Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due May 5, 2022 All
Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select
Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund (the “securities”) do not
provide for the regular payment of interest. Instead, the securities will pay a contingent quarterly coupon but only if the
determination closing price of each of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR®
Fund and the Utilities Select Sector SPDR® Fund, which we refer to as the underlying shares, is at or above
65% of its respective initial share price, which we refer to as the downside threshold level, on the related observation date.
If, however, the determination closing price of any of the underlying shares is less than its respective downside threshold
level on any observation date, we will pay no interest for the related quarterly period. In addition, the securities will be automatically
redeemed if the determination closing price of each of the underlying shares is greater than or equal to its respective
call threshold level on any quarterly redemption determination date for the early redemption payment equal to the sum of the stated
principal amount plus the related contingent quarterly coupon. No further payments will be made on the securities once they have
been redeemed. At maturity, if the securities have not previously been redeemed and the final share price of each of the underlying
shares is greater than or equal to its respective downside threshold level, the payment at maturity will be the sum of the
stated principal amount and the related contingent quarterly coupon. However, if the final share price of any of the underlying
shares is less than its respective downside threshold level, investors will be exposed to the decline in the worst performing
underlying shares on a 1-to-1 basis, and will receive a payment at maturity that is less than 65% of the stated principal amount
of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing
their entire initial investment and also the risk of not receiving any contingent quarterly coupons throughout the 2.5-year term
of the securities. Investors will not participate in any appreciation in the price of any of the underlying shares.
Maturity:
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2.5 years
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Contingent quarterly coupon:
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A contingent quarterly coupon at an annual rate of 9.80% (corresponding to approximately $0.245 per quarter per security) will be paid on the securities on each coupon payment date but only if the determination closing price of each of the underlying shares is at or above its respective downside threshold level on the related observation date. If on any observation date, the determination closing price of any of the underlying shares is less than its respective downside threshold level, we will pay no coupon for the applicable quarterly period.
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Automatic early redemption quarterly:
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If the determination closing price of each of the underlying shares is greater than or equal to its respective call threshold level on any quarterly redemption determination date, beginning on January 31, 2020, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly coupon with respect to the related observation date. No further payments will be made on the securities once they have been redeemed.
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Payment at maturity:
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If the securities have not previously been redeemed
and the final share price of each of the underlying shares is greater than or equal to its respective downside threshold
level, the payment at maturity will be the sum of the stated principal amount and the related contingent quarterly coupon.
If the final share price of any of the underlying
shares is less than its respective downside threshold level, investors will receive a payment at maturity based on the decline
in the worst performing underlying shares over the term of the securities. Under these circumstances, the payment at maturity
will be less than 65% of the stated principal amount of the securities and could be zero. Accordingly, investors in
the securities must be willing to accept the risk of losing their entire initial investment.
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
The original issue price of each security is
$10. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you,
and, consequently, the estimated value of the securities on the pricing date is less than $10. We estimate that the value of each
security on the pricing date is $9.72.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date,
we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying
shares. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying shares, instruments based on the underlying shares, 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 securities?
In determining the economic terms of the securities,
including the contingent quarterly coupon rate, the call threshold levels and the downside threshold levels, 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 terms of
the securities 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 securities?
The price at which MS & Co. purchases the
securities in the secondary market, absent changes in market conditions, including those related to the underlying shares, 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 securities
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 securities in the secondary market, absent changes in market conditions, including those related to the underlying
shares, 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
securities and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities will pay a contingent quarterly coupon but only if the determination closing price of each of
the underlying shares is at or above its respective downside threshold level on the related observation date. The securities
have been designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept
the risk of receiving few or no coupon payments for the entire 2.5-year term of the securities in exchange for an opportunity to
earn interest at a potentially above-market rate if all of the underlying shares close at or above their respective downside threshold
levels on each quarterly observation date, unless the securities are redeemed early. The following scenarios are for illustration
purposes only to demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed) are
calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed,
the contingent quarterly coupon may be payable in none of, or some but not all of, the quarterly periods during the 2.5-year term
of the securities, and the payment at maturity may be less than 65% of the stated principal amount of the securities and may be
zero.
Scenario
1: The securities are redeemed prior to maturity
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This scenario assumes that, prior to early redemption,
each of the underlying shares closes at or above its respective downside threshold level on some quarterly observation dates,
but one or more of the underlying shares close below the respective downside threshold level(s) on the others. Investors receive
the contingent quarterly coupon for the quarterly periods for which the determination closing price of each of the underlying
shares is at or above its respective downside threshold level on the related observation date, but not for the quarterly periods
for which the determination closing price of any of the underlying shares is below the respective downside threshold level(s)
on the related observation date.
When each of the underlying shares closes at or above
its respective call threshold level on a quarterly redemption determination date, the securities will be automatically redeemed
for the stated principal amount plus the contingent quarterly coupon with respect to the related observation date.
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Scenario
2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity
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This scenario assumes that each of the underlying shares closes at or above its respective downside threshold level on some quarterly observation dates, but one or more of the underlying shares close below the respective downside threshold level(s) on the others, and at least one of the underlying shares closes below its call threshold level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing price of each of the underlying shares is at or above its respective downside threshold level on the related observation date, but not for the quarterly periods for which the determination closing price of one or more of the underlying shares is below the respective downside threshold level(s) on the related observation date. On the final observation date, each of the underlying shares closes at or above its respective downside threshold level. At maturity, in addition to the contingent quarterly coupon with respect to the final observation date, investors will receive the stated principal amount.
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Scenario
3: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
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This scenario assumes that each of the underlying shares closes at or above its respective downside threshold level on some quarterly observation dates, but one or more of the underlying shares close below the respective downside threshold level(s) on the others, and at least one of the underlying shares closes below its call threshold level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing price of each of the underlying shares is greater than or equal to its respective downside threshold level on the related observation date, but not for the quarterly periods for which the determination closing price of one or more of the underlying shares are below the respective downside threshold level(s) on the related observation date. On the final observation date, one or more of the underlying shares close below the respective downside threshold level(s). At maturity, investors will receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying shares. Under these circumstances, the payment at maturity will be less than 65% of the stated principal amount and could be zero. No coupon will be paid at maturity in this scenario.
