
dates, one or more underlying stocks may fluctuate below the respective downside threshold level(s) on others, and the underlying
stocks may not close at or above their respective downside threshold level on any subsequent observation date, in which case you
will not receive payment of any unpaid previously contingent quarterly coupons. In addition, if the securities have not been automatically
called prior to maturity and the final share price of any underlying stock is less than its respective downside threshold
level, investors will be exposed to the decline in the worst performing underlying stock on a 1-to-1 basis, and will receive a
payment at maturity that is less than 55% of the stated principal amount of the securities and could be zero. Accordingly,
investors in the securities must be willing to accept the risk of losing their entire initial investment and also the risk of
not receiving any contingent quarterly payments throughout the entire 1.5-year term of the securities.
Maturity:
|
Approximately 1.5 years
|
Contingent
quarterly coupon:
|
A contingent quarterly coupon at an annual rate of 6.12%
(corresponding to approximately $15.30 per quarter per security) will be paid on the securities on each coupon payment date but
only if the determination closing price of each underlying stock is at or above its respective downside threshold level
on the related observation date.
If the contingent quarterly coupon is not paid on
any coupon payment date (because the determination closing price of an underlying stock on the related observation date is less
than the downside threshold level), such unpaid contingent quarterly coupon will be paid on a later coupon payment date but only
if the determination closing price of each underlying stock on such later observation date is greater than or equal to the respective
downside threshold level. You will not receive such unpaid contingent quarterly coupon if the determination closing
price of any underlying stock on each subsequent observation date is less than its respective downside threshold level. If
the determination closing price of any underlying stock on each observation date is less than its respective downside threshold
level, you will not receive any contingent quarterly coupon for the entire term of the securities.
|
Automatic
early redemption quarterly beginning in January
|
Starting in January 2020, if the determination closing price of each underlying stock is greater than or equal to its respective redemption threshold level on any quarterly determination date, beginning on December 26, 2019, the securities will be automatically redeemed for an early redemption payment equal to the stated principal
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
2020:
|
amount plus the contingent quarterly coupon with respect to the related observation date and any previously unpaid contingent quarterly coupons from prior observation dates.
|
Payment
at maturity:
|
If the securities have not previously been redeemed and the final
share price of each underlying stock is greater than or equal to its respective downside threshold level, the payment
at maturity will be the sum of the stated principal amount plus the related contingent quarterly coupon and any previously
unpaid contingent quarterly coupons from prior observation dates.
If the final share price of any underlying stock
is less than its downside threshold level, investors will receive a payment at maturity based on the decline in the worst
performing underlying stock over the term of the securities. Under these circumstances, the payment at maturity will be less than
55% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must
be willing to accept the risk of losing their entire initial investment.
|
|
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
The original issue price of each security is
$1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by
you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value
of each security on the pricing date is $969.90.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date,
we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying
stocks. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying stocks, instruments based on the underlying stocks, 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 securities?
In determining the economic terms of the securities,
including the contingent quarterly coupon rate, the redemption threshold levels and the downside threshold levels, 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 terms of
the securities 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 securities?
The price at which MS & Co. purchases the
securities in the secondary market, absent changes in market conditions, including those related to the underlying stocks, 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 securities
are not fully deducted upon issuance, for a period of up to 4 months following the issue date, to the extent that MS & Co.
may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying
stocks, 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 securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities will pay a contingent quarterly coupon but only if the determination closing price of each underlying
stock is at or above its respective downside threshold level on the related observation date. The securities have been
designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept the risk
of receiving few or no coupon payments for the entire 1.5-year term of the securities in exchange for an opportunity to earn interest
at a potentially above-market rate if all of the underlying stocks close at or above their respective downside threshold levels,
unless the securities are redeemed early. The following scenarios are for illustration purposes only to demonstrate how the coupon
and the payment at maturity (if the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate
every situation that may occur. Accordingly, the securities may or may not be redeemed, the contingent coupon may be payable in
none of, or some but not all of, the quarterly periods during the 1.5-year term of the securities, and the payment at maturity
may be less than 55% of the stated principal amount of the securities and may be zero.
Scenario 1: The securities are redeemed prior to maturity
|
This scenario assumes that, prior to early redemption, all of
the underlying stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one
or more underlying stocks close below the respective downside threshold level(s) on the others. Investors receive the contingent
quarterly coupon, as well as any previously unpaid contingent quarterly coupons form prior observation dates, for the quarterly
periods for which the determination closing price of each underlying stock is greater than or equal to the respective downside
threshold level on the related observation date.
When all of the underlying stocks close at or above
their respective redemption threshold levels on a quarterly redemption determination date, the securities will be automatically
redeemed for the stated principal amount plus the contingent quarterly coupon with respect to the related observation date
and any previously unpaid contingent quarterly coupons from prior observation dates.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity
|
This scenario assumes that all of the underlying stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one or more underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its redemption threshold level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon, as well as any previously unpaid contingent quarterly coupons form prior observation dates, for the quarterly periods for which the determination closing price of each underlying stock is greater than or equal to the respective downside threshold level on the related observation date. On the final observation date, all of the underlying stocks close at or above their respective downside threshold levels. At maturity, in addition to the contingent quarterly coupon with respect to the final observation date and any previously unpaid contingent quarterly coupons form prior observation dates, investors will receive the stated principal amount.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Scenario 3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
|
This scenario assumes that all of the underlying stocks close at or above their respective downside threshold levels on some quarterly observation dates, but one or more underlying stocks close below the respective downside threshold level(s) on the others, and at least one of the underlying stocks closes below its redemption threshold level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon, as well as any previously unpaid contingent quarterly coupons form prior observation dates, for the quarterly periods for which the determination closing price of each underlying stock is greater than or equal to the respective downside threshold level on the related observation date. On the final observation date, one or more underlying stocks close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying stock. Under these circumstances, the payment at maturity will be less than 55% of the stated principal amount and could be zero. No coupon will be paid at maturity in this scenario, and investors will not receive payment of any previously unpaid contingent quarterly coupons at maturity.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the determination closing prices on each quarterly observation date, (2) the determination closing
prices on each quarterly redemption determination date and (3) the final share prices. Please see “Hypothetical Examples”
below for an illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Quarterly Coupons
(Beginning on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram #2: Automatic Early Redemption (Starting
in January 2020)
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payout at
maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly coupon is paid with respect to an observation date and how to calculate the payment at maturity,
if any, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only.
