CALCULATION OF REGISTRATION FEE
Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration Fee
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Basket Buffered Performance Leveraged Upside Securities due 2021
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$2,439,000
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$316.58
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Morgan Stanley Finance LLC
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October
2019
Pricing
Supplement No. 2,593
Registration
Statement Nos. 333-221595; 333-221595-01
Dated
October 3, 2019
Filed
pursuant to Rule 424(b)(2)
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STRuctured Investments
Opportunities in U.S. and International Equities
Buffered PLUS Based on a Basket Consisting of
Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at
Risk Securities
The Buffered PLUS are unsecured obligations of Morgan Stanley Finance
LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered PLUS will pay no interest,
provide a minimum payment at maturity of only 10% of the stated principal amount and have the terms described in the accompanying
product supplement for PLUS, index supplement and prospectus, as supplemented or modified by this document. At maturity, if the
basket has appreciated in value, investors will receive the stated principal amount of their investment plus leveraged upside
performance of the basket, subject to the maximum payment at maturity. If the basket has depreciated in value, but the basket has
not declined by more than the specified buffer amount, the Buffered PLUS will redeem for par. However, if the basket has declined
by more than the buffer amount, investors will lose 1% for every 1% decline beyond the specified buffer amount, subject to the
minimum payment at maturity of 10% of the stated principal amount. Investors may lose up to 90% of the stated principal amount
of the Buffered PLUS. The Buffered PLUS are for investors who seek an equity-based return and who
are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the
leverage and buffer features that in each case apply to a limited range of performance of the basket. The Buffered PLUS
are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default on
our obligations, you could lose some or all of your investment. These Buffered PLUS are not secured obligations, and you will not
have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL TERMS
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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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April 8, 2021
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Original issue price:
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$1,000 per Buffered PLUS
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Stated principal amount:
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$1,000 per Buffered PLUS
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Pricing date:
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October 3, 2019
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Original issue date:
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October 8, 2019 (3 business days after the pricing date)
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Aggregate principal amount:
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$2,439,000
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Interest:
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None
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Basket:
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Basket component
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Bloomberg
ticker symbol
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Basket component weighting
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Initial basket component value
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Multiplier
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S&P 500® Index (the “SPX Index”)
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SPX
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40%
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2,910.63
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0.013742729
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Russell 2000® Index (the “RTY Index”)
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RTY
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25%
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1,486.347
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0.016819760
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Shares of the SPDR® S&P MidCap 400 ETF Trust (the “MDY Shares”)
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MDY UP
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25%
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$343.26
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0.072831090
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Shares of the iShares® MSCI Emerging Markets ETF (the “EEM Shares”)
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EEM UP
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10%
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$40.79
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0.245158127
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We refer to the SPX Index and the RTY Index, collectively, as the underlying indices, and the MDY Shares and the EEM Shares, collectively, as the underlying shares and, together with the underlying indices, as the basket components.
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Payment at maturity
(per Buffered PLUS):
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§ If
the final basket value is greater than the initial basket value: $1,000 + the leveraged upside payment
In no event will the payment
at maturity exceed the maximum payment at maturity.
§ If
the final basket value is less than or equal to the initial basket value but has decreased from the initial basket value
by an amount less than or equal to the buffer amount of 10%: $1,000
§ If
the final basket value is less than the initial basket value and has decreased from the initial basket value by an amount
greater than the buffer amount of 10%: $(1,000 x basket performance factor) + $100
Under these circumstances, the payment
at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the Buffered PLUS pay
less than $100 per Buffered PLUS at maturity.
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Leveraged upside payment:
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$1,000 × leverage factor × basket percent change
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Leverage factor:
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125%
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Basket percent change:
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(final basket value – initial basket value) / initial basket value
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Buffer amount:
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10%
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Minimum payment at maturity:
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$100 per Buffered PLUS (10% of the stated principal amount)
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Basket performance factor:
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Final basket value / initial basket value
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Maximum payment at maturity:
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$1,151.00 per Buffered PLUS (115.10% of the stated principal amount)
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Initial basket value:
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100, which is equal to the sum of the products of the initial basket component values of each of the basket components, as set forth under “Basket—Initial basket component value” above, and the applicable multiplier for each of the basket components, each of which was determined on the pricing date.
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Final basket value:
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The basket closing value on the valuation date.
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Valuation date:
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April 5, 2021, subject to postponement for non-index business days or non-trading days, as applicable, and certain market disruption events.
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Basket closing value:
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The basket closing value on any day is the sum of the products of (i) the basket component closing value of each of the basket components and (ii) the applicable multiplier for such basket component on such date.
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Basket component closing value:
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In the case of each underlying index, the index closing value as published by the relevant index publisher. In the case of each of the underlying shares, the closing price of one share of such underlying shares times the adjustment factor for such underlying shares.
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Multiplier:
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Each multiplier were set on the pricing date based on each basket component’s respective initial basket component value so that each basket component represents its applicable basket component weighting in the predetermined initial basket value. Each multiplier will remain constant for the term of the Buffered PLUS. See “Basket—Multiplier” above.
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Adjustment factor:
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With respect to each of the underlying shares, 1.0, subject to adjustment for certain events affecting such underlying shares.
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Listing:
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The Buffered PLUS will not be listed on any securities exchange.
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CUSIP / ISIN:
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61769HXA8 / US61769HXA84
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Agent:
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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:
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$984.00 per Buffered PLUS. See “Investment Overview” 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 Buffered PLUS
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$1,000
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$2.50
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$997.50
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Total
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$2,439,000
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$6,097.50
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$2,432,902.50
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(1)
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Selected dealers
and their financial advisors will collectively receive from the agent, MS & Co.,
a fixed sales commission of $2.50 for each Buffered PLUS they sell. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional
information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement for PLUS.