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the determination closing prices on each quarterly observation date, (2) the determination closing
prices on each quarterly redemption determination date and (3) the final share prices. Please see “Hypothetical Examples”
below for an illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Quarterly Coupons
(Beginning on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram #2: Automatic Early Redemption
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Diagram #3: Payment at Maturity if No Automatic
Early Redemption Occurs
For more information about the payout upon
an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly coupon is paid with respect to an observation date and how to calculate the payment at maturity,
if any, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only.
Whether you receive a contingent quarterly coupon will be determined by reference to the determination closing price of each of
the underlying shares on each quarterly redemption determination date, and the amount you will receive at maturity, if any, will
be determined by reference to the final share price of each of the underlying shares on the final observation date. The actual
initial share price, call threshold level and downside threshold level for each of the underlying shares are set forth on the cover
of this document. All payments on the securities, if any, are subject to our credit risk. The below examples are based on the following
terms:
Contingent Quarterly Coupon:
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9.80% per annum (corresponding to approximately $0.245
per quarter per security)1
With respect to each coupon payment date, a contingent
quarterly coupon is paid but only if the determination closing price of each of the underlying shares is at or above its respective
downside threshold level on the related observation date.
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Automatic Early Redemption:
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If the determination closing price of each of the underlying shares is greater than or equal to its respective call threshold level on any quarterly redemption determination date, beginning on January 31, 2020, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly coupon with respect to the related observation date. No further payments will be made on the securities once they have been redeemed.
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Payment at Maturity (if the securities are not redeemed prior to maturity):
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If the final share price of each of the underlying shares
is greater than or equal to its respective downside threshold level: the stated principal amount and the contingent quarterly
coupon with respect to the final observation date
If the final share price of any of the underlying
shares is less than its respective downside threshold level: (i) the stated principal amount multiplied by (ii) the
share performance factor of the worst performing underlying shares
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Stated Principal Amount:
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$10
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Hypothetical Initial Share Price:
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With respect to the XLF Shares: $25.00
With respect to the XLE Shares: $60.00
With respect to the XLU Shares: $65.00
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Hypothetical Downside Threshold Level:
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With respect to the XLF Shares: $16.25, which is 65%
of its hypothetical initial share price
With respect to the XLE Shares: $39.00, which is 65%
of its hypothetical initial share price
With respect to the XLU Shares: $42.25, which is 65%
of its hypothetical initial share price
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Hypothetical Call Threshold Level:
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With respect to the XLF Shares: $25.00, which is 100%
of its hypothetical initial share price
With respect to the XLE Shares: $60.00, which is 100%
of its hypothetical initial share price
With respect to the XLU Shares: $65.00, which is 100%
of its hypothetical initial share price
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1 The actual contingent quarterly
coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated
on a 30/360 day count basis. The hypothetical contingent quarterly coupon of $0.245 is used in these examples for ease of analysis.
How to determine whether a contingent quarterly
coupon is payable with respect to an observation date:
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Determination Closing Price
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Contingent Quarterly Coupon
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XLF Shares
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XLE Shares
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XLU Shares
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Hypothetical Observation Date 1
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$20.00 (at or above its downside threshold level)
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$50.00 (at or above its downside threshold level)
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$52.50 (at or above its downside threshold level)
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$0.245
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Hypothetical Observation
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$14.75 (below its
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$50.00 (at or above
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$68.00 (at or above
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$0
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Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Date 2
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downside threshold level)
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its downside threshold level)
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its downside threshold level)
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Hypothetical Observation Date 3
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$18.75 (at or above its downside threshold level)
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$63.00 (at or above its downside threshold level)
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$25.50 (below its downside threshold level)
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$0
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Hypothetical Observation Date 4
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$13.00 (below its downside threshold level)
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$27.00 (below its downside threshold level)
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$25.00 (below its downside threshold level)
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$0
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On hypothetical observation date 1, each of the underlying shares
closes at or above its respective downside threshold level. Therefore, a contingent quarterly coupon of $0.245 is paid on the relevant
coupon payment date.
On each of hypothetical observation dates 2 and 3, two of the
underlying shares close at or above their respective downside threshold levels but the other underlying shares closes below its
respective downside threshold level. Therefore, no contingent quarterly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each of the underlying shares
closes below its respective downside threshold level and accordingly no contingent quarterly coupon is paid on the relevant coupon
payment date.
You will not receive a contingent quarterly coupon on any
coupon payment date if the determination closing price of any of the underlying shares is below its respective downside threshold
level on the related observation date.
How to calculate the payment at maturity:
In the following examples, one or more of the underlying shares
close below the respective call threshold level(s) on each redemption determination date, and, consequently, the securities are
not automatically redeemed prior to, and remain outstanding until, maturity.
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Final Share Price
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Payment at Maturity
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XLF Shares
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XLE Shares
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XLU Shares
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Example 1:
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$30.00 (at or above its downside threshold level)
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$70.00 (at or above its downside threshold level)
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$75.00 (at or above its downside threshold level)
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$10.245 (the stated principal amount plus the contingent quarterly coupon with respect to the final observation date)
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Example 2:
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$20.00 (at or above its downside threshold level)
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$19.50 (below its downside threshold level)
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$70.00 (at or above its initial share price)
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$10 x share performance factor of the worst performing underlying shares = $10 x ($19.50 / $39.00) = $5.00
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Example 3:
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$20.50 (at or above its downside threshold level)
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$30.00 (below its downside threshold level)
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$35.75 (below its downside threshold level)
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$10 x ($30.00 / $60.00) = $5.00
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Example 4:
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$12.50 (below its downside threshold level)
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$30.00 (below its downside threshold level)
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$26.00 (below its downside threshold level)
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$10 x ($26.00 / $65.00) = $4.00
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Example 5:
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$7.50 (below its downside threshold level)
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$24.00 (below its downside threshold level)
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$32.50 (below its downside threshold level)
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$10 x ($7.50 / $25.00) = $3.00
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In example 1, the final share price of each of the underlying
shares is at or above its respective downside threshold level. Therefore, investors receive at maturity the stated principal amount
of the securities and the contingent quarterly coupon with respect to the final observation date. However, investors do not participate
in the appreciation of any of the underlying shares.