Whether you receive a contingent quarterly coupon will be determined by reference to the determination closing price of each underlying
stock on each quarterly observation date. Whether the securities are redeemed early will be determined by reference to the determination
closing price of each underlying stock on each quarterly determination date and the payment at maturity, if any, will be determined
by reference to the final share price of each underlying stock on the final determination date. The actual initial share price
and downside threshold level for each underlying stock are set forth on the cover of this document. All payments on the securities,
if any, are subject to our credit risk. The below examples are based on the following terms:
Contingent Quarterly Coupon:
|
6.12% per annum (corresponding to approximately $15.30 per quarter
per security)1
With respect to each coupon payment date, a contingent
quarterly coupon plus any previously unpaid quarterly coupons from any prior observation dates is paid but only if the
determination closing price of each underlying stock is at or above its respective downside threshold level on the related observation
date.
|
Payment at Maturity (if the securities are not redeemed prior to maturity):
|
If the final share price of each underlying stock is greater
than or equal to its respective downside threshold level: the stated principal amount plus the contingent quarterly
coupon with respect to the final observation date and any previously unpaid contingent quarterly coupons from the prior observation
dates
If the final share price of any underlying stock
is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the share
performance factor of the worst performing underlying stock
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Share Price:
|
With respect to the FB Stock: $180.00
With respect to the BKNG Stock: $2,000.00
With respect to the JNJ Stock: $130.00
|
Hypothetical Downside Threshold Level:
|
With respect to the FB Stock: $99.00, which is 55% of
its hypothetical initial share price
With respect to the BKNG Stock: $1,100.00, which is
55% of its hypothetical initial share price
With respect to the JNJ Stock: $71.50, which is 55%
of its hypothetical initial share price
|
1 The actual contingent quarterly
coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated
on a 30/360 day count basis. The hypothetical contingent quarterly coupon of $15.30 is used in these examples for ease of analysis.
How to determine whether a contingent quarterly
coupon is payable with respect to an observation date:
|
Determination Closing Price
|
Contingent Quarterly Coupon
|
|
FB Stock
|
BKNG Stock
|
JNJ Stock
|
|
1st Quarterly Observation Date
|
$190.00 (at or above its downside threshold level)
|
$1,700.00 (at or above its downside threshold level)
|
$100.00 (at or above its downside threshold level)
|
$15.30
|
2nd Quarterly Observation Date
|
$125.00 (at or above its downside threshold level)
|
$950.00 (below its downside threshold level)
|
$105.00 (at or above its downside threshold level)
|
$0
|
3rd Quarterly Observation Date
|
$150.00 (at or above its downside threshold level)
|
$1,500.00 (at or above its downside threshold level)
|
$115.00 (at or above its downside threshold level)
|
$15.30 + $15.30 = $30.60
|
4th Quarterly Observation Date
|
$85.00 (below its downside threshold level)
|
$800.00 (below its downside threshold level)
|
$60.00 (below its downside threshold level)
|
$0
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
On hypothetical observation date 1, each of the underlying stocks
closes at or above its respective downside threshold level. Therefore, a contingent quarterly coupon of $15.30 is paid on the relevant
coupon payment date.
On hypothetical observation date 2, two underlying stocks close
at or above their respective downside threshold levels, but the other underlying stock closes below its respective downside threshold
level. Therefore, no contingent quarterly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 3, each of the underlying stocks
closes at or above its respective downside threshold level. Therefore, investors receive the contingent quarterly coupon with respect
to the third observation date as well as the previously unpaid contingent quarterly coupon with respect to the second observation
date.
On hypothetical observation date 4, each of the underlying stocks
closes below its respective downside threshold level, and accordingly no contingent quarterly coupon is paid on the relevant coupon
payment date.
You will not receive a contingent quarterly coupon on any
coupon payment date if the determination closing price of any underlying stock is below its respective downside threshold level
on the related observation date.
How to calculate the payment at maturity:
In the following examples, one or more underlying stocks close
below the respective redemption threshold levels on each redemption determination date, and, consequently, the securities are not
automatically redeemed prior to, and remain outstanding until, maturity.