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(2)
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See “Use
of proceeds and hedging” on page 21.
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The Buffered PLUS involve risks not associated
with an investment in ordinary debt securities. See “Risk Factors” beginning on page 5.
The Securities and Exchange Commission and state
securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product
supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Buffered PLUS are not deposits or savings
accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality,
nor are they obligations of, or guaranteed by, a bank.
You should read this document together with
the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please
also see “Additional Terms of the Buffered PLUS” and “Additional Information About the Buffered PLUS” at
the end of this document.
References to “we,” “us,”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for PLUS dated November 16, 2017 Index Supplement dated November 16, 2017 Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Buffered Performance Leveraged Upside Securities
The Buffered PLUS Based on a Basket Consisting of Two Indices
and Two Exchange-Traded Funds due April 8, 2021 (the “Buffered PLUS”) can be used:
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§
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As an alternative to direct exposure to the basket that enhances returns for a certain range
of positive performance of the basket, subject to the maximum payment at maturity
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§
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To enhance returns and potentially outperform the basket in a moderately bullish scenario
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§
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To achieve similar levels of upside exposure to the basket as a direct investment¸ subject
to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor
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§
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To obtain a buffer against a specified level of negative performance in the basket
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Maturity:
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1.5 years
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Leverage factor:
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125%
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Buffer amount:
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10%
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Minimum payment at maturity:
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$100 per Buffered PLUS (10% of the stated principal amount). Investors may lose up to 90% of the stated principal amount of the Buffered PLUS.
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Maximum payment at maturity:
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$1,151.00 per Buffered PLUS (115.10% of the stated principal amount)
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Basket weighting:
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40% for the SPX Index, 25% for the RTY Index, 25% for the MDY Shares and 10% for the EEM Shares
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Interest:
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None
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The original issue price
of each Buffered PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Buffered
PLUS, which are borne by you, and, consequently, the estimated value of the Buffered PLUS on the pricing date is less than $1,000.
We estimate that the value of each Buffered PLUS on the pricing date is $984.00.
What goes into the estimated
value on the pricing date?
In valuing the Buffered
PLUS on the pricing date, we take into account that the Buffered PLUS comprise both a debt component and a performance-based component
linked to the basket components. The estimated value of the Buffered PLUS is determined using our own pricing and valuation models,
market inputs and assumptions relating to the basket components, instruments based on the basket components, volatility and other
factors including current and expected interest rates, as well as an interest rate related to our secondary market credit spread,
which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.
What determines the
economic terms of the Buffered PLUS?
In determining the economic
terms of the Buffered PLUS, including the leverage factor, the buffer amount, the maximum payment at maturity and the minimum payment
at maturity, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore
advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate
were higher, one or more of the economic terms of the Buffered PLUS would be more favorable to you.
What is the relationship
between the estimated value on the pricing date and the secondary market price of the Buffered PLUS?
The price at which MS &
Co. purchases the Buffered PLUS in the secondary market, absent changes in market conditions, including those related to the basket
components, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes
into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market
transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging
the Buffered PLUS are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent
that MS & Co. may buy or sell the Buffered PLUS in the secondary market, absent changes in market conditions, including those
related to the basket components, and to our secondary market credit spreads, it would do so based on values higher than the estimated
value. We expect that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is
not obligated to, make a market in the Buffered PLUS and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
The Buffered PLUS offer leveraged upside exposure to the positive
performance of the basket, subject to the maximum payment at maturity, while providing limited protection against negative performance
of the basket. Once the basket has decreased in value by more than the specified buffer amount, investors are exposed to the negative
performance of the basket, subject to the minimum payment at maturity. At maturity, if the basket has appreciated, investors will
receive the stated principal amount of their investment plus leveraged upside performance of the underlying basket, subject
to the maximum payment at maturity. At maturity, if the basket has depreciated and (i) if the closing value of the basket has not
declined by more than the specified buffer amount, the Buffered PLUS will redeem for par, or (ii) if the closing value of the basket
has declined by more than the buffer amount, the investor will lose 1% for every 1% decline beyond the specified buffer amount.
Investors may lose up to 90% of the stated principal amount of the Buffered PLUS.
Leveraged Performance (Up to a Cap)
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The Buffered PLUS offer investors an opportunity to capture enhanced returns for a certain range of performance relative to a direct investment in the basket, subject to the maximum payment at maturity.
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Upside Scenario
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The basket increases in value, and, at maturity, the Buffered PLUS redeem for the stated principal amount of $1,000 plus 125% of the basket percent change, subject to the maximum payment at maturity of $1,151.00 per Buffered PLUS (115.10% of the stated principal amount).
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Par Scenario
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The basket declines in value by no more than 10%, and, at maturity, the Buffered PLUS redeem for the stated principal amount of $1,000.
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Downside Scenario
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The basket declines in value by more than 10%, and, at maturity, the Buffered PLUS redeem for less than the stated principal amount by an amount that is proportionate to the percentage decrease of the basket in excess of the buffer amount of 10%. (Example: if the basket decreases in value by 50%, the Buffered PLUS will redeem for $600 or 60% of the stated principal amount.) The minimum payment at maturity is $100 per Buffered PLUS.
