CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
|
Trigger Performance Leveraged Upside Securities
due 2024
|
|
$4,842,000
|
|
$628.49
|
September
2019
Pricing
Supplement No. 2,559
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
Trigger PLUS Based on the Performance of the
S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Trigger PLUS are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Trigger PLUS will pay no
interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying product supplement
for PLUS, index supplement and prospectus, as supplemented or modified by this document. At maturity, if the S&P 500®
Index, which we refer to as the underlying index, has appreciated in value, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying index. If the underlying index has depreciated
in value but by no more than 30%, investors will receive the stated principal amount of their investment plus the specified
fixed payment of $150 per Trigger PLUS. However, if the underlying index has depreciated in value by more than 30%, investors
will be negatively exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated
principal amount for every 1% of decline, without any buffer. These long-dated Trigger PLUS are for investors who seek an equity
index-based return and who are willing to risk their principal and forgo current income in exchange for the upside leverage and
fixed payment features that in each case apply to a limited range of performance of the underlying index. Investors may lose
their entire initial investment in the Trigger PLUS. The Trigger PLUS are notes issued as part of MSFL’s Series A Global
Medium-Term Notes program.
The Trigger PLUS differ from the PLUS described in the accompanying
product supplement for PLUS in that the Trigger PLUS offer the potential for a fixed positive return at maturity if the underlying
index depreciates by up to 30%. The Trigger PLUS are not the Buffered PLUS described in the accompanying product supplement for
PLUS. Unlike the Buffered PLUS, the Trigger PLUS do not provide any protection if the underlying index depreciates by more than
30%.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Trigger PLUS are not secured obligations and you will
not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL TERMS
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Issuer:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Maturity date:
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October 4, 2024
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Valuation date:
|
September 27, 2024, subject to postponement for non-index business days and certain market disruption events
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Underlying index:
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S&P 500® Index
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Aggregate principal amount:
|
$4,842,000
|
Payment at maturity:
|
If the final index value is greater
than the initial index value:
$1,000 + leveraged upside payment
If the final index value is less than or equal to
the initial index value but is greater than or equal to the trigger level:
$1,000 + the fixed payment
In this scenario, you will receive a
fixed positive return even though the underlying index has depreciated.
If the final index value is less than the trigger
level:
$1,000 × index performance
factor
Under these circumstances, the payment
at maturity will be less than the stated principal amount of $1,000, and will represent a loss of more than 30%, and possibly
all, of your investment.
|
Leveraged upside payment:
|
$1,000 x leverage factor x index percent change
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Leverage factor:
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124%
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Index percent change:
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(final index value – initial index value) / initial index value
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Fixed payment:
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$150 per Trigger PLUS (15% of the stated principal amount), payable only if the final index value is less than or equal to the initial index value but greater than or equal to the trigger level
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Index performance factor:
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final index value / initial index value
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Initial index value:
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2,961.79, which is the index closing value on the pricing date
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Final index value:
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The index closing value on the valuation date
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Trigger level:
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2,073.253, which is 70% of the initial index value
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Stated principal amount / Issue price:
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$1,000 per Trigger PLUS (see “Commissions and issue price” below)
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Pricing date:
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September 27, 2019
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Original issue date:
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October 4, 2019 (5 business days after the pricing date)
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CUSIP / ISIN:
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61769HVW2 / US61769HVW23
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Listing:
|
The Trigger PLUS will not be listed on any securities exchange.
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$972.60 per Trigger PLUS. See “Investment Summary” on page 2.
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Commissions and issue price:
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Price to public
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Agent’s commissions(1)
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Proceeds to us(2)
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Per Trigger PLUS
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$1,000
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$0
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$1,000
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Total
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$4,842,000
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$0
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$4,842,000
|
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(1)
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Selected
dealers and their financial advisors will receive a structuring fee of $4 per Trigger
PLUS from the agent or its affiliates. MS & Co. will not receive a sales commission
with respect to the Trigger PLUS. See “Supplemental information regarding plan
of distribution; conflicts of interest.” For additional information, see “Plan
of Distribution (Conflicts of Interest)” in the accompanying product supplement
for PLUS.
|
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(2)
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See
“Use of proceeds and hedging” on page 13.