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Final Share Price
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Payment at Maturity
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FB Stock
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BKNG Stock
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JNJ Stock
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Example 1:
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$200.00 (at or above its downside threshold level)
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$2,300.00 (at or above its downside threshold level)
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$150.00 (at or above its downside threshold level)
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$1,000 plus the contingent quarterly coupon with respect to the final observation date and any previously unpaid contingent quarterly coupons from the prior observation dates
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Example 2:
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$90.00 (below its downside threshold level)
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$1,600.00 (at or above its downside threshold level)
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$95.00 (at or above its downside threshold level)
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$1,000 x share performance factor of the worst performing underlying stock = $1,000 x ($90.00 / $180.00) = $500.00
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Example 3:
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$140.00 (at or above its downside threshold level)
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$1,550.00 (at or above its downside threshold level)
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$65.00 (below its downside threshold level)
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$1,000 x ($65.00 / $130.00) = $500.00
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Example 4:
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$72.00 (below its downside threshold level)
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$1,000.00 (below its downside threshold level)
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$58.50 (below its downside threshold level)
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$1,000 x ($72.00 / $180.00) = $400.00
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Example 5:
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$90.00 (below its downside threshold level)
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$600.00 (below its downside threshold level)
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$52.00 (below its downside threshold level)
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$1,000 x ($600.00 / $2,000.00) = $300.00
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In example 1, the final share prices of each of the FB Stock,
BKNG Stock and JNJ Stock are at or above their respective downside threshold levels. Therefore, investors receive at maturity the
stated principal amount of the securities plus the contingent quarterly coupon with respect to the final observation date
and any previously unpaid contingent quarterly coupons from the prior observation dates. Investors do not participate in the appreciation
of any of the underlying stocks.
In example 2, the final share prices of two underlying stocks
are at or above their respective downside threshold levels, but the final share price of the other underlying stock is below its
downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock
at maturity and receive an amount equal to the stated principal amount times the share performance factor of the worst performing
underlying stock.
In example 3, the final share prices of two underlying stocks
are at or above their respective downside threshold levels, but the final share price of the other underlying stock is below its
downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock
at maturity and receive at maturity an amount equal to the stated principal amount times the share performance factor of the worst
performing underlying stock.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
In examples 4 and 5, the final share prices of all of the underlying
stocks are below their respective downside threshold levels, and investors receive at maturity an amount equal to the stated principal
amount times the share performance factor of the worst performing underlying stock. In example 4, the FB Stock has declined
60% from its initial share price to its final share price, the BKNG Stock has declined 50% from its initial share price to its
final share price and the JNJ Stock has declined 55% from its initial share price to its final share price. Therefore, the payment
at maturity equals the stated principal amount times the share performance factor of the FB Stock, which represents the
worst performing underlying stock in this example. In example 5, the FB Stock has declined 50% from its initial share price to
its final share price, the BKNG Stock has declined 70% from its initial share price to its final share price and the JNJ Stock
has declined 60% from its initial share price to its final share price. Therefore the payment at maturity equals the stated principal
amount times the share performance factor of the BKNG Stock, which represents the worst performing underlying stock in this
example.
If the final share price of ANY underlying stock is below
its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock
at maturity, and your payment at maturity will be less than 55% of the stated principal amount per security and could be zero.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement and prospectus. You should
also consult with your investment, legal, tax, accounting and other advisers in connection with your investment in
the securities.
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§
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The securities do not guarantee the return of any principal. The
terms of the securities differ from those of ordinary debt securities in that they do not guarantee the return of any of the principal
amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price of any
underlying stock is less than its downside threshold level of 55% of its initial share price, you will be exposed to the decline
in the closing price of the worst performing underlying stock, as compared to its initial share price, on a 1-to-1 basis, and you
will receive for each security that you hold at maturity an amount equal to the stated principal amount times the share
performance factor of the worst performing underlying stock. In this case, the payment at maturity will be less than 55% of the
stated principal amount and could be zero. You could lose up to your entire investment in the securities.
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The securities do not provide for the regular payment of interest
and may pay no interest over the entire term of the securities. The terms of the securities differ from those of ordinary
debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent
quarterly coupon but only if the determination closing price of each underlying stock is at or above 55% of its respective initial
share price, which we refer to as the respective downside threshold level, on the related observation date. If the determination
closing price of any underlying stock is lower than its downside threshold level on the relevant observation date for any interest
period, we will pay no coupon on the applicable coupon payment date. However, if the determination closing price of each of the
underlying stocks is at or above its respective downside threshold level on any subsequent observation date, investors will receive,
in addition to the contingent quarterly coupon for the related quarterly period, any previously unpaid contingent quarterly coupons
from prior observation dates. Nevertheless, it is possible that the determination closing price(s) of one or more underlying stocks
could remain below the respective downside threshold level(s) for extended periods of time or even throughout the entire 1.5-year
term of the securities so that you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent
coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on
a conventional debt security of ours of comparable maturity.
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§
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You are exposed to the price risk of all of the underlying stocks,
with respect to both the contingent quarterly coupons, if any, and the payment at maturity, if any. Your
return on the securities is not linked to a basket consisting of the underlying stocks. Rather, it will be contingent upon the
independent performance of each underlying stock. 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 each
of the underlying stocks. Poor performance by any underlying stock over the term
of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other
underlying stocks. To receive any contingent quarterly coupons, all
of the underlying stocks must close at or above their respective downside threshold levels on
the applicable observation date. In addition, if any underlying stock has declined
to below its respective downside threshold level as of the final observation date, you will be fully exposed to
the decline in the worst performing underlying stock over the term of the securities on a 1-to-1 basis, even if the other underlying
stocks have appreciated or have not declined as much. Under this scenario, the value of any such payment will be less than 55%
of the stated principal amount and could be zero. Accordingly, your investment is subject to the price risk of all of the underlying
stocks.
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§
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The contingent coupon, if any, is based only on the determination closing prices of the underlying stocks on the related
quarterly observation date at the end of the related interest period.