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Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Buffered PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Buffered PLUS based on the following terms:
Stated principal amount:
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$1,000 per Buffered PLUS
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Leverage factor:
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125%
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Buffer amount:
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10%
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Maximum payment at maturity:
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$1,151.00 per Buffered PLUS (115.10% of the stated principal amount)
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Minimum payment at maturity:
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$100 per Buffered PLUS
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Buffered PLUS Payoff Diagram
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How it works
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§
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Upside Scenario. If the final basket
value is greater than the initial basket value, investors will receive the $1,000 stated principal amount plus 125% of the appreciation
of the basket over the term of the Buffered PLUS, subject to the maximum payment at maturity. An investor will realize the maximum
payment at maturity of $1,151.00 per Buffered PLUS (115.10% of the stated principal amount) at a final basket value of 112.08%
of the initial basket value.
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|
§
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If the basket appreciates 2%, the investor would receive a 2.50% return, or $1,025.00 per Buffered
PLUS.
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|
§
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If the basket appreciates 60%, the investor would receive only the maximum payment at maturity
of $1,151.00 per Buffered PLUS, or 115.10% of the stated principal amount.
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|
§
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Par Scenario. If the final basket
value is less than or equal to the initial basket value but has decreased from the initial basket value by an amount less than
or equal to the buffer amount of 10%, investors will receive the stated principal amount of $1,000 per Buffered PLUS.
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|
§
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If the basket depreciates 5%, investors would receive the $1,000 stated principal amount.
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|
§
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Downside Scenario. If the final basket
value is less than the initial basket value and has decreased from the initial basket value by an amount greater than the buffer
amount of 10%, investors will receive an amount that is less than the stated principal amount by an amount that is proportionate
to the percentage decrease of the basket in excess of the buffer amount of 10%. The minimum payment at maturity is $100 per Buffered
PLUS.
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|
§
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For example, if the basket depreciates 60%, investors would lose 50% of their principal and receive
only $500 per Buffered PLUS at maturity, or 50% of the stated principal amount.
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk factors
for investors in the Buffered PLUS. For further discussion of these and other risks, you should read the section entitled “Risk
Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. You should also consult with your
investment, legal, tax, accounting and other advisers in connection with your investment in the Buffered PLUS.
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§
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The Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 10%
of your principal. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS do
not pay interest and provide a minimum payment at maturity of only 10% of the stated principal amount of the Buffered PLUS. If
the final basket value is less than 90% of the initial basket value, you will receive for each Buffered PLUS that you hold a payment
at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate to the decline in the
value of the basket from the initial basket value, plus $100 per Buffered PLUS. Accordingly, investors may lose up to
90% of the stated principal amount of the Buffered PLUS.
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|
§
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The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity.
The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity of $1,151 per Buffered PLUS,
or 115.10% of the stated principal amount. Although the leverage factor provides 125% exposure to any increase in the final basket
value over the initial basket value, because the payment at maturity will be limited to 115.10% of the stated principal amount
for the Buffered PLUS, any increase in the final basket value over the initial basket value by more than 12.08% of the initial
basket value will not further increase the return on the Buffered PLUS.
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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 Buffered PLUS in the secondary market and the price at which MS
& Co. may be willing to purchase or sell the Buffered PLUS in the secondary market, including: the value, volatility and dividend
yield of the basket components, interest and yield rates in the market, time remaining to maturity, geopolitical conditions and
economic, financial, political and regulatory or judicial events and any actual or anticipated changes in our credit ratings or
credit spreads. You may receive less, and possibly significantly less, than the stated principal amount per Buffered PLUS if you
try to sell your Buffered PLUS prior to maturity.
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|
§
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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. You are dependent on our ability
to pay all amounts due on the Buffered PLUS at maturity and therefore you are subject to our credit risk. The Buffered PLUS are
not guaranteed by any other entity. If we default on our obligations under the Buffered PLUS, your investment would be at risk
and you could lose some or all of your investment. As a result, the market value of the Buffered PLUS prior to maturity will be
affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings
or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value
of the Buffered PLUS.
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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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Changes in the value of one or more of the basket components may offset each other. Value
movements in the basket components may not correlate with each other. At a time when the values of one or more basket components
increase, the values of the other basket components may not increase as much, or may even decline. Therefore, in calculating the
basket components’ performance on the valuation date, increases in the values of one or more basket components may be moderated,
or wholly offset, by lesser increases or declines in the values of other basket components.
|
|
§
|
The basket components are not equally weighted. The Buffered PLUS are linked to a basket
of three basket components, and the basket components have significantly different weights in determining the value of the basket.
The same percentage change in two of the basket components could therefore have different effects on the basket closing value because
of the unequal weighting. For example, if the weighting of one basket component is greater than the weighting of another basket
component, a 5% decrease in the value of the basket component with the greater weighting
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
will have a greater impact on the
basket closing value than a 5% increase in the value of the basket component with the lesser weighting.
|
§
|
Adjustments to the underlying indices could adversely affect the value of the Buffered PLUS.
The publisher of each underlying index can add, delete or substitute the stocks underlying such index, and can make other methodological
changes that could change the value of such underlying index. Any of these actions could adversely affect the value of the Buffered
PLUS. In addition, an index publisher may discontinue or suspend calculation or publication of the relevant underlying index at
any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor
index for such index that is comparable to the discontinued index and is permitted to consider indices that are calculated and
published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor index for
such index, the payment at maturity on the Buffered PLUS will be an amount based on the closing prices on the valuation date of
the securities constituting such underlying index at the time of such discontinuance, without rebalancing or substitution, computed
by the calculation agent in accordance with the formula for calculating such underlying index last in effect prior to discontinuance
of such index.
