CALCULATION
OF REGISTRATION FEE
Title
of Each Class of Securities Offered
|
|
Maximum
Aggregate Offering Price
|
|
Amount
of Registration Fee
|
Contingent Income Buffered Auto-Callable Securities
due 2021
|
|
$778,000
|
|
$100.98
|
November
2019
Pricing Supplement No. 2,822
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 International Equities
Contingent
Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All
Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares®
MSCI Emerging Markets ETF
Fully
and Unconditionally Guaranteed by Morgan Stanley
Principal
at Risk Securities
The securities
are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan
Stanley. The securities have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented
or modified by this document. The securities do not provide for the regular payment of interest and provide a minimum payment at
maturity of only 20% of the stated principal amount. Instead, the securities will pay a contingent quarterly coupon but only
if the determination closing level of each of the EURO STOXX 50® Index and the iShares®
MSCI Emerging Markets ETF, which we refer to as the underlyings, is
at or above 80% of its respective initial level, which we refer to as the coupon barrier level, on
the related observation date. If, however, the determination closing level of either of the underlyings is less than its
respective coupon barrier level on any observation date, we will pay no interest for the related quarterly period. Beginning after
six months, the securities will be automatically redeemed if the determination closing level of each of the underlyings
is greater than or equal to its respective initial level on any
quarterly redemption determination date for the early redemption payment equal to the sum of the stated principal amount plus the
related contingent quarterly coupon. No further payments will be made on the securities once they have been redeemed. At
maturity, if the securities have not previously been redeemed and the final level of each of the underlyings is greater
than or equal to 80% of its respective initial level, meaning that neither of the underlyings has declined by an amount
greater than the buffer amount of 20%, the payment at maturity will be the stated principal amount and the related contingent quarterly
coupon. However, if the final level of either of the underlyings is less than 80% of its respective initial level,
meaning that either of the underlyings has declined by an amount greater than the buffer amount of 20%, investors will lose
1% for every 1% decline in the final level of the worst performing underlying from its initial level beyond the buffer amount of
20%. Accordingly, investors in the securities must be willing to accept the risk of losing up to 80% of their initial
investment and also the risk of not receiving any contingent quarterly coupons throughout the 2-year term of the securities. The
securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially
above-market rate in exchange for the risk of receiving no quarterly interest over the entire 2-year term and in exchange for the
possibility of an automatic early redemption prior to maturity. Because the payment of contingent quarterly coupons is based on
the worst performing of the underlyings, the fact that the securities are linked to two underlyings does not provide any asset
diversification benefits and instead means that a decline in the level of either of the underlyings below the relevant coupon barrier
level will result in no contingent quarterly coupons, even if the other underlying closes at or above its respective coupon barrier
level. Because all payments on the securities are based on the worst performing of the underlyings, a decline of either of the
underlyings by an amount greater than the buffer amount as of the final observation date will result in a loss of your investment,
even if the other underlying has appreciated or has not declined as much. Investors will not participate in any appreciation of
either of the underlyings. The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
All payments are subject to our credit risk. If we default
on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not
have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
FINAL
TERMS
|
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlyings:
|
EURO STOXX 50® Index (the “SX5E Index”) and shares of the iShares® MSCI Emerging Markets ETF (the “EEM Shares”)
|
Aggregate principal amount:
|
$778,000
|
Stated principal amount:
|
$1,000 per security
|
Issue price:
|
$1,000 per security
|
Pricing date:
|
November 7, 2019
|
Original issue date:
|
November 13, 2019 (3 business days after the pricing date)
|
Maturity date:
|
November 12, 2021
|
Early redemption:
|
The securities are not subject to automatic early redemption
until approximately six months after the original issue date.
Following this initial 6-month non-call period, if, on any redemption
determination date, beginning on May 7, 2020, the determination closing level of each of the underlyings is greater than
or equal to its respective initial level, the securities will be automatically redeemed for an early redemption payment on the
related early redemption date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any early redemption
date if the determination closing level of either of the underlyings is below its respective initial level on the related redemption
determination date.
|
Early redemption payment:
|
The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii) the contingent quarterly coupon with respect to the related observation date.
|
Determination closing level:
|
With respect to the SX5E Index, the index closing value for such
underlying on any redemption determination date or observation date (other than the final observation date)
With respect to the EEM Shares, the closing price for
such underlying on any redemption determination date or observation date (other than the final observation date) times
the adjustment factor on such redemption determination date or observation date, as applicable
|
Redemption determination dates:
|
Starting on May 7, 2020, quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates,” subject to postponement for non-index business days, non-trading days and certain market disruption events
|
Early redemption dates:
|
Starting on May 12, 2020, quarterly. See “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that early redemption payment, if payable, will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day.
|
Contingent quarterly coupon:
|
A contingent quarterly coupon at an annual rate of 5.15%
(corresponding to approximately $12.875 per quarter per security) will be paid on the securities on each coupon payment date but
only if the determination closing level of each of the underlyings is at or above its respective coupon barrier
level on the related observation date.
If, on any observation date, the determination closing level
of either of the underlyings is less than its respective coupon barrier level, no contingent quarterly coupon will be paid with
respect to that observation date. It is possible that one or both of the underlyings will remain below their respective coupon
barrier levels for extended periods of time or even throughout the entire 2-year term of the securities so that you will receive
few or no contingent quarterly coupons.
|
Coupon barrier level:
|
With respect to the SX5E Index, 2,965.344, which is
equal to 80% of its initial level
With respect to the EEM Shares, $35.264, which is equal
to 80% of its initial level
|
Buffer amount:
|
With respect to each of the underlyings, 20%. As a result
of the buffer amount of 20%, the level at or above which each of the underlyings must close on the final observation date so that
investors do not suffer a loss on their initial investment in the securities is as follows:
With respect to the SX5E Index, 2,965.344, which is
equal to 80% of its initial level
With respect to the EEM Shares, $35.264, which is equal
to 80% of its initial level
|
Payment at maturity:
|
If the securities are
not redeemed prior to maturity, investors will receive a payment at maturity determined as follows:
· If
the final level of each of the underlyings is greater than or equal to 80% of its respective initial level, meaning
that neither of the underlyings has decreased by an amount greater than the buffer amount of 20% from its respective initial
level: the stated principal amount and the contingent quarterly coupon with respect to the final observation date
· If
the final level of either of the underlyings is less than 80% of its respective initial level, meaning that either
of the underlyings has decreased by an amount greater than the buffer amount of 20% from its respective initial level:
$1,000 + [$1,000 x (underlying
percent change of the worst performing underlying + 20%)]
Under these circumstances, the payment at maturity
will be less than the stated principal amount of $1,000. However, under no circumstances will the securities pay less than the
minimum payment at maturity of $200 per security.
