April
2019
Preliminary
Terms No. 1,847
Registration
Statement Nos. 333-221595; 333-221595-01
Dated
April 16, 2019
Filed
pursuant to Rule 433
M
organ
S
tanley
F
inance
LLC
Structured
Investments
Opportunities
in U.S. and International Equities
Jump Securities with Auto-Callable Feature due
April 25, 2023
All Payments on the Securities Based on the Worst
Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration
& Production ETF
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk
Securities
The
securities offered are unsecured obligations of
Morgan Stanley Finance LLC (“MSFL”),
fully and unconditionally guaranteed by Morgan Stanley,
and have the terms
described in the accompanying product supplement, index supplement and prospectus, as supplemented or modified by this document.
The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. The securities
will be automatically redeemed if the closing level
of
each
of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF, which we refer to as the underlyings,
on
any of the annual determination dates is greater than or equal to 90% of its respective initial level, which we refer to as the
respective call threshold level, for an early redemption payment that will increase over the term of the securities, as described
below. 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 underlying is
greater than or equal to
its respective call
threshold level, investors will receive a payment at maturity of at least $1,674 per $1,000 security (to be determined on the
pricing date).
If
the securities have not previously been redeemed
and the final level of
either underlying is less than
its respective call threshold level but the final level of
each
underlying is greater than or equal to
70% of its respective initial level which we refer to as the respective downside threshold
level, investors will receive the stated principal amount of their investment. However, if the securities are not redeemed prior
to maturity and the final level of
either underlying is
less than its respective downside threshold level, investors will
be exposed to the decline in the worst performing underlying on a 1-to-1 basis, and will receive a payment at maturity that is
less than 70% of the stated principal amount of the securities and could be zero.
Accordingly,
i
nvestors in the securities
must be willing to accept the risk of losing their entire initial investment.
The securities are for investors who are willing
to forego current income and participation in the appreciation of either underlying in exchange for the possibility of receiving
an early redemption payment or payment at maturity greater than the stated principal amount if each underlying closes at or above
the respective call threshold level on an annual determination date or the final determination date, respectively. Because all
payments on the securities are based on the worst performing of the underlyings, a decline beyond the respective downside threshold
level of either underlying will result in a significant 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 underlying. 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.
SUMMARY
TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlyings:
|
EURO STOXX 50
®
Index (the “SX5E Index”) and SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (the “XOP Shares”)
|
Aggregate principal amount:
|
$
|
Stated
principal amount:
|
$1,000 per security
|
Issue
price:
|
$1,000 per security
|
Pricing
date:
|
April 18, 2019
|
Original
issue date:
|
April 26, 2019 (6 business days after the pricing date)
|
Maturity date:
|
April 25, 2023
|
Early
redemption:
|
If, on any annual determination
date, beginning on April 20, 2020, the closing level of each underlying is greater than or equal to its respective call
threshold level, the securities will be automatically redeemed for the applicable early redemption payment on the related
early redemption date.
The securities will
not be redeemed early on any early redemption date if the closing level of either underlying is below its respective call
threshold level on the related determination date.
|
Early
redemption payment:
|
The early redemption payment
will be an amount in cash per stated principal amount (corresponding to a return of at least 16.85% per annum, to be determined
on the pricing date) for each annual determination date, as set forth under “Determination Dates, Early Redemption
Dates and Early Redemption Payments” below.
No further payments will
be made on the securities once they have been redeemed.
|
Determination
dates:
|
Annually. See “Determination
Dates, Early Redemption Dates and Early Redemption Payments” below.
The determination dates
are subject to postponement for non-index business days and certain market disruption events.
|
Early
redemption dates:
|
See “Determination Dates, Early Redemption Dates and Early Redemption Payments”
below. If any such day is not a business day, the early redemption payment, if payable, will be paid on the next
business day, and no adjustment will be made to the early redemption payment.
|
Downside
threshold level:
|
With respect to the SX5E
Index, , which is 70% of its initial level
With respect to the XOP
Shares, $ , which is 70% of its initial level
|
Call
threshold level:
|
With respect to the SX5E
Index, , which is 90% of its initial level
With respect to the XOP
Shares, $ , which is 90% of its initial level
|
Payment
at maturity:
|
If the securities
have not previously been redeemed, you will receive at maturity a cash payment per security as follows:
·
If
the final level of
each underlying
is
greater than or equal to
its respective call threshold level:
At least $1,674
(to be determined on the pricing date)
·
If
the final level of
either underlying is less than
its respective call threshold level but the final level of
each
underlying is greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final level of
either underlying
is
less than
its respective downside threshold level:
$1,000 ×
performance factor of the worst performing underlying
Under these
circumstances, you will lose more than 30%, and possibly all, of your investment.
