CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
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Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
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Dual Directional Trigger PLUS due 2022
|
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$600,000
|
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$77.88
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November 2019
Pricing Supplement No. 2,796
Registration Statement Nos. 333-221595; 333-221595-01
Dated November 1, 2019
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in International Equities
Dual Directional Trigger PLUS Based on the Value
of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and
the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk Securities
The Dual Directional Trigger PLUS, or “Trigger PLUS,”
are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan
Stanley. The Trigger PLUS will pay no interest, do not guarantee any return of principal at maturity and have the terms described
in the accompanying product supplement for PLUS, index supplement and prospectus, as supplemented or modified by this document.
The payment at maturity on the Trigger PLUS will be based on the value of the worst performing of the EURO STOXX 50®
Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF. At maturity,
if the final level of each underlying is greater than its respective initial level, investors will receive the stated
principal amount of their investment plus leveraged upside performance of the worst performing underlying. If the final
level of any underlying is less than or equal to its respective initial level but the final level of each
underlying is greater than or equal to its respective trigger level, investors will receive the stated principal amount
of their investment plus an unleveraged positive return based on the absolute value of the performance of the worst performing
underlying, which will be effectively limited to a 20% return. However, if the final level of any underlying is less
than its respective trigger level, investors will be negatively exposed to the full decline in the worst performing underlying
and will lose 1% of the stated principal amount for every 1% of decline in the worst performing underlying, without any buffer.
Because the payment at maturity of the Trigger PLUS is based on the worst performing of the underlyings, a decline in any underlying
beyond its respective trigger level will result in a significant loss of your investment even if the other underlyings have appreciated
or have not declined as much. The Trigger PLUS are for investors who seek an equity-based return and who are willing to risk their
principal, risk exposure to the worst performing of three underlyings and forgo current income in exchange for the leverage and
absolute return features that in each case apply to a limited range of performance of the worst performing underlying. The Trigger
PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
The Trigger PLUS differ from the PLUS described in the accompanying
product supplement for PLUS in that the Trigger PLUS offer the potential for a positive return at maturity if the worst performing
underlying depreciates by no more than 20%. The Trigger PLUS are not the Buffered PLUS described in the accompanying product supplement
for PLUS. Unlike the Buffered PLUS, the Trigger PLUS do not provide any protection if the worst performing underlying depreciates
by more than 20%.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These Trigger PLUS are not secured obligations and you will
not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL TERMS
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Issuer:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Maturity date:
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November 3, 2022
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Underlyings:
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The EURO STOXX 50® Index (the “SX5E Index”), the iShares® MSCI Emerging Markets ETF (the “EEM Shares”) and the iShares® MSCI EAFE ETF (the “EFA Shares,” and together with the EEM Shares, the “underlying shares”)
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Aggregate principal amount:
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$600,000
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Payment at maturity:
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If the final level of each underlying is greater than
its respective initial level,
$1,000 + ($1,000 × leverage factor ×
underlying percent change of the worst performing underlying)
If the final level of any underlying is less than or
equal to its respective initial level but the final level of each underlying is greater than or equal to its
respective trigger level,
$1,000 + ($1,000 × absolute underlying return
of the worst performing underlying)
If the final level of any underlying is less than its
respective trigger level,
$1,000 × underlying performance factor of the
worst performing underlying
Under these circumstances, the payment at maturity will be
less than the stated principal amount of $1,000, and will represent a loss of at least 20%, and possibly all, of your investment.
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|
|
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Underlying percent change:
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With respect to each underlying, (final level – initial level) / initial level
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Worst performing underlying:
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The underlying with the lesser underlying percent change
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Underlying performance factor:
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With respect to each underlying, final level / initial level
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Absolute underlying return:
|
The absolute value of the underlying percent change. For example, a -5% underlying percent change will result in a +5% absolute underlying return.
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Initial level:
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With respect to the SX5E Index, 3,604.41, which is the index
closing value of such underlying on October 31, 2019
With respect to the EEM Shares, $42.58, which is the closing
price of such underlying on October 31, 2019
With respect to the EFA Shares, $67.42, which is the closing
price of such underlying on October 31, 2019
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Final level:
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With respect to the SX5E Index, the index closing value of such
underlying on the valuation date
With respect to the EEM Shares, the closing price of such underlying
on the valuation date times the relevant adjustment factor on such date
With respect to the EFA Shares, the closing price of such underlying
on the valuation date times the relevant adjustment factor on such date
|
Valuation date:
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October 31, 2022, subject to adjustment for non-index business days, non-trading days and certain market disruption events
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Leverage factor:
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325%
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Adjustment factor:
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With respect to each of the EEM Shares and the EFA Shares, 1.0, subject to adjustment in the event of certain events affecting the EEM Shares or the EFA Shares
|
Trigger level:
|
With respect to the SX5E Index, 2,883.528, which is 80% of its
initial level
With respect to the EEM Shares, $34.064, which is 80% of its
initial level
With respect to the EFA Shares, $53.936, which is 80% of its
initial level
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Stated principal amount:
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$1,000 per Trigger PLUS
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Issue price:
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$1,000 per Trigger PLUS
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Pricing date:
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November 1, 2019
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Original issue date:
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November 6, 2019 (3 business days after the pricing date)
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CUSIP / ISIN:
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61769HN27 / US61769HN277
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Listing:
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The Trigger PLUS will not be listed on any securities exchange.
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$960.80 per Trigger PLUS. See “Investment Summary” on page 2.
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Commissions and issue price:
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Price to public
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Agent’s commissions (1)
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Proceeds to us(2)
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Per Trigger PLUS
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$1,000
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$26
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$974
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Total
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$600,000
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$15,600
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$584,400
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(1)
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Selected dealers and their financial advisors will
collectively receive from the agent, MS & Co., a fixed sales commission of $26 for each Trigger PLUS they sell. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying product supplement.
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(2)
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See “Use of proceeds and hedging” on page
23.
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The Trigger PLUS involve
risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 7.
The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Trigger PLUS are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related
product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Trigger PLUS” and “Additional Information About the Trigger PLUS” at the end of this document.
