CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
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|
Maximum Aggregate
Offering Price
|
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Amount of Registration
Fee
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Trigger Performance Leveraged Upside Securities due 2025
|
|
$17,835,070
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$2,314.99
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October 2019
Pricing Supplement
No. 2,594
Registration Statement
Nos. 333-221595; 333-221595-01
Dated October 31,
2019
Filed pursuant to
Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Trigger PLUS Based on the Value of the S&P
500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Trigger PLUS are unsecured obligations of Morgan Stanley
Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Trigger PLUS will pay no interest,
do not guarantee any return of principal at maturity and have the terms described in the accompanying product supplement for PLUS,
index supplement and prospectus, as supplemented or modified by this document. At maturity, if the underlying index has appreciated
in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying
index. If the underlying index depreciates in value but the final index value is greater than or equal to the trigger level,
investors will receive the stated principal amount of their investment. However, if the underlying index has depreciated in
value so that the final index value is less than the trigger level, investors will lose a significant portion or all of their investment,
resulting in a 1% loss for every 1% decline in the index value over the term of the Trigger PLUS. Under these circumstances, the
payment at maturity will be less than 65% of the stated principal amount and could be zero. Accordingly, you may lose your entire
investment. These long-dated Trigger PLUS are for investors who seek an equity index-based return and who are willing to risk their
principal and forgo current income in exchange for the upside leverage feature and the limited protection against loss that applies
only if the final index value is greater than or equal to the trigger level. Investors may lose their entire initial investment
in the Trigger PLUS. These long-dated Trigger PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes
program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Trigger PLUS are not secured obligations and you will
not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL Terms
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Issuer:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Maturity date:
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November 5, 2025
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Underlying index:
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S&P 500® Index
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Aggregate principal amount:
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$17,835,070
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Payment at maturity per Trigger PLUS:
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If the final index value is greater than the initial index value:
$10 + leveraged upside payment
If the final index value is less than or equal to the initial
index value but is greater than or equal to the trigger level:
$10
If the final index value is less than the trigger level:
$10 × index performance factor
Under these circumstances, the payment at maturity will be
less than the stated principal amount of $10 and will represent a loss of more than 35%, and possibly all, of your investment.
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Leveraged upside payment:
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$10 × leverage factor × index percent increase
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Index percent increase:
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(final index value – initial index value) / initial index value
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Initial index value:
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3,037.56, which is the index closing value on the pricing date
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Final index value:
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The index closing value on the valuation date
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Trigger level
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1,974.414, which is 65% of the initial index value
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Valuation date:
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October 31, 2025, subject to postponement for non-index business days and certain market disruption events
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Leverage factor:
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133.75%
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Index performance factor:
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Final index value divided by the initial index value
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Stated principal amount:
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$10 per Trigger PLUS
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Issue price:
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$10 per Trigger PLUS (see “Commissions and issue price” below)
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Pricing date:
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October 31, 2019
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Original issue date:
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November 5, 2019 (3 business days after the pricing date)
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CUSIP:
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61770C335
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ISIN:
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US61770C3354
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Listing:
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The Trigger PLUS will not be listed on any securities exchange.
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$9.483 per Trigger PLUS. See “Investment Summary” beginning on page 2.
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Commissions and issue price:
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Price to public
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Agent’s commissions and fees
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Proceeds to us(3)
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Per Trigger PLUS
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$10
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$0.30(1)
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$0.05(2)
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$9.65
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Total
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$17,835,070
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$624,227.45
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$17,210,842.55
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(1)
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Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will
collectively receive from the agent, MS & Co., a fixed sales commission of $0.30 for each Trigger PLUS they sell. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement for PLUS.
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(2)
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Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each Trigger
PLUS.
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(3)
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See “Use of proceeds and hedging” on page 12.
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The Trigger PLUS involve
risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 5.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related
product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Trigger PLUS” and “Additional Information About the Trigger PLUS” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for PLUS dated November 16, 2017 Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Trigger PLUS Based on the Value of the S&P 500®
Index due November 5, 2025 (the “Trigger PLUS”) can be used:
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§
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As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the underlying
index
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§
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To enhance returns and potentially outperform the underlying index in a bullish scenario
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§
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To provide limited protection against a loss of principal in the event of a decline of the underlying index as of the valuation
date but only if the final index value is greater than or equal to the trigger level
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Maturity:
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6 years
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Leverage factor:
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133.75%
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Trigger level:
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65% of the initial index value
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Minimum payment at maturity:
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None. You could lose your entire initial investment in the Trigger PLUS.