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The Trigger PLUS involve risks not associated with an investment
in ordinary debt securities. See “Risk Factors” beginning on page 6.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related product
supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Trigger PLUS” and “Additional Information About the Trigger PLUS” at the end of this document.
References to “we,” “us” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for PLUS dated November 16, 2017 Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Trigger PLUS Based on the Performance of the S&P 500®
Index due October 4, 2024 (the “Trigger PLUS”) can be used:
|
§
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As an alternative to direct exposure to the underlying index that enhances returns for any positive
performance of the underlying index.
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§
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To obtain a fixed positive return of 15% if the underlying index has remained unchanged or depreciated
in value but by no more than 30% over the term of the Trigger PLUS.
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§
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To enhance returns and potentially outperform the underlying index in a bullish or moderately
bearish scenario.
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Maturity:
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5 years
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Leverage factor:
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124% (applicable only if the final index value is greater than the initial index value)
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Fixed payment:
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$150 per Trigger PLUS (15% of the stated principal amount), payable only if the final index value is less than or equal to the initial index value but greater than or equal to the trigger level
|
Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the Trigger PLUS.
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Trigger level:
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70% of the initial index value
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Coupon:
|
None
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Listing:
|
The Trigger PLUS will not be listed on any securities exchange
|
The original issue price of each Trigger PLUS
is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Trigger PLUS, which are borne
by you, and, consequently, the estimated value of the Trigger PLUS on the pricing date is less than $1,000. We estimate that the
value of each Trigger PLUS on the pricing date is $972.60.
What goes into the estimated value on the pricing date?
In valuing the Trigger PLUS on the pricing
date, we take into account that the Trigger PLUS comprise both a debt component and a performance-based component linked to the
underlying index. The estimated value of the Trigger PLUS is determined using our own pricing and valuation models, market inputs
and assumptions relating to the underlying index, instruments based on the underlying index, volatility and other factors including
current and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied
interest rate at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the Trigger PLUS?
In determining the economic terms of the Trigger
PLUS, including the leverage factor, the fixed payment and the trigger level, we use an internal funding rate, which is likely
to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and
hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the Trigger
PLUS would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the Trigger PLUS?
The price at which MS & Co. purchases the
Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index, may
vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our
secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction
of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the Trigger
PLUS are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS &
Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the
underlying index, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We
expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to,
make a market in the Trigger PLUS, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
The Trigger PLUS offer the potential for a fixed positive return
of 15% at maturity if the underlying index has remained unchanged or depreciated in value but by no more than 30% over the term
of the Trigger PLUS. At maturity, if the underlying index has appreciated in value, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the underlying index. If the underlying index has remained unchanged
or depreciated in value but by no more than 30%, investors will receive the stated principal amount of their investment
plus the specified fixed payment of $150 per Trigger PLUS. However, if the underlying index has depreciated in value by
more than 30%, investors will be negatively exposed to the full amount of the percentage decline in the underlying index and will
lose 1% of the stated principal amount for every 1% of decline, without any buffer. Investors may lose their entire initial
investment in the Trigger PLUS. All payments on the Trigger PLUS are subject to our credit risk.
Leveraged
Upside Performance
|
The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index.
|
Fixed
Payment Feature
|
The Trigger PLUS enable investors to obtain a fixed positive return if the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level.
|
Upside
Scenario if the Underlying Index Appreciates
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The final index value is greater than the initial index value, and, at maturity, you receive a full return of principal as well as 124% of the increase in the value of the underlying index. For example, if the final index value is 10% greater than the initial index value, the Trigger PLUS will provide a total return of 12.4% at maturity.
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Fixed
Payment Scenario
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The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level, which is 70% of the initial index value. In this case, the Trigger PLUS pay the stated principal amount of $1,000 plus the fixed payment of $150 per Trigger PLUS.