References to “we,” “us” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product
Supplement for PLUS dated November 16, 2017 Index
Supplement dated November 16, 2017
Prospectus
dated November 16, 2017
Morgan Stanley Finance LLC
Dual Directional
Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares®
MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Investment Summary
Trigger Performance Leveraged Upside Securities
Principal at Risk Securities
The Dual Directional Trigger PLUS Based on the Value of the Worst
Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares®
MSCI EAFE ETF due November 3, 2022 (the “Trigger PLUS”) can be used:
|
§
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To gain exposure to the worst performing of three international equity underlyings
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|
§
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To potentially outperform the worst performing of the EURO STOXX 50® Index, the IShares® MSCI
Emerging Markets ETF and the iShares® MSCI EAFE ETF
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|
§
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To obtain an unleveraged positive return for a limited range of negative performance of the worst
performing underlying
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If the final level of any underlying is less than
its respective trigger level, investors will be negatively exposed to the full amount of the percent decline in the worst performing
underlying and will lose 1% of the stated principal amount for every 1% of decline in the worst performing underlying, without
any buffer.
Maturity:
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Approximately 3 years
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Leverage factor:
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325%
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Minimum payment at maturity:
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None. Investors may lose their entire initial investment in the Trigger PLUS.
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Trigger level:
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With respect to each underlying, 80% of the initial level of such underlying
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Coupon:
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None
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Listing:
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The Trigger PLUS will not be listed on any securities exchange
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The original issue price of each Trigger PLUS is $1,000. This
price includes costs associated with issuing, selling, structuring and hedging the Trigger PLUS, which are borne by you, and, consequently,
the estimated value of the Trigger PLUS on the pricing date is less than $1,000. We estimate that the value of each Trigger PLUS
on the pricing date is $960.80.
What goes into the estimated value on the pricing date?
In valuing the Trigger PLUS on the pricing date, we take into
account that the Trigger PLUS comprise both a debt component and a performance-based component linked to the underlyings. The estimated
value of the Trigger PLUS is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlyings, instruments based on the underlyings, volatility and other factors including current and expected interest rates,
as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional
fixed rate debt trades in the secondary market.
What determines the economic terms of the Trigger PLUS?
In determining the economic terms of the Trigger PLUS, including
the leverage factor and the trigger 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 Trigger PLUS would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the Trigger PLUS?
The price at which MS & Co. purchases the Trigger PLUS in
the secondary market, absent changes in market conditions, including those related to the underlyings, may vary from, and be lower
than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit
spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other
factors. However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted
upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the Trigger
PLUS in the secondary market, absent changes in market conditions, including those related to the underlyings, and to our secondary
market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will
also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
Trigger PLUS, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Key Investment Rationale
The Trigger PLUS offer the potential for a positive return at
maturity based on the absolute value of a limited range of percentage changes of the worst performing underlying. At maturity,
if the final level of each underlying is greater than its respective initial level, investors will receive the stated
principal amount of their investment plus leveraged upside performance of the worst performing underlying. If the final
level of any underlying is less than or equal to its respective initial level but the final level of each
underlying is greater than or equal to its respective trigger level, investors will receive the stated principal amount
of their investment plus an unleveraged positive return based on the absolute value of the performance of the worst performing
underlying, which will be effectively limited to a 20% return. However, if the final level of any underlying is less
than its respective trigger level, the absolute return feature will no longer be available and instead investors will be negatively
exposed to the full decline in the worst performing underlying and will lose 1% of the stated principal amount for every 1% of
decline in the worst performing underlying, without any buffer. Investors may lose their entire initial investment in the Trigger
PLUS. All payments on the Trigger PLUS are subject to our credit risk.
Leveraged Performance
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The Trigger PLUS offer investors an opportunity to receive 325% of the positive return of the worst performing of the underlyings if each underlying has appreciated in value.
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Absolute Return Feature
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The Trigger PLUS enable investors to obtain an unleveraged positive return if the final level of any underlying is less than or equal to its respective initial level but the final level of each underlying is greater than or equal to its respective trigger level.
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Upside Scenario if Each Underlying Appreciates
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Each underlying increases in value, and, at maturity, the Trigger PLUS redeem for the stated principal amount of $1,000 plus 325% of the underlying percent change of the worst performing underlying.
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Absolute Return Scenario
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The final level of any underlying is less than or equal to its respective initial level but the final level of each underlying is greater than or equal to its respective trigger level. In this case, you receive a 1% positive return on the Trigger PLUS for each 1% negative return on the worst performing underlying. For example, if the final level of the worst performing underlying is 10% less than its respective initial level, the Trigger PLUS will provide a total positive return of 10% at maturity. The maximum return you may receive in this scenario is a positive 20% return at maturity.
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Downside Scenario
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The final level of any underlying is less than its respective trigger level. In this case, the Trigger PLUS redeem for at least 20% less than the stated principal amount, and this decrease will be by an amount proportionate to the full decline in the value of the worst performing underlying over the term of the Trigger PLUS. Under these circumstances, the payment at maturity will be less than 80% of the stated principal amount per Trigger PLUS. For example, if the final level of the worst performing underlying is 70% less than its initial level, the Trigger PLUS will be redeemed at maturity for a loss of 70% of principal at $300, or 30% of the stated principal amount. There is no minimum payment at maturity on the Trigger PLUS, and you could lose your entire investment.
|
Because the payment at maturity of the Trigger PLUS is based
on the worst performing of the underlyings, a decline in any underlying beyond its respective trigger level will result
in a significant loss of your investment even if the other underlyings have appreciated or have not declined as much.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to calculate
the payment at maturity on the Trigger PLUS. The following examples are for illustrative purposes only. The actual initial level
and trigger level for each underlying is set forth on the cover of this document. Any payment at maturity on the Trigger PLUS is
subject to our credit risk. The below examples are based on the following terms:
Stated principal amount:
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$1,000 per Trigger PLUS
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Leverage factor:
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325%
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Hypothetical initial level:
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With respect to the SX5E Index: 3,300
With respect to the EEM Shares: $40.00
With respect to the EFA Shares: $65.00
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Hypothetical trigger level:
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With respect to the SX5E Index: 2,640
With respect to the EEM Shares: $32.00
With respect to the EFA Shares: $52.00
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EXAMPLE 1: The final level of each underlying is greater than
its respective initial level.
