CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of Registration
Fee
|
Contingent Income Auto-Callable Securities due 2021
|
|
$250,000
|
|
$32.45
|
October 2019
Pricing Supplement No. 2,640
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
Contingent Income Auto-Callable Securities due
May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst
Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Fully and Unconditionally
Guaranteed by Morgan Stanley
Principal at Risk Securities
The securities
are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan
Stanley. The securities have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented
or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the regular payment
of interest. Instead, the securities will pay a contingent monthly coupon but only if the index closing value of each
of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
is at or above its coupon barrier level of 70% of its respective
initial index value on the related observation date. If, however, the index closing value of any underlying index is less
than its coupon barrier level on any observation date, we will pay no interest for the related monthly period. In addition, the
securities will be automatically redeemed if the index closing value of each underlying index is greater than or equal to
its respective initial index value on any of the four quarterly redemption determination dates (beginning approximately six months
after the original issue date) for the early redemption payment equal to the sum of the stated principal amount plus the related
contingent monthly coupon. At maturity, if the securities have not previously been redeemed and the index closing value
of each underlying index has remained greater than or equal to 70% of the respective initial index value, which we refer
to as the downside threshold level, on each index business day during the term of the securities, the payment at maturity
will be the stated principal amount and the related contingent monthly coupon. If, however, the index closing value of any
underlying index is less than its respective downside threshold level on any index business day during the term of the securities,
a trigger event will have occurred and investors will be fully exposed to the decline in the worst performing underlying index
on a 1-to-1 basis and, if the final index value of any underlying index is less than its initial index value, investors
will receive a payment at maturity that is less than 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 monthly coupons throughout the 1.5-year term of the securities. Because all payments on the securities
are based on the worst performing of the underlying indices, a decline beyond the respective coupon barrier level or respective
downside threshold level, as applicable, of any underlying index will result in few or no contingent coupon payments and a potentially
significant loss of your investment, even if one or both of the other underlying indices have appreciated or have not declined
as much. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a
potentially above-market rate in exchange for the risk of receiving no monthly coupons over the entire 1.5-year term. Investors
will not participate in any appreciation of any underlying index. The securities
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 securities 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
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlying indices:
|
Russell 2000® Index (the “RTY Index”), the Dow Jones Industrial AverageSM (the “INDU Index”) and the NASDAQ-100 Index® (the “NDX Index”)
|
Aggregate principal amount:
|
$250,000
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security
|
Pricing date:
|
October 31, 2019
|
Original issue date:
|
November 5, 2019 (3 business days after the pricing date)
|
Maturity date:
|
May 5, 2021
|
Early redemption:
|
The securities are not subject to automatic early redemption
until six months after the original issue date. Following this initial 6-month non-call period, if, on any of the four redemption
determination dates, beginning on April 30, 2020, the index closing value of each underlying index is greater than or equal
to its respective initial index value, the securities will be automatically redeemed for an early redemption payment on the
related early redemption date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any early redemption
date if the index closing value of any underlying index is below the respective initial index value for such underlying index on
the related redemption determination date.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii) the contingent monthly coupon with respect to the related observation date.
|
Contingent monthly coupon:
|
A contingent coupon at an annual rate of 9.00% (corresponding
to approximately $7.50 per month per security) will be paid on the securities on each coupon payment date but only if
the closing value of each underlying index is at or above its respective coupon barrier level on the related observation
date.
If, on any observation date, the closing value of any underlying
index is less than the respective coupon barrier level for such underlying index, we will pay no coupon for the applicable monthly
period. It is possible that one or more underlying indices will remain below their respective coupon barrier levels for extended
periods of time or even throughout the entire 1.5-year term of the securities so that you will receive few or no contingent monthly
coupons.
|
Trigger event:
|
A trigger event occurs if, on any index business day from but excluding the pricing date to and including the final observation date, the closing level of any underlying index is less than its respective downside threshold level. If a trigger event occurs on any index business day during the term of the securities, you will be exposed to the downside performance of the worst performing underlying index at maturity.
|
Payment at maturity:
|
At maturity, investors will receive, in addition to the final
contingent monthly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any index business
day from but excluding the pricing date to and including the final observation date: the stated principal amount
If a trigger event HAS occurred on any index business day
from but excluding the pricing date to and including the final observation date: (i) the stated principal amount multiplied
by (ii) the index performance factor of the worst performing underlying index, subject to a maximum payment at maturity of
the stated principal amount.
If a trigger event occurs and the final index value of any
underlying index is less than its initial index value, the payment at maturity will be less than the stated principal amount of
the securities and could be zero.
Under no circumstances will investors participate in any appreciation
of any underlying index.
|
|
Terms continued on the following page
|
Agent:
|
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.”
|
Estimated value on the pricing date:
|
$979.10 per security. See “Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price to public(1)
|
Agent’s commissions(2)
|
Proceeds to us(3)
|
Per security
|
$1,000
|
$6.25
|
$993.75
|
Total
|
$250,000
|
$1,562.50
|
$248,437.50
|
|
(1)
|
The securities will be sold only to investors purchasing the securities in fee-based advisory accounts.
|
|
(2)
|
MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $993.75
per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co.
will not receive a sales commission with respect to the securities.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
|
|
(3)
|
See “Use of proceeds and hedging” on page 32.
|
The
securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning
on page 14.