Whether the contingent coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the determination closing price of each underlying stock on the relevant quarterly observation date. As a result, you
will not know whether you will receive the contingent coupon on any coupon payment date until near the end of the relevant interest
period. Moreover, because the contingent coupon is based solely on the price of each underlying stock on
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
quarterly observation dates,
if the determination closing price of any underlying stock on any observation date is below the respective downside threshold level,
you will receive no coupon for the related interest period, or any previously unpaid coupons, even if the price(s) of one or more
of the underlying stocks were higher on other days during that interest period.
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§
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Investors will not participate in any appreciation in the price of any underlying stock. Investors will not participate
in any appreciation in the price of any underlying stock from its initial share price, and the return on the securities will be
limited to the contingent quarterly coupon, if any, that is paid with respect to each observation date on which all determination
closing prices are greater than or equal to their respective downside threshold levels, if any.
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§
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The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the prices of the underlying
stocks on any day, including in relation to the respective
downside threshold levels, will affect the value of the securities more than any other factors. Other factors that may influence
the value of the securities include:
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o
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the trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks,
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o
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whether the determination closing price of any underlying stock has been below its respective downside threshold level on any
observation date,
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o
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dividend rates on the underlying stocks,
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o
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks
and which may affect the prices of the underlying stocks,
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o
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the time remaining until the securities mature,
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o
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interest and yield rates in the market,
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o
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the availability of comparable instruments,
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o
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the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment
factor, and
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o
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any actual or anticipated changes in our credit ratings or credit spreads.
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Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example,
you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security if the price
of any underlying stock at the time of sale is near or below its downside threshold level or if market interest rates rise.
The
prices of the underlying stocks may be, and have recently been, volatile, and we can give you no assurance that the volatility
will lessen. The prices of the underlying stocks may decrease and be below the respective downside threshold level(s) on
each observation date so that you will receive no return on your investment and receive a payment at maturity that is less than
55% of the stated principal amount and could be zero. There can be no assurance that the determination closing prices of all of
the underlying stocks will be at or above their respective downside threshold levels on any observation date so that you will receive
a coupon payment on the securities for the applicable interest period, or, with respect to the final observation date, so that
you do no suffer a significant loss on your initial investment in the securities. See
“Facebook, Inc. Overview,” “Booking Holdings Inc. Overview” and “Johnson & Johnson Overview”
below.
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§
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The securities 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 securities. You are dependent on our ability to pay all amounts due on the securities
on each coupon payment date, upon automatic redemption and at maturity and therefore you are subject to our credit risk. The securities
are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk
and you could lose some or all of your investment. As a result,
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
the market value of the securities
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 securities.
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§
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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.
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§
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Reinvestment risk. The term
of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no more contingent quarterly coupons and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns.
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§
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Investing in the securities is not equivalent to investing in the
common stock of Facebook, Inc., the common stock of Booking Holdings Inc. or the common stock of Johnson & Johnson. Investors
in the securities will not participate in any appreciation in the underlying stocks, and will not have voting rights or rights
to receive dividends or other distributions or any other rights with respect to the underlying stocks. As a result, any return
on the securities will not reflect the return you would realize if you actually owned shares of the underlying stocks and received
the dividends paid or distributions made on them.
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§
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No affiliation with Facebook, Inc., Booking Holdings Inc. or Johnson
& Johnson. Facebook, Inc., Booking Holdings Inc. and Johnson & Johnson are not affiliates of ours, are not involved
with this offering in any way, and have no obligation to consider your interests in taking any corporate actions that might affect
the value of the securities. We have not made any due diligence inquiry with respect to Facebook, Inc., Booking Holdings Inc. or
Johnson & Johnson in connection with this offering.
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§
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We may engage in business with or involving Facebook, Inc., Booking Holdings Inc. or Johnson & Johnson without regard
to your interests. We or our affiliates may presently or from time to time engage in business with Facebook, Inc., Booking
Holdings Inc. or Johnson & Johnson without regard to your interests and thus may acquire non-public information about Facebook,
Inc., Booking Holdings Inc. or Johnson & Johnson. Neither we nor any of our affiliates undertakes to disclose any such information
to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with
respect to Facebook, Inc., Booking Holdings Inc. or Johnson & Johnson, which may or may not recommend that investors buy or
hold the underlying stock(s).
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§
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The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect
the underlying stocks. MS & Co., as calculation agent, will adjust the adjustment factors for certain corporate events
affecting the underlying stocks, such as stock splits, stock dividends and extraordinary dividends, and certain other corporate
actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment
for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required to make any
adjustments if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying
stocks, nor will adjustments be made following the final observation date. In addition, no adjustments will be made for regular
cash dividends, which are expected to reduce the price of the underlying stocks by the amount of such dividends. If an event
occurs that does not require the calculation agent to adjust an adjustment factor, such as a regular cash dividend, the market
price of the securities and your return on the securities may be materially and adversely affected. For example, if the record
date for a regular cash dividend were to occur on or shortly before an observation date, this may decrease the determination closing
price of an underlying stock to be less than the downside threshold level (resulting in no contingent quarterly coupon being paid
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
with respect to such date) or
the final share price of an underlying stock to be less than the downside threshold level (resulting in a loss of a significant
portion of all of your investment in the securities), materially and adversely affecting your return.
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§
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The securities will not be listed on any securities exchange and secondary trading may be limited,
and accordingly, you should be willing to hold your securities for the entire 1.5-year term of the securities. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS &
Co. may, but is not obligated to, make a market in the securities 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 securities, 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 securities. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities 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 securities, it
is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities
to maturity.
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§
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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 securities in the original issue price reduce the economic terms of the securities,
cause the estimated value of the securities 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 securities 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.
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The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 4 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying stocks, 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.