Final level
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SX5E Index: 3,630
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|
|
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EEM Shares: $56.00
EFA Shares: $84.50
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Underlying percent change
|
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SX5E Index: (3,630 – 3,300) / 3,300 = 10%
EEM Shares: ($56.00 – $40.00) / $40.00 = 40%
EFA Shares: ($84.50 – $65.00) / $65.00 = 30%
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Payment at maturity
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=
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$1,000 + ($1,000 × leverage factor × underlying percent change of the worst performing underlying),
|
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=
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$1,000 + ($1,000 × 325% × 10%)
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|
=
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$1,325.00
|
In example 1, the final levels of the SX5E Index, the EEM Shares
and the EFA Shares are greater than their initial levels. The SX5E Index has appreciated by 10% while the EEM Shares have appreciated
by 40% and the EFA Shares have appreciated by 30%. Therefore, investors receive at maturity the stated principal amount plus
325% of the appreciation of the worst performing underlying, which is the SX5E Index in this example. Investors receive $1,325.00
per Trigger PLUS at maturity.
EXAMPLE 2: The final levels of two underlyings are greater
than their respective initial levels while the final level of the other underlying is less than its respective initial level but
greater than its respective trigger level.
Final level
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SX5E Index: 4,620
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|
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EEM Shares: $34.00
EFA Shares: $84.50
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Underlying percent change
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|
SX5E Index: (4,620 – 3,300) / 3,300 = 40%
EEM Shares: ($34.00 – $40.00) / $40.00 = -15%
EFA Shares: ($84.50 – $65.00) / $65.00 = 30%
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Payment at maturity
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=
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$1,000 + ($1,000 × absolute underlying return of the worst performing underlying)
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
=
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$1,000 + ($1,000 × 15%)
|
|
=
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$1,150
|
In example 2, the final levels of the SX5E Index and the EFA
Shares are greater than their respective initial levels, while the final level of the EEM Shares is less than its respective initial
level but greater than its respective trigger level. While the SX5E Index has appreciated by 40% and the EFA Shares have appreciated
by 30%, the EEM Shares have declined by 15%. Therefore, investors receive at maturity the stated principal amount plus the
absolute value of the performance of the worst performing underlying, which is the EEM Shares in this example. Investors receive
$1,150 per Trigger PLUS at maturity. In this example, investors receive a positive return even though one of the underlyings declined
in value by 15%, due to the absolute return feature of the Trigger PLUS and because no underlying declined beyond its respective
trigger level.
EXAMPLE 3: The final levels of two underlyings are greater
than their respective initial levels while the final level of the other underlying is less than its respective initial level and
trigger level.
Final level
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SX5E Index: 3,630
|
|
|
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EEM Shares: $20.00
EFA Shares: $84.50
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Underlying percent change
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|
SX5E Index: (3,630 – 3,300) / 3,300 = 10%
EEM Shares: ($20.00 – $40.00) / $40.00 = -50%
EFA Shares: ($84.50 – $65.00) / $65.00 = 30%
|
Underlying performance factor
|
|
SX5E Index: 3,630 / 3,300 = 110%
EEM Shares: $20.00 / $40.00 = 50%
EFA Shares: $84.50 / $65.00 = 130%
|
Payment at maturity
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=
|
$1,000 × underlying performance factor of the worst performing underlying
|
|
=
|
$1,000 × 50%
|
|
=
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$500
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In example 3, the final levels of the SX5E Index and the EFA
Shares are greater than their respective initial levels, while the final level of the EEM Shares is less than its respective initial
level and trigger level. While the SX5E Index has appreciated by 10% and the EFA Shares have appreciated by 30%, the EEM Shares
have declined by 50%. Therefore, investors are exposed to the negative performance of the EEM Shares, which is the worst performing
underlying in this example, and receive a payment at maturity of $500. In this example, investors are exposed to the negative performance
of the worst performing underlying even though the other underlyings have appreciated in value by 10% and by 30%, respectively,
because the final level of each underlying is not greater than or equal to its respective trigger level.
EXAMPLE 4: The final level of each underlying is less
than its respective initial level but is greater than its respective trigger level.
Final level
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|
SX5E Index: 2,805
|
|
|
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EEM Shares: $33.60
EFA Shares: $55.90
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Underlying percent change
|
|
SX5E Index: (2,805 – 3,300) / 3,300 = -15%
EEM Shares: ($33.60 – $40.00) / $40.00 = -16%
EFA Shares: ($55.90 – $65.00) / $65.00 = -14%
|
Payment at maturity
|
=
|
$1,000 + ($1,000 × absolute underlying return of the worst performing underlying)
|
|
=
|
$1,000 + ($1,000 × 16%)
|
|
=
|
$1,160
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
In example 4, the final level of each underlying is less than
its respective initial level but is greater than its respective trigger level. The SX5E index has declined by 15% and the EFA Shares
have declined by 14% while the EEM Shares have declined by 16%. Therefore, investors receive at maturity the stated principal amount
plus the absolute value of the performance of the worst performing underlying, which is the EEM Shares in this example.
Investors receive $1,160 per Trigger PLUS at maturity.
EXAMPLE 5: The final level of each underlying is less
than its respective trigger level.
Final level
|
|
SX5E Index: 990
|
|
|
|
EEM Shares: $16.00
EFA Shares: $22.75
|
Underlying percent change
|
|
SX5E Index: (990 – 3,300) / 3,300 = -70%
EEM Shares: ($16.00 – $40.00) / $40.00 = -60%
EFA Shares: ($22.75 – $65.00) / $65.00 = -65%
|
Underlying performance factor
|
|
SX5E Index: 990 / 3,300 = 30%
EEM Shares: $16.00 / $40.00 = 40%
EFA Shares: $22.75 / $65.00 = 35%
|
Payment at maturity
|
=
|
$1,000 × (underlying performance factor of the worst performing underlying)
|
|
=
|
$1,000 × 30%
|
|
=
|
$300
|
In example 5, the final levels of the SX5E Index, the EEM Shares
and the EFA Shares are less than their respective trigger levels. The SX5E index has declined by 70% while the EEM Shares have
declined by 60% and the EFA Shares have declined by 65%. Therefore, investors are exposed to the negative performance of the SX5E
Index, which is the worst performing underlying in this example, and receive a payment at maturity of $300.