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Coupon:
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None
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The original issue price of each Trigger PLUS is $10. This price
includes costs associated with issuing, selling, structuring and hedging the Trigger PLUS, which are borne by you, and, consequently,
the estimated value of the Trigger PLUS on the pricing date is less than $10. We estimate that the value of each Trigger PLUS on
the pricing date is $9.483.
What goes into the estimated value on the pricing date?
In valuing the Trigger PLUS on the pricing date, we take into
account that the Trigger PLUS comprise both a debt component and a performance-based component linked to the underlying index.
The estimated value of the Trigger PLUS is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying index, instruments based on the underlying index, 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 Trigger PLUS?
In determining the economic terms of the Trigger PLUS, including
the leverage factor and the trigger level, we use an internal funding rate, which is likely to be lower than our secondary market
credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower
or if the internal funding rate were higher, one or more of the economic terms of the Trigger PLUS would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the Trigger PLUS?
The price at which MS & Co. purchases the Trigger PLUS in
the secondary market, absent changes in market conditions, including those related to the underlying index, 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 Trigger PLUS are not fully
deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell
the Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index,
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
Trigger PLUS, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
Trigger PLUS offer leveraged exposure to any positive performance
of the underlying index. In exchange for the leverage feature, investors are exposed to the risk of loss of a significant portion
or all of their investment due to the trigger feature. At maturity, an investor will receive an amount in cash based upon the closing
value of the underlying index on the valuation date. The Trigger PLUS are unsecured obligations of ours, and all payments on the
Trigger PLUS are subject to our credit risk. Investors may lose their entire initial investment in the Trigger PLUS.
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Leveraged Performance
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The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct investment in the underlying index.
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Trigger Feature
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At maturity, even if the underlying index has declined over the term of the Trigger PLUS, you will receive your stated principal amount but only if the final index value is greater than or equal to the trigger level.
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Upside Scenario
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The underlying index increases in value, and, at maturity, the Trigger PLUS redeem for the stated principal amount of $10 plus 133.75% of the index percent increase.
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Par Scenario
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The final index value is less than or equal to the initial index value but is greater than or equal to the trigger level. In this case, you receive the stated principal amount of $10 at maturity even though the underlying index has depreciated.
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Downside Scenario
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The final index value is less than the trigger level. In this case, the Trigger PLUS redeem for at least 35% less than the stated principal amount, and this decrease will be by an amount proportionate to the full decline in the value of the underlying index over the term of the Trigger PLUS.
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Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
How the Trigger PLUS Work
Payoff Diagram
The payoff diagram below illustrates the payment at maturity
on the Trigger PLUS based on the following terms:
Stated principal amount:
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$10 per Trigger PLUS
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Leverage factor:
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133.75%
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Trigger level:
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65% of the initial index value
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Minimum payment at maturity:
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None
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Trigger PLUS Payoff Diagram
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—
The underlying index
—
The Trigger PLUS
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How it works
§
Upside Scenario. If the final index value is greater than the initial index value,
investors will receive the $10 stated principal amount plus 133.75% of the appreciation of the underlying index over the
term of the Trigger PLUS.
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§
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If the underlying index appreciates 2%, the investor would receive a 2.675% return, or $10.2675 per Trigger PLUS.
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§
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Par Scenario. If the final index value is less than or equal to the initial index
value but is greater than or equal to the trigger level, investors will receive the $10 stated principal amount.
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§
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If the underlying index depreciates 25%, investors will receive the $10 stated principal amount.
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§
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Downside Scenario. If the final index value is less than the trigger level, investors
will receive an amount significantly less than the $10 stated principal amount, based on a 1% loss of principal for each 1% decline
in the underlying index.
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§
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If
the underlying index depreciates 50%, investors will lose 50% of their principal and receive only $5 per Trigger PLUS at maturity,
or 50% of the stated principal amount.
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Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Trigger PLUS. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. We also urge you to
consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Trigger PLUS.
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§
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The Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ from
those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of any principal at maturity.
If the final index value is less than the trigger level (which is 65% of the initial index value), the payout at maturity will
be an amount in cash that is at least 35% less than the $10 stated principal amount of each Trigger PLUS, and this decrease will
be by an amount proportionate to the full decrease in the value of the underlying index. There is no minimum payment at maturity
on the Trigger PLUS, and you could lose your entire investment.