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 securities 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 Securities” and “Additional Information About the Securities” 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 Auto-Callable Securities dated November 16, 2017 Index Supplement dated November 16, 2017 Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Terms continued from previous page:
|
Redemption determination dates:
|
Beginning after six months, quarterly, on April 30, 2020, July 31, 2020, October 30, 2020 and January 29, 2021, subject to postponement for non-index business days and certain market disruption events.
|
Early redemption dates:
|
Beginning after six months, quarterly, on May 5, 2020, August 5, 2020, November 4, 2020 and February 3, 2021. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day.
|
Coupon barrier level:
|
With respect to the RTY Index: 1,093.716, which is approximately
70% of its initial index value
With respect to the INDU Index: 18,932.361, which is 70% of its
initial index value
With respect to the NDX Index: 5,658.683, which is approximately
70% of its initial index value
|
Downside threshold level:
|
With respect to the RTY Index: 1,093.716, which is approximately
70% of its initial index value
With respect to the INDU Index: 18,932.361, which is 70% of its
initial index value
With respect to the NDX Index: 5,658.683, which is approximately
70% of its initial index value
|
Initial index value:
|
With respect to the RTY Index: 1,562.452, which is its index
closing value on the pricing date
With respect to the INDU Index: 27,046.23, which is its index
closing value on the pricing date
With respect to the NDX Index: 8,083.833, which is its index
closing value on the pricing date
|
Final index value:
|
With respect to each index, the respective index closing value on the final observation date
|
Worst performing underlying:
|
The underlying index with the largest percentage decrease from the respective initial index value to the respective final index value
|
Index performance factor:
|
Final index value divided by the initial index value
|
Coupon payment dates:
|
Monthly, as set forth under “Observation Dates and Coupon Payment Dates” below; provided that if any such day is not a business day, that contingent monthly coupon, if any, will be paid on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day; provided further that the contingent monthly coupon, if any, with respect to the final observation date will be paid on the maturity date
|
Observation dates:
|
Monthly, as set forth under “Observation Dates and Coupon Payment Dates” below, subject to postponement for non-index business days and certain market disruption events. We also refer to April 30, 2021 as the final observation date.
|
CUSIP / ISIN:
|
61769HYU3 / US61769HYU30
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Observation Dates and Coupon
Payment Dates
Observation Dates
|
Coupon Payment Dates
|
November 29, 2019
|
December 4, 2019
|
December 31, 2019
|
January 6, 2020
|
January 31, 2020
|
February 5, 2020
|
February 28, 2020
|
March 4, 2020
|
March 31, 2020
|
April 3, 2020
|
April 30, 2020
|
May 5, 2020
|
May 29, 2020
|
June 3, 2020
|
June 30, 2020
|
July 3, 2020
|
July 31, 2020
|
August 5, 2020
|
August 31, 2020
|
September 3, 2020
|
September 30, 2020
|
October 5, 2020
|
October 30, 2020
|
November 4, 2020
|
November 30, 2020
|
December 3, 2020
|
December 31, 2020
|
January 6, 2021
|
January 29, 2021
|
February 3, 2021
|
February 26, 2021
|
March 3, 2021
|
March 31, 2021
|
April 5, 2021
|
April 30, 2021 (final observation date)
|
May 5, 2021 (maturity date)
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Investment Summary
Contingent Income Auto-Callable Securities
Principal at Risk Securities
Contingent Income Auto-Callable Securities due May 5, 2021, with
6-month Initial Non-Call Period All Payments on the Securities Based on the Worst Performing of the Russell 2000®
Index, Dow Jones Industrial AverageSM and the NASDAQ-100 Index® (the “securities”) do not
provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the
index closing value of each underlying index is at or above 70% of its initial index value, which we refer to as
the respective coupon barrier level, on the related observation date. If the index closing value of any underlying index is
less than the respective coupon barrier level on any observation date, we will pay no coupon for the related monthly period. It
is possible that the index closing value of any underlying index could remain below the respective coupon barrier level for extended
periods of time or even throughout the entire 1.5-year term of the securities so that you will receive few or no contingent monthly
coupons during the term of the securities. We refer to these coupons as contingent, because there is no guarantee that you will
receive a coupon payment on any coupon payment date. Even if all underlying indices were to be at or above their respective coupon
barrier levels on some monthly observation dates, one or more underlying indices may fluctuate below the respective coupon barrier
level(s) on others. In addition, if the securities have not been automatically called prior to maturity and the index closing value
of any underlying index is less than 70% of the respective initial index value, which we refer to as the downside threshold
level, on any index business day during the term of the securities, a trigger event will have occurred and investors will
be fully exposed to the decline in the worst performing underlying index on a 1-to-1 basis and, if the final index value of any
underlying index is less than its initial index value, investors will receive a payment at maturity that is less than the stated
principal amount of the securities and could be zero. Investors will not participate in any appreciation of any underlying index.
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 monthly coupons throughout the entire 1.5-year term of the securities.
Maturity:
|
1.5 years
|
Contingent monthly coupon:
|
A contingent monthly coupon at an annual rate of 9.00% (corresponding to approximately $7.50 per month per security) will be paid on the securities on each coupon payment date but only if the closing value of each underlying index is at or above the respective coupon barrier level on the related observation date. If on any observation date, the closing value of any underlying index is less than the respective coupon barrier level, we will pay no coupon for the applicable monthly period.
|
Automatic early redemption (beginning after six months):
|
If the index closing value of each underlying index is greater than or equal to its initial index value on any of the four quarterly redemption determination dates, beginning on April 30, 2020 (approximately six months after the original issue date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent monthly coupon with respect to the related observation date.
|
Trigger
event:
|
A trigger event occurs if, on any index business day from but excluding the pricing date to and including the final observation date, the closing level of any underlying index is less than its respective downside threshold level. If a trigger event occurs on any index business day during the term of the securities, investors will be exposed to the downside performance of the worst performing underlying index at maturity.
|
Payment at maturity:
|
At maturity, investors will receive, in addition to the final
contingent monthly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any index business
day from but excluding the pricing date to and including the final observation date, investors will receive at maturity the
stated principal amount.