Because the payment at maturity of the Trigger PLUS is based
on the worst performing of the underlyings, a decline in any underlying beyond its respective trigger level will result in a significant
loss of your investment even if the other underlyings have appreciated or have not declined as much.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the Trigger PLUS. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. We also urge you to
consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Trigger PLUS.
|
§
|
The Trigger PLUS do not pay interest or guarantee the return of any principal. The terms of the Trigger PLUS differ
from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee the payment of any principal amount
at maturity. If the final level of any underlying is less than its respective trigger level, the absolute return
feature will no longer be available and the payment at maturity will be an amount in cash that is at least 20% less than the $1,000
stated principal amount of each Trigger PLUS, and this decrease will be by an amount proportionate to the full amount of the decline
in the value of the worst performing underlying over the term of the Trigger PLUS, without any buffer. There is no minimum payment
at maturity on the Trigger PLUS, and, accordingly, you could lose your entire initial investment in the Trigger PLUS.
|
|
§
|
You are exposed to the price risk of each of the underlyings. Your return on the Trigger PLUS it not linked to a basket
consisting of each underlying. Rather, it will be based upon the independent performance of each of the underlyings. Unlike an
instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all the components
of the basket, you will be exposed to the risks related to each of the underlyings. Poor performance by any underlying 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 underlyings. If any underlying declines to below its respective trigger level as of the valuation date, you will be exposed
to the negative performance of the worst performing underlying at maturity, and you will lose a significant portion or all of your
investment, even if the other underlyings have appreciated or have not declined as much. Accordingly, your investment is subject
to the price risk of each of the underlyings.
|
|
§
|
Because the Trigger PLUS are linked to the performance of the worst performing underlying, you are exposed to greater risk
of sustaining a significant loss on your investment than if the Trigger PLUS were linked to just one underlying. The risk that
you will suffer a significant loss on your investment is greater if you invest in the Trigger PLUS as opposed to substantially
similar securities that are linked to the performance of just one underlying. With three underlyings, it is more likely that any
underlying will decline to below its trigger level as of the valuation date than if the Trigger PLUS were linked to only one underlying.
Therefore it is more likely that you will suffer a significant loss on your investment.
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§
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The market price will be influenced by many unpredictable factors. Several factors will influence the value of the Trigger
PLUS in the secondary market and the price at which MS & Co. may be willing to purchase or sell the Trigger PLUS in the secondary
market, including the value, volatility and dividend yield of the underlyings, interest and yield rates, time remaining to maturity,
geopolitical conditions and economic, financial, political and regulatory or judicial events and any actual or anticipated changes
in our credit ratings or credit spreads. The levels of the underlyings may be, and have recently been, extremely volatile, and
we can give you no assurance that the volatility will lessen. See “EURO STOXX 50® Index Overview,” “IShares®
MSCI Emerging Markets ETF Overview” and “iShares® MSCI EAFE ETF Overview” below. You may receive
less, and possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell your Trigger PLUS prior
to maturity.
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|
§
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The Trigger PLUS are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the Trigger PLUS. You are dependent on our ability to pay all amounts due on the Trigger
PLUS at maturity and therefore you are subject to our credit risk. If we default on its obligations under the Trigger PLUS, your
investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS
prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline
in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely
affect the market value of the Trigger PLUS.
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk 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.
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§
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There are risks associated with investments in securities, such as the Trigger PLUS, linked to the value of foreign equity
securities. The Trigger PLUS are linked to the value of foreign equity securities. Investments in securities linked
to the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks
of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject
to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices
of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets
may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making
prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources, self-sufficiency and balance of payment positions.
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§
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The Trigger PLUS are subject to currency exchange risk. Because the price of the EEM Shares
and the EFA Shares track the performance of the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM,
respectively, holders of the Trigger PLUS will be exposed to currency exchange rate risk with respect to each of the currencies
in which such component securities trade. Exchange rate movements for a particular currency are volatile and are the result of
numerous factors including the supply of, and the demand for, those currencies, as well as relevant government policy, intervention
or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic
factors and speculative actions related to the relevant region. An investor’s net exposure will depend on the extent to which
the currencies of the component securities strengthen or weaken against the U.S. dollar and the relative weight of each security.
If, taking into account such weighting, the dollar strengthens against the currencies of the component securities represented in
the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM, the price of the EEM Shares and the EFA Shares
will be adversely affected and the payment at maturity on the Trigger PLUS may be reduced.
|
Of particular importance to potential
currency exchange risk are:
|
o
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existing and expected rates of inflation;
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o
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existing and expected interest rate levels;
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o
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the balance of payments; and
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o
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the extent of governmental surpluses or deficits in the countries represented in the MSCI Emerging Markets IndexSM
and the MSCI EAFE IndexSM and the United States.
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All of these factors are in turn
sensitive to the monetary, fiscal and trade policies pursued by the governments of various countries represented in the MSCI Emerging
Markets IndexSM and the MSCI EAFE IndexSM and the United States and other countries important to international
trade and finance.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
§
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The amount payable on the Trigger PLUS is not linked to the values of the underlyings at any time other than the valuation
date. The final level of each underlying will be based on the closing level of such underlying on the valuation date, subject
to adjustment for non-index business days, non-trading days and certain market disruption events. Even if each underlying appreciates
prior to the valuation date but the value of any underlying drops by the valuation date to below its respective trigger
level, the payment at maturity will be significantly less than it would have been had the payment at maturity been linked to the
values of the underlyings prior to such drop. Although the actual values of the underlyings on the stated maturity date or at other
times during the term of the Trigger PLUS may be higher than their respective trigger levels, the payment at maturity will be based
solely on the closing levels on the valuation date.
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§
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Investing in the Trigger PLUS is not equivalent to investing in any underlying or the stocks
composing the SX5E Index, the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM. Investing in the
Trigger PLUS is not equivalent to investing in any underlying or the component stocks of the SX5E Index, the MSCI Emerging Markets
IndexSM or the MSCI EAFE IndexSM. As an investor in the Trigger PLUS, you will not have voting rights or
rights to receive dividends or other distributions or any other rights with respect to stocks that constitute the SX5E Index, the
MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM.