|
|
§
|
The Buffered PLUS are linked to the Russell 2000® Index and are subject to
risks associated with small-capitalization companies. As the Russell 2000® Index is one of the underlying indices,
and the Russell 2000® Index consists of stocks issued by companies with relatively small market capitalization,
the Buffered PLUS are linked to the value of small-capitalization companies. These companies often have greater stock price volatility,
lower trading volume and less liquidity than large-capitalization companies and therefore the Russell 2000® Index
may be more volatile than indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization
companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments,
and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically
less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller
shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
|
|
§
|
There are risks associated with investments in securities, such as the Buffered PLUS, linked
to the value of foreign (and especially emerging markets) equity securities. The MSCI Emerging Markets IndexSM is
linked to the value of foreign equity securities and the EEM Shares track the performance of the MSCI Emerging Markets IndexSM,
which is linked to the value of foreign (and especially emerging markets) equity securities. Investments in securities linked to
the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks
of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject
to the reporting requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting, auditing
and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities
issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a
small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation
of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy
in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources,
self-sufficiency and balance of payment positions.
|
In
addition, the stocks included in the MSCI Emerging Markets IndexSM and that are generally tracked by the EEM Shares
have been issued by companies in various emerging markets countries, which pose further risks in addition to the risks associated
with investing in foreign equity markets generally. Countries with emerging markets may have relatively unstable governments, may
present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets,
and may have less protection of property rights than more developed countries. The economies of countries with emerging markets
may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer
from extreme and volatile debt burdens or inflation rates.
|
§
|
The prices of the EEM Shares are subject to currency exchange risk. Because
the prices of the EEM Shares are related to the U.S. dollar value of stocks underlying the MSCI Emerging Markets IndexSM,
holders of the Buffered PLUS will be exposed to currency exchange rate risk with respect to each of the currencies in which such
component securities trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors
including the supply of, and the demand for, those currencies, as well as relevant government policy, intervention or actions,
but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and
speculative actions related to the relevant region. An investor’s net exposure will depend on the extent to which the
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
currencies
of the component securities strengthen or weaken against the U.S. dollar and the relative weight of each currency. If, taking into
account such weighting, the dollar strengthens against the currencies of the component securities represented in the MSCI Emerging
Markets IndexSM, the price of the underlying shares will be
adversely affected and the payment at maturity on the Buffered PLUS may be reduced.
|
§
|
Of particular importance to potential currency exchange risk are:
|
|
§
|
existing and expected rates of inflation;
|
|
§
|
existing and expected interest rate levels;
|
|
§
|
the balance of payments; and
|
|
§
|
the extent of governmental surpluses or deficits in the countries represented
in the MSCI Emerging Markets IndexSM and the United States.
|
All
of these factors are in turn sensitive to the monetary, fiscal and trade policies pursued by the governments of various countries
represented in the MSCI Emerging Markets IndexSM the United
States and other countries important to international trade and finance.
|
§
|
Adjustments to any of the underlying shares or to the S&P MidCap 400® Index
or the MSCI Emerging Markets IndexSM could adversely affect the value of the Buffered PLUS. The
investment adviser to each of the MDY Shares and the EEM Shares seeks investment results that correspond generally to the price
and yield performance, before fees and expenses, of the S&P MidCap 400® Index or the MSCI Emerging Markets IndexSM,
as applicable (each, a “share underlying index”). Pursuant to its investment strategy or otherwise, the investment
adviser may add, delete or substitute the components of the applicable underlying shares. Any of these actions could adversely
affect the price of the applicable underlying shares and, consequently, the value of the Buffered PLUS. In addition, the publisher
of each share underlying index is responsible for calculating and maintaining such share underlying index. The applicable index
publisher may add, delete or substitute the stocks constituting such share underlying index or make other methodological changes
that could change the value of such share underlying index. The applicable index publisher may also discontinue or suspend calculation
or publication of such share underlying index at any time. If this discontinuance or suspension occurs following the termination
of the related underlying shares, the calculation agent will have the sole discretion to substitute a successor index that is comparable
to the discontinued share underlying index, and is permitted to consider indices that are calculated and published by the calculation
agent or any of its affiliates. Any of these actions could adversely affect the values of any of the underlying shares and, consequently,
the value of the Buffered PLUS.
|
|
§
|
The performance and market price of the underlying shares, particularly during periods of market volatility, may not correlate
with the performance of the relevant share underlying index, the performance of the component securities of the relevant share
underlying index or the net asset value per share of the underlying shares. The underlying
shares do not fully replicate the relevant share underlying index and may hold securities that are different than those included
in the relevant share underlying index. In addition, the performance of the underlying shares will reflect additional transaction
costs and fees that are not included in the calculation of the relevant share underlying index. All of these factors may
lead to a lack of correlation between the performance of the underlying shares and the relevant share underlying index. In
addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the underlying shares
may impact the variance between the performances of the underlying shares and the relevant share underlying index. Finally,
because the shares of the underlying shares are traded on an exchange and are subject to market supply and investor demand, the
market price of one share of the underlying shares may differ from the net asset value per share of the underlying shares.
|
In particular, during periods of
market volatility, or unusual trading activity, trading in the securities underlying the underlying shares may be disrupted or
limited, or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the underlying
shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of the
underlying shares, and their ability to create and redeem shares of the underlying shares may be disrupted. Under these circumstances,
the market price of the underlying shares may vary substantially from the net asset value per share of the underlying shares or
the level of the relevant share underlying index.
For all of the foregoing reasons,
the performance of the underlying shares may not correlate with the performance of the relevant share underlying index, the performance
of the component securities of the relevant share underlying index or the net asset value per share of the underlying shares.