In example 2, the final share prices of two of the underlying
shares are above their respective initial share prices, but the final share price of the other underlying shares is below its downside
threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying shares at maturity
and receive an amount equal to the stated principal amount times the share performance factor of the worst performing underlying
shares.
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Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
In example 3, the final share price of one of the underlying
shares is at or above its downside threshold level, but the final share price of each of the other underlying shares is below its
respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying
shares at maturity. The XLE Shares have declined 50% from their initial share price to their final share price, while the XLU Shares
have declined 45% from their initial share price to their final share price. Therefore, investors receive at maturity an amount
equal to the stated principal amount times the share performance factor of the XLE Shares, which are the worst performing underlying
shares in this example.
In examples 4 and 5, the final share price of each of the underlying
shares is below its respective downside threshold level, and investors receive at maturity an amount equal to the stated principal
amount times the share performance factor of the worst performing underlying shares. In example 4, the XLF Shares have declined
50% from their initial share price to their final share price, the XLE Shares have declined 50% from their initial share price
to their final share price, and the XLU Shares have declined 60% from their initial share price to their final share price. Therefore,
the payment at maturity equals the stated principal amount times the share performance factor of the XLU Shares, which are
the worst performing underlying shares in this example.
In example 5, the XLF Shares have declined 70% from their initial
share price to their final share price, the XLE Shares have declined 60% from their initial share price to their final share price
and the XLU Shares have declined 50% from their initial share price to their final share price. Therefore the payment at maturity
equals the stated principal amount times the share performance factor of the XLF Shares, which are the worst performing
underlying shares in this example.
If the final share price of ANY of the underlying shares is
below its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying
shares at maturity, and your payment at maturity will be less than 65% of the stated principal amount per security and could be
zero.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus.
We also urge you to consult with your investment, legal, tax, accounting and other advisers in connection with your
investment in the securities.
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The securities do not guarantee the return of any principal. The
terms of the securities differ from those of ordinary debt securities in that they do not guarantee the return of any of the principal
amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price of any
of the underlying shares is less than its downside threshold level of 65% of its initial share price, you will be exposed to
the decline in the closing price of the worst performing underlying shares, as compared to the initial share price, on a 1-to-1
basis, and you will receive for each security that you hold at maturity an amount equal to the stated principal amount times
the share performance factor of the worst performing underlying shares. In this case, the payment at maturity will be less
than 65% of the stated principal amount and could be zero. You could lose up to your entire investment in the securities.
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The securities do not provide for the regular payment of interest
and may pay no interest over the entire term of the securities. The terms of the securities differ from those of ordinary
debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent
quarterly coupon but only if the determination closing price of each of the underlying shares is at or above
65% of its respective initial share price, which we refer to as the downside threshold level, on the related observation date.
If, on the other hand, the determination closing price of any of the underlying shares is lower than its respective downside
threshold level on the relevant observation date for any interest period, we will pay no coupon on the applicable coupon payment
date. It is possible that the determination closing price of one or more of the underlying shares could remain below the respective
downside threshold level(s) for extended periods of time or even throughout the entire 2.5-year term of the securities so that
you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly coupons over the term
of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security
of ours of comparable maturity.
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You are exposed to the price risk of each of the underlying shares,
with respect to both the contingent quarterly coupons, if any, and the payment at maturity, if any. Your
return on the securities is not linked to a basket consisting of each of the underlying shares. Rather, it will be contingent upon
the independent performance of each of the underlying shares. Unlike an instrument with a return linked to a basket of underlying
assets, in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related
to each of the underlying shares. Poor performance by any of the underlying shares
over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance
by the other underlying shares. To receive any contingent quarterly coupons, each
of the underlying shares must close at or above its respective downside threshold level on
the applicable observation date. In addition, if any of the underlying shares has
declined to below its respective downside threshold level as of the final observation date, you will be fully exposed
to the decline in the worst performing underlying shares over the term of the securities on a
1-to-1 basis, even if the other underlying shares have appreciated or have not declined as much. Under this scenario, the value
of any such payment will be less than 65% of the stated principal amount and could be zero. Accordingly, your investment is subject
to the price risk of each of the underlying shares.
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Investing in the securities exposes investors to risks associated with investments with a concentration in the financial
services sector. The stocks included in the Financial Select Sector Index and that are generally tracked by the XLF Shares
are stocks of companies whose primary business is directly associated with the financial services sector, including the following
sub-sectors: diversified financial services, insurance, commercial banks, capital markets, real estate investment trusts (“REITs”),
consumer finance, thrifts & mortgage finance, and real estate management & development. Because the value of the securities
is linked to the performance of the XLF Shares, an investment in the securities exposes investors to risks associated with investments
in securities with a concentration in the financial services sector.
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Financial services companies are
subject to specific and substantial risks, including, without limitation, significant competition and extensive government regulation,
which may limit both the amounts and types of loans and other
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
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Principal at Risk Securities
financial commitments they can make,
the businesses they can enter and the interest rates and fees they can charge. The ability of companies in the financial services
sector to generate profits is largely dependent on the availability and cost of capital funds, which may fluctuate significantly
when interest rates or company credit ratings change. The stock prices of financial institutions, especially those engaged in investment
banking, brokerage and banking businesses, have historically been unpredictable, with significant stock price fluctuations in response
to reported trading losses in proprietary trading businesses, actual or perceived problems related to risk management systems,
the amount of total leverage, liquidity of assets or capital resources, the strength of the mergers and acquisitions and capital
markets businesses and general economic conditions, among other factors. Insurance companies, which are the issuers of some of
the equity securities held by the Financial Select Sector SPDR® Fund, have been and may continue to be subject to
severe price competition. As a result, the value of the securities may be subject to greater volatility and be more adversely affected
by a single economic, political or regulatory occurrence affecting the financial services sector or one of the sub-sectors of the
financial services sector than a different investment linked to securities of a more broadly diversified group of issuers.