If a trigger event HAS occurred on any index business
day from but excluding
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
|
the pricing date to and including the final observation date,
investors will receive a payment at maturity equal to: (i) the stated principal amount multiplied by (ii) the index performance
factor of the worst performing underlying index, subject to a maximum payment at maturity of the stated principal amount.
If a trigger event occurs and the final index value of any
underlying index is less than its initial index value, the payment at maturity will be less than 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. Investors will not participate in any appreciation of any underlying
index.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
The original issue price of each security is $1,000. 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 $1,000. We estimate that the value of each security on the
pricing date is $979.10.
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 indices. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying indices, instruments based on the underlying indices, 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 monthly coupon rate, the coupon barrier 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 of the economic
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 indices, 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 indices,
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, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
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 monthly coupon but only if the index closing value of each underlying index
is at or above its respective coupon barrier level on the related observation date. The securities have been designed for
investors who are willing to forgo market floating interest rates and accept the risk of receiving no coupon payments for the entire
1.5-year term of the securities in exchange for an opportunity to earn interest at a potentially above market rate if each underlying
index closes at or above its respective coupon barrier level on each monthly observation date until the securities are redeemed
early or reach maturity. The following scenarios are for illustrative 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 coupon may be payable in none of, or some
but not all of, the monthly periods during the 1.5-year term of the securities and the payment at maturity may be less than the
stated principal amount of the securities and may be zero.
Scenario
1: The securities are redeemed prior to maturity
|
This scenario assumes that, prior to early redemption, each underlying
index closes at or above its coupon barrier level on some monthly observation dates, but one or more underlying indices close below
the respective coupon barrier level(s) on the others. Investors receive the contingent monthly coupon for the monthly periods for
which each index closing value is at or above the coupon respective barrier level on the related observation date, but not for
the monthly periods for which any index closing value is below the respective coupon barrier level on the related observation date.
Starting on April 30, 2020, when each underlying index closes
at or above its initial index value on a quarterly redemption determination date, the securities will be automatically redeemed
for the stated principal amount plus the contingent monthly coupon with respect to the related observation date.
|
Scenario
2: The securities are not redeemed prior to maturity and investors receive principal back at maturity
|
This scenario assumes that a trigger event has not occurred, as each underlying index has closed at or above the respective downside threshold level on each index business day during the term of the securities. In addition, each underlying index closes below the respective initial index value on every quarterly redemption determination date. Consequently, the securities are not automatically redeemed, and investors receive the contingent monthly coupon for each monthly period, as each index closing value was at or above the respective coupon barrier level on each observation date. Because a trigger event has not occurred on any index business day during the term of the securities, at maturity, investors will receive the stated principal amount and the contingent monthly coupon with respect to the final observation date.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Scenario
3: The securities are not redeemed prior to maturity, a trigger event occurs on any index business day during the
term of the securities and investors suffer a loss of principal at maturity
|
This scenario assumes that each underlying index closes at or
above its respective coupon barrier level on some monthly observation dates, but one or more underlying indices close below the
respective coupon barrier level(s) on the others, and each underlying index closes below the respective initial index value on
every quarterly redemption determination date. Consequently, the securities are not automatically redeemed and a trigger event
will have occurred. Investors receive the contingent monthly coupon for the monthly periods for which each index closing value
is at or above the respective coupon barrier level on the related observation date, but not for the monthly periods for which any
index closing value is below the respective coupon barrier level on the related observation date. On the final observation date,
one or more underlying indices close below the respective initial index value(s). At maturity, investors will receive an amount
equal to the stated principal amount multiplied by the index performance factor of the worst performing underlying index. Under
these circumstances, the payment at maturity will be less than the stated principal amount and could be zero.
If a trigger event occurs on any index business day during
the term of the securities, investors will have full downside exposure to the worst performing underlying index at maturity. Under
these circumstances, if the final index value of any underlying index is less than its respective initial index value, investors
will lose some or all of their investment in the securities.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
How the Securities Work
The following diagrams illustrate the potential outcomes for
the securities depending on (1) the index closing values on each monthly observation date, (2) the index closing values on each
quarterly redemption determination date and (3) the final index values. Please see “Hypothetical Examples” beginning
on page 10 for illustration of hypothetical payouts on the securities.
Diagram #1: Contingent Monthly Coupons (Beginning
on the First Coupon Payment Date until Early Redemption or Maturity)
Diagram
#2: Automatic Early Redemption (Beginning Approximately Six Months After the Original Issue Date)
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
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” starting on page 10.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity if
the securities have not been automatically redeemed early. The following examples are for illustrative purposes only. Whether you
receive a contingent monthly coupon will be determined by reference to the index closing value of each underlying index on each
monthly observation date, and the amount you will receive at maturity, if any, will be determined by reference to the index closing
value of each underlying index throughout the term of the securities. The actual initial index value, coupon barrier level and
downside threshold level for each underlying index are set forth on the cover of this document. All payments on the securities,
if any, are subject to our credit risk. The numbers in the hypothetical examples below may have been rounded for the ease of analysis.