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§
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The estimated value of the securities 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 securities than those generated by others, including other dealers in the market, if they attempted to value
the securities. 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 securities in the secondary market (if any exists) at any time. The value
of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy,
including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable
factors” above.
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§
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Hedging and trading activity by our affiliates could potentially affect the value of the securities. 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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
securities (and to other instruments
linked to the underlying stocks), including trading in the underlying stocks. Some of our affiliates also trade the underlying
stocks and other financial instruments related to the underlying stocks on a regular basis as part of their general broker-dealer
and other businesses. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities,
and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final observation date approaches.
Any of these hedging or trading activities on or prior to September 26, 2019 could have increased the initial share price of an
underlying stock, and, therefore, could have increased (i) the value at or above which such underlying stock must close on the
redemption determination dates so that the securities are redeemed prior to maturity for the early redemption payment (depending
also on the performance of the other underlying stocks) and (ii) the downside threshold level for such underlying stock, which
is the value at or above which the underlying stock must close on the observation dates so that you receive a contingent quarterly
coupon on the securities (depending also on the performance of the other underlying stocks), and, with respect to the final observation
date, so that you are not exposed to the negative performance of the worst performing underlying stock at maturity (depending also
on the performance of the other underlying stocks). Additionally, such hedging or trading activities during the term of the securities
could potentially affect the value of any underlying stock on the redemption determination dates and the observation dates, and,
accordingly, whether we redeem the securities prior to maturity, whether we pay a contingent quarterly coupon on the securities
and the amount of cash you will receive at maturity, if any (depending also on the performance of the other underlying stocks).
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§
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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 securities. As calculation agent, MS & Co. has determined the initial share prices, the redemption threshold levels
and the downside threshold levels and will determine the final share prices, the payment at maturity, if any, whether you receive
a contingent quarterly coupon on each coupon payment date and/or at maturity, whether the securities will be redeemed on any early
redemption date, whether a market disruption event has occurred and whether to make any adjustments to the adjustment factors.
Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion
and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and certain
adjustments to the adjustment factors. These potentially subjective determinations may affect the payout to you upon an automatic
early redemption or at maturity, if any. For further information regarding these types of determinations, see “Description
of Auto-Callable Securities—Auto-Callable Securities Linked to Underlying Shares” and “—Calculation Agent
and Calculations” and related definitions in the accompanying product supplement. In addition, MS & Co. has determined
the estimated value of the securities on the pricing date.
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§
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The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
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Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
as debt is greater than the risk
of recharacterization for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that 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 securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. 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 securities, including possible alternative treatments, 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
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Facebook, Inc. Overview
Facebook, Inc. operates a social networking website that allows
people to communicate with their family, friends and coworkers. The FB Stock is registered under the Securities Exchange Act of
1934, as amended (the “Exchange Act”). Information provided to or filed with the Securities and Exchange Commission
by Facebook, Inc. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number
001-35551 through the Securities and Exchange Commission’s website at .www.sec.gov. In addition, information regarding Facebook,
Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding the issuer of the FB Stock is accurate or complete.
Information as of market close on September 27, 2019:
Bloomberg Ticker Symbol:
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FB
|
Exchange:
|
Nasdaq
|
Current Stock Price:
|
$177.10
|
52 Weeks Ago:
|
$168.84
|
52 Week High (on 7/12/2019):
|
$204.87
|
52 Week Low (on 12/24/2018):
|
$124.06
|
Current Dividend Yield:
|
N/A
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the FB Stock for each quarter from January 1, 2016 through September 27,
2019. The closing price of the FB Stock on September 27, 2019 was $177.10. The associated graph shows the closing prices of the
FB Stock for each day from January 1, 2014 through September 27, 2019. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical performance of the FB Stock should not be taken
as an indication of its future performance, and no assurance can be given as to the price of the FB Stock at any time, including
on the redemption determination dates or the observation dates.
Common Stock of Facebook, Inc. (CUSIP 30303M102)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2016
|
|
|
|
First Quarter
|
116.14
|
94.16
|
-
|
Second Quarter
|
120.50
|
108.76
|
-
|
Third Quarter
|
131.05
|
114.00
|
-
|
Fourth Quarter
|
133.28
|
115.05
|
-
|
2017
|
|
|
|
First Quarter
|
142.65
|
116.86
|
-
|
Second Quarter
|
155.07
|
139.39
|
-
|
Third Quarter
|
173.51
|
148.43
|
-
|
Fourth Quarter
|
183.03
|
168.42
|
-
|
2018
|
|
|
|
First Quarter
|
193.09
|
152.22
|
-
|
Second Quarter
|
202.00
|
155.10
|
-
|
Third Quarter
|
217.50
|
160.30
|
-
|
Fourth Quarter
|
162.44
|
124.06
|
-
|
2019
|
|
|
|
First Quarter
|
173.37
|
131.74
|
-
|
Second Quarter
|
195.47
|
164.15
|
-
|
Third Quarter (through September 27, 2019)
|
204.87
|
177.10
|
-
|
We make no representation as to the amount
of dividends, if any, that Facebook, Inc. may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable
Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Facebook, Inc.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Common Stock of Facebook, Inc. – Daily Closing Prices
January 1, 2014 to September 27, 2019
|
|
* The red solid line indicates the downside
threshold level of $99.061, which is approximately 55% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the FB Stock or other securities of Facebook, Inc. We have derived all disclosures contained
in this document regarding Facebook, Inc. stock from the publicly available documents described above. In connection with the offering
of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry
with respect to Facebook, Inc. Neither we nor the agent makes any representation that such publicly available documents or any
other publicly available information regarding Facebook, Inc. 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 FB Stock (and therefore the price of the FB Stock
at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure
of or failure to disclose material future events concerning Facebook, Inc. could affect the value received with respect to the
securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the FB Stock.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Booking Holdings Inc. Overview
Booking Holdings Inc. operates online travel and related services
websites for consumers and local partners. The BKNG Stock is registered under the Exchange Act. Information provided to or filed
with the Securities and Exchange Commission by Booking Holdings Inc. pursuant to the Exchange Act can be located by reference to
the Securities and Exchange Commission file number 001-36691 through the Securities and Exchange Commission’s website at
.www.sec.gov. In addition, information regarding Booking Holdings Inc. may be obtained from other sources including, but not limited
to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any
representation that such publicly available documents or any other publicly available information regarding the issuer of the BKNG
Stock is accurate or complete.