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§
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Adjustments to the SX5E Index could adversely affect the value of the Trigger PLUS. The
publisher of the SX5E Index may add, delete or substitute the stocks constituting the SX5E Index or make other methodological changes
that could change the value of the SX5E Index. The publisher of the SX5E Index may discontinue or suspend calculation or publication
of the SX5E Index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying and will be permitted to consider indices that are calculated and published
by the calculation agent or any of its affiliates.
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§
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Adjustments to the EEM Shares, the EFA Shares or the indices tracked by the EEM Shares and
the EFA Shares could adversely affect the value of the Trigger PLUS. The investment adviser to the iShares®
MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF, BlackRock Fund Advisors
(the “Investment Adviser”), seeks investment results that correspond generally to the price and yield performance,
before fees and expenses, of the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM, respectively. Pursuant
to its investment strategies or otherwise, the Investment Adviser may add, delete or substitute the stocks composing the MSCI Emerging
Markets IndexSM or the MSCI EAFE IndexSM. Any of these actions could adversely affect the price of the EEM
Shares or the EFA Shares and, consequently, the value of the Trigger PLUS. MSCI Inc. (“MSCI”) is responsible for calculating
and maintaining the the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM. MSCI may add, delete or
substitute the stocks constituting the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM or make other
methodological changes that could change the level of the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM.
MSCI may discontinue or suspend calculation or publication of the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM
at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is
comparable to the discontinued MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM and is permitted to
consider indices that are calculated and published by the calculation agent or any of its affiliates. Any of these actions could
adversely affect the price of the EEM Shares or the EFA Shares and, consequently, the value of the Trigger PLUS.
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§
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The performance and market price of the EEM Shares and the EFA Shares, particularly during
periods of market volatility, may not correlate with the performance of the MSCI Emerging Markets IndexSM or the MSCI
EAFE IndexSM, the performance of the component securities of the MSCI Emerging Markets IndexSM or the MSCI
EAFE IndexSM or the net asset value per share of the EEM Shares or the EFA Shares. The EEM Shares and the EFA
Shares do not fully replicate the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM, respectively,
and may hold securities that are different than those included in the MSCI Emerging Markets IndexSM and the MSCI EAFE
IndexSM. In addition, the performance of the EEM Shares and the EFA Shares will reflect additional transaction
costs and fees that are not included in the calculation of the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM.
All of these factors may lead to a lack of correlation between the performance of the EEM Shares and the MSCI Emerging Markets
IndexSM and the EFA Shares and the MSCI EAFE IndexSM, respectively. In addition, corporate actions
(such as mergers and spin-offs) with respect to the equity securities underlying the EEM Shares and the EFA Shares may impact the
variance between the performances of EEM
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Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Shares and the MSCI Emerging Markets
IndexSM and the EFA Shares and the MSCI EAFE IndexSM, respectively. Finally, because the shares of
the EEM Shares and the EFA Shares are traded on an exchange and are subject to market supply and investor demand, the market
price of one share of the EEM Shares or the EFA Shares may differ from the net asset value per share of the EEM Shares or the EFA
Shares, respectively.
In particular, during periods of
market volatility, or unusual trading activity, trading in the securities underlying the EEM Shares or the EFA Shares may be disrupted
or limited, or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the
EEM Shares or the EFA Shares may be adversely affected, market participants may be unable to calculate accurately the net asset
value per share of the EEM Shares or the EFA Shares, and their ability to create and redeem shares of the EEM Shares or the EFA
Shares may be disrupted. Under these circumstances, the market price of shares of the EEM Shares or the EFA Shares may vary substantially
from the net asset value per share of the EEM Shares or the EFA Shares or the level of the MSCI Emerging Markets IndexSM
or the MSCI EAFE IndexSM, respectively.
For all of the foregoing reasons,
the performance of the EEM Shares or the EFA Shares may not correlate with the performance of the MSCI Emerging Markets IndexSM
and the MSCI EAFE IndexSM, respectively, the performance of the component securities of the MSCI Emerging Markets IndexSM
and the MSCI EAFE IndexSM, respectively, or the net asset value per share of the EEM Shares or the EFA Shares.
Any of these events could materially and adversely affect the price of the shares of the EEM Shares or the EFA Shares and, therefore,
the value of the Trigger PLUS. Additionally, if market volatility or these events were to occur on the valuation date, the
calculation agent would maintain discretion to determine whether such market volatility or events have caused a market disruption
event to occur, and such determination may affect the payment on the Trigger PLUS. If the calculation agent determines that
no market disruption event has taken place, the payment at maturity would be based on the published closing price per share of
the EEM Shares or the EFA Shares on the valuation date, even if the EEM Shares’ or EFA Shares’ shares are underperforming
the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM, respectively, or the component securities of
the MSCI Emerging Markets IndexSM and the MSCI EAFE IndexSM, respectively and/or trading below the net asset
value per share of the EEM Shares or the EFA Shares.
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§
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The antidilution adjustments the calculation agent is required to make do not cover every
event that could affect the EEM Shares or the EFA Shares. MS & Co., as calculation agent, will adjust the adjustment factors
for certain events affecting the EEM Shares or the EFA Shares. However, the calculation agent will not make an adjustment for every
event that can affect the EEM Shares or the EFA Shares. If an event occurs that does not require the calculation agent to adjust
an adjustment factor, the market price of the Trigger PLUS may be materially and adversely affected.
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§
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The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the Trigger PLUS in the original issue price reduce the economic terms of the Trigger
PLUS, cause the estimated value of the Trigger PLUS to be less than the original issue price and will adversely affect secondary
market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers,
including MS & Co., may be willing to purchase the Trigger PLUS in secondary market transactions will likely be significantly
lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related
costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
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The inclusion of the costs of issuing,
selling, structuring and hedging the Trigger PLUS in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the Trigger PLUS less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes
in market conditions, including those related to the underlyings, 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.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
|
§
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The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models, which may differ
from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are
proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may
prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may
yield a higher estimated value of the Trigger PLUS than those generated by others, including other dealers in the market, if they
attempted to value the Trigger PLUS. In addition, the estimated value on the pricing date does not represent a minimum or maximum
price at which dealers, including MS & Co., would be willing to purchase your Trigger PLUS in the secondary market (if any
exists) at any time. The value of your Trigger PLUS at any time after the date of this document will vary based on many factors
that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price will be influenced by many unpredictable factors” above.
