Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
November 01 2019 - 6:05AM
Edgar (US Regulatory)
Morgan Stanley
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Free Writing Prospectus to Preliminary
Terms No. 2,787
Registration Statement Nos. 333-221595;
333-221595-01
Dated October 31, 2019; Filed pursuant
to Rule 433
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3-Year Worst-of NDX, INDU and RTY Jump Securities with Auto-Callable
Feature
This document provides a summary of the terms of the notes.
Investors must carefully review the accompanying preliminary terms referenced below, product supplement, index supplement and prospectus,
and the “Risk Considerations” on the following page, prior to making an investment decision.
Terms
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Issuing entity:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Underlyings:
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NASDAQ-100
Index® (“NDX”), Dow Jones Industrial AverageSM (“INDU”) and Russell 2000®
Index (“RTY”)
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Early redemption:
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Determination dates:
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Call threshold level:
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Call premium:
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1st: May 26, 2020
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100% of the initial index value for each underlying
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6.50% to 7.50%
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2nd: November 27, 2020
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13.00% to 15.00%
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3rd: May 26, 2021
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19.50% to 22.50%
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4th: November 26, 2021
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26.00% to 30.00%
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5th: May 26, 2022
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32.50% to 37.50%
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Downside threshold level:
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70% of the initial index value for each underlying
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Pricing date:
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November 26, 2019
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Final determination date:
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November 28, 2022
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Maturity date:
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December 1, 2022
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CUSIP:
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61769HM28
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Preliminary Terms:
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https://www.sec.gov/Archives/edgar/data/895421/000095010319014732/
dp115188_fwp-ps2787.htm
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1All
payments are subject to our credit risk
Hypothetical Examples
Early Redemption1
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Date
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Change
in Worst Performing Underlying
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Payment
(per security)
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1st
Determination Date
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-20%
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--
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2nd
Determination Date
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+20%
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$1,140*
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The
securities are automatically redeemed on the second early redemption date. Investors will receive a payment of
$1,140 per security on the related early redemption date.
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*Assumes the midpoint of the call premium range
Hypothetical Payout at Maturity1
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Assuming
that one or more of the underlyings close below the respective call threshold level(s) on each of the semi-annual determination
dates, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding until, maturity:
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Change
in Worst Performing Underlying
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Payment
(per security)
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+30%
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$1,420.00*
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+20%
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$1,420.00*
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+10%
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$1,420.00*
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0%
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$1,420.00*
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-10%
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$1,000.00
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-20%
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$1,000.00
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-30%
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$1,000.00
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-31%
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$690.00
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-40%
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$600.00
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-50%
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$500.00
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-70%
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$300.00
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-90%
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$100.00
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*Assumes
a call return of 14.00% per annum
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The issuer has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlying Indices
For more information about the underlying indices, including
historical performance information, see the accompanying preliminary terms.
Risk Considerations
The risks set forth below are discussed in more detail in the
“Risk Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making
an investment decision.
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·
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The securities do not pay interest or guarantee
the return of any principal.
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The appreciation potential of the securities
is limited by the fixed early redemption payment or payment at maturity specified for each determination date.
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You are exposed to the price risk of each
underlying index.
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The market price will be influenced by many
unpredictable factors.
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The securities are subject to our credit risk,
and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities.
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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 securities is approximately
$965.70 per security, or within $22.50 of that estimate, and is determined by reference to our pricing and valuation models, which
may differ from those of other dealers and is not a maximum or minimum secondary market price.
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The securities are linked to the Russell 2000®
Index and are subject to risks associated with small-capitalization companies.
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As a finance subsidiary, MSFL has no independent
operations and will have no independent assets.
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Not equivalent to investing in the underlying
indices.
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The securities will not be listed on any securities
exchange and secondary trading may be limited, and accordingly, you should be willing to hold your securities for the entire 3-year
term of the securities.
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If the securities are redeemed prior to maturity,
you will receive no further payments on the securities and may be forced to invest in a lower interest rate environment and may
not be able to reinvest at comparable terms or returns.
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The rate we are willing to pay for securities
of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and
advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the
securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities
to be less than the original issue price and will adversely affect secondary market prices.
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Hedging and trading activity by our affiliates
could potentially adversely affect the value of the securities.
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The calculation agent, which is a subsidiary
of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities.
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The U.S. federal income tax consequences of
an investment in the securities 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 Securities– Tax considerations” concerning
the U.S. federal income tax consequences of an investment in the securities, and you should consult your tax adviser.
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