Information as of market close on September 27, 2019:
Bloomberg Ticker Symbol:
|
BKNG
|
Exchange:
|
Nasdaq
|
Current Stock Price:
|
$1,944.25
|
52 Weeks Ago:
|
$1,969.34
|
52 Week High (on 9/17/2019):
|
$2,077.44
|
52 Week Low (on 12/24/2018):
|
$1,616.83
|
Current Dividend Yield:
|
N/A
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the BKNG Stock for each quarter from January 1, 2016 through September
27, 2019. The closing price of the BKNG Stock on September 27, 2019 was $1,944.25. The associated graph shows the closing prices
of the BKNG Stock for each day from January 1, 2014 through September 27, 2019. We obtained the information in the table and graph
below from Bloomberg Financial Markets, without independent verification. The historical performance of the BKNG Stock should not
be taken as an indication of its future performance, and no assurance can be given as to the price of the BKNG Stock at any time,
including on the redemption determination dates or the observation dates.
Common Stock of Booking Holdings Inc. (CUSIP 741503BB15)
|
High ($)
|
Low ($)
|
Dividends ($)
|
2016
|
|
|
|
First Quarter
|
1,350.99
|
973.80
|
-
|
Second Quarter
|
1,390.20
|
1,186.05
|
-
|
Third Quarter
|
1,472.98
|
1,267.37
|
-
|
Fourth Quarter
|
1,578.13
|
1,424.28
|
-
|
2017
|
|
|
|
First Quarter
|
1,789.20
|
1,477.57
|
-
|
Second Quarter
|
1,911.13
|
1,738.77
|
-
|
Third Quarter
|
2,049.00
|
1,789.91
|
-
|
Fourth Quarter
|
1,942.11
|
1,645.72
|
-
|
2018
|
|
|
|
First Quarter
|
2,206.09
|
1,765.00
|
-
|
Second Quarter
|
2,194.96
|
2,001.50
|
-
|
Third Quarter
|
2,086.93
|
1,824.99
|
-
|
Fourth Quarter
|
1,998.17
|
1,616.83
|
-
|
2019
|
|
|
|
First Quarter
|
1,935.50
|
1,649.49
|
-
|
Second Quarter
|
1,887.73
|
1,650.46
|
-
|
Third Quarter (through September 27, 2019)
|
2,077.44
|
1,786.52
|
-
|
We make no representation as to the amount
of dividends, if any, that Booking Holdings Inc. may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable
Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Booking Holdings
Inc.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Common Stock of Booking Holdings Inc. – Daily Closing Prices
January 1, 2014 to September 27, 2019
|
|
* The red solid line indicates the downside
threshold level of $1,088.148, which is approximately 55% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the BKNG Stock or other securities of Booking Holdings Inc. We have derived all disclosures
contained in this document regarding Booking Holdings Inc. stock from the publicly available documents described above. In connection
with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Booking Holdings Inc. Neither we nor the agent makes any representation that such publicly
available documents or any other publicly available information regarding Booking Holdings Inc. 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 BKNG Stock (and
therefore the price of the BKNG Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning Booking Holdings Inc. could affect
the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates
makes any representation to you as to the performance of the BKNG Stock.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Johnson & Johnson Overview
Johnson & Johnson is engaged in the research and development,
manufacture and sale of a range of products in the health-care field. The JNJ Stock is registered under the Exchange Act. Information
provided to or filed with the Securities and Exchange Commission by Johnson & Johnson pursuant to the Exchange Act can be located
by reference to the Securities and Exchange Commission file number 001-03215 through the Securities and Exchange Commission’s
website at .www.sec.gov. In addition, information regarding Johnson & Johnson may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the
agent makes any representation that such publicly available documents or any other publicly available information regarding the
issuer of the JNJ Stock is accurate or complete.
Information as of market close on September 27, 2019:
Bloomberg Ticker Symbol:
|
JNJ
|
Exchange:
|
NYSE
|
Current Stock Price:
|
$128.60
|
52 Weeks Ago:
|
$138.22
|
52 Week High (on 12/13/2018):
|
$147.84
|
52 Week Low (on 12/24/2018):
|
$122.84
|
Current Dividend Yield:
|
2.95%
|
The following table sets forth the published
high and low closing prices of, as well as dividends on, the JNJ Stock for each quarter from January 1, 2016 through September
27, 2019. The closing price of the JNJ Stock on September 27, 2019 was $128.60. The associated graph shows the closing prices of
the JNJ Stock for each day from January 1, 2014 through September 27, 2019. We obtained the information in the table and graph
below from Bloomberg Financial Markets, without independent verification. The historical performance of the JNJ Stock should not
be taken as an indication of its future performance, and no assurance can be given as to the price of the JNJ Stock at any time,
including on the redemption determination dates or the observation dates.