The below examples are based on the following terms:
Contingent Monthly Coupon:
|
9.00% per annum (corresponding to approximately $7.50 per month
per security)*
With respect to each coupon payment date, a contingent monthly
coupon is paid but only if the index closing value of each underlying is at or above its respective coupon barrier level on the
related observation date.
|
Automatic Early Redemption:
|
If the index closing value of each underlying index is greater than or equal to its initial index value on any of the four quarterly redemption determination dates (beginning approximately six months after the original issue date), the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent monthly coupon with respect to the related observation date.
|
Trigger
event:
|
A trigger event occurs if, on any index business day from but excluding the pricing date to and including the final observation date, the closing level of any underlying index is less than its respective downside threshold level. If a trigger event occurs on any index business day during the term of the securities, investors will be exposed to the downside performance of the worst performing underlying index at maturity.
|
Payment at Maturity (if the securities have not been automatically redeemed early):
|
At maturity, investors will receive, in addition to the final
contingent monthly coupon payment, if payable, a payment at maturity determined as follows:
If a trigger event HAS NOT occurred on any index business
day from but excluding the pricing date to and including the final observation date: the stated principal amount
If a trigger event HAS occurred on any index business day
from but excluding the pricing date to and including the final observation date: (i) the stated principal amount multiplied
by (ii) the index performance factor of the worst performing underlying index, subject to a maximum payment at maturity of
the stated principal amount.
If a trigger event occurs and the final index value of any
underlying index is less than its initial index value, the payment at maturity will be less than the stated principal amount of
the securities and could be zero.
Under no circumstances will investors participate in any appreciation
of any underlying index.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the RTY Index: 1,700
With respect to the INDU Index: 24,800
With respect to the NDX Index: 7,200
|
Hypothetical Coupon Barrier Level:
|
With respect to the RTY Index: 1,190, which is 70% of the hypothetical
initial index value for such index
With respect to the INDU Index: 17,360, which is 70% of the hypothetical
initial index value for such index
With respect to the NDX Index: 5,040, which is 70% of the hypothetical
initial index value for such index
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Hypothetical Downside Threshold Level:
|
With respect to the RTY Index: 1,190, which is 70% of the hypothetical
initial index value for such index
With respect to the INDU Index: 17,360, which is 70% of the hypothetical
initial index value for such index
With respect to the NDX Index: 5,040, which is 70% of the hypothetical
initial index value for such index
|
* The actual contingent monthly 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 basis. The hypothetical
contingent monthly coupon of $7.50 is used in these examples for ease of analysis.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
How to determine whether a contingent monthly
coupon is payable with respect to an observation date:
|
|
Closing Level
|
Contingent Monthly Coupon
|
|
RTY Index
|
INDU Index
|
NDX Index
|
|
Hypothetical Observation Date 1
|
1,500 (at or above coupon barrier level)
|
17,450 (at or above coupon barrier level)
|
6,300 (at or above coupon barrier level)
|
$7.50
|
Hypothetical Observation Date 2
|
1,000 (below coupon barrier level)
|
21,080 (at or above coupon barrier level)
|
5,850 (at or above coupon barrier level)
|
$0
|
Hypothetical Observation Date 3
|
1,500 (at or above coupon barrier level)
|
20,584 (at or above coupon barrier level)
|
4,500 (below coupon barrier level)
|
$0
|
Hypothetical Observation Date 4
|
900 (below coupon barrier level)
|
11,400 (below coupon barrier level)
|
4,275 (below coupon barrier level)
|
$0
|
On hypothetical observation date 1, the RTY Index, the INDU Index
and the NDX Index all close at or above their respective coupon barrier levels. Therefore a contingent monthly coupon of $7.50
is paid on the relevant coupon payment date.
On each of the hypothetical observation dates 2 and 3, two underlying
indices close at or above their respective coupon barrier levels, but the other underlying index closes below its coupon barrier
level. Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each underlying index closes
below its respective coupon barrier level, and, accordingly, no contingent monthly coupon is paid on the relevant coupon payment
date.
You will not receive a contingent monthly coupon on any coupon
payment date if the closing level of any underlying index is below its respective coupon barrier level on the related observation
date.
How to calculate the payment at maturity (if
the securities have not been automatically redeemed early):
Example 1: A trigger event HAS NOT occurred.
Final Index Value
|
|
RTY Index: 2,000
INDU Index: 27,000
|
|
|
NDX Index: 8,000
|
Payment at Maturity
|
=
|
$1,000.00 + $7.50 (contingent monthly coupon for the final monthly period)
|
|
=
|
$1,007.50
|
In example 1, the index closing values of the RTY Index, the
INDU Index and the NDX Index are all at or above their respective downside threshold levels on each index business day during
the term of the securities. Therefore, a trigger event has not occurred and investors receive at maturity the stated principal
amount of the securities and the contingent monthly coupon with respect to the final observation date. However, investors do not
participate in any appreciation of any underlying index.
Example 2: A trigger event HAS occurred.
Final Index Value
|
|
RTY Index: 2,500
INDU Index: 22,100
|
|
|
NDX Index: 5,760
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Payment at Maturity
|
=
|
$7.50 (contingent monthly coupon for the final monthly period) + [$1,000 x index performance factor of the worst performing underlying index, subject to a maximum of the stated principal amount]
|
|
=
|
$7.50 + [$1,000 x (5,760 / 7,200)]
|
|
=
|
$807.50
|
In example 2, the index closing values of two underlying indices
are at or above their respective downside threshold levels on each index business day during the term of the securities, but the
index closing value of the other underlying index is below its downside threshold level on one or more index business days during
the term of the securities. The final index values of the RTY Index, the INDU Index and the NDX Index are at or above the respective
coupon barrier levels on the final observation date. However, because a trigger event has occurred, investors are exposed to the
downside performance of the worst performing underlying index at maturity, even though two of the underlying indices have appreciated.
Because the final index value of each underlying index is greater than its respective coupon barrier level, investors receive the
contingent monthly coupon with respect to the final observation date. The payment at maturity is an amount equal to the contingent
monthly coupon with respect to the final observation date plus (i) the stated principal amount times (ii) the index
performance factor of the worst performing underlying index.
Example 3: A trigger event HAS occurred.