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Investing in the securities exposes investors to risks associated with investments with a concentration in the energy sector.
The stocks included in the Energy Select Sector Index and that are generally tracked by the XLE Shares are stocks of companies
whose primary business is directly associated with the energy sector, including the following sub-sectors: (i) oil, gas and consumable
fuels and (ii) energy equipment and services. Because the value of the securities is linked to the performance of the XLE Shares,
an investment in the securities exposes investors to risks associated with investments in securities with a concentration in the
energy sector.
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Energy companies develop and produce
crude oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock
prices for these types of companies are mainly affected by the business, financial and operating condition of the particular company,
as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various
energy products and services. Some of the factors that may influence supply and demand for energy products and services include:
general economic conditions and growth rates, weather conditions, the cost of exploring for, producing and delivering oil and gas,
technological advances affecting energy efficiency and energy consumption, the ability of the Organization of the Petroleum Exporting
Countries (OPEC) to set and maintain production levels of oil, currency fluctuations, inflation, natural disasters, civil unrest,
acts of sabotage or terrorism and other regional or global events. The profitability of energy companies may also be adversely
affected by existing and future laws, regulations, government actions and other legal requirements relating to protection of the
environment, health and safety matters and others that may increase the costs of conducting their business or may reduce or delay
available business opportunities. Increased supply or weak demand for energy products and services, as well as various developments
leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies
in the energy sector. The value of the securities may be subject to greater volatility and be more adversely affected by a single
economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than a
different investment linked to securities of a more broadly diversified group of issuers.
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Investing in the securities exposes investors to risks associated with investments with a concentration in the utilities
sector. The stocks included in the Utilities Select Sector Index and that are generally tracked by the XLU Shares are
stocks of companies whose primary business is directly associated with the utilities sector. Because the value of the securities
is linked to the performance of the XLU Shares, an investment in the securities exposes investors to risks associated with investments
in securities with a concentration in the utilities sector.
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Utility companies are affected by
supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general
civil liabilities and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate
correlation with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following a delay
after the changes in financing costs. This factor will tend to favorably affect a regulated utility company’s earnings
and dividends in times of decreasing costs, but, conversely, will tend to adversely affect earnings and dividends when costs are
rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest
rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility companies
are frequently more similar to industrial companies in
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
that they are subject to greater
competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional
lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated
rates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In
addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company’s equipment
unusable or obsolete and negatively impact profitability. Among the risks that may affect utility companies are the following:
risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction during inflationary
periods; restrictions on operations and increased costs and delays associated with compliance with environmental and nuclear safety
regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating electricity at reasonable
prices. Other risks include those related to the construction and operation of nuclear power plants, the effects of energy
conservation and the effects of regulatory changes. The value of the securities may be subject to greater volatility and
be more adversely affected by a single economic, political or regulatory occurrence affecting the utilities sector than a different
investment linked to securities of a more broadly diversified group of issuers.
|
§
|
The contingent quarterly coupon, if any, is based only on the determination closing prices of the underlying shares on the
related quarterly observation date at the end of the related interest period.
Whether the contingent quarterly coupon will be paid on any coupon payment date will be determined at the end of the
relevant interest period based on the determination closing price of each of the underlying shares on the relevant quarterly observation
date. As a result, you will not know whether you will receive the contingent quarterly coupon on any coupon payment date until
near the end of the relevant interest period. Moreover, because the contingent quarterly coupon is based solely on the price of
each of the underlying shares on quarterly observation dates, if the determination closing price of any of the underlying shares
on any observation date is below its respective downside threshold level, you will receive no coupon for the related interest period
even if the price(s) of one or more of the other underlying shares were higher on other days during that interest period.
|
|
§
|
Investors will not participate in any appreciation in the price of any of the underlying shares. Investors will not
participate in any appreciation in the price of the underlying shares from their initial share prices, and the return on the securities
will be limited to the contingent quarterly coupon that is paid with respect to each observation date on which each determination
closing price is greater than or equal to its respective downside threshold level, if any.
|
|
§
|
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 securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the prices of the underlying
shares on any day, including in relation to the respective
downside threshold levels, will affect the value of the securities more than any other factors. Other factors that may influence
the value of the securities include:
|
|
o
|
the trading price and volatility (frequency and magnitude of changes in value) of the underlying shares and the stocks constituting
their respective share underlying indices,
|
|
o
|
whether the determination closing price of any of the underlying shares has been below its respective downside threshold level
on any observation date,
|
|
o
|
dividend rates on the stocks constituting the share underlying indices,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying shares
or equity markets generally and which may affect the prices of the underlying shares,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the occurrence of certain events affecting the underlying shares that may or may not require an adjustment to the adjustment
factor,
|
|
o
|
the composition of the underlyings and changes in the constituents of the underlying shares, and
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example,
you may have to sell your securities at a substantial discount from the stated principal amount of $10 per security if the price
of any of the underlying shares at the time of sale is near or below its downside threshold level or if market interest rates rise.
The
price of any or all of the underlying shares may be, and have recently been, volatile, and we can give you no assurance that the
volatility will lessen. The prices of one or more of the underlying shares may decrease and be below the respective downside
threshold level(s) on each observation date so that you will receive no return on your investment or receive a payment at maturity
that is less than 65% of the stated principal amount. There can be no assurance that the determination closing prices of all of
the underlying shares will be at or above their respective downside threshold levels on any observation date so that you will receive
a coupon payment on the securities for the applicable interest period or, with respect to the final observation date, so that you
do no suffer a significant loss on your initial investment in the securities. See
“Financial Select Sector SPDR® Fund Overview,”
“Energy Select Sector SPDR® Fund Overview” and
“Utilities Select Sector SPDR® Fund Overview”
below.
|
§
|
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. You are dependent on our ability to pay all amounts due on the securities
on each coupon payment date, upon automatic redemption and at maturity and therefore you are subject to our credit risk. The securities
are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk
and you could lose some or all of your investment. As a result, the market value of the securities 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 securities.
|
|
§
|
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.