Common Stock of Johnson & Johnson (CUSIP 478160104)
|
High ($)
|
Low($)
|
Dividends ($)
|
2016
|
|
|
|
First Quarter
|
109.14
|
95.75
|
0.75
|
Second Quarter
|
121.30
|
108.59
|
0.80
|
Third Quarter
|
125.40
|
117.27
|
0.80
|
Fourth Quarter
|
120.31
|
110.99
|
0.80
|
2017
|
|
|
|
First Quarter
|
128.96
|
111.76
|
0.80
|
Second Quarter
|
136.43
|
121.37
|
0.84
|
Third Quarter
|
136.57
|
129.47
|
0.84
|
Fourth Quarter
|
143.62
|
131.22
|
0.84
|
2018
|
|
|
|
First Quarter
|
148.14
|
125.10
|
0.84
|
Second Quarter
|
131.76
|
119.40
|
0.90
|
Third Quarter
|
142.88
|
121.58
|
0.90
|
Fourth Quarter
|
147.84
|
122.84
|
0.90
|
2019
|
|
|
|
First Quarter
|
139.79
|
125.72
|
0.90
|
Second Quarter
|
144.24
|
131.15
|
0.95
|
Third Quarter (through September 27, 2019)
|
142.14
|
126.95
|
0.95
|
We make no representation as to the amount
of dividends, if any, that Johnson & Johnson may pay in the future. In any event, as an investor in the Contingent Income Auto-Callable
Securities, you will not be entitled to receive dividends, if any, that may be payable on the common stock of Johnson & Johnson.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Common Stock of Johnson & Johnson – Daily Closing Prices
January 1, 2014 to September 27, 2019
|
|
* The red solid line indicates the downside
threshold level of $70.868, which is approximately 55% of the initial share price.
This document relates only to the securities
referenced hereby and does not relate to the JNJ Stock or other securities of Johnson & Johnson. We have derived all disclosures
contained in this document regarding Johnson & Johnson stock from the publicly available documents described above. In connection
with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any
due diligence inquiry with respect to Johnson & Johnson. Neither we nor the agent makes any representation that such publicly
available documents or any other publicly available information regarding Johnson & Johnson 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 JNJ Stock (and
therefore the price of the JNJ Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning Johnson & Johnson could affect
the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the JNJ Stock.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
Additional Terms of the Securities
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.
|
Interest
period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Record
date:
|
The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date; provided, however, that any coupon payable at maturity (or upon early redemption) shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable.
|
Underlying
stock:
|
The accompanying product supplement refers to the underlying stock as the “underlying shares.”
|
Underlying
stock issuer:
|
With respect to the FB Stock, Facebook, Inc.
With respect to the BKNG Stock, Booking Holdings Inc.
With respect to the JNJ Stock, Johnson & Johnson
The accompanying product supplement refers to each underlying
stock issuer as an “underlying company.”
|
Downside
threshold level:
|
The accompanying product supplement refers to the downside threshold level as the “trigger level.”
|
Day
count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Postponement
of maturity date:
|
If the final observation date is postponed due to a non-trading day or certain market disruption events with respect to any underlying stock 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 that final observation date as postponed with respect to any underlying stock, and no adjustment will be made to the payment at maturity made on that postponed date.
|
Antidilution
adjustments:
|
The following replaces in its entirety the portion of the
section entitled “Antidilution Adjustments” in the accompanying product supplement for auto-callable securities from
the start of paragraph 5 to the end of such section.
5. If, with respect to one or more of the underlying stocks,
(i) there occurs any reclassification or change of such underlying stock, including, without limitation, as a result of the issuance
of any tracking stock by the underlying stock issuer for such underlying stock, (ii) such underlying stock issuer or any surviving
entity or subsequent surviving entity of such underlying stock issuer (the “successor corporation”) has been subject
to a merger, combination or consolidation and is not the surviving entity, (iii) any statutory exchange of securities of such underlying
stock issuer or any successor corporation with another corporation occurs (other than pursuant to clause (ii) above), (iv) such
underlying stock issuer is liquidated, (v) such underlying stock issuer issues to all of its shareholders equity securities of
an issuer other than such underlying stock issuer (other than in a transaction described in clause (ii), (iii) or (iv) above) (a
“spin-off event”) or (vi) a tender or exchange offer or going-private transaction is consummated for all the outstanding
shares of such underlying stock (any such event in clauses (i) through (vi), a “reorganization event”), the method
of determining whether an early redemption has occurred and the amount payable upon an early redemption date or at maturity for
each security will be as follows:
· Upon
any redemption determination date following the effective date of a reorganization event and prior to the final observation date:
If the exchange property value (as defined below) is greater than or equal to the respective redemption threshold level, and the
determination closing price (or exchange property value, if applicable) of each other underlying stock is also greater than or
equal to its redemption threshold level, the securities will be automatically redeemed for an early redemption payment.
· Upon
the final observation date, if the securities have not previously been automatically redeemed: You will receive for each security
that you hold a payment at maturity equal to:
Ø If
the exchange property value on the final observation date is greater than or equal to the
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
|
respective downside threshold
level, and the final share price of each other underlying stock (or exchange property value, as applicable) is also greater than
its respective downside threshold level: (i) the stated principal amount plus (ii) the contingent quarterly coupon with respect
to the final observation date and any previously unpaid contingent quarterly coupons from the prior observation dates.
Ø If
the exchange property value on the final observation date is less than the respective downside threshold level, or if the final
share price (or exchange property value, if applicable) of any other underlying stock is less than its respective downside threshold
level:
Ø If
the worst performing underlying stock has not undergone a reorganization event as described in paragraph 5 above: (i) the stated
principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock.