Final Index Value
|
|
RTY Index: 850
INDU Index: 20,000
|
|
|
NDX Index: 4,680
|
Payment at Maturity
|
=
|
$1,000 x index performance factor of the worst performing underlying index
|
|
=
|
$1,000 x (850 / 1,700) = $500
|
|
=
|
$500
|
In example 3, the index closing values of the RTY Index, the
INDU Index and the NDX Index are all below the respective downside threshold levels on one or more index business days during the
term of the securities. Therefore, a trigger event has occurred, and investors are exposed to the downside performance of the worst
performing underlying index at maturity. Because the final index value of one or more of the underlying indices are below the respective
coupon barrier levels, investors do not receive the contingent monthly coupon with respect to the final observation date. The payment
at maturity is an amount equal to the stated principal amount times the index performance factor of the worst performing
underlying index.
If a trigger event occurs on any index business day during
the term of the securities, investors will have full downside exposure to the worst performing underlying index at maturity. Under
these circumstances, if the final index value of any underlying index is less than its respective initial index value, investors
will lose some or all of their investment in the securities.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
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.
|
§
|
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 repayment of any principal.
If the securities have not been automatically redeemed prior to maturity and the index closing value of any underlying index
is less than its respective downside threshold level on any index business day during the term of the securities, a trigger
event will have occurred and you will be exposed to the decline in the closing value of the worst performing underlying index,
as compared to its initial index value, on a 1-to-1 basis at maturity. If a trigger event occurs on any index business day during
the term of the securities, investors will have full downside exposure to the worst performing underlying index at maturity. Under
these circumstances, if the final index value of any underlying index is less than its respective initial index value, investors
will lose some or all of their investment in the securities. In this case, you will receive for each security that you hold at
maturity an amount equal to the stated principal amount times the index performance factor of the worst performing underlying
index, subject to a maximum payment at maturity of the stated principal amount. In this case, the payment at maturity will be
less than the stated principal amount and could be zero.
|
|
§
|
The securities do not provide for the regular payment of interest.
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 monthly coupon but only if the index closing value of
each underlying index is at or above 70% of its respective initial index value, which we refer to as the coupon barrier
level, on the related observation date. If, on the other hand, the index closing value of any underlying index is lower
than the coupon barrier level for such underlying index on the relevant observation date for any interest period, we will pay no
coupon on the applicable coupon payment date. Moreover, in such a case, a trigger event will necessarily have occurred, and you
will have full downside exposure to the worst performing underlying index at maturity. It is possible that the index closing value
of one or more underlying indices will remain below the respective coupon barrier level(s) for extended periods of time or even
throughout the entire 1.5-year term of the securities so that you will receive few or no contingent monthly coupons. If you do
not earn sufficient contingent monthly 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.
|
|
§
|
You are exposed to the price risk of all three underlying indices,
with respect to both the contingent monthly coupons, if any, and the payment at maturity, if any. Your
return on the securities is not linked to a basket consisting of all three underlying indices. Rather, it will be contingent upon
the independent performance of each underlying index. 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
all three underlying indices. Poor performance by any underlying index over the
term of the securities will negatively affect your return and will not be offset or mitigated by any positive performance by the
other underlying indices. To receive any contingent monthly coupons, each
underlying index must close at or above its respective coupon barrier level on the applicable
observation date. In addition, if the securities have not been automatically redeemed
early and the index closing value of any underlying index is less than its respective downside threshold level on
any index business day during the term of the securities, a trigger event will have occurred and
you will be fully exposed to
the decline in the worst performing underlying index over the term of the securities on a 1-to-1 basis, even if the other underlying
indices have appreciated or have not declined as much, and even if the worst performing underlying index is not the
underlying index that originally caused the occurrence of the trigger event.
Under this scenario, the value of any such payment will be less than the stated principal amount and could be zero. Accordingly,
your investment is subject to the price risk of all three underlying indices.
|
|
§
|
Because the securities are linked to the performance of the worst performing underlying index, you are exposed to greater
risks of receiving no contingent monthly coupons and sustaining a significant loss on your investment than if the securities were
linked to just one index. The risk that you will not receive any contingent monthly coupons, or that you will suffer a loss
on your investment, is greater if you invest in the securities as opposed to
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
substantially similar securities
that are linked to the performance of just one underlying index. With three underlying indices, it is more likely that any underlying
index will close below its coupon barrier level on any observation date, or below its downside threshold level on any index business
day during the term of the securities, which would constitute a trigger event, than if the securities were linked to only one underlying
index. Therefore, it is more likely that you will not receive any contingent monthly coupons and that you will suffer a loss on
your investment. In addition, because each underlying index must close above its initial index value on a monthly determination
date in order for the securities to be called prior to maturity, the securities are less likely to be called on any redemption
determination date than if the securities were linked to just one underlying index.
|
§
|
The contingent monthly coupon, if any, is based on the value of each underlying index on only the related monthly observation
date at the end of the related interest period. Whether the
contingent monthly coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period
based on the closing value of each underlying index on the relevant monthly observation date. As a result, you will not know whether
you will receive the contingent monthly coupon on any coupon payment date until near the end of the relevant interest period. Moreover,
because the contingent monthly coupon is based solely on the value of each underlying index on monthly observation dates, if the
closing value of any underlying index on any observation date is below the coupon barrier level for such index, you will receive
no coupon for the related interest period, even if the level of such underlying index was at or above its respective coupon barrier
level on other days during that interest period and even if the closing value of the other underlying indices are at or above the
coupon barrier levels for such indices.
|
|
§
|
Investors will not participate in any appreciation in any underlying index. Regardless of whether or not a trigger event
occurs, investors will not participate in any appreciation in any underlying index from the initial index value for such index,
and the return on the securities will be limited to the contingent monthly coupons, if any, that are paid with respect to each
observation date on which the index closing value of each underlying index is greater than or equal to its respective coupon barrier
level.
|
|
§
|
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 value of each underlying
index on any index business day, including in relation
to its respective coupon barrier level and downside threshold level, 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 volatility (frequency and magnitude of changes in value) of the underlying indices,
|
|
o
|
whether a trigger event has occurred on any index business day during the term of the securities,
|
|
o
|
whether the index closing value of any underlying index has been below its respective coupon barrier level on any observation
date,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks
of the underlying indices or securities markets generally and which may affect the value of each underlying index,
|
|
o
|
dividend rates on the securities underlying the underlying
indices,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the composition of the underlying indices and changes in the constituent stocks of such indices, and
|
|
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. In particular,
if any underlying index has closed near or below its coupon barrier level and downside threshold level, the
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
market
value of the securities is expected to decrease substantially, and you may have to sell your securities at a substantial discount
from the stated principal amount of $1,000 per security.