|
|
§
|
Reinvestment risk. The term
of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no more contingent quarterly coupons and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns.
|
|
§
|
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 factors 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 an adjustment factor, the market price of the securities
may be materially and adversely affected.
|
|
§
|
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 2.5-year term of the securities. The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS &
Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so
at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based
on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility,
the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and
the likelihood that it will be able to resell the securities.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Even if there is a secondary market,
it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate
significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely
to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making
a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be
willing to hold your securities to maturity.
|
§
|
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. 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 securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities 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 securities in the secondary market, absent changes
in market conditions, including those related to the underlying shares, 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.
|
§
|
The estimated value of the securities 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 securities than those generated by others, including other dealers in the market, if they attempted to value
the securities. 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 securities in the secondary market (if any exists) at any time. The value
of your securities 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.
|
|
§
|
Adjustments to the underlying shares or the indices tracked by the underlying shares could adversely affect the value of
the securities. The investment advisor to each of the underlying shares (SSGA Funds Management, Inc.) seeks investment results
that correspond generally to the price and yield performance, before fees and expenses, of the relevant share underlying indices.
Pursuant to its investment strategy or otherwise, the investment advisor may add, delete or substitute the stocks composing the
respective underlying shares. Any of these actions could adversely affect the price of the respective underlying shares and, consequently,
the value of the securities. The publisher of the share underlying indices is responsible for calculating and maintaining the share
underlying indices. The publisher may add, delete or substitute the securities constituting the share underlying indices or make
other methodological changes that could change the value of the share underlying indices, and, consequently, the price of the underlying
shares and the value of the securities. The publisher of the share underlying indices may discontinue or suspend calculation or
publication of a share underlying index at any time. In these circumstances, the calculation agent will have the sole discretion
to substitute a successor index that is comparable to the discontinued share underlying index and will be permitted to consider
indices that are calculated and published by the calculation agent or any of its affiliates.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
|
§
|
The performance and market price of any of the underlying shares, particularly during periods of market volatility, may
not correlate with the performance of its respective share underlying index, the performance of the component securities of such
share underlying index or the net asset value per share of such underlying shares. The underlying shares do not fully
replicate their respective share underlying indices, and each may hold securities that are different than those included in its
respective share underlying index. In addition, the performance of each of the underlying shares will reflect additional
transaction costs and fees that are not included in the calculation of the share underlying indices. All of these factors
may lead to a lack of correlation between the performance of each of the underlying shares and its respective share underlying
index. In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying each
of the underlying shares may impact the variance between the performance of each of the underlying shares and its respective share
underlying index. Finally, because the shares of each 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 each of the underlying shares may differ from the net asset
value per share of such underlying shares.
|
In particular, during periods of
market volatility, or unusual trading activity, trading in the securities underlying each of the underlying shares may be disrupted
or limited, or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of each
underlying shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per
share of each of the underlying shares, and their ability to create and redeem shares of each of the underlying shares may be disrupted.
Under these circumstances, the market price of shares of each of the underlying shares may vary substantially from the net asset
value per share of each underlying share or the level of its respective share underlying index.
For all of the foregoing reasons,
the performance of each of the underlying shares may not correlate with the performance of its respective share underlying index,
the performance of the component securities of such share underlying index or the net asset value per share of such underlying
shares. Any of these events could materially and adversely affect the prices of each of the underlying shares and, therefore,
the value of the securities. Additionally, if market volatility or these events were to occur on the final observation 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 securities. 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 each of the underlying shares on the final observation date, even if any of the underlying shares is underperforming its
respective share underlying index or the component securities of such share underlying index and/or trading below the net asset
value per share of such underlying shares.
|
§
|
Not equivalent to investing in the underlying shares or the stocks
composing the share underlying indices. Investing in the securities is not equivalent to
investing in the underlying shares, the share underlying indices or the stocks that constitute the share underlying indices. Investors
in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect
to the underlying shares or the stocks that constitute the share underlying indices.
|
|
§
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities. 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 securities
(and to other instruments linked to the underlying shares and the share underlying indices), including trading in the underlying
shares. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging
strategy may involve greater and more frequent dynamic adjustments to the hedge as the final observation date approaches. Some
of our affiliates also trade the underlying shares and other financial instruments related to the underlying shares and the share
underlying indices 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 share price of any of the underlying shares and, therefore,
could have increased (i) the value at or above which such underlying shares must close on the redemption determination dates so
that the securities are redeemed prior to maturity for the early redemption payment (depending also on the performance of the other
underlying shares) and (ii) the downside threshold level for such underlying shares, which is the value at or above which the underlying
shares must close on the observation dates so that you receive a contingent quarterly coupon on the securities (depending also
on the performance of the other underlying shares), and, with respect to the final observation
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
date, so that you are not exposed
to the negative performance of the worst performing underlying shares at maturity (depending also on the performance of the other
underlying shares). Additionally, such hedging or trading activities during the term of the securities could potentially affect
the value of any of the underlying shares on the redemption determination dates and the observation dates and, accordingly, whether
we redeem the securities prior to maturity, whether we pay a contingent quarterly coupon on the securities and the amount of cash
you will receive at maturity, if any.
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities. As calculation agent, MS & Co. has determined the initial share prices and the downside threshold levels
and will determine the final share prices, the payment at maturity, if any, whether you receive a contingent quarterly coupon on
each coupon payment date and/or at maturity, whether the securities will be redeemed on any early redemption date, whether a market
disruption event has occurred and whether to make any adjustments to the adjustment factors. 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 or calculation of the determination closing price
in the event of a market disruption event. These potentially subjective determinations may affect the payout to you upon an automatic
early redemption or at maturity, if any. For further information regarding these types of determinations, see “Description
of Auto-Callable Securities—Auto-Callable Securities Linked to Underlying Shares” and “—Calculation Agent
and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of
the securities on the pricing date.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal
authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects
of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that 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 securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
degree, if any, to which income
realized by non-U.S. investors should be subject to withholding tax. 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 securities, including possible alternative treatments,
the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Financial Select Sector SPDR®
Fund Overview
The Financial Select Sector SPDR® Fund is an exchange-traded
fund managed by Select Sector SPDR Trust (the “Trust”), a registered investment company. The Trust consists of nine
separate investment portfolios, including the Financial Select Sector SPDR® Fund. The Financial Select Sector SPDR®
Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Financial
Select Sector Index. It is possible that this fund may not fully replicate the performance of the Financial Select Sector Index
due to the temporary unavailability of certain securities in the secondary market or due to other extraordinary circumstances.
