CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of Registration
Fee
|
Contingent Coupon Securities with One-Time Automatic Redemption Feature due 2024
|
|
$2,540,000
|
|
$329.69
|
November
2019
Pricing
Supplement No. 2,817
Registration Statement Nos. 333-221595; 333-221595-01
Dated November 7, 2019
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
Structured Investments
Opportunities in U.S. Equities
Contingent Coupon Securities with One-Time Automatic
Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable
During Only the First Two Years of the Term of the Securities
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk
Securities
Unlike ordinary debt securities,
the Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due
November 12, 2024, With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities,
which we refer to as the securities, do not provide for the regular payment of interest and provide for a minimum payment at maturity
of only 20% of the stated principal amount. Instead, the securities offer the opportunity for investors to earn a contingent monthly
coupon during only the first two years of the term of the securities but only if and for as long as the index closing value of
the S&P 500® Index (the “underlying index”) has remained greater than or equal to 80% of the initial
index value, which we refer to as the trigger level, on each day during the first two years of the term of the securities.
If the index closing value of the underlying index is less than the trigger level on any day during the first two years
of the term of the securities, a trigger event will have occurred and you will not receive any contingent monthly coupon payment
for the corresponding monthly period or for any subsequent monthly period for the remainder of the term of the securities.
Therefore, investors in the securities will permanently forfeit their ability to receive subsequent contingent monthly coupon
payments (which would otherwise be payable only during the first two years of the term of the securities) if the index closing
value declines below the trigger level on any day during the first two years of the term of the securities. As a result,
investors must be willing to accept the risk of not receiving any contingent monthly coupon payments during the entire term of
the securities. In addition, if a trigger event does not occur during the first two years of the term of the securities,
the securities will be automatically redeemed at the end of the first two years of the term of the securities, and investors will
receive the early redemption payment equal to the stated principal amount of the securities and the final contingent monthly coupon
payment but will not participate in any performance of the underlying index. No further payments will be made on the securities
once they have been redeemed. However, if a trigger event does occur on any day during the first two years of the term
of the securities, investors will receive no further contingent monthly coupon payments and the securities will not be redeemed
prior to maturity. Instead, investors will receive a return at maturity based on the performance of the underlying index over
the term of the securities, determined as set forth below. Therefore, if a trigger event occurs and the underlying index recovers
such that the final index value is greater than the trigger level, investors will receive a positive return on their investment.
However, if a trigger event occurs and the final index value is less than the trigger level, investors will lose 1% for every
1% of the initial index value that the underlying index declines below the trigger level, subject to the minimum payment at maturity
of 20% of the stated principal amount of the securities. Accordingly, investors may lose up to 80% of the stated principal
amount of the securities. These long-dated securities are for investors who seek an opportunity to earn interest during only
the first two years of the term of the securities if and for as long as a trigger event has not occurred on any day during the
first two years of the term of the securities in exchange for the risk of forfeiting all subsequent contingent monthly coupon
payments if a trigger event occurs during the first two years of the term of the securities and the risk of losing some or a significant
portion of their principal if the securities are not automatically redeemed and the S&P 500® Index closes below
80% of the initial index value on the valuation date. The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”)
and are fully and unconditionally guaranteed by Morgan Stanley. The securities are issued as part of MSFL’s Series A Global
Medium-Term Notes program.
All payments are subject to
our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured
obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or
assets.
FINAL TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan
Stanley
|
Underlying index:
|
S&P 500® Index
|
Aggregate principal amount:
|
$2,540,000
|
Stated
principal amount:
|
$1,000 per security
|
Issue
price:
|
$1,000 per security
|
Pricing
date:
|
November 7, 2019
|
Original
issue date:
|
November 12, 2019 (2 business days after the pricing date)
|
Maturity date:
|
November 12, 2024
|
Early
redemption:
|
If a trigger event has not occurred on any day
during the first two years of the term of the securities, the securities will be automatically redeemed for the early redemption
payment on November 12, 2021 (subject to postponement if such day is not a business day). No further payments will
be made on the securities once they have been redeemed, and investors will not participate in any appreciation of the underlying
index.
|
Early
redemption payment:
|
The early redemption payment will be an amount
equal to (i) the stated principal amount for each security plus (ii) the contingent monthly coupon with respect to the final
coupon payment date.
|
Contingent
monthly coupon:
|
The securities may pay
a contingent monthly coupon during only the first two years of the term of the securities, depending on the performance
of the underlying index throughout the first two years of the term of the securities, as follows:
· If
a trigger event has not occurred on any day during the first two years of the term of the securities on
or prior to a monthly monitoring period end-date, we will pay a contingent monthly coupon at an annual rate of 4.05% (corresponding
to approximately $3.375 per month per security) on the related coupon payment date.
The contingent
monthly coupons, if any, will be payable only during the first two years of the term of the securities. Additionally,
if a trigger event does not occur during the first two years of the securities, the securities will be automatically redeemed
at the end of the first two years of the term of the securities. Investors will not participate in any appreciation of
the underlying index, and no further payments will be made on the securities once they have been redeemed.
· If
a trigger event has occurred on any day during the first two years of the term of the securities on or prior
to a monthly monitoring period end-date, no contingent monthly coupon will be paid on the related coupon payment date
or on any subsequent coupon payment dates.
Following
the occurrence of a trigger event, no further contingent monthly coupon payments will be payable over the remainder of
the term of the securities, regardless of the subsequent performance of the underlying index. Additionally if a
trigger event occurs, the securities will not be redeemed prior to maturity and investors will be exposed to the performance
of the underlying index at maturity. See “Payment at maturity” below.
|
Trigger
event:
|
A trigger event occurs if, on any day during any
monthly monitoring period during the first two years of the term of the securities, the index closing value of the underlying
index is less than the trigger level. If a trigger event occurs on any day during any monitoring
period during the first two years of the term of the securities, you will receive no contingent monthly coupon payment on
the related coupon payment date or on any subsequent coupon payment dates, the securities will not be automatically redeemed
prior to maturity and you will be exposed to the performance of the underlying index at maturity.
|
Trigger
level:
|
2,468.144, which is equal to 80% of the initial
index value
|
Payment at maturity:
|
If
a trigger event has occurred on any day during the first two years of the term of the securities, the securities will
not be redeemed prior to maturity and you will receive at maturity an amount in cash per $1,000 security equal to:
· If
the final index value is greater than or equal to the trigger level: $1,000 + ($1,000 × index strike return)
Under
these circumstances, you will receive a positive return on your investment.
· If
the final index value is less than the trigger level: $1,000 + ($1,000 × index strike return)
Under
these circumstances, you will lose some or a significant portion of your investment. However, under no circumstances
will the securities pay less than $200 per security at maturity.
|
Index strike return:
|
(final index value – trigger level) / initial
index value
|
Initial index value:
|
3,085.18, which is the index closing value of
the underlying index on the pricing date
|
|
Terms continued on the following page
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL
and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution;
conflicts of interest.”
|
Estimated value on the pricing
date:
|
$990.50 per security. See “Investment Summary” beginning
on page 3.
|
Commissions and issue price:
|
Price
to public
|
Agent’s
commissions and fees(1)
|
Proceeds
to us(2)
|
Per security
|
$1,000
|
$0
|
$1,000
|
Total
|
$2,540,000
|
$0
|
$2,540,000
|
|
(1)
|
MS & Co. will act
as the agent for this offering and will not receive a sales commission in connection with sales of the securities. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution
(Conflicts of Interest)” in the accompanying prospectus supplement.
|
|
(2)
|
See “Use of proceeds
and hedging” on page 25.
|
The securities involve risks
not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 10.
The Securities and Exchange
Commission and state securities regulators have not approved or disapproved these securities, or determined if this pricing supplement
or the accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.
The securities are not deposits
or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality,
nor are they obligations of, or guaranteed by, a bank.
You should read this pricing
supplement together with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via
the hyperlinks below. Please also see “Additional Terms of the Securities” and “Additional Information About
the Securities” at the end of this pricing supplement.
References to “we,”
“us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context
requires.
Prospectus Supplement dated November 16, 2017 Index Supplement dated November 16, 2017 Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Terms continued from previous page:
|
Minimum
payment at maturity:
|
$200 per security (20% of the stated principal
amount)
|
Valuation date:
|
November 7, 2024, subject to postponement for non-index business
days and certain market disruption events
|
Final index value:
|
The index closing value of the underlying index on the valuation
date
|
Monitoring periods:
|
There are 24 monthly monitoring periods during the first two
years of the term of the securities. The first monitoring period will consist of each index business day on which no
market disruption event occurs from but excluding the pricing date to and including the first monitoring period end-date.