You cannot predict the future performance
of any underlying index based on its historical performance. The value of any underlying index may decrease and be below the coupon
barrier level for such index on each observation date so that you will receive no return on your investment, and one or more underlying
indices may close below the respective downside threshold level(s) on any index business day during the term of the securities
so that you are exposed to the negative performance of the worst performing underlying index at maturity. There can be no assurance
that the index closing value of each underlying index will be at or above the respective coupon barrier level on any observation
date so that you will receive a coupon payment on the securities for the applicable interest period, or that it will be at or above
its respective downside threshold level on each index business day during the term of the securities so that you do not suffer
a loss on your initial investment in the securities. See “Russell 2000® Index Overview,” “Dow
Jones Industrial AverageSM Overview” and “NASDAQ-100 Index® 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
at maturity, upon early redemption or on any coupon payment date, 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.
|
|
§
|
The securities are linked to the Russell 2000® Index and are subject to risks associated with small-capitalization
companies. As the Russell 2000® Index is one of the underlying indices, and the Russell 2000®
Index consists of stocks issued by companies with relatively small market capitalization, the securities are linked to the value
of small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and
less liquidity than large-capitalization companies and therefore the Russell 2000® Index may be more volatile than
indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies
are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks
of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less
well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel,
making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product
lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
|
|
§
|
Not equivalent to investing in the underlying indices. Investing in the securities
is not equivalent to investing in any underlying index or the component stocks of any underlying index. Investors in the securities
will not participate in any positive performance of any underlying index, and will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to stocks that constitute any underlying index.
|
|
§
|
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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
contingent
monthly 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. However, under no circumstances will the securities be redeemed in the first six months of the term of the securities.
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be limited.
Accordingly, you should be willing to hold your securities for the entire 1.5-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. 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 indices, 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 notes in the secondary market (if any exists) at any time. The value
of your securities at any time after the date of this pricing supplement 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.
|
|
§
|
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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
securities (and to other instruments
linked to the underlying indices or their component stocks), including trading in the stocks that constitute the underlying indices
as well as in other instruments related to the underlying indices. 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 stocks that constitute the underlying
indices and other financial instruments related to the 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
index value of an underlying index, and, therefore, could have increased (i) the value at or above which such underlying index
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 indices), (ii) the coupon barrier level for such underlying
index, which is the value at or above which such underlying index must close on the observation dates in order for you to earn
a contingent monthly coupon (depending also on the performance of the other underlying indices) and (iii) the downside threshold
level for such underlying index, which is the value at or above which such underlying index must close on each index business day
during the term of the securities so that you are not exposed to the negative performance of the worst performing underlying index
at maturity (depending also on the performance of the other underlying indices). Additionally, such hedging or trading activities
during the term of the securities could affect the value of an underlying index throughout the term of the securities, and, accordingly,
whether we redeem the securities prior to maturity, whether we pay a contingent monthly coupon on the securities and the amount
of cash you receive at maturity, if any (depending also on the performance of the other underlying indices).
|
§
|
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 index value, the coupon barrier level and
the downside threshold level for each underlying index and will determine whether you receive a contingent monthly coupon on each
coupon payment date and/or at maturity, whether the securities will be redeemed on any early redemption date, whether a trigger
event has occurred and the payment 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 index closing value
in the event of a market disruption event or discontinuance of an 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
"Description of Auto-Callable Securities—Postponement of Determination Dates," "—Alternate Exchange
Calculation in Case of an Event of Default,” "—Discontinuance of Any Underlying Index; Alteration of Method of
Calculation” 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.
|
|
§
|
Adjustments to the underlying indices could adversely affect the value of the securities. The publisher of each underlying
index may add, delete or substitute the component stocks of such underlying index or make other methodological changes that could
change the value of such underlying index. Any of these actions could adversely affect the value of the securities. The publisher
of each underlying index may also discontinue or suspend calculation or publication of such underlying index at any time. In these
circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable
to the discontinued index. MS & Co. could have an economic interest that is different than that of investors in the securities
insofar as, for example, MS & Co. is permitted to consider indices that are calculated and published by MS & Co. or any
of its affiliates. If MS & Co. determines that there is no appropriate successor index on any relevant date of calculation,
the determination of whether a contingent monthly coupon will be payable on the securities on the applicable coupon payment date,
and/or the amount payable at maturity, will be based on the value of such underlying index, based on the closing prices of the
stocks constituting such underlying index at the time of such discontinuance, without rebalancing or substitution, computed by
MS & Co. as calculation agent in accordance with the formula for calculating such underlying index last in effect prior to
such discontinuance, as compared to the coupon barrier level or downside threshold level, as applicable (depending also on the
performance of the other underlying index).