|
|
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:
|
$978.30 per security. See “Investment Summary” beginning on page 4.
|
Commissions and issue price:
|
Price to public
|
Agent’s commissions(1)
|
Proceeds to us(2)
|
Per security
|
$1,000
|
$6.50
|
$993.50
|
Total
|
$778,000
|
$5,057
|
$772,943
|
|
(1)
|
Selected dealers
and their financial advisors will collectively receive from the agent, MS & Co.,
a fixed sales commission of $6.50 for each security they sell. See “Supplemental
information regarding plan of distribution; conflicts of interest.” For additional
information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying
product supplement.
|
|
(2)
|
See “Use
of proceeds and hedging” on page 28.
|
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 document or the accompanying product supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and are
not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations
of, or guaranteed by, a bank.
You should read this document together with the related product
supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional
Terms of the Securities” or “Additional Information About the Securities” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for Auto-Callable Securities dated November 16, 2017 Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities
due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst
Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk
Securities
Terms continued from previous page:
|
Initial level:
|
With respect to the SX5E Index, 3,706.68, which is the
index closing value for such underlying on the pricing date
With respect to the EEM Shares, $44.08, which is the
closing price for such underlying on the pricing date
|
Coupon payment dates:
|
Quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that coupon payment 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; provided further that the contingent quarterly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
|
Observation dates:
|
Quarterly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below, subject, independently in the case of each of the underlyings, to postponement for non-index business days, non-trading days and certain market disruption events. We also refer to November 8, 2021 as the final observation date.
|
Final level:
|
With respect to the SX5E Index, the index closing value
of the SX5E Index on the final observation date
With respect to the EEM Shares, the closing price of
one EEM Share on the final observation date times the adjustment factor on such date
|
Minimum payment at maturity:
|
$200 per security (20% of the stated principal amount)
|
Adjustment factor:
|
With to the EEM Shares, 1.0, subject to adjustment in the event of certain events affecting the EEM Shares
|
Worst performing underlying:
|
The underlying with the larger percentage decrease from the respective initial level to the respective final level
|
Underlying percent change:
|
With respect to each underlying: (final level – initial level) / initial level
|
CUSIP / ISIN:
|
61769HQ40 / US61769HQ403
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Observation Dates / Redemption Determination Dates
|
Coupon Payment Dates / Early Redemption Dates
|
February 7, 2020*
|
February 12, 2020*
|
May 7, 2020
|
May 12, 2020
|
August 7, 2020
|
August 12, 2020
|
November 9, 2020
|
November 13, 2020
|
February 8, 2021
|
February 11, 2021
|
May 7, 2021
|
May 12, 2021
|
August 9, 2021
|
August 12, 2021
|
November 8, 2021 (final observation date)
|
November 12, 2021 (maturity date)
|
* The securities are not subject to
automatic early redemption until the second coupon payment date, which is May 12, 2020.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Investment
Summary
Contingent
Income Buffered Auto-Callable Securities
Principal at Risk Securities
Contingent Income Buffered Auto-Callable Securities due November
12, 2021, With 6-month Initial Non-Call Period All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50®
Index and the iShares® MSCI Emerging Markets ETF (the “securities”) do not provide for the regular payment
of interest. Instead, the securities will pay a contingent quarterly coupon but only if the determination closing level
of each of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF, which we refer
to as the underlyings, is at or above 80% of its respective initial level, which we refer to as the coupon barrier level,
on the related observation date. If, however, the determination closing level of either of the underlyings is less than
its respective coupon barrier level on any observation date, we will pay no interest for the related quarterly period. Beginning
after six months, the securities will be automatically redeemed if the determination closing level of each of the underlyings is
greater than or equal to its respective initial level on any quarterly redemption determination date for the early redemption
payment equal to the sum of the stated principal amount plus the related contingent quarterly coupon. No further payments will
be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the
final level of each of the underlyings is greater than or equal to 80% of its respective initial level, meaning that neither
of the underlyings has declined by an amount greater than the buffer amount of 20%, the payment at maturity will be the stated
principal amount and the related contingent quarterly coupon. However, if the final level of either of the underlyings is
less than 80% of its respective initial level, meaning that either of the underlyings has declined by an amount greater
than the buffer amount of 20%, investors will lose 1% for every 1% decline in the final level of the worst performing underlying
from its initial level beyond the buffer amount of 20%. Accordingly, investors in the securities must be willing to accept
the risk of losing up to 80% of their initial investment and also the risk of not receiving any contingent quarterly coupons throughout
the 2-year term of the securities. Investors will not participate in any appreciation of either underlying.
Maturity:
|
Approximately 2 years
|
|
|
Contingent quarterly coupon:
|
A contingent quarterly coupon at an annual rate of 5.15%
(corresponding to at least approximately $12.875 per quarter per security) will be paid on the securities on each coupon payment
date but only if the determination closing level of each of the underlyings is at or above its respective coupon
barrier level on the related observation date.
If on any observation date, the determination closing level
of either of the underlyings is less than its respective coupon barrier level, we will pay no coupon for the applicable quarterly
period.
|
Automatic early redemption quarterly starting after six months:
|
The securities are not subject to automatic early redemption until approximately six months after the original issue date. Following this initial 6-month non-call period, if the determination closing level of each of the underlyings is greater than or equal to its respective initial level on any quarterly redemption determination date, beginning on May 7, 2020, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount plus the contingent quarterly coupon with respect to the related observation date. No further payments will be made on the securities once they have been redeemed.
|
|
|
Payment at maturity:
|
If the securities have not previously been redeemed and the final
level of each of the underlyings is greater than or equal to 80% of its respective initial level, meaning that neither
of the underlyings has declined by an amount greater than the buffer amount of 20%, the payment at maturity will be the stated
principal amount and the related contingent quarterly coupon.
If the final level of either of the underlyings
is less than 80% of its respective initial level, meaning that either of the underlyings has declined by an amount
greater than the buffer amount of 20%, investors will lose 1% for every 1% decline in the final level of the worst performing
underlying from its initial level beyond the buffer amount of 20%. Under these circumstances, the payment at maturity will be
less than the stated principal amount of the securities. However, under no circumstances will the securities pay less than
the minimum
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
|
payment at maturity of $200 per security Accordingly, investors in the securities must be willing to accept the risk of losing up to 80% of their initial investment.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
The original issue price of each security is
$1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by
you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value
of each security on the pricing date is $978.30.