Each subsequent monitoring period will consist of each index business day on which no market disruption event occurs from
but excluding the prior monitoring period end-date to and including the following monitoring period end-date.
|
Monitoring
period end-dates:
|
For the first two years of the term of the securities, monthly,
as set forth under “Monitoring Period End-Dates and Coupon Payment Dates” below, subject to postponement for non-index
business days and certain market disruption events . We also refer to November 8, 2021 as the final monitoring period end-date.
|
Coupon
payment dates:
|
For the first two years of the term of the securities, monthly,
as set forth under “Monitoring Period End-Dates and Coupon Payment Dates” below. If any coupon payment
date is not a business day, that coupon payment, if any, will be made on the next succeeding business day and no adjustment
will be made to any coupon payment made on that succeeding business day. There will under no circumstances be any coupon
payments made after the first two years of the term of the securities.
|
CUSIP / ISIN:
|
61769HP58 / US61769HP587
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Monitoring Period End-Dates
and Coupon Payment Dates
Monitoring
Period End-Dates
|
Coupon
Payment Dates
|
December 9, 2019
|
December 12, 2019
|
January 7, 2020
|
January 10, 2020
|
February 7, 2020
|
February 12, 2020
|
March 9, 2020
|
March 12, 2020
|
April 7, 2020
|
April 13, 2020
|
May 7, 2020
|
May 12, 2020
|
June 8, 2020
|
June 11, 2020
|
July 7, 2020
|
July 10, 2020
|
August 7, 2020
|
August 12, 2020
|
September 8, 2020
|
September 11, 2020
|
October 7, 2020
|
October 13, 2020
|
November 9, 2020
|
November 13, 2020
|
December 7, 2020
|
December 10, 2020
|
January 7, 2021
|
January 12, 2021
|
February 8, 2021
|
February 11, 2021
|
March 8, 2021
|
March 11, 2021
|
April 7, 2021
|
April 12, 2021
|
May 7, 2021
|
May 12, 2021
|
June 7, 2021
|
June 10, 2021
|
July 7, 2021
|
July 12, 2021
|
August 9, 2021
|
August 12, 2021
|
September 7, 2021
|
September 10, 2021
|
October 7, 2021
|
October 13, 2021
|
November 8, 2021
|
November 12, 2021
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Investment Summary
Contingent Coupon Securities
Principal
at Risk Securities
The Contingent Coupon Securities with One-Time Automatic Redemption
Feature Linked to the S&P 500® Index due November 12, 2024, With Contingent Monthly Coupons Potentially Payable
During Only the First Two Years of the Term of the Securities, which we refer to as the securities, provide an opportunity for
investors to earn a contingent monthly coupon at an annual rate of 4.05% (corresponding to approximately $3.375 per month per security)
but only if and for as long as the index closing value of the underlying index has remained greater than or equal to 80% of the
initial index value, which we refer to as the trigger level, on each day during the first two years of the term of the securities.
If the index closing value of the underlying index is less than the trigger level on any day during the first two years
of the term of the securities, a trigger event will have occurred and you will not receive any contingent monthly coupon payment
for the corresponding monthly period or for any subsequent monthly period for the remainder of the term of the securities.
Therefore, investors in the securities will permanently forfeit their ability to receive subsequent contingent monthly coupon payments
(which would otherwise be payable only during the first two years of the term of the securities) if the index closing value declines
below the trigger level on any day during the first two years of the term of the securities. In addition, if a trigger event
does not occur during the first two years of the term of the securities, the securities will be automatically redeemed at
the end of the first two years of the term of the securities, and investors will receive the early redemption payment equal to
the stated principal amount of the securities and the final contingent monthly coupon payment but will not participate in any performance
of the underlying index. No further payments will be made on the securities once they have been redeemed. However, if a trigger
event does occur on any day during the first two years of the term of the securities, investors will receive no further
contingent monthly coupon payments and the securities will not be redeemed prior to maturity. Instead, investors will receive a
return at maturity based on the performance of the underlying index over the term of the securities. Therefore, if a trigger event
occurs and the underlying index recovers such that the final index value is greater than the trigger level, investors will receive
a positive return on their investment. However, if a trigger event occurs and the final index value is less than the trigger level,
investors will lose 1% for every 1% of the initial index value that the underlying index declines below the trigger level, subject
to the minimum payment at maturity of 20% of the stated principal amount. Under these circumstances, you will lose some or a significant
portion of your investment. Investors may lose up to 80% of the stated principal amount of the securities.
The original issue price of each security is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently,
the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value of each security on the
pricing date is $990.50.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying index. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
underlying index, instruments based on the underlying index, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including
the contingent monthly coupon rate, the trigger level and the minimum payment at maturity, we use an internal funding rate, which
is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring
and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the
securities would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying index, may vary from, and be lower
than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit
spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other
factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted
upon issuance, for a period of up to 6 months following the issue date, to the extent
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
that MS & Co. may buy or sell the securities in the secondary
market, absent changes in market conditions, including those related to the underlying index, and to our secondary market credit
spreads, it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected
in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Key Investment Rationale
The securities do not guarantee repayment of more than 20% of
principal at maturity and do not provide for the regular payment of interest. Instead, the securities offer investors an opportunity
to earn a contingent monthly coupon during only the first two years of the securities at a rate of 4.05% per annum but only
if and for as long as the index closing value of the underlying index has remained greater than or equal to 80% of the initial
index value, which we refer to as the trigger level, on each day during the first two years of the term of the securities.
Additionally, if a trigger event has not occurred during the first two years of the term of the securities, the securities will
be automatically redeemed at the end of the first two years of the term of the securities, and investors will receive the stated
principal amount of the securities plus the final contingent monthly coupon payment but will not participate in any performance
of the underlying index. No further payments will be made on the securities once they have been redeemed. However, if a trigger
event occurs on any day during the first two years of the term of the securities, investors will receive no further contingent
monthly coupon payments and the securities will not be redeemed prior to maturity. Instead, investors will receive a return at
maturity based on the performance of the underlying index. The payment at maturity may be up to 80% less than the stated principal
amount of the securities. The return on the securities will vary depending on whether or not a trigger event has occurred during
the first two years of the term of the securities, as follows:
Scenario 1: A trigger event does not occur on any day during the first two years of the term of the securities, and so the securities are automatically redeemed after two years.
|
This scenario assumes that the underlying index closes at or above the trigger level on every day during the first two years of the term of the securities. Therefore, a trigger event has not occurred and investors will receive the contingent monthly coupon on each coupon payment date during the first two years of the term of the securities. In addition, the securities will be automatically redeemed at the end of the first two years of the term of the securities, and investors will receive the stated principal amount plus the final contingent monthly coupon payment. No further payments will be made on the securities once they have been redeemed, and investors will not participate in any appreciation of the underlying index.
|
Scenario 2: A trigger event occurs on any day during the first two years of the term of the securities. Investors will forfeit all subsequent contingent monthly coupons and may suffer a loss of principal at maturity.
|
This scenario assumes that the underlying index closes below
the trigger level on any day during the first two years of the term of the securities. Therefore, a trigger event has occurred.
In this scenario, investors will receive contingent monthly coupons only for the monitoring period(s) prior to the monitoring period
in which the trigger event occurs, if any. Therefore, investors either do not receive any contingent monthly coupons during the
first two years of the term of the securities or they receive contingent monthly coupons on only a limited number of coupon payment
dates during the first two years of the term of the securities.
In addition, because a trigger event has occurred, the securities
will not be redeemed prior to maturity and, at maturity, investors will receive a return based on the performance of the underlying
index over the term of the securities. This means that if the underlying index recovers such that the final index value is greater
than the trigger level, investors will receive a positive return on their investment. However, if the final index value is less
than the trigger level, investors will lose 1% for every 1% of the initial index value that the underlying index declines below
the trigger level, subject to the minimum payment at maturity of 20% of the stated principal amount. Investors may lose up to 80%
of the stated principal amount of the securities.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
How the Contingent Coupon Securities Work
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples are for illustrative purposes
only. The actual initial index value and trigger level are set forth on the cover of this document. Any payment on the securities
is subject to our credit risk. The numbers in the hypothetical examples may be rounded for ease of analysis. The below examples
are based on the following terms:
Stated principal amount:
|
$1,000 per security
|
Hypothetical initial index value:
|
3,000
|
Hypothetical trigger level:
|
2,400, which is 80% of the hypothetical initial index value
|
Contingent monthly coupon:
|
4.05% per annum (corresponding to $3.375 per month per security)*
|
Minimum payment at maturity:
|
$200 per security
|
* The actual contingent coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical contingent monthly coupon payment of $3.375 is used in these examples for ease of analysis.
|
Example 1: A trigger event HAS NOT occurred
on any day during the first two years of the term of the securities.