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§
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The market price of the Trigger PLUS will be influenced by many unpredictable factors. Several factors, many of which
are beyond our control, will influence the value of the Trigger PLUS in the secondary market and the price at which MS & Co.
may be willing to purchase or sell the Trigger PLUS in the secondary market, including the value, volatility (frequency and magnitude
of changes in value) and dividend yield of the underlying index, interest and yield rates in the market, time remaining until the
Trigger PLUS mature, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the
underlying index or equities markets generally and which may affect the final index value of the underlying index and any actual
or anticipated changes in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more
the market price of the Trigger PLUS will be affected by the other factors described above. The value of the underlying index may
be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See “S&P 500®
Index Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per
Trigger PLUS if you try to sell your Trigger PLUS prior to maturity.
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§
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The Trigger PLUS are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the Trigger PLUS. You are dependent on our ability to pay all amounts due on the Trigger
PLUS at maturity and therefore you are subject to our credit risk. If we default on our obligations under the Trigger PLUS, your
investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS
prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline
in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the market value of the Trigger PLUS.
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§
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As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
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§
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The amount payable on the Trigger PLUS is not linked to the value of the underlying index at any time other than the valuation
date. The final index value will be based on the index closing value on the valuation date, subject to postponement for non-index
business days and certain market disruption events. Even if the value of the underlying index appreciates prior to the valuation
date but then drops by the valuation date, the payment at maturity will be less, and may be significantly less, than it would have
been had the payment at maturity been linked to the value of the underlying index prior to such drop. Although the actual value
of the underlying index on the stated maturity date or at other times during the term of the Trigger PLUS may be higher than the
index closing value on the valuation date, the payment at maturity will be based solely on the index closing value on the valuation
date.
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§
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Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing in the Trigger PLUS
is not equivalent to investing in the underlying index or its component stocks. As an investor in the Trigger PLUS, you will not
have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute
the underlying index.
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§
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The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the Trigger PLUS in the original issue price reduce the
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Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
economic terms of the Trigger
PLUS, cause the estimated value of the Trigger PLUS to be less than the original issue price and will adversely affect secondary
market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers,
including MS & Co., may be willing to purchase the Trigger PLUS in secondary market transactions will likely be significantly
lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related
costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
The inclusion of the costs of issuing, selling, structuring
and hedging the Trigger PLUS in the original issue price and the lower rate we are willing to pay as issuer make the economic terms
of the Trigger PLUS less favorable to you than they otherwise would be.
However, because the costs associated with issuing,
selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 6 months following
the issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market
conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do so based on
values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account
statements.
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§
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Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The underlying index publisher
may add, delete or substitute the stocks constituting the underlying index or make other methodological changes that could change
the value of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the
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 underlying index and is not precluded from considering indices that are calculated
and published by the calculation agent or any of its affiliates. If the calculation agent determines that there is no appropriate
successor index, the payment at maturity on the Trigger PLUS will be an amount based on the closing prices at maturity of the securities
composing the underlying index at the time of such discontinuance, without rebalancing or substitution, computed by the calculation
agent in accordance with the formula for calculating the underlying index last in effect prior to discontinuance of the underlying
index.
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§
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The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models, which may differ
from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are
proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may
prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may
yield a higher estimated value of the Trigger PLUS than those generated by others, including other dealers in the market, if they
attempted to value the Trigger PLUS. In addition, the estimated value on the pricing date does not represent a minimum or maximum
price at which dealers, including MS & Co., would be willing to purchase your Trigger PLUS in the secondary market (if any
exists) at any time. The value of your Trigger PLUS at any time after the date of this document will vary based on many factors
that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price of the Trigger PLUS will be influenced by many unpredictable factors” above.
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§
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The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited. The Trigger PLUS
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Trigger PLUS. MS &
Co. may, but is not obligated to, make a market in the Trigger PLUS 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 Trigger PLUS, 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 Trigger PLUS. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate significantly
in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend
on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market
in the Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing
to hold your Trigger PLUS to maturity.
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§
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The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the Trigger PLUS. As calculation agent, MS & Co. has determined the initial index value and the trigger level, will
determine the final index value, including whether the underlying index has decreased to below the trigger level, and will calculate
the amount of cash you receive at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence
of market disruption events and the selection of a successor index or calculation of the final index value in the event of a market
disruption event or discontinuance of the underlying index. These potentially subjective determinations may adversely affect the
payout to you at maturity, if any. For further information regarding these types of determinations, see
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
“Description of PLUS—Postponement
of Valuation Date(s)” and “—Calculation Agent and Calculations” and related definitions in the accompanying
product supplement. In addition, MS & Co. has determined the estimated value of the Trigger PLUS on the pricing date.