Any of these events could materially and adversely affect the
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
price of the underlying shares and,
therefore, the value of the Buffered PLUS. Additionally, if market volatility or these events were to occur on the valuation
date, the calculation agent would maintain discretion to determine whether such market volatility or events have caused a market
disruption event to occur, and such determination would affect the payment at maturity of the Buffered PLUS. If the calculation
agent determines that no market disruption event has taken place, the payment at maturity would be based solely on the published
closing price per share of the underlying shares on the valuation date, even if the underlying shares are underperforming the relevant
share underlying index or the component securities of the relevant share underlying index and/or trading below the net asset value
per share of the underlying shares.
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every
event that could affect the underlying shares. MS & Co., as calculation agent, will adjust the adjustment factor for certain
events affecting the underlying shares. However, the calculation agent will not make an adjustment for every event that can affect
the underlying shares. If an event occurs that does not require the calculation agent to adjust the adjustment factor, the market
price of the Buffered PLUS may be materially and adversely affected.
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|
§
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Investing in the Buffered PLUS is not equivalent to investing in the basket components.
Investing in the Buffered PLUS is not equivalent to investing directly in the basket components
or any of the component stocks of the S&P 500® Index, the Russell 2000® Index, the S&P
MidCap 400® Index or the MSCI Emerging Markets IndexSM.
Investors in the Buffered PLUS will not have voting rights or rights to receive dividends or other distributions or any other rights
with respect to the underlying shares or any of the component stocks of the S&P 500® Index, the Russell 2000®
Index, the S&P MidCap 400® Index or the MSCI
Emerging Markets IndexSM.
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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 Buffered PLUS in the original
issue price reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered PLUS to be less than the
original issue price and will adversely affect secondary market prices. Assuming no change in market conditions or any other
relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the Buffered PLUS in
secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices
will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne
by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any
dealer would charge in a secondary market transaction of this type as well as other factors.
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The
inclusion of the costs of issuing, selling, structuring and hedging the Buffered PLUS in the original issue price and the lower
rate we are willing to pay as issuer make the economic terms of the Buffered PLUS less favorable to you than they otherwise would
be.
However,
because the costs associated with issuing, selling, structuring and hedging the Buffered PLUS are not fully deducted upon issuance,
for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the Buffered PLUS in the
secondary market, absent changes in market conditions, including those related to the basket components, 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 Buffered PLUS is determined by reference to our pricing and valuation
models, which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing
and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about
future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities,
our models may yield a higher estimated value of the Buffered PLUS than those generated by others, including other dealers in the
market, if they attempted to value the Buffered PLUS. In addition, the estimated value on the pricing date does not represent a
minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your Buffered PLUS in the secondary
market (if any exists) at any time. The value of your Buffered PLUS at any time after the date of this document will vary based
on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also
“The market price will be influenced by many unpredictable factors” above.
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|
§
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The Buffered PLUS will not be listed on any securities exchange and secondary trading may
be limited. The Buffered PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary
market for the Buffered PLUS. MS & Co. may, but is not obligated to, make a market in the Buffered PLUS. Even if there is a
secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily. Because
we do not expect that other broker dealers will participate significantly in the secondary market for the Buffered PLUS, the
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
price
at which you may be able to trade your Buffered PLUS is likely to depend on the price, if any, at which MS & Co. is willing
to transact. If, at any time, MS & Co. were not to make a market in the Buffered PLUS, it is likely that there would be no
secondary market for the Buffered PLUS. Accordingly, you should be willing to hold your Buffered PLUS to maturity.
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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 Buffered PLUS. As calculation agent, MS & Co. has determined the initial basket
component values and the multipliers, will determine the final basket value and will calculate the basket percent change and the
amount of cash you will receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence
of market disruption events and the selection of a successor index or calculation of the basket component closing 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. For further information regarding these types of determinations, see “Description of
PLUS—Postponement of Valuation Date(s)” and “—Calculation Agent and Calculations” in the accompanying
product supplement. In addition, MS & Co. has determined the estimated value of the Buffered PLUS on the pricing date.
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§
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Hedging and trading
activity by our affiliates could potentially adversely affect the value of the Buffered PLUS. One or more of our affiliates
and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the Buffered PLUS (and
possibly to other instruments linked to the basket components or component stocks of the
S&P 500® Index, the Russell 2000® Index, the S&P MidCap
400® Index or the MSCI Emerging Markets IndexSM), including trading in the underlying shares
or the stocks that constitute the S&P 500® Index,
the Russell 2000® Index, the S&P MidCap 400® Index or the MSCI Emerging Markets IndexSM
as well as in other instruments related to the basket components. As a result, these entities may be unwinding or
adjusting hedge positions during the term of the Buffered PLUS, and the hedging strategy may involve greater and more frequent
dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates also trade the underlying shares or
the stocks that constitute the S&P 500® Index,
the Russell 2000® Index, the S&P MidCap 400® Index or the MSCI Emerging Markets IndexSM
and other financial instruments related to the basket components 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
basket component values of the basket components, and, therefore, could have increased the values at or above which the basket
components must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered
PLUS. Additionally, such hedging or trading activities during the term of the Buffered PLUS, including on the valuation date,
could adversely affect the closing values of the basket components on the valuation date, and, accordingly, the amount of cash
an investor will receive at maturity.
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§
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The U.S. federal income
tax consequences of an investment in the Buffered PLUS are uncertain. Please read the discussion under “Additional
Information—Tax considerations” in this document and the discussion under “United States Federal Taxation”
in the accompanying product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning the U.S. federal
income tax consequences of an investment in the Buffered PLUS. As discussed in the Tax Disclosure Sections, there is a substantial
risk that the “constructive ownership” rule could apply, in which case all or a portion of any long-term capital gain
recognized by a U.S. Holder could be recharacterized as ordinary income and an interest charge could be imposed. If the Internal
Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income
on the Buffered PLUS might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example,
under one possible treatment, the IRS could seek to recharacterize the Buffered PLUS as debt instruments. In that event, U.S.