Date
|
Trigger event has occurred on or prior to monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
No
|
$3.375
|
Second monitoring period end-date
|
No
|
$3.375
|
Third through twenty-third monitoring period end-dates
|
No
|
$3.375 each (21 x $3.375 = $70.875)
|
Twenty-fourth monitoring period end-date
|
No
|
$1,003.375 (early redemption payment)
|
Total payments (over two years)
|
|
$1,081.00 (contingent monthly coupon payments + early redemption payment)
|
Because a trigger event has not occurred during
the first two years of the term of the securities, investors receive the contingent monthly coupon payment on each coupon payment
date during the first two years of the term of the securities. Additionally, because a trigger event has not occurred during the
first two years of the term of the securities, the securities are automatically redeemed at the end of the first two years of the
term of the securities. Investors receive the early redemption payment, which equals $1,003.375 (equal to the stated principal
amount of $1,000 plus the final contingent monthly coupon payment). When added to the contingent monthly coupon payments received
with respect to the prior coupon payment dates, the total amount paid for each $1,000 principal amount of securities over the two-year
term of the securities is $1,081.00. Investors do not participate in any performance of the
underlying index because a trigger event has not occurred during the first two years of the term of the securities. No further
payments will be made on the securities once they have been redeemed.
Example 2: A trigger event HAS occurred
on or prior to the first monitoring period end-date, and the final index value is less than the trigger level.
Date
|
Trigger event has occurred on or prior to monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
Yes
|
$0
|
Second monitoring period end-date
|
Yes
|
$0
|
Third through twenty-fourth monitoring period end-dates
|
Yes
|
$0
|
Valuation date (final index value = 900)
|
N/A
|
$500.00
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Total payments over the five-year term of the securities
|
|
$500.00
|
Because a trigger event has occurred on or
prior to the first monitoring period end-date, investors receive no contingent monthly coupon payment for that monthly period or
for any subsequent monthly period during the first two years of the term of the securities. Therefore, investors receive no contingent
monthly coupon payments. Additionally, the securities are not redeemed prior to maturity. Because the final index value is less
than the trigger level, investors lose 1% of their investment for every 1% of the initial index value that the final index
value is less than the trigger level, subject to the minimum payment at maturity. The payment at maturity is $500.00 per $1,000
principal amount of securities, representing a substantial loss on the initial investment, calculated as follows:
$1,000 + ($1,000 ×
(900 – 2,400 / 3,000))
= $1,000 + ($1,000 ×
-0.50) = $500.00
Example 3: A trigger event HAS occurred
for the first time between the third monitoring period end-date and the fourth monitoring period end-date, and the final index
value is greater than or equal to the trigger level.
Date
|
Trigger event has occurred on or before monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
No
|
$3.375
|
Second monitoring period end-date
|
No
|
$3.375
|
Third monitoring period end-date
|
No
|
$3.375
|
Fourth monitoring period end-date
|
Yes
|
$0
|
Fifth through twenty-fourth monitoring period end-dates
|
Yes
|
$0
|
Valuation date (final index value = 2,850)
|
N/A
|
$1,150.00
|
Total payments over the five-year term of the securities
|
|
$1,160.125
|
Because a trigger event has occurred between
the third monitoring period end-date and the fourth monitoring period end-date, investors receive no contingent monthly coupon
payment for the fourth monthly period or for any subsequent monthly period. Additionally, the securities are not redeemed prior
to maturity. The underlying index subsequently recovers, and the final index value is greater than the trigger level. Because a
trigger event has occurred and the final index value is greater than the trigger level, the payment at maturity will be
$1,150.00 per $1,000 principal amount of securities, calculated as follows:
$1,000 + ($1,000 ×
(2,850 – 2,400 / 3,000))
$1,000 + ($1,000 ×
0.15) = $1,150.00
When added to the contingent monthly coupon
payments received with respect to the prior monitoring period end-dates, the total amount paid for each $1,000 principal amount
of securities over the five-year term of the securities is $1,160.125.
Example 4: A trigger event HAS occurred
for the first time between the fourteenth monitoring period end-date and the fifteenth monitoring period end-date, and the final
index value is less than the trigger level.
Date
|
Trigger event has occurred on or before monitoring period end-date
|
Payment (per $1,000 principal amount of securities)
|
First monitoring period end-date
|
No
|
$3.375
|
Second monitoring period end-date
|
No
|
$3.375
|
Third monitoring period end-date
|
No
|
$3.375
|
Fourth monitoring period end-date
|
No
|
$3.375
|
Fifth monitoring period end-date
|
No
|
$3.375
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Sixth monitoring period end-date
|
No
|
$3.375
|
Seventh monitoring period end-date
|
No
|
$3.375
|
Eighth monitoring period end-date
|
No
|
$3.375
|
Ninth monitoring period end-date
|
No
|
$3.375
|
Tenth monitoring period end-date
|
No
|
$3.375
|
Eleventh monitoring period end-date
|
No
|
$3.375
|
Twelfth monitoring period end-date
|
No
|
$3.375
|
Thirteenth monitoring period end-date
|
No
|
$3.375
|
Fourteenth monitoring period end-date
|
No
|
$3.375
|
Fifteenth monitoring period end-date
|
Yes
|
$0
|
Sixteenth through twenty-fourth monitoring period end-dates
|
Yes
|
$0
|
Valuation date (final index value = 300)
|
N/A
|
$300.00
|
Total payments over the five-year term of the securities
|
|
$347.25
|
Because a trigger event has occurred between
the fourteenth monitoring period end-date and the fifteenth monitoring period end-date, investors receive no contingent monthly
coupon payment for the fifteenth monthly period or for any subsequent monthly period. Additionally, the securities are not redeemed
prior to maturity. Because the final index value is less than the trigger level, investors lose 1% of their investment for
every 1% of the initial index value that the final index value is less than the trigger level, subject to the minimum payment at
maturity. The payment at maturity is $300.00 per $1,000 principal amount of securities, representing a substantial loss on the
initial investment, calculated as follows:
$1,000 + ($1,000 ×
(300 – 2,400 / 3,000))
$1,000 + ($1,000 ×
-0.70) = $300.00
When added to the contingent monthly coupon
payments received with respect to the prior monitoring period end-dates, the total amount paid for each $1,000 principal amount
of securities over the five-year term of the securities is $347.25.
If a trigger event occurs on any day during
the first two years of the term of the securities, you will receive no subsequent contingent monthly coupon payments and the securities
will not be redeemed prior to maturity. Under these circumstances, you will be exposed to the performance of the underlying index
at maturity, and if the final index value is less than the trigger level, you will lose some or a significant portion of your investment.
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Risk Factors
The following is a non-exhaustive list of certain key risk
factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled
“Risk Factors” in the accompanying index supplement and prospectus. You should also consult your investment, legal,
tax, accounting and other advisers in connection with your investment in the securities.
|
§
|
The securities provide a minimum payment at maturity
of only 20% of your principal.
The terms of the securities differ from those of ordinary debt securities in that the securities
do not guarantee the payment of regular interest and provide a minimum payment at maturity
of only 20% of the stated principal amount at maturity. If a trigger event has occurred on any day during the first two
years of the term of the securities and the final index value is less than the trigger level, you will lose 1% of the principal
amount of your securities for every 1% of the initial index value that the final index value is less than the trigger level, subject
to the minimum payment at maturity of 20% of the principal amount of the securities. Accordingly,
investors may lose up to 80% of the stated principal amount of the securities.
|
|
§
|
If a trigger event occurs, you will forfeit all subsequent coupons and you will be exposed
to the performance of the underlying index at maturity. If a trigger event occurs on any day during the first two years of
the term of the securities, you will receive no subsequent contingent monthly coupon payments and the securities will not be redeemed
prior to maturity. Under these circumstances, you will be exposed to the performance of the underlying index at maturity, and if
the final index value is less than the trigger level, you will lose some or a significant portion of your investment. For purposes
of determining whether or not a trigger event has occurred, the index closing value will be monitored on every day during
the first two years of the term of the securities, and therefore it is more likely that a trigger event will occur than if the
index closing value were monitored less frequently.
|
|
§
|
The securities do not guarantee the payment of any interest. The opportunity to receive contingent
monthly coupon payments will exist only during the first two years of the term of the securities, and it will be permanently forfeited
if a trigger event occurs. The securities do not guarantee the payment of any interest. The contingent monthly coupon payments,
if any, will be potentially available during only the first two years of the term of the securities. Moreover, if the index closing
value of the underlying index is less than the trigger level on any day during the first two years of the term of the securities,
you will not receive a contingent monthly coupon payment for that monthly period or for any subsequent monthly period. Even
if the index closing value of the underlying index subsequently appreciates following the occurrence of a trigger event, you will
receive no further contingent monthly coupon payments. A trigger event could occur as early as during the first monitoring period,
in which case you will receive no contingent monthly coupon payments over the entire term of the securities. The overall return
on the securities may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.