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|
§
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The Trigger PLUS will not be listed on any securities exchange and secondary trading may be limited. The Trigger PLUS
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Trigger PLUS. MS &
Co. may, but is not obligated to, make a market in the Trigger PLUS and, if it once chooses to make a market, may cease doing so
at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based
on its estimate of the current value of the Trigger PLUS, taking into account its bid/offer spread, our credit spreads, market
volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to
maturity and the likelihood that it will be able to resell the Trigger PLUS. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate significantly
in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend
on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market
in the Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing
to hold your Trigger PLUS to maturity.
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§
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Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS. One
or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related
to the Trigger PLUS (and to other instruments linked to any underlying, the MSCI Emerging Markets IndexSM or the MSCI
EAFE IndexSM), including taking positions in stocks constituting the SX5E Index, the MSCI Emerging Markets IndexSM
or the MSCI EAFE IndexSM or taking positions in the EEM Shares, the EFA Shares, futures and/or options contracts on
the SX5E Index, the EEM Shares, the EFA Shares, the MSCI Emerging Markets IndexSM or the MSCI EAFE IndexSM
or their component stocks listed on major securities markets. As a result, these entities may be unwinding or adjusting hedge positions
during the term of the Trigger PLUS, and the hedging strategy may involve greater and more frequent dynamic adjustments to the
hedge as the valuation date approaches. Some of our affiliates also trade the stocks that constitute the underlyings and other
financial instruments related to the underlyings 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 October 31, 2019 could have increased the initial level of any underlying
index, and, therefore, could have increased the value at or above which such underlying index must close on the valuation date
so that investors do not suffer a significant loss on their initial investment in the Trigger PLUS (depending also on the performance
of the other underlyings). Additionally, such hedging or trading activities during the term of the Trigger PLUS, including on the
valuation date, could adversely affect the value of any underlying index on the valuation date, and, accordingly, the amount of
cash an investor will receive at maturity, if any (depending also on the performance of the other underlyings).
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§
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The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the Trigger PLUS. As calculation agent, MS & Co. has determined the initial levels and the trigger levels, will determine
the final levels, including whether any underlying index has decreased to below its respective trigger level, and will calculate
the amount of cash you receive at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence
of market disruption events, whether to make any adjustments to the adjustment factors and the selection of a successor index or
calculation of the index closing value of the SX5E Index or the closing price of the EEM Shares or the EFA Shares, as applicable,
in the event
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Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
of a market disruption event or
discontinuance of an underlying. 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 PLUS—Postponement of Valuation
Date(s),” “—Alternate Exchange Calculation in case of an Event of Default” and “—Calculation
Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value
of the Trigger PLUS on the pricing date.
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§
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The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please read the discussion
under “Additional Information—Tax considerations” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for PLUS (together, the “Tax Disclosure Sections”) concerning
the U.S. federal income tax consequences of an investment in the Trigger PLUS. As discussed in the Tax Disclosure Sections, there
is a substantial risk that the “constructive ownership” rule could apply, in which case all or a portion of any long-term
capital gain recognized by a U.S. Holder could be recharacterized as ordinary income and an interest charge could be imposed. If
the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character
of income on the Trigger PLUS might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example,
under one possible treatment, the IRS could seek to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders
would be required to accrue into income original issue discount on the Trigger PLUS every year at a “comparable yield”
determined at the time of issuance and recognize all income and gain in respect of the Trigger PLUS as ordinary income. Additionally,
as discussed under “United States Federal Taxation—FATCA” in the accompanying product supplement for PLUS, the
withholding rules commonly referred to as “FATCA” would apply to the Trigger PLUS if they were recharacterized as debt
instruments. However, recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them
pending finalization) eliminate the withholding requirement on payments of gross proceeds of a taxable disposition (other than
amounts treated as “FDAP income,” as defined in the accompanying product supplement for PLUS). The risk that financial
instruments providing for buffers, triggers or similar downside protection features, such as the Trigger PLUS, would be recharacterized
as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. We
do not plan to request a ruling from the IRS regarding the tax treatment of the Trigger PLUS, and the IRS or a court may not agree
with the tax treatment described in the Tax Disclosure Sections.
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In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of
factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, as
discussed in this document. While the notice requests comments on appropriate transition rules and effective dates, any Treasury
regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences
of an investment in the Trigger PLUS, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax
advisers regarding the U.S. federal income tax consequences of an investment in the Trigger PLUS, including possible alternative
treatments, the potential application of the constructive ownership rule, 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
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50®
Index Overview
The EURO STOXX 50® Index was created by STOXX
Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index began
on February 26, 1998, based on an initial level of 1,000 at December 31, 1991. The EURO STOXX 50® Index is composed
of 50 component stocks of market sector leaders from within the STOXX 600 Supersector Indices, which includes stocks selected from
the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all market sectors.
For additional information about the EURO STOXX 50® Index, see the information set forth under “EURO STOXX
50® Index” in the accompanying index supplement.
Information as of market close on November 1, 2019:
Bloomberg Ticker Symbol:
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SX5E
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Current Index Value:
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3,623.74
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52 Weeks Ago:
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3,204.21
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52 Week High (on 10/28/2019):
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3,625.69
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52 Week Low (on 12/27/2018):
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2,937.36
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The following graph sets forth the daily closing values of the
SX5E Index for the period from January 1, 2014 through November 1, 2019. The related table sets forth the published high and low
closing values, as well as end-of-quarter closing values, of the SX5E Index for each quarter in the same period. The closing value
of the SX5E Index on November 1, 2019 was 3,623.74. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The SX5E index has at times experienced periods of high volatility, and you should not
take the historical values of the SX5E index as an indication of its future performance.