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
|
§
|
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 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, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Russell 2000® Index Overview
The Russell 2000® Index is an index calculated,
published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000 companies incorporated
in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities that
form the Russell 3000® Index. The Russell 3000® Index is composed of the 3,000 largest U.S.
companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The Russell 2000®
Index consists of the smallest 2,000 companies included in the Russell 3000® Index and represents a small
portion of the total market capitalization of the Russell 3000® Index. The Russell 2000®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000® Index, see the information set forth under “Russell 2000® Index”
in the accompanying index supplement.
Information as of market close on October 31, 2019:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 5/6/2019):
|
1,614.976
|
Current Index Value:
|
1,562.452
|
52 Week Low (on 12/24/2018):
|
1,266.925
|
52 Weeks Ago:
|
1,511.413
|
|
|
The following graph sets forth the daily closing values of the
RTY Index for 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 RTY Index for each quarter in the same period. The closing value
of the RTY Index on October 31, 2019 was 1,562.452. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The RTY Index has at times experienced periods of high volatility, and you should not
take the historical values of the RTY Index as an indication of its future performance.
RTY Index Daily Closing
Values
January 1, 2014 to October
31, 2019
|
|
*The red solid line indicates both the downside threshold level and the coupon barrier level of 1,093.716, which is approximately 70% of the initial index value.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Russell 2000® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.960
|
1,095.986
|
1,192.960
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
1,535.511
|
2018
|
|
|
|
First Quarter
|
1,610.706
|
1,463.793
|
1,529.427
|
Second Quarter
|
1,706.985
|
1,492.531
|
1,643.069
|
Third Quarter
|
1,740.753
|
1,653.132
|
1,696.571
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
1,348.559
|
2019
|
|
|
|
First Quarter
|
1,590.062
|
1,330.831
|
1,539.739
|
Second Quarter
|
1,614.976
|
1,465.487
|
1,566.572
|
Third Quarter
|
1,585.599
|
1,456.039
|
1,523.373
|
Fourth Quarter (through October 31, 2019)
|
1,577.073
|
1,472.598
|
1,562.452
|
The “Russell 2000® Index” is a trademark
of FTSE Russell. For more information, see “Russell 2000® Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Dow Jones Industrial AverageSM Overview
The Dow Jones Industrial AverageSM is a price-weighted
index composed of 30 common stocks that is published by S&P Dow Jones Indices LLC, the marketing name and a licensed trademark
of CME Group Inc., as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
AverageSM, see the information set forth under “Dow Jones Industrial AverageSM” in the accompanying
index supplement.
Information as of market close on October 31, 2019:
Bloomberg Ticker Symbol:
|
INDU
|
52 Week High (on 7/15/2019):
|
27,359.16
|
Current Index Value:
|
27,046.23
|
52 Week Low (on 12/24/2018):
|
21,792.20
|
52 Weeks Ago:
|
25,115.76
|
|
|
The following graph sets forth the daily closing values of the
INDU Index for 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 INDU Index for each quarter in the same period. The closing value
of the INDU Index on October 31, 2019 was 27,046.23. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The INDU Index has at times experienced periods of high volatility, and you should not
take the historical values of the INDU Index as an indication of its future performance.
INDU Index Daily Closing Values
January 1, 2014 to October 31, 2019
|
|
* The red solid line indicates both the downside
threshold level and the coupon barrier level of 18,932.361, which is 70% of the initial index value.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
Dow Jones Industrial AverageSM
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
16,530.94
|
15,372.80
|
16,457.66
|
Second Quarter
|
16,947.08
|
16,026.75
|
16,826.60
|
Third Quarter
|
17,279.74
|
16,368.27
|
17,042.90
|
Fourth Quarter
|
18,053.71
|
16,117.24
|
17,823.07
|
2015
|
|
|
|
First Quarter
|
18,288.63
|
17,164.95
|
17,776.12
|
Second Quarter
|
18,312.39
|
17,596.35
|
17,619.51
|
Third Quarter
|
18,120.25
|
15,666.44
|
16,284.70
|
Fourth Quarter
|
17,918.15
|
16,272.01
|
17,425.03
|
2016
|
|
|
|
First Quarter
|
17,716.66
|
15,660.18
|
17,685.09
|
Second Quarter
|
18,096.27
|
17,140.24
|
17,929.99
|
Third Quarter
|
18,636.05
|
17,840.62
|
18,308.15
|
Fourth Quarter
|
19,974.62
|
17,888.28
|
19,762.60
|
2017
|
|
|
|
First Quarter
|
21,115.55
|
19,732.40
|
20,663.22
|
Second Quarter
|
21,528.99
|
20,404.49
|
21,349.63
|
Third Quarter
|
22,412.59
|
21,320.04
|
22,405.09
|
Fourth Quarter
|
24,837.51
|
22,557.60
|
24,719.22
|
2018
|
|
|
|
First Quarter
|
26,616.71
|
23,533.20
|
24,103.11
|
Second Quarter
|
25,322.31
|
23,644.19
|
24,271.41
|
Third Quarter
|
26,743.50
|
24,174.82
|
26,458.31
|
Fourth Quarter
|
26,828.39
|
21,792.20
|
23,327.46
|
2019
|
|
|
|
First Quarter
|
26,091.95
|
22,686.22
|
25,928.68
|
Second Quarter
|
26,753.17
|
24,815.04
|
26,599.96
|
Third Quarter
|
27,359.16
|
25,479.42
|
26,916.83
|
Fourth Quarter (through October 31, 2019)
|
27,186.69
|
26,078.62
|
27,046.23
|
“Dow Jones,” “Dow Jones Industrial
Average,” “Dow Jones Indexes” and “DJIA” are service marks of Dow Jones Trademark Holdings LLC. See
“Dow Jones Industrial AverageSM” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
NASDAQ-100 Index® Overview
The NASDAQ-100 Index®, which is calculated, maintained
and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity
securities of non-financial companies listed on The NASDAQ Stock Market LLC. The NASDAQ-100 Index includes companies across a variety
of major industry groups. At any moment in time, the value of the NASDAQ-100 Index equals the aggregate value of the then-current
NASDAQ-100 Index share weights of each of the NASDAQ-100 Index component securities, which are based on the total shares outstanding
of each such NASDAQ-100 Index component security, multiplied by each such security’s respective last sale price on NASDAQ
(which may be the official closing price published by NASDAQ), and divided by a scaling factor, which becomes the basis for the
reported NASDAQ-100 Index value. For additional information about the NASDAQ-100 Index® , see the information
set forth under “NASDAQ-100 Index®” in the accompanying index supplement.