Additionally, if a trigger event occurs on any day during the first two years of the term of the securities and the final index
value is less than the trigger level, investors will lose some or a significant portion of their investment at maturity.
|
|
§
|
If a trigger event does not occur during the first
two years of the term of the securities, the securities will be automatically redeemed at the end of the first two years of the
term of the securities, and the appreciation potential of the securities will be limited to the contingent monthly coupon payments
that will be paid during the first two years of the term of the securities. If a trigger
event does not occur during the first two years of the term of the securities, the securities will be automatically redeemed after
the first two years of the term of the securities and you will not participate in the performance of the underlying index. Under
these circumstances, the return on the securities will be limited to the contingent monthly coupon payments, regardless of any
appreciation in the value of the underlying index, which may be significant. If you receive all available contingent monthly coupon
payments during the first two years of the term of the securities because a trigger event does not occur, you will receive only
the principal amount of your securities (plus the final contingent monthly coupon payment) upon early redemption, and you will
not benefit from any appreciation of the underlying index.
|
|
§
|
The market price of the securities may be influenced by many unpredictable factors. Several
factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price
at which MS & Co. may be willing to purchase or sell the securities in the secondary market, including:
|
|
o
|
whether a trigger event has occurred on any day during the first two years of the term of the securities,
|
|
o
|
the volatility (frequency and magnitude of changes in value) of the S&P 500® Index,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks
of the underlying index or securities markets generally and which may affect the value of the underlying index,
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
o
|
dividend rates on the securities underlying the S&P 500® Index,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the composition of the S&P 500® Index and changes in the constituent stocks of such index, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Generally,
the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described
above. Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity.
For example, you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security
if the value of the S&P 500® Index at the time of sale is near or below the trigger level or if market interest
rates rise.
You cannot predict the future performance
of the S&P 500® Index based on its historical performance. The index closing value of the underlying index may
decrease and be below the trigger level on any day during the first two years of the term of the securities so that you will forfeit
some or all of the contingent monthly coupon payments, or be below the trigger level on the valuation date so that you will lose
some or a significant portion of your initial investment in the securities. See “S&P 500® Index Historical
Performance” below.
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our
credit ratings or credit spreads may adversely affect the market value of the securities. You are dependent on our ability
to pay all amounts due on the securities on any coupon payment date and at maturity, and therefore you are subject to our credit
risk. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of
your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s
view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged
by the market for taking our credit risk is likely to adversely affect the market value of the securities.
|
|
§
|
As a finance subsidiary, MSFL has no independent
operations and will have no independent assets. As a finance subsidiary, MSFL has no independent
operations beyond the issuance and administration of its securities and will have no independent assets available for distributions
to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding.
Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and
that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will
have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by
MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari
passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued
securities.
|
|
§
|
Not equivalent to investing in the underlying index.
Investing in the securities is not equivalent to investing in the underlying index or its
component stocks. Investors in the securities will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the stocks that constitute the underlying index.
|
|
§
|
If a trigger event occurs on any day during the first two years of the term of the securities,
the amount payable at maturity is not linked to the value of the underlying index at any time other than the valuation date. The
final index value will be based on the index closing value on the valuation date, subject to postponement for non-index business
days and certain market disruption events. If a trigger event occurs on any day during the first two years of the term of the securities,
even if the value of the underlying index appreciates prior to the valuation date but then drops by the valuation date, the payment
at maturity will be less than it would have been had the payment at maturity been linked to the value of the underlying index prior
to such drop. Although the actual value of the underlying index on the stated maturity date or at other times during the term of
the securities may be higher than the index closing value on the valuation date, if a trigger event occurs on any day during the
first two years of the term of the securities, the payment at maturity will be based solely on the index closing value on the valuation
date.
|
|
§
|
Reinvestment risk. The term of your investment in the securities may be shortened
due to the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will not
participate in any appreciation of the underlying index and may be forced to invest in a lower interest rate environment and may
not be able to reinvest at comparable terms or returns. However, under no circumstances will the securities be redeemed at
any time other than at the end of the first two years of the term of the securities.
|
|
§
|
Adjustments to the underlying index could adversely affect the value of the securities. The
publisher of the underlying index may add, delete or substitute the component stocks of the underlying index or make other methodological
changes that could
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
change the value of the underlying
index. Any of these actions could adversely affect the value of the securities. The publisher of the underlying index may also
discontinue or suspend calculation or publication of the underlying index at any time. In these circumstances, MS & Co., as
the calculation agent, will have the sole discretion to substitute a successor index that is comparable to the discontinued index.
MS & Co. could have an economic interest that is different than that of investors in the securities insofar as, for example,
MS & Co. is permitted to consider indices that are calculated and published by MS & Co. or any of its affiliates. If MS
& Co. determines that there is no appropriate successor index, the determination of whether the contingent monthly coupon will
be payable on the securities and the determination of the payment at maturity will be based on the value of the underlying index,
based on the closing prices of the stocks constituting the underlying index at the time of such discontinuance, without rebalancing
or substitution, computed by MS & Co. as calculation agent in accordance with the formula for calculating the underlying index
last in effect prior to such discontinuance.
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be
limited. Accordingly, you should be willing to hold your securities
for the entire 5-year term of the securities.
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease
doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at
prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads,
market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining
to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly
in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on
the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in
the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to
hold your securities to maturity.
|
|
§
|
The rate we are willing to pay for securities of this type, maturity and issuance size is
likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and
the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce
the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and
will adversely affect secondary market prices. Assuming no change in market conditions or any other relevant factors, the prices,
if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market transactions will
likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling,
structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary
market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary
market transaction of this type as well as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do
so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage
account statements.
|
§
|
The estimated value of the securities is determined by reference to our pricing and valuation
models, which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing
and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about
future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities,
our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the
market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum
or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market
(if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors
that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price will be influenced by many unpredictable factors” above.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
§
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities.
One or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related
to the securities (and to other instruments linked to the underlying index or its component stocks), including trading in the stocks
that constitute the underlying index as well as in other instruments related to the underlying index. As a result, these entities
may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and
more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates also trade the stocks that
constitute the underlying index and other financial instruments related to the underlying index on a regular basis as part of their
general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could have
increased the initial index value and, therefore, could have increased the trigger level, which is the (i) value at or above which
the underlying index must close on each day during the first two years of the term of the securities so that you receive a contingent
monthly coupon on the securities, and (ii) the value at or above which the underlying index must close on the valuation date (if
the securities are not redeemed prior to maturity) so that you do not lose some or a significant portion of your investment at
maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the value
of the underlying index during the term of the securities and accordingly, the payout to you at maturity, and whether we pay a
contingent monthly coupon on the securities.
|
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will
make determinations with respect to the securities. As calculation agent, MS & Co. has determined the initial index value
and the trigger level and will determine the daily index closing value, including the final index value, whether a trigger event
has occurred, whether the contingent monthly coupon will be paid on each coupon payment date, whether a market disruption event
has occurred and the payment that you will receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity
as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence
or non-occurrence of market disruption events and the selection of a successor index or calculation of the index closing value
in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective determinations
may affect the payout to you at maturity. For further information regarding these types of determinations, see “Additional
Terms of the Securities—Additional Terms—Calculation agent,” “—Market disruption event,” “—Postponement
of valuation date,” “—Discontinuance of the underlying index; alteration of method of calculation” and
“—Alternate exchange calculation in case of an event of default,” below. In addition, MS & Co. has determined
the estimated value of the securities on the pricing date.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and,
therefore, significant aspects of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. It is also
possible that a trigger event would result in a deemed termination and reissuance of the securities for U.S. federal income tax
purposes. In that case, a U.S. Holder might be required to recognize gain or loss (subject to the possible application of the wash
sale rules) with respect to the securities on the first date on which a trigger event occurs. We do not plan to request a ruling
from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities, and the IRS or a court
may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative treatment for the
securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described
herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments. In
that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount on the securities every
year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any, between
the actual and the projected amount of any contingent payments on the securities) and recognize all income and gain in respect
of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection
features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable
financial instruments that do not have such features.
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss, whether these instruments are or should be subject to the “constructive ownership” rule,
which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge,
and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities,
including possible alternative treatments, the possibility of a deemed exchange upon the occurrence of a trigger event, the issues
presented by the IRS notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
S&P 500® Index Summary
The S&P 500® Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500® Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500® Index, see the information set forth under “S&P
500® Index” in the accompanying index supplement.