Information provided to or filed with the Securities and Exchange Commission (“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 333-57791
and 811-08837, respectively, through the Commission’s website at.www.sec.gov. In addition, information may be obtained from
other publicly available sources. Neither the issuer nor the agent makes any representation that any such publicly available
information regarding the Financial Select Sector SPDR® Fund is accurate or complete.
Information as of market close on October 31, 2019:
Ticker Symbol:
|
XLF UP
|
Current Stock Price:
|
$28.70
|
52 Weeks Ago:
|
$26.28
|
52 Week High (on 10/29/2019):
|
$28.86
|
52 Week Low (on 12/24/2018):
|
$22.31
|
The following table sets forth the published
high and low closing prices, as well as the end-of-quarter closing prices, of the XLF Shares for each quarter from January 1, 2014
through October 31, 2019. The closing price of the XLF Shares on October 31, 2019 was $28.70. The associated graph shows the closing
prices of the XLF Shares for each day from January 1, 2014 through October 31, 2019. We obtained the information in the table and
graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the XLF Shares should
not be taken as an indication of its future performance, and no assurance can be given as to the price of the XLF Shares at any
time, including on the redemption determination dates or the observation dates.
Financial Select Sector SPDR® Fund (CUSIP 81369Y605)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
18.25
|
16.67
|
18.14
|
Second Quarter
|
18.60
|
17.28
|
18.47
|
Third Quarter
|
19.33
|
17.99
|
18.81
|
Fourth Quarter
|
20.33
|
17.90
|
20.08
|
2015
|
|
|
|
First Quarter
|
20.08
|
18.68
|
19.58
|
Second Quarter
|
20.52
|
19.56
|
19.80
|
Third Quarter
|
20.77
|
18.09
|
18.40
|
Fourth Quarter
|
20.16
|
18.41
|
19.31
|
2016
|
|
|
|
First Quarter
|
19.05
|
15.99
|
18.28
|
Second Quarter
|
19.36
|
17.42
|
18.54
|
Third Quarter
|
19.95
|
18.17
|
19.30
|
Fourth Quarter
|
23.75
|
19.21
|
23.25
|
2017
|
|
|
|
First Quarter
|
25.24
|
22.95
|
23.73
|
Second Quarter
|
24.69
|
22.90
|
24.67
|
Third Quarter
|
25.86
|
23.88
|
25.86
|
Fourth Quarter
|
28.22
|
26.05
|
27.91
|
2018
|
|
|
|
First Quarter
|
30.17
|
26.82
|
27.57
|
Second Quarter
|
28.34
|
26.36
|
26.59
|
Third Quarter
|
28.98
|
26.48
|
27.58
|
Fourth Quarter
|
28.19
|
22.31
|
23.82
|
2019
|
|
|
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Financial Select Sector SPDR® Fund (CUSIP 81369Y605)
|
High ($)
|
Low ($)
|
Period End ($)
|
First Quarter
|
26.90
|
23.48
|
25.71
|
Second Quarter
|
28.07
|
26.01
|
27.60
|
Third Quarter
|
28.69
|
25.98
|
28.00
|
Fourth Quarter (through October 31, 2019)
|
28.86
|
26.78
|
28.70
|
Shares of the Financial Select Sector SPDR® Fund – Daily Closing Prices
January 1, 2014 to October 31, 2019
|
|
* The red solid line indicates the downside threshold level of
$18.655, which is 65% of the initial share price.
This document relates only to the securities referenced hereby
and does not relate to the XLF 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 securities, 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 XLF Shares (and therefore the price of the XLF Shares at the time we priced the securities) 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 with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the XLF 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 XLF Shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities,
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 XLF Shares.
The securities are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust makes no representations or warranties to the owners of the securities or any member of the public regarding
the advisability of investing in the
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
securities. The Trust has no obligation or liability in connection
with the operation, marketing, trading or sale of the securities.
“Standard & Poor’s®”,
“S&P®”, “S&P 500®”, “SPDR®”, “Select
Sector SPDR” and “Select Sector SPDRs” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”),
an affiliate of The McGraw-Hill Companies, Inc. (“MGH”). The securities are not sponsored, endorsed, sold, or promoted
by S&P, MGH or the Trust. S&P, MGH and the Trust make no representations or warranties to the owners of the securities
or any member of the public regarding the advisability of investing in the securities. S&P, MGH and the Trust have no obligation
or liability in connection with the operation, marketing, trading or sale of the securities.
The Financial Select Sector Index.
The Financial Select Sector Index is calculated and disseminated by S&P and is designed to provide an effective representation
of the financial sector of the S&P 500® Index. The Financial Select Sector Index includes companies in the following
industries: diversified financial services, insurance, commercial banks, capital markets, real estate investment trusts (“REITs”),
thrift & mortgage finance, consumer finance and real estate management & development. See “The Financial Select Sector
Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Energy Select Sector SPDR® Fund
Overview
The Energy Select Sector SPDR® Fund is an exchange-traded
fund managed by the Trust, a registered investment company. The Trust consists of nine separate investment portfolios, including
the Energy Select Sector SPDR® Fund. The Energy Select Sector SPDR® Fund seeks investment results
that correspond generally to the price and yield performance, before fees and expenses, of the Energy Select Sector Index. It is
possible that this fund may not fully replicate the performance of the Energy Select Sector Index due to the temporary unavailability
of certain securities in the secondary market or due to other extraordinary circumstances. 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 333-57791 and 811-08837, respectively, through the Commission’s website at www.sec.gov. In
addition, information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation
that any such publicly available information regarding the Energy Select Sector SPDR® Fund is accurate or complete.