Holders would be required to accrue into income original issue discount on the Buffered PLUS every year at a “comparable
yield” determined at the time of issuance and recognize all income and gain in respect of the Buffered PLUS as ordinary
income. Additionally, as discussed under “United States Federal Taxation—FATCA” in the accompanying product
supplement for PLUS, the withholding rules commonly referred to as “FATCA” would apply to the Buffered PLUS if they
were recharacterized as debt instruments. However, recently proposed regulations (the preamble to which specifies that taxpayers
are permitted to rely on them pending finalization) eliminate the withholding requirement on payments of gross proceeds of a taxable
disposition (other than amounts treated as “FDAP income,” as defined in the accompanying product supplement for PLUS).
The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the Buffered
PLUS, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that
do not have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Buffered PLUS, and
the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.
|
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
number of related
topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject
to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to
the “constructive ownership” rule, as discussed in this document. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the Buffered PLUS, possibly with retroactive effect.
Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment
in the Buffered PLUS, including possible alternative treatments, the potential application of the constructive ownership rule,
the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Basket Overview
The basket consists of the S&P 500® Index
(the “SPX Index”), the Russell 2000® Index (the “RTY Index”), shares of the SPDR®
S&P MidCap 400® ETF Trust (the “MDY Shares”) and shares of the iShares® MSCI Emerging
Markets ETF (the “EEM Shares”) and offers exposure to price movements in the U.S. and international equity markets.
S&P 500® Index.
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.
Russell 2000®
Index. The Russell 2000® Index is an index calculated, published and disseminated by Russell Investments,
and measures the composite price performance of stocks of 2,000 companies incorporated in the U.S. and its territories. All 2,000
stocks are traded on a major U.S. exchange and are the 2,000 smallest securities that form the Russell 3000® Index.
The Russell 3000® Index is composed of the 3,000 largest U.S. companies as determined by market capitalization and
represents approximately 98% of the U.S. equity market. The Russell 2000® Index consists of the smallest 2,000 companies
included in the Russell 3000® Index and represents a small portion of the total market capitalization of the Russell
3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization
segment of the U.S. equity market. For additional information about the Russell 2000® Index, see the information
set forth under “Russell 2000® Index” in the accompanying index supplement.
SPDR® S&P
MidCap 400® ETF Trust. The SPDR® S&P MidCap 400® ETF Trust (the “Trust”)
is an exchange-traded fund that seeks to provide investment results that correspond generally to the price and yield performance,
before fees and expenses, of the S&P MidCap 400® Index. The S&P MidCap 400® Index was developed
by S&P Dow Jones Indices LLC as a performance benchmark for the medium capitalization segment of the U.S. equities markets.
PDR Services, LLC acts as the sponsor and State Street Global
Advisors (SSGA) acts as the marketing agent for the SPDR® S&P Midcap 400® ETF Trust. Information
provided to or filed with the Commission by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of
1940 can be located by reference to Commission file numbers 033-89088 and 811-08972, respectively, through the Commission’s
website at www.sec.gov. In addition, information may be obtained from other publicly available sources. We
make no representation or warranty as to the accuracy or completeness of such information.
The S&P MidCap 400® Index. The
S&P MidCap 400® Index is published by Standard & Poor’s Financial Services LLC and is comprised
of 400 companies with mid-sized market capitalizations ranging from $1.6 billion to $6.8 billion. The S&P MidCap 400®
Index is described in “S&P MidCap 400® Index” in the accompanying index supplement.
This document relates only to the Buffered PLUS referenced
hereby and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding
the Trust from the publicly available documents described above. In connection with the offering of the Buffered PLUS,
neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to
the Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding the Trust 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 underlying shares (and therefore the price of the underlying
shares at the time we priced the Buffered PLUS) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning the Trust could affect the value received at maturity
with respect to the Buffered PLUS and therefore the value of the Buffered PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In
addition, one or more of our affiliates may publish research reports with respect to the underlying shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the Buffered PLUS under the securities laws. As
a purchaser of the Buffered PLUS, you should undertake an independent investigation of the Trust as in your judgment is appropriate
to make an informed decision with respect to an investment linked to the underlying shares.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI
Emerging Markets ETF. The iShares® MSCI Emerging Markets ETF is an exchange-traded fund that seeks investment
results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index®. The
iShares® MSCI Emerging Markets ETF is managed by iShares, a registered investment company that consists of numerous
separate investment portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided
to or filed with the Commission by iShares pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be
located by reference to Commission file numbers 033-97598 and 811-09102, respectively, through the Commission’s website at.www.sec.gov. In
addition, information may be obtained from other publicly available sources. We make no representation or warranty as
to the accuracy or completeness of such information.
The MSCI Emerging Markets IndexSM. The
MSCI Emerging Markets IndexSM is a stock index calculated, published and disseminated daily by MSCI Inc. and is intended
to provide performance benchmarks for certain emerging equity markets including Brazil, Chile, China, Colombia, Czech Republic,
Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa,
Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI Emerging Markets IndexSM is described in “MSCI Emerging
Markets IndexSM” and “MSCI Global Investable Market Indices Methodology” in the accompanying index
supplement.
This document relates only to the Buffered PLUS referenced
hereby and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding
iShares from the publicly available documents described above. In connection with the offering of the Buffered PLUS,
neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to
iShares. Neither we nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding iShares is accurate or complete. Furthermore, we cannot give any assurance that all
events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available
documents described above) that would affect the trading price of the underlying shares (and therefore the price of the underlying
shares at the time we priced the Buffered PLUS) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning iShares could affect the value received at maturity
with respect to the Buffered PLUS and therefore the value of the Buffered PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying shares.