Information as of market close on November 7, 2019:
Bloomberg
Ticker Symbol:
|
SPX
|
Current
Share Price:
|
3,085.18
|
52
Weeks Ago:
|
2,813.89
|
52
Week High (on 11/7/2019):
|
3,085.18
|
52
Week Low (on 12/24/2018):
|
2,351.10
|
The following graph sets forth
the daily values of the underlying index for the period from January 1, 2014 through November 7, 2019. The related table sets forth
the published high and low values, as well as end-of-quarter closing values, of the underlying index for each quarter in the same
period. The closing value of the underlying index on November 7, 2019 was 3,085.18. We obtained the information in the table below
from Bloomberg Financial Markets, without independent verification. The historical values of the underlying index should not be
taken as an indication of future performance, and no assurance can be given as to the closing value of the underlying index on
any day during the term of the securities, including on the valuation date.
Underlying Index Daily
Closing Values
January 1, 2014 to November
7, 2019
|
|
|
* The red solid line indicates the trigger level of 2,468.144, which is 80% of the initial index value.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
S&P
500® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter
|
2,954.18
|
2,744.45
|
2,941.76
|
Third Quarter
|
3,025.86
|
2,840.60
|
2,976.74
|
Fourth Quarter (through November 7, 2019)
|
3,085.18
|
2,887.61
|
3,085.18
|
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of
Standard and Poor’s Financial Services LLC. For more information, see “S&P 500® Index” in
the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this pricing supplement.
Additional
Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying prospectus supplement, index supplement or prospectus, the terms described herein shall control.
|
Interest period:
|
The monthly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Day count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Underlying index publisher:
|
S&P Dow Jones Indices LLC or any successor thereof
|
Denominations:
|
$1,000 per security and integral multiples thereof
|
Senior security or subordinated security:
|
Senior
|
Specified currency:
|
U.S. dollars
|
Record date:
|
One business day prior to the related scheduled coupon payment date; provided that any contingent monthly coupon payable upon early redemption shall be payable to the person to whom the early redemption payment shall be payable.
|
Trustee:
|
The Bank of New York Mellon, a New York banking corporation
|
Calculation agent:
|
The calculation agent for the securities will be MS & Co.
All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence
of manifest error, be conclusive for all purposes and binding on you, the trustee and us.
All calculations with respect to the contingent monthly coupon,
the redemption payment and the payment at maturity shall be made by the calculation agent and shall be rounded to the nearest one
hundred-thousandth, with five one-millionths rounded upward (e.g., .876545 would be rounded to .87655); all dollar amounts related
to determination of the amount of cash payable per stated principal amount shall be rounded to the nearest ten-thousandth, with
five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts paid on the aggregate
principal amount of the securities shall be rounded to the nearest cent, with one-half cent rounded upward.
Because the calculation agent is our affiliate, the economic
interests of the calculation agent and its affiliates may be adverse to your interests as an investor in the securities, including
with respect to certain determinations and judgments that the calculation agent must make in determining the payment that you will
receive, if any, on each coupon payment date, upon early redemption or at maturity or whether a market disruption event has occurred.
See “Market disruption event” and “Discontinuance of the underlying index; alteration of method of calculation”
below. MS & Co. is obligated to carry out its duties and functions as calculation agent in good faith and using its reasonable
judgment.
|
Business day:
|
Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in The City of New York.
|
Index business day:
|
A day, as determined by the calculation agent, on which trading is generally conducted on each of the relevant exchange(s) for the underlying index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price.
|
Index closing value:
|
The official closing value of the underlying index, or any successor index as defined under “Discontinuance of the underlying index; alteration of method of calculation” below), published at the regular official weekday close of trading on such index business day by the underlying index publisher, as determined by the calculation agent. In certain circumstances, the index closing value will be based on the alternate calculation of the underlying index described under “Discontinuance of the underlying index; alteration of method of calculation” below.
|
Market disruption event:
|
Market disruption event means:
(i) the
occurrence or existence of any of:
(a) a suspension, absence
or material limitation of trading of securities then constituting 20 percent or more of the value of the underlying index (or
the successor index) on the relevant exchange(s) for such securities for more than two hours of trading or during the one-half
hour period preceding the close of the principal trading session on such relevant exchange(s), or
(b) a breakdown or failure in
the price and trade reporting systems of any relevant exchange as
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
a result of which the reported
trading prices for securities then constituting 20 percent or more of the value of the underlying index (or the successor index)
during the last one-half hour preceding the close of the principal trading session on such relevant exchange(s) are materially
inaccurate, or
(c) the suspension, material limitation
or absence of trading on any major U.S. securities market for trading in futures or options contracts or exchange-traded funds
related to the underlying index (or the successor index) for more than two hours of trading or during the one-half hour period
preceding the close of the principal trading session on such market,
in each case as determined by the
calculation agent in its sole discretion; and
(ii) a
determination by the calculation agent in its sole discretion that any event described in clause (i) above materially interfered
with our ability or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with
respect to the securities.
For the purpose of determining whether a market disruption event
exists at any time, if trading in a security included in the underlying index is materially suspended or materially limited at
that time, then the relevant percentage contribution of that security to the value of the underlying index shall be based on a
comparison of (x) the portion of the value of the underlying index attributable to that security relative to (y) the overall value
of the underlying index, in each case immediately before that suspension or limitation.
For the purpose of determining whether a market disruption event
exists at any time: (1) a limitation on the hours or number of days of trading will not constitute a market disruption event if
it results from an announced change in the regular business hours of the relevant exchange or market, (2) a decision to permanently
discontinue trading in the relevant futures or options contract or exchange-traded fund will not constitute a market disruption
event, (3) a suspension of trading in futures or options contracts or exchange-traded funds on the underlying index by the primary
securities market trading in such contracts or funds by reason of (a) a price change exceeding limits set by such securities exchange
or market, (b) an imbalance of orders relating to such contracts or funds or (c) a disparity in bid and ask quotes relating to
such contracts or funds will constitute a suspension, absence or material limitation of trading in futures or options contracts
or exchange-traded funds related to the underlying index and (4) a “suspension, absence or material limitation of trading”
on any relevant exchange or on the primary market on which futures or options contracts or exchange-traded funds related to the
underlying index are traded will not include any time when such securities market is itself closed for trading under ordinary circumstances.
|
Relevant exchange:
|
With respect to the underlying index or its successor index, the primary exchange(s) or market(s) of trading for (i) any security then included in such index and (ii) any futures or options contracts related to such index or to any security then included in such index.
|
Postponement of the valuation date:
|
The valuation date is subject to postponement due to non-index
business days or certain market disruption events, as described in the following paragraph.
If the scheduled valuation date is not an index business day
or if there is a market disruption event on such day, the valuation date shall be the next succeeding index business day on which
there is no market disruption event; provided that if a market disruption event has occurred on each of the five index business
days immediately succeeding the scheduled valuation date, then (i) such fifth succeeding index business day shall be deemed to
be the valuation date, notwithstanding the occurrence of a market disruption event on such day and (ii) with respect to such fifth
index business day on which a market disruption event occurs, the calculation agent shall determine the index closing value on
such fifth index business day in accordance with the formula for and method of calculating the underlying index last in effect
prior to the commencement of the market disruption event, using the closing price (or, if trading in the relevant securities has
been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for
such suspension or limitation) at the close of the principal trading session of the relevant exchange on such index business day
of each security most recently constituting the underlying index without any rebalancing or substitution of such securities following
the commencement of the market disruption event.
|
Postponement of coupon payment dates (including the early redemption date, if applicable):
|
If any scheduled coupon payment date (including the early redemption date, if applicable) is not a business day, that contingent monthly coupon (or early redemption payment, if applicable), if any, shall be paid on the next succeeding business day. No adjustment shall be made to any payment made on a postponed date.
|
Discontinuance of the underlying index;
alteration of method of calculation:
|
If the underlying index publisher discontinues publication of
the underlying index and the underlying index publisher or another entity (including MS & Co.) publishes a successor or substitute
index that the calculation agent determines, in its sole discretion, to be comparable to the discontinued index (such index being
referred to herein as the “successor index”), then any subsequent index closing value will be determined by reference
to the published value of such successor index at the regular weekday close of trading on any index business day that the index
closing value is to be determined, and, to the extent the index closing value of the successor index differs from the index closing
value of the underlying index at the time of such substitution, proportionate adjustments will be made by the calculation agent
to the initial index value and trigger level.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
Upon any selection by the calculation agent of the successor
index, the calculation agent will cause written notice thereof to be furnished to the trustee, to us and to the depositary, as
holder of the securities, within three business days of such selection. We expect that such notice will be made available to you,
as a beneficial owner of the securities, in accordance with the standard rules and procedures of the depositary and its direct
and indirect participants.