Ø If
the worst performing underlying stock has undergone a reorganization event as described in paragraph 5 above: (i) the stated
principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock. For purposes of determining
the share performance factor of the worst performing underlying stock, the final share price of such worst performing underlying
stock will be deemed to equal the per-share cash value, determined as of the final observation date, of the securities, cash or
any other assets distributed to holders of the worst performing underlying stock in or as a result of any such reorganization event,
including (A) in the case of the issuance of tracking stock, the reclassified share of such worst performing underlying stock,
(B) in the case of a spin-off event, the share of such worst performing underlying stock with respect to which the spun-off security
was issued, and (C) in the case of any other reorganization event where such worst performing underlying stock continues to be
held by the holders receiving such distribution, such worst performing underlying stock (collectively, the “exchange property”).
Following the effective date of a reorganization event, the contingent
quarterly coupon, as well as any previously unpaid contingent quarterly coupons, will be payable for each observation date on which
the exchange property value is greater than or equal to the downside threshold level and the determination closing price (or exchange
property value, as applicable) of each other underlying stock is also greater than or equal to its downside threshold level.
If exchange property includes a cash component,
investors will not receive any interest accrued on such cash component. In the event exchange property consists of securities,
those securities will, in turn, be subject to the antidilution adjustments set forth in paragraphs 1 through 5.
For purposes of determining whether or not
the exchange property value is less than the initial share price, or less than the downside threshold level, or for determining
the worst performing underlying stock, “exchange property value” means (x) for any cash received in any reorganization
event, the value, as determined by the calculation agent, as of the date of receipt, of such cash received for one share of such
underlying stock, as adjusted by the adjustment factor at the time of such reorganization event, (y) for any property other than
cash or securities received in any such reorganization event, the market value, as determined by the calculation agent in its sole
discretion, as of the date of receipt, of such exchange property received for one share of such underlying stock, as adjusted by
the adjustment factor at the time of such reorganization event and (z) for any security received in any such reorganization event,
an amount equal to the determination closing price, as of the day on which the exchange property value is determined, per share
of such security multiplied by the quantity of such security received for each share of such underlying stock, as adjusted by the
adjustment factor at the time of such reorganization event.
For purposes of paragraph 5 above, in the case of a
consummated tender or exchange offer or going-private transaction involving consideration of particular types, exchange property
shall be deemed to include the amount of cash or other property delivered by the offeror in the tender or exchange offer (in an
amount determined on the basis of the rate of exchange in such tender or exchange offer or going-private transaction). In the
event of a tender or exchange offer or a going-private transaction with respect to exchange property in which an offeree may elect
to receive cash or other property, exchange property shall be deemed to include the kind and amount of cash and other property
received by offerees who elect to
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
|
receive cash.
Following the occurrence of any reorganization
event referred to in paragraph 5 above, all references in this offering document and in the related product supplement with respect
to the securities to such “underlying stock” shall be deemed to refer to the exchange property and references to a
“share” or “shares” of such underlying stock shall be deemed to refer to the applicable unit or units of
such exchange property, unless the context otherwise requires.
No adjustment to the adjustment factor will
be required unless such adjustment would require a change of at least 0.1% in the adjustment factor then in effect. The adjustment
factor resulting from any of the adjustments specified above will be rounded to the nearest one hundred-thousandth, with five one-millionths
rounded upward. Adjustments to the adjustment factor will be made up to the close of business on the final observation date.
No adjustments to the adjustment factor or
method of calculating the adjustment factor will be required other than those specified above. The adjustments specified above
do not cover all events that could affect the determination closing price or the final share price of such underlying stock, including,
without limitation, a partial tender or exchange offer for such underlying stock.
The calculation agent shall be solely responsible
for the determination and calculation of any adjustments to the adjustment factor or method of calculating the adjustment factor
and of any related determinations and calculations with respect to any distributions of stock, other securities or other property
or assets (including cash) in connection with any corporate event described in paragraphs 1 through 5 above, and its determinations
and calculations with respect thereto shall be conclusive in the absence of manifest error.
The calculation agent will provide information as to
any adjustments to the adjustment factor or to the method of calculating the amount payable at maturity of the securities made
pursuant to paragraph 5 above upon written request by any investor in the securities.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the final observation 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 securities 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 securities 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 final observation date as postponed.
In the event that the securities are subject to early
redemption, the issuer shall, (i) on the business day following the applicable redemption determination date, give notice of the
early redemption and the early redemption payment, including specifying the payment date of the amount due upon the early redemption,
(x) to each registered holder of the securities by mailing notice of such early redemption by first class mail, postage prepaid,
to such registered holder’s last address as it shall appear upon the registry books, (y) 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 (z) to the depositary by
telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or
prior to the early redemption date, deliver the aggregate cash amount due with respect to the securities to the trustee for delivery
to the depositary, as holder of the securities. Any notice that is mailed to a registered holder of the securities 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. This notice shall be given by the issuer or, at the issuer’s request, by the trustee in the
name and at the expense of the issuer, with any such request to be
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities
|
accompanied by a copy of the notice to be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent quarterly coupon, if any, with respect to each security on or prior to 10:30 a.m. (New York
City time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due, if any, with
respect to the contingent quarterly coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable
coupon payment date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the
amount of cash, if any, to be delivered with respect to the securities, 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 securities, if any,
to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due April 5, 2021
All Payments on the Securities Based on the Worst Performing of the Common Stock of Facebook, Inc., the Common Stock of Booking Holdings Inc. and the Common Stock of Johnson & Johnson
Principal at Risk Securities