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In
addition, one or more of our affiliates may publish research reports with respect to the underlying shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the Buffered PLUS under the securities laws. As
a purchaser of the Buffered PLUS, you should undertake an independent investigation of iShares as in your judgment is appropriate
to make an informed decision with respect to an investment linked to the underlying shares.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Information as of market close on October 3, 2019:
Basket Component Information as of October 3, 2019
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Bloomberg Ticker Symbol
|
Current Basket Component Level
|
52 Weeks Ago
|
52 Week High
|
52 Week Low
|
SPX Index
|
SPX
|
2,910.63
|
2,925.51
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(on 7/26/2019): 3,025.86
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(on 12/24/2018): 2,351.10
|
RTY Index
|
RTY
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1,486.347
|
1,671.294
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(on 10/3/2018): 1,671.294
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(on 12/25/2018): 1,266.925
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MDY Shares
|
MDY UP
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$343.26
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$364.55
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(on 10/3/2018): $364.55
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(on 12/24/2018): $284.96
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EEM Shares
|
EEM UP
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$40.79
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$42.04
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(on 4/17/2019): $44.59
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(on 10/29/2018): $38.00
|
The following graph is calculated based on an initial basket
value of 100 on January 1, 2014 (assuming that each basket component is weighted as described in “Basket” on the cover
page) and illustrates the effect of the offset and/or correlation among the basket components during such period. The graph does
not take into account the terms of the Buffered PLUS, nor does it attempt to show your expected return on an investment in the
Buffered PLUS. The historical performance of the basket should not be taken as an indication of its future performance.
Basket Historical
Performance
January 1,
2014 to October 3, 2019
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The following graphs set forth the daily closing values and closing
prices, as applicable, of each of the basket components for the period from January 1, 2014 through October 3, 2019. The related
tables set forth the published high and low closing values and closing prices, as applicable, as well as end-of-quarter closing
values and closing prices, for each of the basket components for each quarter in the same period. The closing values and closing
prices, as applicable, for each of the basket components on October 3, 2019 were: (i) in the case of the SPX Index, 2,910.63, (ii)
in the case of the RTY Index, 1,486.347, (iii) in the case of MDY Shares, $343.26, and (iv) in the case of EEM Shares, $40.79.
We obtained the information in the tables and graphs below from Bloomberg Financial Markets, without independent verification.
The historical values of the basket components should not be taken as an indication of their future performance, and no assurance
can be given as to the basket closing value on the valuation date.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
S&P 500® Index
Daily Index Closing Values
January 1, 2014 to October 3, 2019
|
|
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
|
2,238.83
|
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
|
2,519.36
|
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
|
3,025.86
|
2,840.60
|
2,976.74
|
Fourth Quarter (through October 3, 2019)
|
2,940.25
|
2,887.61
|
2,910.63
|
“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
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Russell 2000® Index
Daily Index Closing Values
January 1, 2014 to October 3, 2019
|
|
Russell 2000® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.964
|
1,095.986
|
1,192.964
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,135.889
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
1,535.511
|
2018
|
|
|
|
First Quarter
|
1,610.706
|
1,463.793
|
1,529.427
|
Second Quarter
|
1,706.985
|
1,492.531
|
1,643.069
|
Third Quarter
|
1,740.753
|
1,643.069
|
1,696.571
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
1,348.559
|
2019
|
|
|
|
First Quarter
|
1,590.062
|
1,330.831
|
1,539.739
|
Second Quarter
|
1,614.976
|
1,485.531
|
1,485.531
|
Third Quarter
|
1,585.599
|
1,456.039
|
1,523.373
|
Fourth Quarter (through October 3, 2019)
|
1,493.432
|
1,479.630
|
1,486.347
|
The “Russell 2000® Index” is a trademark
of FTSE Russell. For more information, see “Russell 2000® Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Shares of the SPDR® S&P MidCap 400® ETF Trust
Daily Closing Prices
January 1, 2014 to October 3, 2019
|
|
SPDR® S&P MidCap 400® ETF Trust (CUSIP: 78467Y107)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
253.00
|
230.30
|
250.57
|
Second Quarter
|
260.56
|
239.77
|
260.56
|
Third Quarter
|
262.60
|
248.33
|
249.32
|
Fourth Quarter
|
267.81
|
234.27
|
263.97
|
2015
|
|
|
|
First Quarter
|
279.67
|
256.41
|
277.24
|
Second Quarter
|
281.66
|
272.63
|
273.20
|
Third Quarter
|
276.81
|
245.62
|
248.89
|
Fourth Quarter
|
268.49
|
248.35
|
254.09
|
2016
|
|
|
|
First Quarter
|
262.72
|
225.58
|
262.72
|
Second Quarter
|
277.99
|
257.47
|
272.38
|
Third Quarter
|
288.35
|
269.65
|
282.27
|
Fourth Quarter
|
309.09
|
268.63
|
301.73
|
2017
|
|
|
|
First Quarter
|
319.92
|
301.73
|
312.42
|
Second Quarter
|
322.45
|
305.45
|
317.62
|
Third Quarter
|
326.41
|
308.35
|
326.33
|
Fourth Quarter
|
347.26
|
326.33
|
345.41
|
2018
|
|
|
|
First Quarter
|
362.51
|
327.40
|
341.73
|
Second Quarter
|
365.14
|
333.64
|
355.02
|
Third Quarter