SX5E Index Daily Closing Values
January 1, 2014 to November 1, 2019
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Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
EURO STOXX 50® Index
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High
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Low
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Period End
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2014
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First Quarter
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3,172.43
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2,962.49
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3,161.60
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Second Quarter
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3,314.80
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3,091.52
|
3,228.24
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Third Quarter
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3,289.75
|
3,006.83
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3,225.93
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Fourth Quarter
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3,277.38
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2,874.65
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3,146.43
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2015
|
|
|
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First Quarter
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3,731.35
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3,007.91
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3,697.38
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Second Quarter
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3,828.78
|
3,424.30
|
3,424.30
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Third Quarter
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3,686.58
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3,019.34
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3,100.67
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Fourth Quarter
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3,506.45
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3,069.05
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3,267.52
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2016
|
|
|
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First Quarter
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3,178.01
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2,680.35
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3,004.93
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Second Quarter
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3,151.69
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2,697.44
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2,864.74
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Third Quarter
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3,091.66
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2,761.37
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3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
Fourth Quarter (through November 1, 2019)
|
3,625.69
|
3,413.31
|
3,623.74
|
“EURO STOXX 50®” and “STOXX®”
are trademarks of STOXX Limited. For more information, see “EURO STOXX 50® Index” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI Emerging Markets
ETF Overview
The iShares® MSCI Emerging Markets ETF is
an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance, before fees
and expenses, of the MSCI Emerging Markets IndexSM. The iShares® MSCI Emerging Markets ETF is managed
by iShares®, Inc. (“iShares”), a registered investment company that consists of numerous separate investment
portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided to or filed with the Securities
and Exchange Commission (the “Commission”) by iShares pursuant to the Securities Act of 1933 and the Investment Company
Act of 1940 can be located by reference to Commission file numbers 033-97598 and 811-09102, respectively, through the Commission’s
website at www.sec.gov. In addition, information may be obtained from other publicly available sources. Neither the issuer nor
the agent makes any representation that any such publicly available information regarding the iShares® MSCI Emerging
Markets ETF is accurate or complete.
Information as of market close on November 1, 2019:
Bloomberg Ticker Symbol:
|
EEM UP
|
Current Level:
|
$43.22
|
52 Weeks Ago:
|
$40.56
|
52 Week High (on 4/17/2019):
|
$44.59
|
52 Week Low (on 12/24/2018):
|
$38.16
|
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the EEM Shares for each quarter from January 1, 2014 through November
1, 2019. The closing price of the EEM Shares on November 1, 2019 was $43.22. We obtained the information in the table and graph
below from Bloomberg Financial Markets, without independent verification. The EEM Shares have at times experienced periods of high
volatility, and you should not take the historical values of the EEM Shares as an indication of future performance.
EEM Shares Daily Closing Prices
January 1, 2014 to November 1, 2019
|
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI Emerging Markets ETF (CUSIP 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
40.99
|
37.09
|
40.99
|
Second Quarter
|
43.95
|
40.82
|
43.23
|
Third Quarter
|
45.85
|
41.56
|
41.56
|
Fourth Quarter
|
42.44
|
37.73
|
39.29
|
2015
|
|
|
|
First Quarter
|
41.07
|
37.92
|
40.13
|
Second Quarter
|
44.09
|
39.04
|
39.62
|
Third Quarter
|
39.78
|
31.32
|
32.78
|
Fourth Quarter
|
36.29
|
31.55
|
32.19
|
2016
|
|
|
|
First Quarter
|
34.28
|
28.25
|
34.25
|
Second Quarter
|
35.26
|
31.87
|
34.36
|
Third Quarter
|
38.20
|
33.77
|
37.45
|
Fourth Quarter
|
38.10
|
34.08
|
35.01
|
2017
|
|
|
|
First Quarter
|
39.99
|
35.43
|
39.39
|
Second Quarter
|
41.93
|
38.81
|
41.39
|
Third Quarter
|
45.85
|
41.05
|
44.81
|
Fourth Quarter
|
47.81
|
44.82
|
47.12
|
2018
|
|
|
|
First Quarter
|
52.08
|
45.69
|
48.28
|
Second Quarter
|
48.14
|
42.33
|
43.33
|
Third Quarter
|
45.03
|
41.14
|
42.92
|
Fourth Quarter
|
42.93
|
38.00
|
39.06
|
2019
|
|
|
|
First Quarter
|
43.71
|
38.45
|
42.92
|
Second Quarter
|
44.59
|
39.91
|
42.91
|
Third Quarter
|
43.42
|
38.74
|
40.87
|
Fourth Quarter (through November 1, 2019)
|
43.22
|
40.27
|
43.22
|
This document relates only to the Trigger PLUS referenced
hereby and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding iShares
from the publicly available documents described above. In connection with the offering of the Trigger PLUS, neither we nor the
agent has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither
we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
iShares is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including
events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the
trading price of the underlying shares (and therefore the price of the underlying shares at the time we priced the Trigger PLUS)
have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future
events concerning iShares could affect the value received at maturity with respect to the Trigger PLUS and therefore the value
of the Trigger PLUS.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the underlying shares.
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more
of our affiliates may publish research reports with respect to the underlying shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the Trigger PLUS under the securities laws. As a purchaser of the Trigger
PLUS, you should undertake an independent investigation of iShares as in your judgment is appropriate to make an informed decision
with respect to an investment linked to the underlying shares.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® is a registered trademark of BlackRock
Institutional Trust Company, N.A. (“BTC”). The Trigger PLUS are not sponsored, endorsed, sold, or promoted by BTC.
BTC makes no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding the advisability
of investing in the Trigger PLUS. BTC has no obligation or liability in connection with the operation, marketing, trading or sale
of the Trigger PLUS.
The MSCI Emerging Markets IndexSM.
The MSCI Emerging Markets IndexSM is a stock index calculated, published and disseminated daily by MSCI Inc. and is
intended to provide performance benchmarks for certain emerging equity markets including Brazil, Chile, China, Colombia, Czech
Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia,
South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI Emerging Markets IndexSM is described in “MSCI
Emerging Markets IndexSM” and “MSCI Global Investable Market Indices Methodology” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI EAFE ETF Overview
The iShares® MSCI EAFE ETF is an exchange-traded
fund that seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the
MSCI EAFE IndexSM. The iShares® MSCI EAFE ETF is managed by iShares Trust (“iShares”), a
registered investment company that consists of numerous separate investment portfolios, including the iShares® MSCI
EAFE ETF. Information provided to or filed with the Commission by iShares pursuant to the Securities Act of 1933 and the Investment
Company Act of 1940 can be located by reference to Commission file numbers 333-92935 and 811-09729, respectively, through the Commission’s
website at.www.sec.gov. In addition, information may be obtained from other publicly available sources. We make no representation
or warranty as to the accuracy or completeness of such information.