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 underlyings.
The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating
to the underlyings, instruments based on the underlyings, volatility and other factors including current and expected interest
rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our
conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities,
including the contingent quarterly coupon rate, the coupon barrier levels and the buffer amount, we use an internal funding rate,
which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling,
structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more terms of the securities
would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the
securities in the secondary market, absent changes in market conditions, including those related to the underlyings, may vary from,
and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary
market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type
and other factors. However, because the costs associated with issuing, selling, structuring and hedging the 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 underlyings,
and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those
higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead, the securities will pay a contingent quarterly coupon but only if the determination closing level of each of
the underlyings is at or above its respective coupon barrier level on the related observation date. The securities have
been designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept the
risk of receiving few or no coupon payments for the entire 2-year term of the securities in exchange for an opportunity to earn
interest at a potentially above-market rate if both of the underlyings close at or above their respective coupon barrier levels
on each quarterly observation date, unless the securities are redeemed early. The following scenarios are for illustration purposes
only to demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed) are calculated,
and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed, the contingent
quarterly coupon may be payable in none of, or some but not all of, the quarterly periods during the 2-year term of the securities,
and the payment at maturity may be up to 80% less than the stated principal amount of the securities.
Scenario
1: The securities are redeemed prior to maturity
|
This scenario assumes that, prior to early redemption, each of
the underlyings closes at or above its respective coupon barrier level on some quarterly observation dates, but one or both of
the underlyings close below the coupon barrier level(s) on the others. Investors receive the contingent quarterly coupon for the
quarterly periods for which the determination closing level of each of the underlyings is at or above its respective coupon barrier
level on the related observation date, but not for the quarterly periods for which the determination closing level of either of
the underlyings is below the respective coupon barrier level(s) on the related observation date.
Beginning after six months, when each of the underlyings
closes at or above its respective initial level on a quarterly redemption determination date, the securities will be automatically
redeemed for the stated principal amount plus the contingent quarterly coupon with respect to the related observation date.
|
Scenario
2: The securities are not redeemed prior to maturity, and investors receive principal back at maturity
|
This scenario assumes that each of the underlyings closes at or above its respective coupon barrier level on some quarterly observation dates, but one or both of the underlyings close below the respective coupon barrier level(s) on the others, and at least one of the underlyings closes below its initial level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing level of each of the underlyings is at or above its respective coupon barrier level on the related observation date, but not for the quarterly periods for which the determination closing level of one or both of the underlyings is below the respective coupon barrier level(s) on the related observation date. On the final observation date, each of the underlyings closes at or above 80% of its respective initial level, meaning that neither of the underlyings has declined by an amount greater than the buffer amount of 20%. At maturity investors will receive the stated principal amount and the related contingent quarterly coupon.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Scenario
3: The securities are not redeemed prior to maturity, and investors suffer a loss of principal at maturity
|
This scenario assumes that each of the underlyings closes at or above its respective coupon barrier level on some quarterly observation dates, but one or both of the underlyings close below the respective coupon barrier level(s) on the others, and at least one of the underlyings closes below its initial level on every quarterly redemption determination date. Consequently, the securities are not redeemed early, and investors receive the contingent quarterly coupon for the quarterly periods for which the determination closing level of each of the underlyings is greater than or equal to its respective coupon barrier level on the related observation date, but not for the quarterly periods for which the determination closing level of one or both of the underlyings is below the respective coupon barrier level(s) on the related observation date. On the final observation date, at least one of the underlyings closes below 80% of its respective initial level, meaning that such underlying has declined by an amount greater than the buffer amount of 20%. At maturity, investors will lose 1% for every 1% decline in the final level of the worst performing underlying from its initial level beyond the buffer amount of 20%. Under these circumstances, the payment at maturity will be less than the stated principal amount. Investors may lose up to 80% of their investment in the securities. No coupon will be paid at maturity in this scenario.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent quarterly coupon is paid with respect to an observation date and how to calculate the payment at maturity,
assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only. Whether
you receive a contingent quarterly coupon will be determined by reference to the determination closing level of each of the underlyings
on each quarterly observation date, and the amount you will receive at maturity will be determined by reference to the final level
of each of the underlyings on the final observation date. The actual initial level and coupon barrier level for each of the underlyings
are set forth on the cover of this document. All payments on the securities are subject to our credit risk. The below examples
are based on the following terms:
Contingent Quarterly Coupon:
|
5.15% per annum (corresponding to approximately $12.875 per quarter
per security)1
With respect to each coupon payment date, a contingent
quarterly coupon is paid but only if the determination closing level of each of the underlyings is at or above its respective
coupon barrier level on the related observation date.
|
Payment at Maturity (if the securities are not redeemed prior to maturity):
|
If the final level of each of the underlyings
is greater than or equal to 80% of its respective initial level: the stated principal amount and the contingent quarterly
coupon with respect to the final observation date.
If the final level of either of the underlyings
is less than 80% of its respective initial share price:
$1,000 + [$1,000 x (underlying percent change
of the worst performing underlying + 20%)]
|
Stated Principal Amount:
|
$1,000
|
Minimum Payment at Maturity:
|
$200 per security
|
Hypothetical Initial Level:
|
With respect to the SX5E Index: 3,500
With respect to the EEM Shares: $40.00
|
Hypothetical Coupon Barrier Level:
|
With respect to the SX5E Index: 2,800, which is 80%
of its hypothetical initial level
With respect to the EEM Shares: $32.00, which is 80%
of its hypothetical initial level
|
Buffer Amount:
|
With respect to each of the underlyings: 20%
|
1 The actual contingent quarterly
coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated
on a 30/360 day-count basis. The hypothetical contingent quarterly coupon of $12.875 is used in these examples for ease of analysis.