|
373.52
|
355.02
|
367.46
|
Fourth Quarter
|
364.55
|
284.96
|
302.67
|
2019
|
|
|
|
First Quarter
|
352.26
|
296.63
|
345.40
|
Second Quarter
|
361.02
|
330.13
|
354.59
|
Third Quarter
|
362.01
|
334.13
|
352.47
|
Fourth Quarter (through October 3, 2019)
|
345.75
|
341.23
|
343.26
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Shares of the iShares® MSCI Emerging Markets ETF
Daily Closing Prices
January 1, 2014 to October 3, 2019
|
|
iShares® MSCI Emerging Markets ETF (CUSIP: 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
41.77
|
37.09
|
40.99
|
Second Quarter
|
43.95
|
40.82
|
43.23
|
Third Quarter
|
45.85
|
41.56
|
41.56
|
Fourth Quarter
|
42.44
|
37.73
|
39.29
|
2015
|
|
|
|
First Quarter
|
41.07
|
37.92
|
40.13
|
Second Quarter
|
44.09
|
39.04
|
39.62
|
Third Quarter
|
39.78
|
31.32
|
32.78
|
Fourth Quarter
|
36.29
|
31.55
|
32.19
|
2016
|
|
|
|
First Quarter
|
34.28
|
28.25
|
34.25
|
Second Quarter
|
35.26
|
31.87
|
34.36
|
Third Quarter
|
38.20
|
33.77
|
37.45
|
Fourth Quarter
|
38.10
|
34.08
|
35.01
|
2017
|
|
|
|
First Quarter
|
39.99
|
35.01
|
39.39
|
Second Quarter
|
41.93
|
38.81
|
41.39
|
Third Quarter
|
45.85
|
41.05
|
44.81
|
Fourth Quarter
|
47.81
|
44.81
|
47.12
|
2018
|
|
|
|
First Quarter
|
52.08
|
45.69
|
48.28
|
Second Quarter
|
48.28
|
42.33
|
43.33
|
Third Quarter
|
45.03
|
41.14
|
42.92
|
Fourth Quarter
|
42.93
|
38.00
|
39.06
|
2019
|
|
|
|
First Quarter
|
43.71
|
38.45
|
42.92
|
Second Quarter
|
44.59
|
39.91
|
42.91
|
Third Quarter
|
43.42
|
38.74
|
40.87
|
Fourth Quarter (through October 3, 2019)
|
40.79
|
40.27
|
40.79
|
iShares® is a registered mark of BlackRock Institutional
Trust Company, N.A. (“BTC”). The Buffered PLUS are not sponsored, endorsed, sold, or promoted by BTC. BTC makes no
representations or warranties to the owners of the Buffered PLUS or any
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
member of the public regarding the advisability of investing
in the Buffered PLUS. BTC has no obligation or liability in connection with the operation, marketing, trading or sale of the Buffered
PLUS.
Additional Terms of the Buffered PLUS
Please read this information
in conjunction with the summary terms on the front cover of this document.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Share underlying index:
|
With respect to the MDY Shares, the S&P MidCap 400®
Index
With respect to the EEM Shares, the MSCI Emerging Markets IndexSM
|
Share underlying index publisher:
|
With respect to the MDY Shares, S&P Dow Jones Indices or
any successor thereof
With respect to the EEM Shares, MSCI Inc. or any successor thereof
|
Underlying index publishers:
|
With respect to the SPX Index, S&P Dow Jones Indices LLC,
or any successor thereof
With respect to the RTY Index, FTSE Russell, or any successor
thereof
|
Index closing value:
|
With respect to the SPX Index, the index closing value on any
index business day shall be determined by the calculation agent and shall equal the official closing value of the SPX Index, or
any successor index as defined under “Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation”
in the accompanying product supplement, published at the regular official weekday close of trading on such index business day by
the underlying index publisher for the SPX Index, as determined by the calculation agent. In certain circumstances, the index closing
value for the SPX Index will be based on the alternate calculation of the SPX Index as described under “Discontinuance of
Any Underlying Index or Basket Index; Alteration of Method of Calculation” in the accompanying product supplement.
With respect to the RTY Index, the index closing value on any
index business day shall be determined by the calculation agent and shall equal the closing value of the RTY Index or any successor
index reported by Bloomberg Financial Services, or any successor reporting service the calculation agent may select, on such index
business day. In certain circumstances, the index closing value for the RTY Index will be based on the alternate calculation of
the RTY Index as described under “Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation”
in the accompanying product supplement. The closing value of the RTY Index reported by Bloomberg Financial Services may be lower
or higher than the official closing value of the RTY Index published by the underlying index publisher for the RTY Index.
|
Postponement of maturity date:
|
If the valuation date for any basket component is postponed 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 such valuation date as postponed.
|
Bull market or bear market Buffered PLUS:
|
Bull Market Buffered PLUS
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”)
|
Issuer notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which
the maturity date has been rescheduled (i) to each registered holder of the Buffered PLUS by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New
York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing
such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Buffered
PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or
not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice
of postponement of the maturity date, the business day immediately preceding the scheduled maturity date, and
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
(ii) with respect
to notice of the date to which the maturity date has been rescheduled, the business day immediately following the actual valuation
date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee and to the depositary of the amount of cash to be delivered with respect to each
stated principal amount of the Buffered PLUS, on or prior to 10:30 a.m. (New York City time) on the business day preceding the
maturity date, and (ii) deliver the aggregate cash amount due with respect to the Buffered PLUS to the trustee for delivery to
the depositary, as holder of the Buffered PLUS, on the maturity date.
|
Morgan Stanley Finance LLC
Buffered PLUS Based on a Basket Consisting of Two Indices and Two Exchange-Traded Funds due April 8, 2021
Buffered Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities