Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
November 04 2019 - 6:04AM
Edgar (US Regulatory)
Morgan Stanley
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Free
Writing Prospectus to Preliminary Terms No. 2,792
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Registration
Statement Nos. 333-221595; 333-221595-01
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Dated
November 1, 2019; Filed pursuant to Rule 433
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5-Year Market-Linked Notes Linked to the Morgan Stanley
MAP Trend Index
This document provides a summary of the terms of the notes.
Investors must carefully review the accompanying preliminary pricing supplement referenced below, product 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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Underlying:
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Morgan Stanley MAP Trend Index (MSUSMAPT)
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Participation rate:
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100% to 115%, applied to the highest index closing value achieved on a quarterly observation date (the “high watermark index closing value”)
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Pricing date:
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November 26, 2019
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Observation dates:
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Quarterly
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Maturity date:
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December 2, 2024
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CUSIP:
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61769HM77
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Preliminary pricing supplement:
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https://www.sec.gov/Archives/edgar/data/895421/0000950
10319014835/dp115343_424b2-ps2792.htm
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1All payments are subject to our credit risk
Hypothetical Payout at Maturity1
Change in Underlying (from the initial index value to the high watermark index closing value)
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Return on Notes
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+40.00%
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43.000%
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+30.00%
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32.250%
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+20.00%
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21.500%
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+15.00%
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16.125%
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+10.00%
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10.750%
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+5.00%
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5.375%
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0.00%
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0.000%
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-5.00%
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0.000%
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-10.00%
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0.000%
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-15.00%
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0.000%
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-20.00%
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0.000%
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-30.00%
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0.000%
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-40.00%
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0.000%
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1The graph and table assume a participation rate of 107.50%
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The issuer has filed a registration
statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should
read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlying Index
For more information about the underlying index, including historical
performance information, see the accompanying preliminary pricing supplement.
Risk Considerations
The risks set forth below are discussed in more detail in the
“Risk Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making
an investment decision.
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The notes do not pay interest and may not
pay more than the stated principal amount at maturity.
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The high watermark index closing value may
not be higher than the initial index value, and so you may not receive a positive return on your investment.
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The market price of the notes will be influenced
by many unpredictable factors.
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The notes 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 notes.
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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 notes is approximately
$971.10 per note, or within $30.00 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 amount payable on the notes is not linked
to the value of the underlying index at any time other than the quarterly observation dates.
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There are risks associated with the underlying
index.
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The level of the underlying index can go
down as well as up.
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The base allocation of ETFs in the Asset
Portfolio is determined in reference to each ETF’s Risk Budget and volatility.
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There are risks associated with the underlying
index’s momentum investment strategy.
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Low volatility in the underlying index
is not synonymous with low risk in an investment linked to the underlying index.
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While the underlying index has a Volatility
Target of 5%, there can be no guarantee, even if the Asset Portfolio is rebalanced daily, that the realized volatility of the underlying
index will not be less than or greater than 5%.
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There can be no assurance that the actual
volatility of the underlying index will be lower than the volatility of any or all of the Index Components.
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The volatility target feature of the underlying
index may dampen its performance in bullish markets.
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The value of the underlying index and any
instrument linked to the underlying index may increase or decrease due to a number of factors, many of which are beyond our control.
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The future performance of the underlying
index may bear little or no relation to the historical or hypothetical retrospective performance of the underlying index.
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The underlying index is particularly susceptible
to “choppy” markets.
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The underlying index has fixed weighting
constraints.
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The underlying index was established on
March 7, 2017 and therefore has a very limited history.
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As the underlying index is new and has
very limited actual historical performance, any investment in the underlying index may involve greater risk than an investment
in an index with longer actual historical performance and a proven track record.
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The underlying index is reduced by an excess
return cost.
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The underlying index contains embedded
costs.
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An investment in the notes involves risks
associated with emerging markets equities and bonds, currency exchange rates and commodities.
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Changes in the value of the Index Components
may offset each other.
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The Morgan Stanley Two Year Treasury Index
can produce negative returns, which may have an adverse effect on the level of the respective Sub-Indices, and consequently, the
level of the index.
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Adjustments to the underlying index could
adversely affect the value of instruments linked to the underlying index.
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Investing in the notes is not equivalent
to investing in the underlying index. Investing in the notes is not equivalent to investing in the underlying index or its component
ETFs or the Morgan Stanley Two Year Treasury Index.
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Reliance on information. Morgan Stanley
has relied on publicly available sources and not independently verified the information extracted from these sources.
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Research. Morgan Stanley will be under
no obligation to make any adjustments to the index or to reflect any change in outlook by Morgan Stanley Research.
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If the underlying index is discontinued and
no successor index is available, at maturity, Morgan Stanley will pay an alternative supplemental redemption amount, if any, in
lieu of the supplemental redemption amount.
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MS & Co., which is a subsidiary of Morgan
Stanley and an affiliate of MSFL, is both the calculation agent and the underlying index publisher, and will make determinations
with respect to the notes and the underlying index.
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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
notes in the original issue price reduce the economic terms of the notes, cause the estimated value of the notes to be less than
the original issue price and will adversely affect secondary market prices.
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Adjustments to the underlying index could
adversely affect the value of the notes.
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Investing in the notes is not equivalent to
investing in the underlying index.
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The notes will not be listed on any securities
exchange and secondary trading may be limited. Accordingly, you should be willing to hold your notes for the entire term of the
notes.
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Hedging and trading activity by our affiliates
could potentially adversely affect the value of the notes.
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Tax Considerations
You should review carefully the discussion in the accompanying
preliminary pricing supplement under the caption “Additional Information About the Notes –Tax considerations”
concerning the U.S. federal income tax consequences of an investment in the notes, and you should consult your tax adviser.
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