Information as of market close on October 31, 2019:
Ticker Symbol:
|
XLE UP
|
Current Stock Price:
|
$57.96
|
52 Weeks Ago:
|
$67.16
|
52 Week High (on 11/7/2018):
|
$70.14
|
52 Week Low (on 12/24/2018):
|
$53.84
|
The following table sets forth the published
high and low closing prices, as well as the end-of-quarter closing prices, of the XLE Shares for each quarter from January 1, 2014
through October 31, 2019. The closing price of the XLE Shares on October 31, 2019 was $57.96. The associated graph shows the closing
prices of the XLE Shares for each day from January 1, 2014 through October 31, 2019. We obtained the information in the table and
graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the XLE Shares should
not be taken as an indication of its future performance, and no assurance can be given as to the price of the XLE Shares at any
time, including on the redemption determination dates or the observation dates.
Energy Select Sector SPDR® Fund (CUSIP 81369Y506)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
89.06
|
81.89
|
89.06
|
Second Quarter
|
101.29
|
88.45
|
100.10
|
Third Quarter
|
100.58
|
90.62
|
90.62
|
Fourth Quarter
|
88.77
|
73.36
|
79.16
|
2015
|
|
|
|
First Quarter
|
82.29
|
72.86
|
77.58
|
Second Quarter
|
82.94
|
74.64
|
75.16
|
Third Quarter
|
74.54
|
59.22
|
61.20
|
Fourth Quarter
|
71.40
|
58.78
|
60.55
|
2016
|
|
|
|
First Quarter
|
63.75
|
51.80
|
61.92
|
Second Quarter
|
69.50
|
60.18
|
68.24
|
Third Quarter
|
71.80
|
65.27
|
70.61
|
Fourth Quarter
|
77.83
|
67.77
|
75.32
|
2017
|
|
|
|
First Quarter
|
76.17
|
68.24
|
69.90
|
Second Quarter
|
70.90
|
63.95
|
64.92
|
Third Quarter
|
68.49
|
62.00
|
68.48
|
Fourth Quarter
|
72.60
|
67.08
|
72.26
|
2018
|
|
|
|
First Quarter
|
78.03
|
66.02
|
67.41
|
Second Quarter
|
78.91
|
66.06
|
75.94
|
Third Quarter
|
77.37
|
71.91
|
75.74
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Energy Select Sector SPDR® Fund (CUSIP 81369Y506)
|
High ($)
|
Low ($)
|
Period End ($)
|
Fourth Quarter
|
77.79
|
53.84
|
57.35
|
2019
|
|
|
|
First Quarter
|
67.29
|
57.90
|
66.12
|
Second Quarter
|
68.61
|
58.77
|
63.71
|
Third Quarter
|
64.44
|
55.85
|
59.20
|
Fourth Quarter (through October 31, 2019)
|
59.52
|
55.90
|
57.96
|
Shares of the Energy Select Sector SPDR® Fund – Daily Closing Prices
January 1, 2014 to October 31, 2019
|
|
* The red solid line indicates the downside threshold level of
$37.674, which is 65% of the initial share price.
This document relates only to the securities referenced hereby
and does not relate to the XLE 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 securities, 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 XLE Shares (and therefore the price of the XLE Shares at the time we priced the securities) 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 with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the XLE 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 XLE Shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities,
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 XLE Shares.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
The securities are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust makes no representations or warranties to the owners of the securities or any member of the public regarding
the advisability of investing in the securities. The Trust has no obligation or liability in connection with the operation, marketing,
trading or sale of the securities.
“Standard & Poor’s®”,
“S&P®”, “S&P 500®”, “SPDR®”, “Select
Sector SPDR” and “Select Sector SPDRs” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”),
an affiliate of The McGraw-Hill Companies, Inc. (“MGH”). The securities are not sponsored, endorsed, sold, or promoted
by S&P, MGH or the Trust. S&P, MGH and the Trust make no representations or warranties to the owners of the securities
or any member of the public regarding the advisability of investing in the securities. S&P, MGH and the Trust have no obligation
or liability in connection with the operation, marketing, trading or sale of the securities.
The Energy Select Sector Index. The
Energy Select Sector Index is calculated and disseminated by S&P and is designed to provide an effective representation of
the energy sector of the S&P 500® Index. The Energy Select Sector Index includes companies in the following
industries: (i) oil, gas and consumable fuels and (ii) energy equipment and services. See “Energy Select Sector Index”
in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Utilities Select Sector SPDR®
Fund Overview
The Utilities Select Sector SPDR® Fund is an exchange-traded
fund managed by the Trust, a registered investment company. The Trust consists of nine separate investment portfolios, including
the Utilities Select Sector SPDR® Fund. The Utilities Select Sector SPDR® Fund seeks investment results
that correspond generally to the price and yield performance, before fees and expenses, of the Utilities Select Sector Index. It
is possible that this fund may not fully replicate the performance of the Utilities Select Sector Index due to the temporary unavailability
of certain securities in the secondary market or due to other extraordinary circumstances 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 333-57791 and 811-08837, respectively, through the Commission’s website at.www.sec.gov. In addition,
information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation
that any such publicly available information regarding the Utilities Select Sector SPDR® Fund is accurate or complete.
Information as of market close on October 31, 2019:
Ticker Symbol:
|
XLU UP
|
Current Share Price:
|
$64.25
|
52 Weeks Ago:
|
$53.69
|
52 Week High (on 9/26/2019):
|
$64.93
|
52 Week Low (on 12/24/2018):
|
$51.56
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the XLU Shares for each quarter from January 1, 2014 through October 31,
2019. The closing price of the XLU Shares on October 31, 2019 was $64.25. The associated graph shows the closing prices of the
XLU Shares for each day from January 1, 2014 through October 31, 2019. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical performance of the XLU Shares should not be
taken as an indication of its future performance, and no assurance can be given as to the price of the XLU Shares at any time,
including on the redemption determination dates or the observation dates.