Information as of market close on November 1, 2019:
Bloomberg Ticker Symbol:
|
EFA UP
|
Current Share Price:
|
$68.02
|
52 Weeks Ago:
|
$63.26
|
52 Week High (on 11/1/2019):
|
$68.02
|
52 Week Low (on 12/24/2018):
|
$56.89
|
The following graph sets forth the daily closing prices of the
EFA Shares for the period from January 1, 2014 through November 1, 2019. The related table sets forth the published high and low
closing prices, as well as end-of-quarter closing prices, of the EFA Shares for each quarter in the same period. The closing price
of the EFA Shares on November 1, 2019 was $68.02. We obtained the information in the table below from Bloomberg Financial Markets,
without independent verification. The EFA Shares have at times experienced periods of high volatility, and you should not take
the historical values of the EFA Shares as an indication of future performance.
EFA Shares Daily Closing Prices
January 1, 2014 to November 1, 2019
|
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares® MSCI EAFE ETF (CUSIP 464287465)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
68.03
|
62.31
|
67.17
|
Second Quarter
|
70.67
|
66.26
|
68.37
|
Third Quarter
|
69.25
|
64.12
|
64.12
|
Fourth Quarter
|
64.51
|
59.53
|
60.84
|
2015
|
|
|
|
First Quarter
|
65.99
|
58.48
|
64.17
|
Second Quarter
|
68.42
|
63.49
|
63.49
|
Third Quarter
|
65.46
|
56.25
|
57.32
|
Fourth Quarter
|
62.06
|
57.50
|
58.75
|
2016
|
|
|
|
First Quarter
|
57.80
|
51.38
|
57.13
|
Second Quarter
|
59.87
|
52.64
|
55.81
|
Third Quarter
|
59.86
|
54.44
|
59.13
|
Fourth Quarter
|
59.20
|
56.20
|
57.73
|
2017
|
|
|
|
First Quarter
|
62.60
|
58.09
|
62.29
|
Second Quarter
|
67.22
|
61.44
|
65.20
|
Third Quarter
|
68.48
|
64.83
|
68.48
|
Fourth Quarter
|
70.80
|
68.42
|
70.31
|
2018
|
|
|
|
First Quarter
|
75.25
|
67.94
|
69.68
|
Second Quarter
|
71.90
|
66.35
|
66.97
|
Third Quarter
|
68.98
|
65.43
|
67.99
|
Fourth Quarter
|
68.07
|
56.89
|
58.78
|
2019
|
|
|
|
First Quarter
|
65.61
|
58.13
|
64.86
|
Second Quarter
|
66.99
|
63.40
|
65.73
|
Third Quarter
|
66.68
|
61.30
|
65.21
|
Fourth Quarter (through November 1, 2019)
|
68.02
|
63.25
|
68.02
|
This document relates only to the Trigger PLUS referenced
hereby and does not relate to the underlying shares. We have derived all disclosures contained in this document regarding the Trust
from the publicly available documents described above. In connection with the offering of the Trigger PLUS, neither we nor the
agent has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither
we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
the Trust is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof
(including events that would affect the accuracy or completeness of the publicly available documents described above) that would
affect the trading price of the underlying shares (and therefore the price of the underlying shares at the time we priced the Trigger
PLUS) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material
future events concerning iShares could affect the value received at maturity with respect to the Trigger PLUS and therefore the
value of the Trigger PLUS. Neither we nor any of our affiliates makes any representation to you as to the performance of the underlying
shares.
We and/or our affiliates may presently or from time to time engage
in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more
of our affiliates may publish research reports with respect to the underlying shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the Trigger PLUS under the securities laws. As a purchaser of the Trigger
PLUS, you should undertake an independent investigation of
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
iShares as in your judgment is appropriate to make an informed
decision with respect to an investment linked to the underlying shares.
“iShares®” is a registered mark
of BlackRock Institutional Trust Company, N.A. (“BTC”). The securities are not sponsored, endorsed, sold, or promoted
by BTC. BTC makes no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding the
advisability of investing in the securities. BTC has no obligation or liability in connection with the operation, marketing, trading
or sale of the Trigger PLUS.
The MSCI EAFE IndexSM.
The MSCI EAFE IndexSM is a stock index calculated, published and disseminated daily by MSCI Inc. (“MSCI”).
The index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed
markets, excluding the United States and Canada, and it consists of the following 21 developed market country indices: Australia,
Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway,
Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. For additional information about the MSCI EAFE IndexSM,
see the information set forth under “MSCI EAFE IndexSM” and “MSCI Global Investable Market Indices
Methodology” in the accompanying index supplement.
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities
Additional Terms of the Trigger PLUS
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
SX5E Index publisher:
|
STOXX Limited or any successor thereof
|
Share underlying indices:
|
With respect to the EEM Shares, the MSCI Emerging Markets IndexSM
With respect to the EFA Shares, the MSCI EAFE IndexSM
|
Share underlying index publisher:
|
With respect to each of the EEM Shares and the EFA Shares, MSCI Inc., or any successor thereof.
|
Denominations:
|
$1,000 per Trigger PLUS and integral multiples thereof
|
Postponement of maturity date:
|
If the scheduled valuation date is not an index business day or a trading day, as applicable with respect to any underlying or if a market disruption event occurs with respect to any underlying on that day so that the valuation date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the second business day following the latest valuation date as postponed with respect to any underlying.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation agent:
|
MS & Co.
|
Issuer notice to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which
the maturity date has been rescheduled (i) to each registered holder of the Trigger PLUS by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New
York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing
such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Trigger
PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or
not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later
than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity
date and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the actual valuation date.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, if any, to be delivered with respect to the Trigger PLUS, on or prior to 10:30 a.m. (New York City time) on the business
day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to the Trigger PLUS, if any, to the
trustee for delivery to the depositary, as holder of the Trigger PLUS, on the maturity date.
|
Morgan Stanley Finance LLC
Dual Directional Trigger PLUS Based on the Value of the Worst Performing of the EURO STOXX 50® Index, the iShares® MSCI Emerging Markets ETF and the iShares® MSCI EAFE ETF due November 3, 2022
Trigger Performance Leveraged Upside SecuritiesSM
Principal at Risk Securities