If the underlying index publisher discontinues publication of
the underlying index or the successor index prior to, and such discontinuance is continuing on, any day on which an index closing
value must be determined and the calculation agent determines, in its sole discretion, that no successor index is available at
such time, then the calculation agent will determine the index closing value for such date. The index closing value of the underlying
index or the successor index will be computed by the calculation agent in accordance with the formula for and method of calculating
such index last in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities has
been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for
such suspension or limitation) at the close of the principal trading session of the relevant exchange on such date of each security
most recently constituting such index without any rebalancing or substitution of such securities following such discontinuance.
Notwithstanding these alternative arrangements, discontinuance of the publication of the underlying index may adversely affect
the value of the securities.
If at any time, the method of calculating the underlying index
or the successor index, or the value thereof, is changed in a material respect, or if the underlying index or the successor index
is in any other way modified so that such index does not, in the opinion of the calculation agent, fairly represent the value of
such index had such changes or modifications not been made, then, from and after such time, the calculation agent will, at the
close of business in New York City on each date on which the index closing value is to be determined, make such calculations and
adjustments as, in the good faith judgment of the calculation agent, may be necessary in order to arrive at a value of a stock
index comparable to the underlying index or the successor index, as the case may be, as if such changes or modifications had not
been made, and the calculation agent will calculate the index closing value with reference to the underlying index or the successor
index, as adjusted. Accordingly, if the method of calculating the underlying index or the successor index is modified so that the
value of such index is a fraction of what it would have been if it had not been modified (e.g., due to a split in the underlying
index), then the calculation agent will adjust such index in order to arrive at a value of the underlying index or the successor
index as if it had not been modified (e.g., as if such split had not occurred).
|
Alternate exchange calculation in case
of an event of default:
|
If an event of default with respect to the securities shall have
occurred and be continuing, the amount declared due and payable upon any acceleration of the securities (the “Acceleration
Amount”) will be an amount, determined by the calculation agent in its sole discretion, that is equal to the cost of having
a qualified financial institution, of the kind and selected as described below, expressly assume all our payment and other obligations
with respect to the securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations
providing substantially equivalent economic value to you with respect to the securities. That cost will equal:
· the
lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus
· the
reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the securities in preparing any documentation
necessary for this assumption or undertaking.
During the default quotation period for the securities, which
we describe below, the holders of the securities and/or we may request a qualified financial institution to provide a quotation
of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the
other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or,
if there is only one, the only—quotation obtained, and as to which notice is so given, during the default quotation period.
With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds,
to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing
of those grounds within two business days after the last day of the default quotation period, in which case that quotation will
be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary
liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to Morgan Stanley, then depending on
applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the securities is accelerated because of an
event of default as described above, we shall, or shall cause the calculation agent to, provide written notice to the trustee at
its New York office, on which notice the trustee may conclusively rely, and to the depositary of the Acceleration Amount and the
aggregate cash amount due, if any, with respect to the securities as promptly as possible and in no event later than two business
days after the date of such acceleration.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
Default quotation period
The default quotation period is the period beginning on the day
the Acceleration Amount first becomes due and ending on the third business day after that day, unless:
· no
quotation of the kind referred to above is obtained, or
· every
quotation of that kind obtained is objected to within five business days after the due date as described above.
If either of these two events occurs, the default quotation period
will continue until the third business day after the first business day on which prompt notice of a quotation is given as described
above. If that quotation is objected to as described above within five business days after that first business day, however, the
default quotation period will continue as described in the prior sentence and this sentence.
In any event, if the default quotation period and the subsequent
two business day objection period have not ended before the valuation date, then the Acceleration Amount will equal the principal
amount of the securities.
Qualified financial institutions
For the purpose of determining the Acceleration Amount at any
time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United
States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date
of issue and rated either:
· A-2
or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or
· P-2
or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.
|
Issuer notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the 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 securities by mailing notice of such postponement by
first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books, (ii)
to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New York
office and (iii) to the depositary by telephone or facsimile confirmed by mailing such notice to the depositary by first class
mail, postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall be
conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice.
The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement
of the maturity date, the business day immediately preceding the scheduled maturity date and (ii) with respect to notice of the
date to which the maturity date has been rescheduled, the business day immediately following the valuation date as postponed.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent monthly coupon, if any, with respect to the securities on or prior to 10:30 a.m. (New York City
time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect to the
applicable interest to the trustee for delivery to the depositary, as holder of the securities, on the applicable coupon payment
date.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered with respect to the securities, on or prior to 10:30 a.m. (New York City time) on the business day preceding
the redemption date or the business day preceding the maturity date, as applicable, and (ii) deliver the aggregate cash amount
due with respect to the securities to the trustee for delivery to the depositary, as holder of the securities, on the redemption
date or maturity date, as applicable.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
Additional Information About the Securities
Additional
Information:
|
|
Book
entry security or certificated security:
|
Book entry. The securities will be issued in the form of one or more fully registered global securities which will be deposited with, or on behalf of, the depositary and will be registered in the name of a nominee of the depositary. The depositary’s nominee will be the only registered holder of the securities. Your beneficial interest in the securities will be evidenced solely by entries on the books of the securities intermediary acting on your behalf as a direct or indirect participant in the depositary. In this pricing supplement, all references to payments or notices to you will mean payments or notices to the depositary, as the registered holder of the securities, for distribution to participants in accordance with the depositary’s procedures. For more information regarding the depositary and book entry notes, please read “The Depositary” in the accompanying prospectus supplement and “Forms of Securities—Global Securities—Registered Global Securities” in the accompanying prospectus.
|
Minimum
ticketing size:
|
$1,000 / 1 security
|
Tax
considerations:
|
Prospective investors should note that the discussion under
the section called “United States Federal Taxation” in the accompanying prospectus supplement does not apply to the
securities issued under this document and is superseded by the following discussion.
The following is a general discussion of the material U.S. federal
income tax consequences and certain estate tax consequences of the ownership and disposition of the securities. This discussion
applies only to investors in the securities who:
· purchase
the securities in the original offering; and
· hold
the securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”).
This discussion does not describe all of the
tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject
to special rules, such as:
· certain
financial institutions;
· insurance
companies;
· certain
dealers and traders in securities or commodities;
· investors
holding the securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction or constructive
sale transaction;
· U.S.
Holders (as defined below) whose functional currency is not the U.S. dollar;
· partnerships
or other entities classified as partnerships for U.S. federal income tax purposes;
· regulated
investment companies;
· real
estate investment trusts; or
· tax-exempt
entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408 or 408A of
the Code, respectively.
If an entity that is classified as a partnership
for U.S. federal income tax purposes holds the securities, the U.S. federal income tax treatment of a partner will generally depend
on the status of the partner and the activities of the partnership. If you are a partnership holding the securities or a partner
in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing
of the securities to you.
As the law applicable to the U.S. federal income
taxation of instruments such as the securities is technical and complex, the discussion below necessarily represents only a general
summary. The effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax consequences
or consequences resulting from the Medicare tax on investment income. Moreover, the discussion below does not address the consequences
to taxpayers subject to special tax accounting rules under Section 451(b) of the Code.
In addition, we will not attempt to ascertain whether any issuer
of any shares to which a security relates (such shares hereafter referred to as “Underlying Shares”) is treated as
a “passive foreign investment company” (“PFIC”) within the meaning of Section 1297 of the Code or as a
“U.S. real property holding corporation” (“USRPHC”) within the meaning of Section 897 of the Code. If any
issuer of Underlying Shares were so treated, certain adverse U.S. federal income tax consequences might apply, to a U.S. Holder
in the case of a PFIC and to a Non-U.S. Holder (as defined below) in the case of a USRPHC, upon the sale, exchange or
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
settlement of the securities. You should refer
to information filed with the Securities and Exchange Commission or other governmental authorities by the issuers of the Underlying
Shares and consult your tax adviser regarding the possible consequences to you if any issuer is or becomes a PFIC or USRPHC.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, changes to
any of which subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase of
the securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular
situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
General
Due to the absence of statutory, judicial or
administrative authorities that directly address the treatment of the securities or instruments that are similar to the securities
for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described
herein. We intend to treat a security for U.S. federal income tax purposes as a single financial contract that provides for a coupon
that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax accounting.
In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current law;
however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to
be upheld, and that alternative treatments are possible.