How to determine whether a contingent quarterly
coupon is payable with respect to an observation date:
|
Determination Closing Level
|
Contingent Quarterly Coupon
|
|
SX5E Index
|
EEM Shares
|
|
Hypothetical Observation Date 1
|
3,100 (at or above its coupon barrier level)
|
$35.00 (at or above its coupon barrier level)
|
$12.875
|
Hypothetical Observation Date 2
|
3,200 (at or above its coupon barrier level)
|
$20.00 (below its coupon barrier level)
|
$0
|
Hypothetical Observation Date 3
|
2,400 (below its coupon barrier level)
|
$36.00 (at or above its coupon barrier level)
|
$0
|
Hypothetical Observation Date 4
|
1,900 (below its coupon barrier level)
|
$10.00 (below its coupon barrier level)
|
$0
|
On hypothetical observation date 1, each of the underlyings closes
at or above its respective coupon barrier level. Therefore, a contingent quarterly coupon of $12.875 is paid on the relevant coupon
payment date.
On each of hypothetical observation dates 2 and 3, one of the
underlyings closes at or above its respective coupon barrier level but the other underlying closes below its respective coupon
barrier level. Therefore, no contingent quarterly coupon is paid on the relevant coupon payment date.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
On hypothetical observation date 4, each of the underlyings closes
below its respective coupon barrier level and accordingly no contingent quarterly coupon is paid on the relevant coupon payment
date.
You will not receive a contingent quarterly coupon on any
coupon payment date if the determination closing level of either of the underlyings is below its respective coupon barrier level
on the related observation date.
How to calculate the payment at maturity:
In the following examples, one or both of the underlyings close
below the respective initial level(s) on each redemption determination date, and, consequently, the securities are not automatically
redeemed prior to, and remain outstanding until, maturity.
|
Final Level
|
Payment at Maturity
|
|
SX5E Index
|
EEM Shares
|
|
Example 1:
|
4,500 (at or above 80% of initial level)
|
$50.00 (at or above 80% of initial level)
|
$1,012.875 (the stated principal amount and the contingent quarterly coupon with respect to the final observation date)
|
Example 2:
|
875 (below 80% of initial level)
|
$37.00 (at or above 80% of initial level)
|
$1,000 + [$1,000 x (underlying percent change of the worst performing underlying + 20%)]
= $1,000 + [$1,000 x (-75% + 20%)]
= $1,000 + ($1,000 x -55%) = $450
|
Example 3:
|
2,200 (below 80% of initial level)
|
$6.00 (below 80% of initial level)
|
$1,000 + [$1,000 x (underlying percent change of the worst performing underlying + 20%)]
= $1,000 + [$1,000 x (-85% + 20%)]
= $1,000 + ($1,000 x -65%) = $350
|
In example 1, the final level of each of the underlyings is at
or above 80% of its initial level. Therefore, investors receive at maturity the stated principal amount of the securities and the
contingent quarterly coupon with respect to the final observation date. However, investors do not participate in any appreciation
of either of the underlyings.
In example 2, the final level of one of the underlyings is at
or above 80% of its initial level, but the final level of the other underlying is below 80% of its initial level. Therefore, investors
are exposed to the downside performance of the SX5E Index, which is the worst performing underlying in this example, and investors
lose 1% of principal for every 1% decline in the final level of the SX5E Index from its initial level beyond the buffer amount
of 20%. The payment at maturity in this example is equal to $450 per security. Investors do not receive the contingent quarterly
coupon for the final observation date.
In example 3, the final levels of both of the underlyings are
below 80% of their initial levels. Therefore, investors are exposed to the downside performance of the EEM Shares, which represent
the worst performing underlying in this example, and investors lose 1 % of principal for every 1% decline in the final level of
the EEM Shares from their initial level beyond the buffer amount of 20%. The payment at maturity in this example is equal to $350
per security. Investors do not receive the contingent quarterly coupon for the final observation date.
If the final level of EITHER of the underlyings is below 80%
of its initial level, you will be exposed to the downside performance of the worst performing underlying at maturity, and your
payment at maturity will be less than the stated principal amount per security. Under these circumstances, you will lose some,
and up to 80%, of your investment in the securities.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus.
We also urge you to consult with your investment, legal, tax, accounting and other advisers in connection with your
investment in the securities.
|
§
|
The securities 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 they provide a minimum payment at maturity of only 20% of the stated principal amount of the securities,
subject to our credit risk. If the securities have not been automatically redeemed prior to maturity and if the final level of
either of the underlyings is less than 80% of its respective initial level, meaning that either of the underlyings
has declined by an amount greater than the buffer amount of 20%, you will lose 1% for every 1% decline in the final level of the
worst performing underlying from its initial level beyond the buffer amount of 20%. In this case, the payment at maturity will
be less than the stated principal amount. You could lose up to 80% of your investment in the securities.
|
|
§
|
The securities do not provide for the regular payment
of interest and may pay no interest over the entire term of the securities. The terms
of the securities differ from those of ordinary debt securities in that they do not provide for the regular payment of interest.
Instead, the securities will pay a contingent quarterly coupon but only if the determination closing level of each of
the underlyings is at or above 80% of its respective initial level, which we refer to as the coupon barrier level, on
the related observation date. If, on the other hand, the determination closing level of either of the underlyings is lower
than its respective coupon barrier level on the relevant observation date for any interest period, we will pay no coupon on the
applicable coupon payment date. It is possible that the determination closing level of one or both of the underlyings could remain
below the respective coupon barrier level(s) for extended periods of time or even throughout the entire 2-year term of the securities
so that you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly coupons over
the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional
debt security of ours of comparable maturity.
|
|
§
|
You are exposed to the price risk of each of the
underlyings, with respect to both the contingent quarterly coupons, if any, and the payment at maturity. Your
return on the securities is not linked to a basket consisting of each of the underlyings. Rather, it will be contingent upon the
independent performance of each of the underlyings. Unlike an instrument with a return linked to a basket of underlying assets,
in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to
each of the underlyings. Poor performance by either of the underlyings over the
term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the
other underlying. To receive any contingent quarterly coupons, each of
the underlyings must close at or above its respective coupon barrier level on the applicable
observation date. In addition, if either of the underlyings has declined to below
80% of its respective initial level as of the final observation date, meaning that
either of the underlyings has declined by an amount greater than the buffer amount of 20%, you will lose 1% for every 1% decline
in the final level of the worst performing underlying from its initial level beyond the buffer amount of 20%,
even if the other underlying has appreciated or has not declined as much. Under this scenario, the value of any such payment will
be less than the stated principal amount. Accordingly, your investment is subject to the price risk of each of the underlyings.
|
|
§
|
The contingent quarterly coupon, if any, is based only on the determination closing levels
of the underlyings on the related quarterly observation date at the end of the related interest period.