Utilities Select Sector SPDR® Fund (CUSIP 81369Y886)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
41.46
|
37.27
|
41.46
|
Second Quarter
|
44.26
|
41.11
|
44.26
|
Third Quarter
|
43.82
|
40.17
|
42.09
|
Fourth Quarter
|
49.11
|
42.27
|
47.22
|
2015
|
|
|
|
First Quarter
|
49.41
|
43.11
|
44.43
|
Second Quarter
|
45.17
|
41.46
|
41.46
|
Third Quarter
|
45.87
|
40.96
|
43.29
|
Fourth Quarter
|
45.39
|
41.79
|
43.28
|
2016
|
|
|
|
First Quarter
|
49.62
|
43.03
|
49.62
|
Second Quarter
|
52.47
|
46.93
|
52.47
|
Third Quarter
|
52.98
|
48.46
|
48.99
|
Fourth Quarter
|
49.43
|
46.00
|
48.57
|
2017
|
|
|
|
First Quarter
|
51.89
|
48.04
|
51.31
|
Second Quarter
|
54.30
|
51.27
|
51.96
|
Third Quarter
|
55.83
|
51.42
|
53.05
|
Fourth Quarter
|
56.87
|
52.14
|
52.68
|
2018
|
|
|
|
First Quarter
|
52.19
|
47.56
|
50.53
|
Second Quarter
|
51.96
|
48.37
|
51.96
|
Third Quarter
|
54.77
|
51.36
|
52.65
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Utilities Select Sector SPDR® Fund (CUSIP 81369Y886)
|
High ($)
|
Low ($)
|
Period End ($)
|
Fourth Quarter
|
56.93
|
51.56
|
52.92
|
2019
|
|
|
|
First Quarter
|
58.96
|
52.00
|
58.17
|
Second Quarter
|
61.24
|
56.94
|
59.63
|
Third Quarter
|
64.93
|
59.29
|
64.74
|
Fourth Quarter (through October 31, 2019)
|
64.82
|
63.28
|
64.25
|
Shares of the
Utilities Select Sector SPDR® Fund — Daily Closing Prices
January 1,
2014 to October 31, 2019
|
|
* The red solid line indicates the downside threshold level of
$41.763, which is approximately 65% of the initial share price.
This document relates only to the securities referenced hereby
and does not relate to the XLU 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 securities, 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 XLU Shares (and therefore the price of the XLU Shares at the time we priced the securities)
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 with respect to the securities and therefore the value of the
securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the XLU 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 XLU Shares. The statements
in the preceding two sentences are not intended to affect the rights of investors in the securities under the securities laws. As
a purchaser of the securities, 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 XLU Shares.
The securities are not sponsored, endorsed, sold, or promoted
by the Trust. The Trust makes no representations or warranties to the owners of the securities or any member of the public regarding
the advisability of investing in the
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
securities. The Trust has no obligation or liability in connection
with the operation, marketing, trading or sale of the securities.
“Standard & Poor’s®”,
“S&P®”, “S&P 500®”, “SPDR®”, “Select
Sector SPDR” and “Select Sector SPDRs” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”),
an affiliate of The McGraw-Hill Companies, Inc. (“MGH”). The securities are not sponsored, endorsed, sold, or promoted
by S&P, MGH or the Trust. S&P, MGH and the Trust make no representations or warranties to the owners of the securities
or any member of the public regarding the advisability of investing in the securities. S&P, MGH and the Trust have no obligation
or liability in connection with the operation, marketing, trading or sale of the securities.
Utilities Select Sector Index. The
Utilities Select Sector Index is calculated and disseminated by S&P and is designed to provide an effective representation
of the utilities sector of the S&P 500® Index. The Utilities Select Sector Index includes companies in
the following industries: (i) electric utilities, gas utilities, multi-utilities and water utilities and (ii) independent power
and renewable electricity producers. See “The Utilities Select Sector Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
Additional Terms
of the Securities
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.
|
Interest
period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Record
date:
|
The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date; provided, however, that any coupon payable at maturity (or upon early redemption) shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable.
|
Share
underlying indices:
|
With respect to the XLF Shares, the S&P Financial
Select Sector Index.
With respect to the XLE Shares, the S&P Energy Select
Sector Index.
With respect to the XLU Shares, the S&P Utilities
Select Sector Index.
|
Share
underlying index publishers:
|
With respect to the XLF Shares, the XLE Shares and the XLU Shares, S&P Dow Jones Indices LLC, or any successor thereof.
|
Downside
threshold level:
|
The accompanying product supplement refers to the downside threshold level as the “trigger level.”
|
Day
count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Postponement
of coupon payment dates (including the maturity date) and early redemption dates:
|
If any observation date or redemption determination date is postponed due to a non-trading day or certain market disruption events with respect to any of the underlying shares so that it falls less than two business days prior to the relevant scheduled coupon payment date (including the maturity date) or early redemption date, as applicable, the coupon payment date (or the maturity date) or the early redemption date will be postponed to the second business day following that observation date or redemption determination date as postponed, and no adjustment will be made to any coupon payment or early redemption payment or payment at maturity made on that postponed date.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the final observation 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 securities 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 securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder,
whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no
case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled
maturity date and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the final observation date as postponed.
In the event that the securities are subject to early
redemption, the issuer shall, (i) on the business day following the applicable redemption determination date, give notice of the
early redemption and the early redemption payment, including specifying the payment date of the amount due upon the early redemption,
(x) to each registered holder of the securities by mailing notice of such early redemption by first class mail, postage prepaid,
to such registered holder’s last address as it shall appear upon the registry books, (y) 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 (z) to the depositary by
telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or
prior to the early redemption date, deliver the aggregate cash amount due with respect to the securities to the trustee for delivery
to the depositary, as holder of the securities. Any notice that is mailed to a registered holder of the securities 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. This notice shall be given by the issuer or, at the issuer’s request, by the trustee in the
name and at the expense of the issuer, with any such request to be
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities
|
accompanied by a copy of the notice to be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent quarterly coupon, if any, with respect to each security on or prior to 10:30 a.m. (New York
City time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect
to the contingent quarterly coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable
coupon payment date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the
amount of cash to be delivered with respect to each stated principal amount of the securities, 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 securities to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2022
All Payments on the Securities Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Utilities Select Sector SPDR® Fund
Principal at Risk Securities