You should consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the securities (including possible alternative treatments
of the securities). Unless otherwise stated, the following discussion is based on the treatment of each security as described in
the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are
a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a security that is, for U.S. federal
income tax purposes:
· a
citizen or individual resident of the United States;
· a
corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state
thereof or the District of Columbia; or
· an
estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
Tax Treatment of the Securities
Assuming the treatment of the securities as
set forth above is respected, the following U.S. federal income tax consequences should result.
Tax Basis. A U.S. Holder’s tax
basis in the securities should equal the amount paid by the U.S. Holder to acquire the securities.
Tax Treatment of Coupon Payments.
Any coupon payment on the securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued, in
accordance with the U.S. Holder’s regular method of accounting for U.S. federal income tax purposes.
Sale, Exchange or Settlement of the
Securities. Upon a sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the
difference between the amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the securities
sold, exchanged or settled. For this purpose, the amount realized does not include any coupon paid at settlement and may not include
sale proceeds attributable to an accrued coupon, which may be treated as a coupon payment. Any such gain or loss recognized should
be long-term capital gain or loss if the U.S. Holder has held the securities for more than one year at the time of the sale, exchange
or settlement, and should be short-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in
conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could
result in adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations.
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
Potential Deemed Taxable Exchange upon
the Occurrence of a Trigger Event. It is possible that the occurrence of a trigger event would result in a deemed termination
and reissuance of the securities for U.S. federal income tax purposes. In that case, a U.S. Holder might be required to recognize
gain or loss (subject to the possible application of the wash sale rules in the case of loss) with respect to the securities on
the first date on which a trigger event occurs. U.S. Holders should consult their tax advisers regarding the potential consequences
of the occurrence of a trigger event.
Possible Alternative Tax Treatments of an Investment in
the Securities
Due to the absence of authorities that directly address the proper
tax treatment of the securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the securities
under Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the
IRS were successful in asserting that the Contingent Debt Regulations applied to the securities, the timing and character of income
thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue into income original issue
discount on the securities every year at a “comparable yield” determined at the time of their issuance, adjusted upward
or downward to reflect the difference, if any, between the actual and the projected amount of any contingent payments on the securities.
Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the securities would
be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s
prior accruals of original issue discount and as capital loss thereafter. The risk that financial instruments providing for buffers,
triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the
risk of recharacterization for comparable financial instruments that do not have such features.
Other alternative federal income tax treatments of the securities
are possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the
securities. 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 on whether to require holders
of “prepaid forward contracts” and similar 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; whether these instruments
are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain
long-term capital gain as ordinary income and impose an interest charge; and appropriate transition rules and effective dates.
While it is not clear whether instruments such as the securities would be viewed as similar to the prepaid forward contracts described
in the notice, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and
adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. U.S. Holders should
consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible
alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of payments on the securities
and the payment of proceeds from a sale, exchange or other disposition of the securities, unless a U.S. Holder provides proof of
an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements of the
backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely
furnished to the IRS. In addition, information returns will be filed with the IRS in connection with payments on the securities
and the payment of proceeds from a sale, exchange or other disposition of the securities, unless the U.S. Holder provides proof
of an applicable exemption from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S. Holder.
As used herein, the term “Non-U.S. Holder” means a beneficial owner of a security that is for U.S. federal income tax
purposes:
· an
individual who is classified as a nonresident alien;
· a
foreign corporation; or
· a
foreign estate or trust.
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Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
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The term “Non-U.S. Holder” does
not include any of the following holders:
· a
holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not
otherwise a resident of the United States for U.S. federal income tax purposes;
· certain
former citizens or residents of the United States; or
· a
holder for whom income or gain in respect of the securities is effectively connected with the conduct of a trade or business in
the United States.
Such holders should consult their tax advisers regarding the
U.S. federal income tax consequences of an investment in the securities.
Although significant aspects of the tax treatment of each security
are uncertain, we intend to withhold on any coupon paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified
by an applicable income tax treaty under an “other income” or similar provision. We will not be required to pay any
additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding
tax, a Non-U.S. Holder of the securities must comply with certification requirements to establish that it is not a U.S. person
and is eligible for such an exemption or reduction under an applicable tax treaty. In addition, as discussed above, if any issuer
of Underlying Shares were treated as a USRPHC, certain adverse U.S. federal income tax consequences might apply to a Non-U.S. Holder
upon the sale, exchange or settlement of the securities. If you are a Non-U.S. Holder, you should consult your tax adviser regarding
the tax treatment of the securities, including the possibility of obtaining a refund of any withholding tax and the certification
requirement described above.
Section 871(m) Withholding Tax on Dividend Equivalents
Section 871(m) of the Code and Treasury regulations promulgated
thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend
equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices
that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally
applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined
based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS
notice, Section 871(m) will not apply to securities issued before January 1, 2021 that do not have a delta of one with respect
to any Underlying Security. Based on our determination that the securities do not have a delta of one with respect to any Underlying
Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject
to Section 871(m). However, the securities could become subject to Section 871(m) if: (i) the securities are deemed to be reissued
upon the occurrence of a Trigger Event (as described above); (ii) on that date the securities satisfy the applicable delta threshold
specified by the applicable Treasury Regulations or administrative guidance (which under current guidance is generally delta of
one for securities issued prior to January 1, 2021 and delta of 0.8 or greater for securities issued thereafter); and (iii) the
underlying index is not entitled to an exception under the applicable Treasury Regulations or administrative guidance.
Our determination is not binding on the IRS, and the IRS may
disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including
whether you enter into other transactions with respect to an Underlying Security. If Section 871(m) withholding is required, we
will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser
regarding the potential application of Section 871(m) to the securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property of which
is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust
funded by such an individual and with respect to which the individual has retained certain interests or powers) should note that,
absent an applicable treaty exemption, the securities may be treated as U.S.-situs property subject to U.S. federal estate tax.
Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers
regarding the U.S. federal estate tax consequences of an investment in the securities.
Backup Withholding and Information Reporting
Information returns will be filed with the IRS in connection
with any coupon payment and may be filed with the
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Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
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IRS in connection with the payment at maturity on the securities
and the payment of proceeds from a sale, exchange or other disposition. A Non-U.S. Holder may be subject to backup withholding
in respect of amounts paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish
that it is not a U.S. person for U.S. federal income tax purposes or otherwise establishes an exemption. The amount of any backup
withholding from a payment to a Non-U.S. Holder will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income
tax liability and may entitle the Non-U.S. Holder to a refund, provided that the required information is timely furnished to the
IRS.
FATCA
Legislation commonly referred to as “FATCA” generally
imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to
certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An
intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
FATCA generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed
or determinable annual or periodical” income (“FDAP income”). Withholding (if applicable) applies to payments
of U.S.-source FDAP income and to payments of gross proceeds of the disposition (including upon retirement) of certain financial
instruments treated as providing for U.S.-source interest or dividends. Under recently proposed regulations (the preamble to which
specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply on payments of gross proceeds
(other than amounts treated as FDAP income). While the treatment of the securities is unclear, you should assume that any coupon
payment with respect to the securities will be subject to the FATCA rules. If withholding applies to the securities, we will not
be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S. Holders should consult their
tax advisers regarding the potential application of FATCA to the securities.
The discussion in the preceding paragraphs,
insofar as it purports to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitutes
the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the
securities.
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Use
of proceeds and hedging:
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The proceeds from the sale of the securities will be used by
us for general corporate purposes. We will receive, in aggregate, $1,000 per security issued. The costs of the securities borne
by you and described beginning on page 3 above comprise the cost of issuing, structuring and hedging the securities.
On or prior to the pricing date, we hedged our anticipated exposure
in connection with the securities, by entering into hedging transactions with our affiliates and/or third party dealers. We expect
our hedging counterparties to have taken positions in the stocks constituting the underlying index and in futures and/or options
contracts on the underlying index or the component stocks of the underlying index listed on major securities markets. Such purchase
activity could have increased the initial index value and, therefore, could have increased the trigger level, which is (i) the
value at or above which the underlying index must close on each day during the first two years of the term of the securities so
that you receive a contingent monthly coupon on the securities, and (ii) the value at or above which the underlying index must
close on the valuation date (if the securities are not redeemed prior to maturity) so that you do not lose some or a significant
portion of your investment at maturity. These entities may be unwinding or adjusting hedge positions during the term of the securities,
and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches.
Additionally, our hedging activities, as well as our other trading activities, during the term of the securities could potentially
affect the value of the underlying index during the term of the securities and accordingly, the payment to you at maturity and
whether we pay a contingent coupon on the securities.
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Benefit
plan investor considerations:
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Each fiduciary of a pension, profit-sharing or other employee
benefit plan subject to Title I of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) (a “Plan”),
should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances before authorizing
an investment in the securities. Accordingly, among other factors, the fiduciary should consider whether the investment would satisfy
the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the
Plan.
In addition, we and certain of our affiliates, including MS &
Co., may each be considered a “party in interest” within the meaning of ERISA, or a “disqualified person”
within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to many Plans, as well
as many individual retirement accounts and Keogh plans (such accounts and plans, together with other plans, accounts and arrangements
subject to Section 4975 of the Code, also “Plans”). ERISA Section 406 and Code Section 4975 generally prohibit transactions
between Plans and parties in interest or disqualified persons. Prohibited transactions within the meaning of ERISA or the Code
would likely arise, for example, if the securities are acquired by or with the assets of a Plan with respect to which MS &
Co. or any of its affiliates is a service provider or other party in
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Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
interest, unless the securities are acquired pursuant
to an exemption from the “prohibited transaction” rules. A violation of these “prohibited transaction”
rules could result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for such persons, unless exemptive
relief is available under an applicable statutory or administrative exemption.
The U.S. Department of Labor has issued five prohibited
transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions
resulting from the purchase or holding of the securities. Those class exemptions are PTCE 96-23 (for certain transactions determined
by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for
certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company
separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified professional asset managers). In
addition, ERISA Section 408(b)(17) and Code Section 4975(d)(20) provide an exemption for the purchase and sale of securities and
the related lending transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises
any discretionary authority or control or renders any investment advice with respect to the assets of the Plan involved in the
transaction and provided further that the Plan pays no more, and receives no less, than “adequate consideration” in
connection with the transaction (the so-called “service provider” exemption). There can be no assurance that any of
these class or statutory exemptions will be available with respect to transactions involving the securities.
Because we may be considered a party in interest with
respect to many Plans, the securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets
include “plan assets” by reason of any Plan’s investment in the entity (a “Plan Asset Entity”) or
any person investing “plan assets” of any Plan, unless such purchase, holding or disposition is eligible for exemptive
relief, including relief available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase,
holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee
or holder of the securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and
holding of the securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such securities on behalf
of or with “plan assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject
to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section
4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition of these securities will not constitute
or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any Similar
Law.
Due to the complexity of these rules and the penalties
that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan consult with
their counsel regarding the availability of exemptive relief.
The securities are contractual financial instruments.
The financial exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy
for, individualized investment management or advice for the benefit of any purchaser or holder of the securities. The securities
have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of
any purchaser or holder of the securities.
Each purchaser or holder of any securities
acknowledges and agrees that:
(i) the
purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser
or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser
or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities,
or (C) the exercise of or failure to exercise any rights we have under or with respect to the securities;
(ii) we
and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the securities
and (B) all hedging transactions in connection with our obligations under the securities;
(iii) any
and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those entities
and are not assets and positions held for the benefit of the purchaser or holder;
(iv) our
interests are adverse to the interests of the purchaser or holder; and
(v) neither
we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions
or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment advice.
Each purchaser and holder of the securities has exclusive
responsibility for ensuring that its purchase, holding and disposition of the securities do not violate the prohibited transaction
rules of ERISA or the Code
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Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
or any Similar Law. The sale of any securities to any
Plan or plan subject to Similar Law is in no respect a representation by us or any of our affiliates or representatives that such
an investment meets all relevant legal requirements with respect to investments by plans generally or any particular plan, or that
such an investment is appropriate for plans generally or any particular plan. In this regard, neither this discussion nor anything
provided in this document is or is intended to be investment advice directed at any potential Plan purchaser or at Plan purchasers
generally and such purchasers of these securities should consult and rely on their own counsel and advisers as to whether an investment
in these securities is suitable.
However, individual retirement accounts, individual
retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their
accounts, will not be permitted to purchase or hold the securities if the account, plan or annuity is for the benefit of an employee
of Morgan Stanley or Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such as, for
example, an addition to bonus) based on the purchase of the securities by the account, plan or annuity.
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Additional
considerations:
|
Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the securities, either directly or indirectly.
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Supplemental
information regarding plan of distribution; conflicts of interest:
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MS & Co. will act as the agent for this offering and will
not receive a sales commission in connection with sales of the securities.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging
the securities.
MS & Co. will conduct this offering in compliance with the
requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding
a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any
of our other affiliates may not make sales in this offering to any discretionary account.
In order to facilitate the offering of the securities, the agent
may engage in transactions that stabilize, maintain or otherwise affect the price of the securities. Specifically, the agent may
sell more securities than it is obligated to purchase in connection with the offering, creating a naked short position in the securities,
for its own account. The agent must close out any naked short position by purchasing the securities in the open market. A naked
short position is more likely to be created if the agent is concerned that there may be downward pressure on the price of the securities
in the open market after pricing that could adversely affect investors who purchase in the offering. As an additional means of
facilitating the offering, the agent may bid for, and purchase, the securities or the securities underlying the underlying index
in the open market to stabilize the price of the securities. Any of these activities may raise or maintain the market price of
the securities above independent market levels or prevent or retard a decline in the market price of the securities. The agent
is not required to engage in these activities, and may end any of these activities at any time. An affiliate of the agent has entered
into a hedging transaction with us in connection with this offering of securities. See “Plan of Distribution (Conflicts of
Interest)” in the accompanying prospectus supplement and “Use of Proceeds and Hedging” above.
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Validity
of the securities:
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In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the securities offered by this pricing supplement have been executed and issued by MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such securities will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the securities and the validity, binding nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated November 16, 2017, which is Exhibit 5-a to the Registration Statement on Form S-3 filed by Morgan Stanley on November 16, 2017.
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Selling
restrictions:
|
General
No action has been or will be taken by us, the agent or any dealer
that would permit a public offering of the securities or possession or distribution of this pricing supplement or the accompanying
prospectus
|
Morgan Stanley Finance LLC
Contingent Coupon Securities with One-Time Automatic Redemption Feature Linked to the S&P 500® Index due November 12, 2024
With Contingent Monthly Coupons Potentially Payable During Only the First Two Years of the Term of the Securities
Principal at Risk Securities
|
supplement, index supplement or prospectus in any jurisdiction,
other than the United States, where action for that purpose is required. No offers, sales or deliveries of the securities, or distribution
of this pricing supplement or the accompanying prospectus supplement, index supplement or prospectus or any other offering material
relating to the securities, may be made in or from any jurisdiction except in circumstances which will result in compliance with
any applicable laws and regulations and will not impose any obligations on us, the agent or any dealer.
The agent has represented and agreed, and each dealer through
which we may offer the securities has represented and agreed, that it (i) will comply with all applicable laws and regulations
in force in each non-U.S. jurisdiction in which it purchases, offers, sells or delivers the securities or possesses or distributes
this pricing supplement and the accompanying prospectus supplement, index supplement and prospectus and (ii) will obtain any consent,
approval or permission required by it for the purchase, offer or sale by it of the securities under the laws and regulations in
force in each non-U.S. jurisdiction to which it is subject or in which it makes purchases, offers or sales of the securities. We
shall not have responsibility for the agent’s or any dealer’s compliance with the applicable laws and regulations or
obtaining any required consent, approval or permission.
In addition to the selling restrictions set forth in “Plan
of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement, the following selling restrictions also
apply to the securities:
Brazil
The securities have not been and will not be registered with
the Comissão de Valores Mobiliários (The Brazilian Securities Commission). The securities may not be offered or sold
in the Federative Republic of Brazil except in circumstances which do not constitute a public offering or distribution under Brazilian
laws and regulations.
Chile
The securities have not been registered with the Superintendencia
de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the securities
or distribution of this pricing supplement or the accompanying prospectus supplement, index supplement or prospectus, may be made
in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and regulations.
Mexico
The securities have not been registered with the National Registry
of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico.
This pricing supplement, the accompanying prospectus supplement, the accompanying index supplement and the accompanying prospectus
may not be publicly distributed in Mexico.
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Where
you can find more information:
|
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by the prospectus supplement and index supplement) with the Securities and Exchange Commission, or
SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement, the prospectus
supplement, the index supplement and any other documents relating to this offering that Morgan Stanley and MSFL have filed with
the SEC for more complete information about Morgan Stanley, MSFL and this offering. You may get these documents without cost by
visiting EDGAR on the SEC web site at.www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter
or any dealer participating in the offering will arrange to send you the prospectus, the prospectus supplement and the index supplement
if you so request by calling toll-free 800-584-6837.
You may access these documents on the SEC web site at.www.sec.gov
as follows:
Prospectus Supplement dated November 16, 2017
Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Terms used but not defined in this pricing supplement
are defined in the prospectus supplement, in the index supplement or in the prospectus.
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