Whether the contingent quarterly coupon will be paid on any coupon payment date will be determined at the end of the
relevant interest period based on the determination closing level of each of the underlyings on the relevant quarterly observation
date. As a result, you will not know whether you will receive the contingent quarterly coupon on any coupon payment date until
near the end of the relevant interest period. Moreover, because the contingent quarterly coupon is based solely on the price of
each of the underlyings on quarterly observation dates, if the determination closing level of either of the underlyings on any
observation date is below its respective coupon barrier level, you will receive no coupon for the related interest period even
if the price(s) of one or both of the underlyings were higher on other days during that interest period.
|
|
§
|
Investors will not participate in any appreciation of either of the underlyings. Investors
will not participate in any appreciation of either of the underlyings, and the return on the securities will be limited to the
contingent quarterly coupon that is paid with respect to each observation date on which each determination closing level is greater
than or equal to its respective coupon barrier level, if any.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our
credit ratings or credit spreads may adversely affect the market value of the securities. You are dependent on our ability
to pay all amounts due on the securities on each coupon payment date, upon automatic redemption and at maturity and therefore you
are subject to our credit risk. The securities are not guaranteed by any other entity. If we default on our obligations under the
securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of
the securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or
anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is
likely to adversely affect the market value of the securities.
|
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have
no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities
in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available
under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated
obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the
guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any
priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley,
including holders of Morgan Stanley-issued securities.
|
|
§
|
There are risks associated with investments in securities linked to the value of foreign (and
especially emerging markets) equity securities. The SX5E Index is linked to the value of foreign equity securities. The EEM
Shares track the performance of the MSCI Emerging Markets IndexSM (the “share underlying index”), which
is linked to the value of foreign (and especially emerging markets) equity securities. Investments in securities linked to the
value of foreign equity securities involve risks associated with the securities markets in those countries, including risks of
volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject
to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices
of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. In addition, the stocks
included in the MSCI Emerging Markets IndexSM and that are generally tracked by the EEM Shares have been issued by companies
in various emerging markets countries, which pose further risks in addition to the risks associated with investing in foreign equity
markets generally. Countries with emerging markets may have relatively unstable governments, may present the risks of nationalization
of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of
property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries,
may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens
or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to
increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the
economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth
of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions.
|
|
§
|
The price of the EEM Shares is subject to currency exchange risk. Because the price of
the EEM Shares is related to the U.S. dollar value of stocks underlying the share underlying index, holders of the securities will
be exposed to currency exchange rate risk with respect to each of the currencies in which such component securities trade. Exchange
rate movements for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand
for, those currencies, as well as relevant government policy, intervention or actions, but are also influenced significantly from
time to time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant
region. An investor’s net exposure will depend on the extent to which the currencies of the component securities strengthen
or weaken against the U.S. dollar and the relative weight of each currency. If, taking into account such weighting, the dollar
strengthens against the currencies of the component securities represented in the share underlying index, the price of the EEM
Shares will be adversely affected and the payment at maturity on the securities may be reduced.
|
Of
particular importance to potential currency exchange risk are:
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
|
·
|
existing and expected rates of inflation;
|
|
·
|
existing and expected interest rate levels;
|
|
·
|
the balance of payments between countries; and
|
|
·
|
the extent of governmental surpluses or deficits
in the relevant countries and the United States.
|
All of these factors are in turn
sensitive to the monetary, fiscal and trade policies pursued by the governments of various countries represented in the share underlying
index and the United States and other countries important to international trade and finance.
|
§
|
The market price will be influenced by many unpredictable
factors. Several factors, many of which are beyond our control, will influence the value
of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities
in the secondary market. We expect that generally the level of interest rates available in the market and the levels of the underlyings
on any day, including in relation to the respective
coupon barrier levels, will affect the value of the securities more than any other factors. Other factors that may influence the
value of the securities include:
|
|
o
|
the volatility (frequency and magnitude of changes in value) of the underlyings and the stocks constituting the SX5E Index
and the MSCI Emerging Markets IndexSM,
|
|
o
|
whether the determination closing level of either of the underlyings has been below its respective coupon barrier level on
any observation date,
|
|
o
|
dividend rates on the stocks constituting the SX5E Index and the MSCI Emerging Markets IndexSM,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlyings or equity
markets generally and which may affect the levels of the underlyings,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
|
o
|
the occurrence of certain events affecting the underlyings that may or may not require an adjustment to the adjustment factor,
|
|
o
|
the exchange rates of the U.S. dollar relative to the currencies in which the stocks constituting the MSCI Emerging Markets
IndexSM trade, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Some
or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. 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 level
of either of the underlyings at the time of sale is near or below its coupon barrier level or if market interest rates rise.
The
price of any or both of the underlyings may be, and have recently been, volatile, and we can give you no assurance that the volatility
will lessen. The levels of one or both of the underlyings may decrease and be below the respective coupon barrier level(s)
on each observation date so that you will receive no return on your investment, and one or both of the underlyings may decline
by an amount greater than the buffer amount as of the final observation date so that you lose some or all of your initial investment
in the securities. There can be no assurance that the closing price of each of the underlyings will be at or above their respective
coupon barrier level on any observation date so that you will receive a coupon payment on the securities for the applicable interest
period, or that neither of the underlyings will decline by an amount greater than the buffer amount of 20% as of the final observation
date so that you do not suffer a loss on your initial investment in the securities. See
“EURO STOXX 50® Index Overview”
and “
iShares® MSCI Emerging Markets ETF Overview” below.
|
§
|
Reinvestment risk. The
term of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If
the securities are redeemed prior to maturity, you will receive no more contingent quarterly coupons and may be forced to invest
in a lower interest rate environment and may not be able to reinvest at comparable terms or returns. However,
under no circumstances will the securities be redeemed in the first six months of the term of the securities.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
|
§
|
The antidilution adjustments the calculation agent is required to make do not cover every
event that could affect the EEM Shares. MS & Co., as calculation agent, will adjust the adjustment factor for certain events
affecting the EEM Shares. However, the calculation agent will not make an adjustment for every event that can affect the EEM Shares.
If an event occurs that does not require the calculation agent to adjust the adjustment factor, the market price of the securities
may be materially and adversely affected.
|
|
§
|
The securities will not be listed on any securities exchange and secondary trading may be
limited, and accordingly, you should be willing to hold your securities
for the entire 2-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 underlyings, and to our secondary market credit spreads, it would do so based
on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account
statements.
|
§
|
The estimated value of the securities is determined by reference to our pricing and valuation
models, which may differ from those of other dealers, and is not a maximum or minimum secondary market price. These pricing
and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about
future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities,
our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the
market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum
or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market
(if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors
that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price will be influenced by many unpredictable factors” above.
|
|
§
|
Adjustments to the SX5E Index could adversely affect the value of the securities. The
publisher of the SX5E Index may add, delete or substitute the stocks constituting the SX5E Index or make other methodological changes
that could change the value of the SX5E Index. The publisher of the SX5E Index may discontinue or suspend calculation or publication
of the SX5E Index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued underlying index and is not precluded from considering indices that are calculated
and
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
published
by the calculation agent or any of its affiliates. If
the calculation agent determines that there is no appropriate successor index, the payment at maturity on the securities will
be an amount based on the closing prices at maturity of the securities composing the SX5E Index at the time of such discontinuance,
without rebalancing or substitution, computed by the calculation agent in accordance with the formula for calculating the SX5E
Index last in effect prior to discontinuance of the SX5E Index.
|
§
|
Adjustments to the EEM Shares or the index tracked by the EEM Shares could adversely affect
the value of the securities. The investment adviser to the iShares® MSCI Emerging Markets ETF, BlackRock Fund
Advisors (the “Investment Adviser”),
seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging
Markets IndexSM. Pursuant to its investment strategies or otherwise, the Investment Adviser may add, delete or substitute
the stocks composing iShares® MSCI Emerging Markets ETF. Any of these actions could adversely affect the price of
the EEM Shares and, consequently, the value of the securities. MSCI Inc. (“MSCI”) is responsible for calculating and
maintaining the MSCI Emerging Markets IndexSM. MSCI may add, delete or substitute the stocks constituting the MSCI Emerging
Markets IndexSM or make other methodological changes that could change the level of the MSCI Emerging Markets IndexSM.
MSCI may discontinue or suspend calculation or publication of the MSCI Emerging Markets IndexSM at any time. In these
circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued
MSCI Emerging Markets IndexSM and is permitted to consider indices that are calculated and published by the calculation
agent or any of its affiliates. Any of these actions could adversely affect the price of the EEM Shares and, consequently, the
value of the securities.
|
|
§
|
The performance and market price of the EEM Shares, particularly during periods of market
volatility, may not correlate with the performance of the MSCI Emerging Markets IndexSM, the performance of the component
securities of the MSCI Emerging Markets IndexSM or the net asset value per share of the EEM Shares. The EEM
Shares do not fully replicate the MSCI Emerging Markets IndexSM and may hold securities that are different than those
included in the MSCI Emerging Markets IndexSM. In addition, the performance of the EEM Shares will reflect additional
transaction costs and fees that are not included in the calculation of the MSCI Emerging Markets IndexSM. All
of these factors may lead to a lack of correlation between the performance of EEM Shares and the MSCI Emerging Markets IndexSM.
In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the EEM Shares
may impact the variance between the performances of EEM Shares and the MSCI Emerging Markets IndexSM. Finally,
because the shares of the EEM Shares are traded on an exchange and are subject to market supply and investor demand, the
market price of one share of the EEM Shares may differ from the net asset value per share of the EEM Shares.
|
In particular, during periods of
market volatility, or unusual trading activity, trading in the securities underlying the EEM Shares may be disrupted or limited,
or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the EEM Shares
may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of the EEM Shares,
and their ability to create and redeem shares of the EEM Shares may be disrupted. Under these circumstances, the market price of
shares of the EEM Shares may vary substantially from the net asset value per share of the EEM Shares or the level of the MSCI Emerging
Markets IndexSM.
For all of the foregoing reasons,
the performance of the EEM Shares may not correlate with the performance of the MSCI Emerging Markets IndexSM, the performance
of the component securities of the MSCI Emerging Markets IndexSM or the net asset value per share of the EEM Shares.
Any of these events could materially and adversely affect the price of the shares of the EEM Shares and, therefore, the value of
the securities. Additionally, if market volatility or these events were to occur on the final observation date, the calculation
agent would maintain discretion to determine whether such market volatility or events have caused a market disruption event to
occur, and such determination may affect the payment at maturity of the securities. If the calculation agent determines that
no market disruption event has taken place, the payment at maturity would be based on the published closing price per share of
the EEM Shares on the final observation date, even if the EEM Shares’ shares are underperforming the MSCI Emerging Markets
IndexSM or the component securities of the MSCI Emerging Markets IndexSM and/or trading below the net asset
value per share of the EEM Shares.
|
§
|
Not equivalent to investing in the underlyings or the stocks composing the SX5E Index or the
MSCI Emerging Markets IndexSM. Investing in the securities is not equivalent to investing in the underlyings or
the stocks that constitute the SX5E Index or the MSCI Emerging Markets IndexSM. 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 SX5E Index or the MSCI Emerging Markets IndexSM.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
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 underlyings and the MSCI Emerging Markets IndexSM), including
taking positions in the EEM Shares and the stocks constituting the SX5E Index or the MSCI Emerging Markets IndexSM,
futures and/or options contracts on the underlyings or the component stock of the MSCI Emerging Markets IndexSM listed
on major securities markets. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities,
and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final observation date approaches.
Some of our affiliates also trade the underlyings and other financial instruments related to the underlyings and the MSCI Emerging
Markets IndexSM 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 level of either of the underlyings and,
therefore, could have increased (i) the value at or above which such underlying must close on the redemption determination dates
so that the securities are redeemed prior to maturity for the early redemption payment (depending also on the performance of the
other underlying), (ii) the coupon barrier level for such underlying, which is the value at or above which such underlying must
close on the observation dates so that you receive a contingent quarterly coupon on the securities (depending also on the performance
of the other underlying), and (iii) the value at or above which such underlying must close on the final observation date so that
you are not exposed to the negative performance of the worst performing underlying at maturity (depending also on the performance
of the other underlying). Additionally, such hedging or trading activities during the term of the securities could potentially
affect the value of either of the underlyings on the redemption determination dates and the observation dates and, accordingly,
whether we redeem the securities prior to maturity, whether we pay a contingent quarterly coupon on the securities and the amount
of cash you will receive at maturity.
|
|
§
|
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 levels and
the coupon barrier levels and will determine the final levels, the payment at maturity, whether you receive a contingent quarterly
coupon on each coupon payment date and/or at maturity, whether the securities will be redeemed on any early redemption date, whether
a market disruption event has occurred and whether to make any adjustments to the adjustment factors. Moreover, certain determinations
made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments,
such as with respect to the occurrence or non-occurrence of market disruption events or calculation of the determination closing
level in the event of a market disruption event. These potentially subjective determinations may affect the payout to you upon
an automatic early redemption or at maturity. For further information regarding these types of determinations, see “Description
of Auto-Callable Securities—Auto-Callable Securities Linked to Underlying Shares” and “—Calculation Agent
and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of
the securities on the pricing date.
|
|
§
|
The U.S. federal income tax consequences of an investment in the securities are uncertain.