Information as of market close on October 31, 2019:
Bloomberg Ticker Symbol:
|
NDX
|
52 Week High (on 10/28/2019):
|
8,110.669
|
Current Index Value:
|
8,083.833
|
52 Week Low (on 12/24/2018):
|
5,899.354
|
52 Weeks Ago:
|
6,967.096
|
|
|
The following graph sets forth the daily closing values of the
NDX Index for 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 NDX Index for each quarter in the same period. The closing value
of the NDX Index on October 31, 2019 was 8,083.833. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The NDX Index has at times experienced periods of high volatility, and you should not
take the historical values of the NDX Index as an indication of its future performance.
NDX Index Daily Closing
Values
January 1, 2014 to October
31, 2019
|
|
* The red solid line indicates both the downside threshold level and the coupon barrier level 5,658.683, which is approximately 70% of the initial index value.
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
NASDAQ-100 Index®
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
3,727.185
|
3,440.502
|
3,595.736
|
Second Quarter
|
3,849.479
|
3,446.845
|
3,849.479
|
Third Quarter
|
4,103.083
|
3,857.938
|
4,049.445
|
Fourth Quarter
|
4,337.785
|
3,765.281
|
4,236.279
|
2015
|
|
|
|
First Quarter
|
4,483.049
|
4,089.648
|
4,333.688
|
Second Quarter
|
4,548.740
|
4,311.257
|
4,396.761
|
Third Quarter
|
4,679.675
|
4,016.324
|
4,181.060
|
Fourth Quarter
|
4,719.053
|
4,192.963
|
4,593.271
|
2016
|
|
|
|
First Quarter
|
4,497.857
|
3,947.804
|
4,483.655
|
Second Quarter
|
4,565.421
|
4,201.055
|
4,417.699
|
Third Quarter
|
4,891.363
|
4,410.747
|
4,875.697
|
Fourth Quarter
|
4,965.808
|
4,660.457
|
4,863.620
|
2017
|
|
|
|
First Quarter
|
5,439.742
|
4,911.333
|
5,436.232
|
Second Quarter
|
5,885.296
|
5,353.586
|
5,646.917
|
Third Quarter
|
6,004.380
|
5,596.956
|
5,979.298
|
Fourth Quarter
|
6,513.269
|
5,981.918
|
6,396.422
|
2018
|
|
|
|
First Quarter
|
7,131.121
|
6,306.100
|
6,581.126
|
Second Quarter
|
7,280.705
|
6,390.837
|
7,040.802
|
Third Quarter
|
7,660.180
|
7,014.554
|
7,627.650
|
Fourth Quarter
|
7,645.453
|
5,899.354
|
6,329.964
|
2019
|
|
|
|
First Quarter
|
7,493.270
|
6,147.128
|
7,378.771
|
Second Quarter
|
7,845.729
|
6,978.018
|
7,671.075
|
Third Quarter
|
8,016.953
|
7,415.691
|
7,749.449
|
Fourth Quarter (through October 31, 2019)
|
8,110.669
|
7,550.786
|
8,083.833
|
“Nasdaq®,” “NASDAQ-100®”
and “NASDAQ-100 Index®” are trademarks of Nasdaq, Inc. For more information, see “NASDAQ-100 Index®”
in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
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.
|
Underlying index publishers:
|
With respect to the RTY Index, FTSE Russell, or any successor
thereof.
With respect to the INDU Index, S&P Dow Jones Indices LLC,
or any successor thereof.
With respect to the NDX Index, Nasdaq, Inc., or any successor
thereof.
|
Index closing value:
|
With respect to the RTY Index, the index closing value on any
index business day shall be determined by the calculation agent and shall equal the closing value of the RTY Index, or any successor
underlying index (as defined under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in
the accompanying product supplement), reported by Bloomberg Financial Services, or any successor reporting service the calculation
agent may select, on such index business day. In certain circumstances, the index closing value for the RTY Index shall be based
on the alternate calculation of the RTY Index described under “Discontinuance of an Underlying Index; Alteration of Method
of Calculation” in the accompanying product supplement.
With respect to each of the INDU Index and the NDX Index,
the index closing value on any index business day shall be determined by the calculation agent and shall equal the official closing
value of such underlying index, or any successor underlying index (as defined under “Discontinuance of an Underlying Index;
Alteration of Method of Calculation” in the accompanying product supplement), published at the regular official weekday
close of trading on such index business day by the underlying index publisher for such underlying index. In certain circumstances,
the index closing value for the INDU Index or the NDX Index shall be based on the alternate calculation of such underlying index
described under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in the accompanying product
supplement.
|
Interest period:
|
The monthly 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.
|
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-index business day or certain market disruption events 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 made on that postponed date.
|
Denominations:
|
$1,000 per security and integral multiples thereof
|
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
|
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due May 5, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities
|
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 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 monthly 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, if any, with respect
to the contingent monthly 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, 2021, with 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Russell 2000® Index, the Dow Jones Industrial AverageSM and the NASDAQ-100 Index®
Principal at Risk Securities