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§
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Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS. One
or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related
to the Trigger PLUS (and to other instruments linked to the underlying index or its component stocks), including trading in the
stocks that constitute the underlying index as well as in other instruments related to the underlying index. As a result, these
entities may be unwinding or adjusting hedge positions during the term of the Trigger PLUS, and the hedging strategy may involve
greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates also trade
the stocks that constitute the underlying index and other financial instruments related to the underlying index 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 index value, and, therefore, could have increased the trigger level, which is the level at
or above which the underlying index must close on the valuation date so that investors do not suffer a significant loss on their
initial investment in the Trigger PLUS. Additionally, such hedging or trading activities during the term of the Trigger PLUS, including
on the valuation date, could potentially affect whether the value of the underlying index on the valuation date is below the trigger
level, and, therefore, whether an investor would receive significantly less than the stated principal amount of the Trigger PLUS
at maturity.
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§
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The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please read the discussion
under “Additional Information—Tax considerations” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning
the U.S. federal income tax consequences of an investment in the Trigger PLUS. If the Internal Revenue Service (the “IRS”)
were successful in asserting an alternative treatment, the timing and character of income on the Trigger PLUS might differ significantly
from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek
to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income original
issue discount on the Trigger PLUS every year at a “comparable yield” determined at the time of issuance and recognize
all income and gain in respect of the Trigger PLUS as ordinary income. Additionally, as discussed under “United States Federal
Taxation—FATCA” in the accompanying product supplement for PLUS, the withholding rules commonly referred to as “FATCA”
would apply to the Trigger PLUS if they were recharacterized as debt instruments. However, recently proposed regulations (the preamble
to which specifies that taxpayers are permitted to rely on them pending finalization) eliminate the withholding requirement on
payments of gross proceeds of a taxable disposition (other than amounts treated as “FDAP income,” as defined in the
accompanying product supplement for PLUS). The risk that financial instruments providing for buffers, triggers or similar downside
protection features, such as the Trigger PLUS, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding
the tax treatment of the Trigger PLUS, and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure
Sections.
|
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of
factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which
very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Trigger
PLUS, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal
income tax consequences of an investment in the Trigger PLUS, 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
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
S&P 500® Index Overview
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500® Index, see the information set forth under “S&P
500® Index” in the accompanying index supplement.
Information as of market close on October 31, 2019:
Bloomberg Ticker Symbol:
|
SPX
|
Current Index Value:
|
3,037.56
|
52 Weeks Ago:
|
2,711.74
|
52 Week High (on 10/30/2019):
|
3,046.77
|
52 Week Low (on 12/24/2018):
|
2,351.10
|
The following graph sets forth the daily index closing values
of the underlying index for each quarter in the period from January 1, 2014 through October 31, 2019. The related table sets forth
the published high and low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter in
the same period. The index closing value of the underlying index on October 31, 2019 was 3,037.56. We obtained the information
in the table and graph below from Bloomberg Financial Markets, without independent verification. The underlying index has at times
experienced periods of high volatility. You should not take the historical values of the underlying index as an indication of its
future performance, and no assurance can be given as to the index closing value of the underlying index on the valuation date.
S&P 500®
Index Daily Index Closing Values
January 1, 2014 to October
31, 2019
|
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
S&P 500® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
Third Quarter
|
3,025.86
|
2,840.60
|
2,976.74
|
Fourth Quarter (through October 31, 2019)
|
3,046.77
|
2,887.61
|
3,037.56
|
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of
Standard and Poor’s Financial Services LLC. See “S&P 500® Index” in the accompanying index
supplement.
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Terms of the Trigger PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Underlying index publisher:
|
S&P Dow Jones Indices LLC or any successor thereof
|
Interest:
|
None
|
Bull market or bear market PLUS:
|
Bull market PLUS
|
Postponement of maturity date:
|
If the scheduled valuation date is not an index business day or if a market disruption event occurs on that day so that the valuation date as postponed falls less than two business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the second business day following that valuation date as postponed.
|
Denominations:
|
$10 per Trigger PLUS and integral multiples thereof
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
MS & Co.
|
Issuer notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which
the maturity date has been rescheduled (i) to each registered holder of the Trigger PLUS by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New
York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing
such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Trigger
PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or
not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later
than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity
date and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the actual valuation date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the
amount of cash to be delivered, if any, with respect to each stated principal amount of the Trigger PLUS, on or prior to 10:30
a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due, if
any, with respect to the Trigger PLUS to the trustee for delivery to the depositary, as holder of the Trigger PLUS, on the maturity
date.
|
Morgan Stanley Finance LLC
Trigger PLUS Based on the Value of the S&P 500® Index due November 5, 2025
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Information About the Trigger PLUS