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Downside
Scenario
|
The final index value is less than the trigger level. In this case, the Trigger PLUS redeem for at least 30% less than the stated principal amount, and this decrease will be by an amount proportionate to the full decline in the value of the underlying index over the term of the Trigger PLUS. Under these circumstances, the payment at maturity will be less than 70% of the stated principal amount per Trigger PLUS. For example, if the final index value is 70% less than the initial index value, the Trigger PLUS will be redeemed at maturity for a loss of 70% of principal at $300, or 30% of the stated principal amount. There is no minimum payment at maturity on the Trigger PLUS, and you could lose your entire investment.
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Trigger PLUS based on the following terms:
Stated principal amount:
|
$1,000 per Trigger PLUS
|
Leverage factor:
|
124%
|
Fixed Payment:
|
$150 per Trigger PLUS (15% of the stated principal amount)
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Trigger level:
|
70% of the initial index value
|
Minimum payment at maturity:
|
None
|
Trigger PLUS Payoff Diagram
|
|
See the next page for a description of how the Trigger PLUS work.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How it works
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§
|
Upside Scenario if the Underlying Index Appreciates. If the final index value is
greater than the initial index value, the investor would receive the $1,000 stated principal amount plus 124% of the appreciation
of the underlying index over the term of the Trigger PLUS.
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|
§
|
If the underlying index appreciates 10%, the investor would receive a 12.4% return, or $1,124 per Trigger PLUS.
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|
§
|
Fixed Payment Scenario. If the final index value is less than or equal to the initial
index value and is greater than or equal to the trigger level of 70% of the initial index value, the investor would receive $1,000
plus the fixed payment of $150 per Trigger PLUS.
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|
§
|
Downside Scenario. If the final index value is less than the trigger level of 70%
of the initial index value, the investor would receive an amount less than the $1,000 stated principal amount, based on a 1% loss
of principal for each 1% decline in the underlying index. Under these circumstances, the payment at maturity will be less than
70% of the stated principal amount per Trigger PLUS. There is no minimum payment at maturity on the Trigger PLUS.
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|
§
|
If the underlying index depreciates 70%, the investor would lose 70% of the investor’s principal and receive only $300
per Trigger PLUS at maturity, or 30% of the stated principal amount.
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Trigger PLUS. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. We also urge you to
consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Trigger PLUS.
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§
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The Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ from
those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee the payment of any principal amount
at maturity. If the final index value is less than the trigger level (which is 70% of the initial index value), the fixed payment
feature will no longer be available and the payout at maturity will be an amount in cash that is at least 30% less than the $1,000
stated principal amount of each Trigger PLUS, and this decrease will be by an amount proportionate to the full amount of the decline
in the value of the underlying index over the term of the Trigger PLUS, without any buffer. There is no minimum payment at maturity
on the Trigger PLUS, and, accordingly, you could lose your entire initial investment in the Trigger PLUS.
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§
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The fixed payment feature applies only if the final index value is less than or equal to the initial index value but greater
than or equal to the trigger level. If the final index value is greater than the initial index value, investors will receive
the leveraged upside payment but will not receive the fixed payment. If the final index value is less than the trigger level, investors
will not receive the fixed payment and will instead lose a significant portion or all of their investment.
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§
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The market price of the Trigger PLUS will be influenced by many unpredictable factors. Several
factors, many of which are beyond our control, will influence the value of the Trigger PLUS in the secondary market and the price
at which MS & Co. may be willing to purchase or sell the Trigger PLUS in the secondary market, including the value (including
whether the value is below the trigger level), volatility (frequency and magnitude of changes in value) and dividend yield of the
underlying index, interest and yield rates in the market, time remaining until the Trigger
PLUS mature, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying
index or equities markets generally and which may affect the final index value of the underlying index, and any actual or anticipated
changes in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price
of the Trigger PLUS will be affected by the other factors described above. The level of the underlying index may be, and has recently
been, volatile, and we can give you no assurance that the volatility will lessen. See “S&P 500® Index
Overview” below. You may receive less, and possibly significantly less, than the stated
principal amount per Trigger PLUS if you try to sell your Trigger PLUS prior to maturity.
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§
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The Trigger PLUS are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the Trigger PLUS. You are dependent on our ability to pay all amounts due on the Trigger
PLUS at maturity and therefore you are subject to our credit risk. If we default on its obligations under the Trigger PLUS, your
investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS
prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline
in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the market value of the Trigger PLUS.
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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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Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
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§
|
The amount payable on the Trigger PLUS is not linked to the value of the underlying index at any time other than the valuation
date. The final index value will be based on the index closing value on the valuation date, subject to postponement for non-index
business days and certain market disruption events. Even if the value of the underlying index appreciates prior to the valuation
date but then drops by the valuation date, the payment at maturity may be less, and may be significantly less, than it would have
been had the payment at maturity been linked to the value of the underlying index prior to such drop. Although the actual value
of the underlying index on the stated maturity date or at other times during the term of the Trigger PLUS may be higher than the
final index value, the payment at maturity will be based solely on the index closing value on the valuation date.
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§
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Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing
in the Trigger PLUS is not equivalent to investing in the underlying index or its component stocks. Investors in the Trigger PLUS
will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the stocks
that constitute the underlying index.
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§
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Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The
underlying index publisher may add, delete or substitute the stocks constituting the underlying index or make other methodological
changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend calculation
or publication of the underlying index at any time. In these circumstances, the calculation
agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying
index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its
affiliates.
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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 Trigger PLUS in the original issue price reduce the economic terms of the Trigger
PLUS, cause the estimated value of the Trigger PLUS to be less than the original issue price and will adversely affect secondary
market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers,
including MS & Co., may be willing to purchase the Trigger PLUS in secondary market transactions will likely be significantly
lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related
costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the Trigger PLUS in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the Trigger PLUS less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes
in market conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do
so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage
account statements.
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§
|
The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models, which may differ
from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are
proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may
prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may
yield a higher estimated value of the Trigger PLUS than those generated by others, including other dealers in the market, if they
attempted to value the Trigger PLUS. In addition, the estimated value on the pricing date does not represent a minimum or maximum
price at which dealers, including MS & Co., would be willing to purchase your Trigger PLUS in the secondary market (if any
exists) at any time. The value of your Trigger PLUS at any time after the date of this document will vary based on many factors
that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price of the Trigger PLUS will be influenced by many unpredictable factors” above.
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§
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The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited. The Trigger PLUS
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Trigger PLUS. MS &
Co. may, but is not obligated to, make a market in the Trigger PLUS and, if it once
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
chooses to make a market, may cease
doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at
prices based on its estimate of the current value of the Trigger PLUS, taking into account its bid/offer spread, our credit spreads,
market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining
to maturity and the likelihood that it will be able to resell the Trigger PLUS. Even if there is a secondary market, it may not
provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate
significantly in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely
to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making
a market in the Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should
be willing to hold your Trigger PLUS to maturity.
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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 Trigger PLUS. As calculation agent, MS & Co. has determined the initial index value and the trigger level, will
determine the final index value, including whether the value of the underlying index has decreased to below the trigger level,
and will calculate the amount of cash you receive at maturity, if any. Moreover, certain determinations made by MS & Co., in
its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to
the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the final
index value in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective determinations
may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see
“Description of PLUS—Postponement of Valuation Date(s),” “—Alternate Exchange Calculation in case
of an Event of Default” and “—Calculation Agent and Calculations” in the accompanying product supplement.
In addition, MS & Co. has determined the estimated value of the Trigger PLUS on the pricing date.
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§
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Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS. One
or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related
to the Trigger PLUS (and to other instruments linked to the underlying index or its component stocks), including trading in the
stocks that constitute the underlying index as well as in other instruments related to the underlying index. As a result, these
entities may be unwinding or adjusting hedge positions during the term of the Trigger PLUS, and the hedging strategy may involve
greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates also trade
the stocks that constitute the underlying index and other financial instruments related to the underlying index on a regular basis
as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing
date could have increased the initial index value, and, therefore, could have increased the trigger level, which is the value at
or above which the underlying index must close on the valuation date so that investors do not suffer a significant loss on their
initial investment in the Trigger PLUS. Additionally, such hedging or trading activities during the term of the Trigger PLUS, including
on the valuation date, could adversely affect the value of the underlying index on the valuation date, and, accordingly, the amount
of cash an investor will receive at maturity, if any.
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§
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The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please read the discussion
under “Additional Information—Tax considerations” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning
the U.S. federal income tax consequences of an investment in the Trigger PLUS. If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative treatment, the timing and character of income on the Trigger PLUS might differ significantly
from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek
to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income original
issue discount on the Trigger PLUS every year at a “comparable yield” determined at the time of issuance and recognize
all income and gain in respect of the Trigger PLUS as ordinary income. Additionally, as discussed under “United States Federal
Taxation—FATCA” in the accompanying product supplement for PLUS, the withholding rules commonly referred to as “FATCA”
would apply to the Trigger PLUS if they were recharacterized as debt instruments. However, recently proposed regulations (the preamble
to which specifies that taxpayers are permitted to rely on them pending finalization) eliminate the withholding requirement on
payments of gross proceeds of a taxable disposition (other than amounts treated as “FDAP income,” as defined in the
accompanying product supplement for PLUS). The risk that financial instruments providing for buffers, triggers or similar downside
protection features, such as the Trigger PLUS, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
instruments that do not have
such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Trigger PLUS, and the IRS or
a court may not agree with the tax treatment described in the Tax Disclosure Sections.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of
factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which
very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Trigger
PLUS, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal
income tax consequences of an investment in the Trigger PLUS, including possible alternative treatments, the issues presented by
this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
S&P 500® Index Overview
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500® Index, see the information set forth under “S&P
500® Index” in the accompanying index supplement.
Information as of market close on September 27, 2019:
Bloomberg Ticker Symbol:
|
SPX
|
Current Index Value:
|
2,961.79
|
52 Weeks Ago:
|
2,914.00
|
52 Week High (on 7/26/2019):
|
3,025.86
|
52 Week Low (on 12/24/2018):
|
2,351.10
|
The following graph sets forth the daily index closing values
of the underlying index for each quarter in the period from January 1, 2014 through September 27, 2019. The related table sets
forth the published high and low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter
in the same period. The index closing value of the underlying index on September 27, 2019 was 2,961.79. We obtained the information
in the table and graph below from Bloomberg Financial Markets, without independent verification. The underlying index has at times
experienced periods of high volatility. You should not take the historical values of the underlying index as an indication of its
future performance, and no assurance can be given as to the index closing value of the underlying index on the valuation date.
S&P 500®
Index
Daily Index
Closing Values
January 1,
2014 to September 27, 2019
|
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
S&P 500® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
Third Quarter (through September 27, 2019)
|
3,025.86
|
2,840.60
|
2,961.79
|
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of
Standard and Poor’s Financial Services LLC. See “S&P 500® Index” in the accompanying index
supplement.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Terms of the Trigger PLUS
Additional
Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Underlying
index publisher:
|
S&P Dow Jones Indices LLC or any successor thereof
|
Interest:
|
None
|
Bull
market or bear market PLUS:
|
Bull market PLUS
|
Postponement
of maturity date:
|
If the scheduled valuation date is not an index business day or if a market disruption event occurs on that day so that the valuation date as postponed falls less than two business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the second business day following that valuation date as postponed.
|
Denominations:
|
$1,000 per Trigger PLUS and integral multiples thereof
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which
the maturity date has been rescheduled (i) to each registered holder of the Trigger PLUS by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New
York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing
such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Trigger
PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or
not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later
than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity
date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the actual valuation date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the
amount of cash to be delivered, if any, with respect to each stated principal amount of the Trigger PLUS, on or prior to 10:30
a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due, if
any, with respect to the Trigger PLUS to the trustee for delivery to the depositary, as holder of the Trigger PLUS, on the maturity
date.
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Performance of the S&P 500® Index due October 4, 2024
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information About the Trigger PLUS
Please read this information
in conjunction with the summary terms on the front cover of this document.