There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and,
therefore, significant aspects of the tax treatment of the securities are uncertain.
|
Please read the discussion under
“Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences
of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse
tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities
as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount
on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference,
if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and
gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar
downside protection features, such as the
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
securities, would be recharacterized
as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features.
Non-U.S. Holders (as defined
below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will
not be required to pay any additional amounts with respect to amounts withheld.
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts
described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive
effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and
timing of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding
tax. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences
arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
EURO STOXX 50® Index Overview
The EURO STOXX 50® Index was created by STOXX
Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index
began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50® Index
is composed of 50 component stocks of market sector leaders from within the STOXX 600 Supersector Indices, which includes stocks
selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all
market sectors. For additional information about the EURO STOXX 50®Index, see the information set forth under “EURO
STOXX 50® Index” in the accompanying index supplement.
Information as of market close on November 7, 2019:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Index Value:
|
3,706.68
|
52 Weeks Ago:
|
3,246.16
|
52 Week High (on 11/7/2019):
|
3,706.68
|
52 Week Low (on 12/27/2018):
|
2,937.36
|
The following graph sets forth the daily closing values of the
SX5E Index for the period from January 1, 2014 through November 7, 2019. The related table sets forth the published high and low
closing values, as well as the end-of-quarter closing values, of the SX5E Index for each quarter in the same period. The closing
value of the SX5E Index on November 7, 2019 was 3,706.68. We obtained the information in the table and graph below from Bloomberg
Financial Markets, without independent verification. The historical values of the SX5E Index should not be taken as an indication
of its future performance, and no assurance can be given as to the level of the SX5E Index at any time, including on the redemption
determination dates or the observation dates.
SX5E Index - Daily Closing Values
January 1, 2014 to November 7, 2019
|
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
EURO STOXX 50® Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
3,172.43
|
2,962.49
|
3,161.60
|
Second Quarter
|
3,314.80
|
3,091.52
|
3,228.24
|
Third Quarter
|
3,289.75
|
3,006.83
|
3,225.93
|
Fourth Quarter
|
3,277.38
|
2,874.65
|
3,146.43
|
2015
|
|
|
|
First Quarter
|
3,731.35
|
3,007.91
|
3,697.38
|
Second Quarter
|
3,828.78
|
3,424.30
|
3,424.30
|
Third Quarter
|
3,686.58
|
3,019.34
|
3,100.67
|
Fourth Quarter
|
3,506.45
|
3,069.05
|
3,267.52
|
2016
|
|
|
|
First Quarter
|
3,267.52
|
2,680.35
|
3,004.93
|
Second Quarter
|
3,151.69
|
2,697.44
|
2,864.74
|
Third Quarter
|
3,091.66
|
2,761.37
|
3,002.24
|
Fourth Quarter
|
3,290.52
|
2,954.53
|
3,290.52
|
2017
|
|
|
|
First Quarter
|
3,500.93
|
3,230.68
|
3,500.93
|
Second Quarter
|
3,658.79
|
3,409.78
|
3,441.88
|
Third Quarter
|
3,594.85
|
3,388.22
|
3,594.85
|
Fourth Quarter
|
3,697.40
|
3,503.96
|
3,503.96
|
2018
|
|
|
|
First Quarter
|
3,672.29
|
3,278.72
|
3,361.5
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter
|
3,514.62
|
3,280.43
|
3,473.69
|
Third Quarter
|
3,571.39
|
3,282.78
|
3,569.45
|
Fourth Quarter (through November 7, 2019)
|
3,706.68
|
3,413.31
|
3,706.68
|
“EURO
STOXX 50®” and “STOXX®” are registered trademarks of STOXX Limited. For more information,
see “EURO STOXX 50® Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
iShares® MSCI Emerging Markets
ETF Overview
The iShares® MSCI Emerging Markets ETF is
an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance, before fees
and expenses, of the MSCI Emerging Markets IndexSM. The iShares® MSCI Emerging Markets ETF is managed
by iShares®, Inc. (“iShares”), a registered investment company that consists of numerous separate investment
portfolios, including the iShares® MSCI Emerging Markets ETF. Information provided to or filed with the Securities
and Exchange Commission (the “Commission”) by iShares pursuant to the Securities Act of 1933 and the Investment Company
Act of 1940 can be located by reference to Commission file numbers 033-97598 and 811-09102, respectively, through the Commission’s
website at www.sec.gov. In addition, information may be obtained from other publicly available sources. We make no representation
or warranty as to the accuracy or completeness of such information.
Information as of market close on November 7, 2019:
Ticker Symbol:
|
EEM UP
|
Current Share Price:
|
$44.08
|
52 Weeks Ago:
|
$41.63
|
52 Week High (on 4/17/2019):
|
$44.59
|
52 Week Low (on 12/24/2018):
|
$38.16
|
The following graph sets forth the daily closing values of the
EEM Shares for the period from January 1, 2014 through November 7, 2019. The related table sets forth the published high and low
closing prices, as well as the end-of-quarter closing prices, of the EEM Shares for each quarter in the same period. The closing
price of the EEM Shares on November 7, 2019 was $44.08. We obtained the information in the table and graph below from Bloomberg
Financial Markets, without independent verification. The historical performance of the EEM Shares should not be taken as an indication
of its future performance, and no assurance can be given as to the price of the EEM Shares at any time, including on the redemption
determination dates or the observation dates.
Shares of the
iShares® MSCI Emerging Markets ETF — Daily Closing Prices
January 1,
2014 to November 7, 2019
|
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
iShares® MSCI Emerging Markets ETF (CUSIP 464287234)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
40.99
|
37.09
|
40.99
|
Second Quarter
|
43.95
|
40.82
|
43.23
|
Third Quarter
|
45.85
|
41.56
|
41.56
|
Fourth Quarter
|
42.44
|
37.73
|
39.29
|
2015
|
|
|
|
First Quarter
|
41.07
|
37.92
|
40.13
|
Second Quarter
|
44.09
|
39.04
|
39.62
|
Third Quarter
|
39.78
|
31.32
|
32.78
|
Fourth Quarter
|
36.29
|
31.55
|
32.19
|
2016
|
|
|
|
First Quarter
|
34.28
|
28.25
|
34.25
|
Second Quarter
|
35.26
|
31.87
|
34.36
|
Third Quarter
|
38.20
|
33.77
|
37.45
|
Fourth Quarter
|
38.10
|
34.08
|
35.01
|
2017
|
|
|
|
First Quarter
|
39.99
|
35.43
|
39.39
|
Second Quarter
|
41.93
|
38.81
|
41.39
|
Third Quarter
|
45.85
|
41.05
|
44.81
|
Fourth Quarter
|
47.81
|
44.82
|
47.12
|
2018
|
|
|
|
First Quarter
|
52.08
|
45.69
|
48.28
|
Second Quarter
|
48.14
|
42.33
|
43.33
|
Third Quarter
|
45.03
|
41.14
|
42.92
|
Fourth Quarter
|
42.93
|
38.00
|
39.06
|
2019
|
|
|
|
First Quarter
|
43.71
|
38.45
|
42.92
|
Second Quarter
|
44.59
|
39.91
|
42.91
|
Third Quarter
|
43.42
|
38.74
|
40.87
|
Fourth Quarter (through November 7, 2019)
|
44.08
|
40.27
|
44.08
|
This document relates only to the securities referenced hereby
and does not relate to the EEM Shares. We have derived all disclosures contained in this document regarding iShares from the publicly
available documents described above. In connection with the offering of the securities, neither we nor the agent has participated
in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither we nor the agent makes
any representation that such publicly available documents or any other publicly available information regarding iShares is accurate
or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that
would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price
of the EEM Shares (and therefore the price of the EEM Shares at the time we priced the securities) have been publicly disclosed.
Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning iShares
could affect the value received with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation
to you as to the performance of the EEM Shares.
We and/or our affiliates may presently or from time to time engage
in business with SPDR Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to SPDR Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or
more of our affiliates may publish research reports with respect to the EEM Shares. The statements in the preceding two sentences
are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities,
you should undertake an independent investigation of SPDR Trust as in your judgment is appropriate to make an informed decision
with respect to an investment linked to the EEM Shares.
“iShares®” is a registered mark
of BlackRock Institutional Trust Company, N.A. (“BTC”). The securities are not sponsored, endorsed, sold, or promoted
by BTC. BTC makes no representations or warranties to the owners of the securities or any
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
member of the public regarding the advisability of investing
in the securities. BTC has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.
MSCI Emerging
Markets IndexSM. The MSCI Emerging Markets IndexSM is
a stock index calculated, published and disseminated daily by MSCI Inc. and is intended to provide performance benchmarks for certain
emerging equity markets including Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea,
Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates.
The MSCI Emerging Markets IndexSM is described in “MSCI Emerging Markets IndexSM” and “MSCI
Global Investable Market Indices Methodology” in the accompanying index supplement.
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Terms:
|
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Interest
period:
|
The quarterly period from and including the original issue date (in the case of the first interest period) or the previous scheduled coupon payment date, as applicable, to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof.
|
Record
date:
|
The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date; provided, however, that any coupon payable at maturity (or upon early redemption) shall be payable to the person to whom the payment at maturity or early redemption payment, as the case may be, shall be payable.
|
SX5E
Index publisher:
|
STOXX Limited or any successor thereof
|
Share
underlying index:
|
The MSCI Emerging Markets IndexSM
|
Share
underlying index publisher:
|
MSCI Inc. or any successor thereof
|
Day
count convention:
|
Interest will be computed on the basis of a 360-day year of twelve 30-day months.
|
Postponement
of coupon payment dates (including the maturity date) and early redemption dates:
|
If any observation date or redemption determination date is postponed due to a non-index business day, non-trading day or certain market disruption events with respect to either of the underlyings so that it falls less than two business days prior to the relevant scheduled coupon payment date (including the maturity date) or early redemption date, as applicable, the coupon payment date (or the maturity date) or the early redemption date will be postponed to the second business day following that observation date or redemption determination date as postponed, and no adjustment will be made to any coupon payment, early redemption payment or payment at maturity made on that postponed date.
|
Trustee:
|
The Bank of New York Mellon
|
Calculation
agent:
|
MS & Co.
|
Issuer
notices to registered security holders, the trustee and the depositary:
|
In the event that the maturity date is postponed due to postponement
of the final observation date, the issuer shall give notice of such postponement and, once it has been determined, of the date
to which the maturity date has been rescheduled (i) to each registered holder of the securities by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its
New York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile confirmed by
mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of
the securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder,
whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no
case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled
maturity date and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately
following the final observation date as postponed.
In the event that the securities are subject to early
redemption, the issuer shall, (i) on the business day following the applicable redemption determination date, give notice of the
early redemption and the early redemption payment, including specifying the payment date of the amount due upon the early redemption,
(x) to each registered holder of the securities by mailing notice of such early redemption by first class mail, postage prepaid,
to such registered holder’s last address as it shall appear upon the registry books, (y) to the trustee by facsimile confirmed
by mailing such notice to the trustee by first class mail, postage prepaid, at its New York office and (z) to the depositary by
telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid, and (ii) on or
prior to the early redemption date, deliver the aggregate cash amount due with respect to the securities to the trustee for delivery
to the depositary, as holder of the securities. Any notice that is mailed to a registered holder of the securities in the manner
herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered
holder receives the notice. This notice shall be given by the issuer or, at the issuer’s request, by the trustee in the
name and at the expense of the issuer, with any such request to be
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities
|
accompanied by a copy of the notice to be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash to be delivered as contingent quarterly coupon with respect to each security on or prior to 10:30 a.m. (New York City time)
on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect to the contingent
quarterly coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable coupon payment date.
The issuer shall, or shall cause the calculation agent
to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the
amount of cash to be delivered with respect to each stated principal amount of the securities, on or prior to 10:30 a.m. (New
York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to
the securities to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.
|
Morgan Stanley Finance LLC
Contingent Income Buffered Auto-Callable Securities due November 12, 2021, With 6-month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50® Index and the iShares® MSCI Emerging Markets ETF
Principal at Risk Securities