Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 02 2019 - 6:02AM
Edgar (US Regulatory)
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Morgan
Stanley
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Free
Writing Prospectus to Preliminary Terms No. 2,639
Registration
Statement Nos. 333-221595; 333-221595-01
Dated October
1, 2019; Filed pursuant to Rule 433
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2-Year Worst-of GLD and SLV Buffered PLUS
This document provides a summary of the terms of the Buffered
PLUS. Investors must carefully review the accompanying preliminary terms referenced below, prospectus supplement and prospectus,
and the “Risk Considerations” on the following page, prior to making an investment decision
1All payments are subject to our credit risk
Hypothetical Payout at Maturity1
The payment at maturity
will be based solely on the performance of the worst performing underlying, which could be either underlying. The graph and table
below illustrate the payment at maturity depending on the performance of the worst performing underlying.
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Change in Worst Performing Underlying
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Return on Buffered PLUS
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+50.00%
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66.25%*
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+40.00%
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53.00%*
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+30.00%
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39.75%*
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+20.00%
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26.50%*
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+10.00%
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13.25%*
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0.00%
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0.00%
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-10.00%
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0.00%
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-20.00%
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-10.00%
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-25.00%
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-15.00%
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-30.00%
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-20.00%
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-40.00%
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-30.00%
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-50.00%
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-40.00%
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-60.00%
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-50.00%
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-70.00%
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-60.00%
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-80.00%
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-70.00%
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*Assumes a leverage factor of 132.50%
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The issuer has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlyings
For more information about the underlyings, including historical
performance information, see the accompanying preliminary terms.
Risk Considerations
The risks set forth below
are discussed in more detail in the “Risk Factors” section in the accompanying preliminary terms. Please review those
risk factors carefully prior to making an investment decision.
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The Buffered PLUS do not pay interest and
provide a minimum payment at maturity of only 10% of the stated principal amount.
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You are exposed to the price risk of both
underlying commodity shares.
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Because the Buffered PLUS are linked to the
performance of the worst performing underlying commodity shares, you are exposed to greater risk of sustaining a loss on your investment
than if the Buffered PLUS were linked to just one of the underlying commodity shares.
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The market price of the Buffered PLUS will
be influenced by many unpredictable factors.
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Single commodity prices tend to be more volatile
than, and may not correlate with, the prices of commodities generally.
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The Buffered PLUS are subject to risks associated
with gold.
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The Buffered PLUS are subject to risks associated
with silver.
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There are risks relating to trading of commodities
on the London Bullion Market Association.
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The Buffered PLUS are subject to our credit
risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the
Buffered PLUS.
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As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
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The estimated value of the Buffered PLUS is
$976.90 per Buffered Security, or $15.00 within that estimate, and is determined by reference to our pricing and valuation models,
which may differ from those of other dealers and is not a maximum or minimum secondary market price.
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The antidilution adjustments the calculation
agent is required to make do not cover every event that could affect the underlying commodity shares.
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The amount payable on the Buffered PLUS is
not linked to the values of the underlying commodity shares at any time other than the valuation date.
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Suspensions or disruptions of market trading
in commodity and related futures markets could adversely affect the price of the Buffered PLUS.
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Investing in the Buffered PLUS is not equivalent
to investing in the underlying commodity shares or in the commodities composing the underlying commodity shares.
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The performance and market price of any of
the underlying commodity shares, particularly during periods of market volatility, may not correlate with the performance of its
underlying commodity or the net asset value per share of such underlying commodity shares.
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The rate we are willing to pay for securities
of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and
advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the
Buffered PLUS in the original issue price reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered
PLUS to be less than the original issue price and will adversely affect secondary market prices.
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The Buffered PLUS will not be listed on any
securities exchange and secondary trading may be limited.
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Hedging and trading activity by our affiliates
could potentially adversely affect the value of the Buffered PLUS.
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The calculation agent, which is a subsidiary
of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Buffered PLUS.
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The U.S. federal income tax consequences of
an investment in the Buffered PLUS are uncertain.
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Tax Considerations
You should review carefully the discussion in the accompanying
preliminary terms under the caption “Additional Information About the Buffered PLUS– Tax considerations” concerning
the U.S. federal income tax consequences of an investment in the Buffered PLUS, and you should consult your tax adviser.
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