|
|
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:
|
Approximately $974.10 per security, or within $15.00 of that estimate. See
“Investment Summary” beginning on page 3.
|
Commissions and issue price:
|
Price
to public
|
Agent’s
commissions
(1)
|
Proceeds
to us
(2)
|
Per security
|
$1,000
|
$0
|
$1,000
|
Total
|
$
|
$
|
$
|
|
(1)
|
Selected dealers and
their financial advisors will receive a structuring fee of $4 per security from the agent or its affiliates. MS & Co. will
not receive a sales commission with respect to the securities. See “Supplemental information regarding plan of distribution;
conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the
accompanying product supplement for auto-callable securities.
|
|
(2)
|
See “Use of proceeds
and hedging” on page 21.
|
The securities involve risks
not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 9.
The Securities and Exchange
Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or
the accompanying product supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary
is a criminal offense.
The securities are not deposits
or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality,
nor are they obligations of, or guaranteed by, a bank.
You should read this document
together with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks
below. Please also see “Additional Terms of the Securities” and “Additional Information About the Securities”
at the end of this document.
As used
in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley
and MSFL collectively, as the context requires.
Product Supplement for Auto-Callable Securities dated November 16, 2017
Index Supplement dated November 16, 2017
Prospectus dated November 16, 2017
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Terms continued from previous page:
|
Initial
level:
|
With respect to the SX5E
Index, , which is its closing level on the pricing date
With respect to the XOP
Shares, $ , which is its closing level on the pricing date
|
Closing
level:
|
With respect to the SX5E
Index, the index closing value for such underlying on any index business day
With respect to the XOP
Shares, the closing price for such underlying on any trading day
times
the adjustment factor on such
day
|
Final
level:
|
With respect to the SX5E
Index, the closing level on the final determination date
With respect to the XOP
Shares, the closing level on the final determination date
|
Adjustment
factor:
|
With respect to the XOP
Shares, 1.0, subject to adjustment in the event of certain events affecting the XOP Shares
|
Worst
performing underlying:
|
The underlying with the
larger percentage decrease from the respective initial level to the respective final level
|
Performance factor:
|
With respect to each underlying, the final level
divided by
the initial level
|
CUSIP / ISIN:
|
61768D6M2 / US61768D6M27
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Determination Dates, Early
Redemption Dates and Early Redemption Payments
Determination
Dates
|
Early
Redemption Dates
|
Early
Redemption Payments (per $1,000 Security)*
|
1
st
determination date:
|
4/20/2020
|
1
st
early redemption date:
|
4/27/2020
|
At least $1,168.50
|
2
nd
determination date:
|
4/19/2021
|
2
nd
early redemption date:
|
4/26/2021
|
At least $1,337.00
|
3
rd
determination date:
|
4/19/2022
|
3
rd
early redemption date:
|
4/26/2022
|
At least $1,505.50
|
Final determination date:
|
4/18/2023
|
See “Maturity date” above.
|
See “Payment at maturity” above.
|
*The actual early redemption payment with respect to each determination
date will be determined on the pricing date and will be an amount in cash per stated principal amount corresponding to a return
of at least 16.85%
per annum
.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Investment Summary
Jump Securities with Auto-Callable Feature
Principal at Risk
Securities
The Jump Securities with Auto-Callable Feature due April 25,
2023 All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (the “securities”) do not provide for the regular
payment of interest. Instead
the securities will be automatically redeemed
if the closing level
of
each of
the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
on any annual determination
date is greater than or equal to its respective call threshold level, for an early redemption payment that will increase over the
term of the securities, as described below. 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 underlying is
greater than
or equal to
its respective call threshold level, investors will receive a payment at maturity of at least $1,674 per $1,000
security.
If
the securities have not previously been redeemed and
the final level of
either
underlying is
less than
its respective call threshold level but the final level of
each
underlying is
greater than or equal to
its respective downside threshold level, investors will receive the stated principal
amount of their investment. However, if the securities are not redeemed prior to maturity and the final level of
either underlying
is
less than its respective downside threshold level, investors will be exposed to the decline in the worst performing underlying
on a 1-to-1 basis, and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities
and could be zero.
Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial
investment.
Investors will not participate in any appreciation in either underlying.
Maturity:
|
Approximately 4 years
|
Automatic
early redemption:
|
If, on any annual determination date, the closing level of each underlying is greater than or equal to its respective call threshold level, the securities will be automatically redeemed for the applicable early redemption payment on the related early redemption date.
|
Early
redemption payment:
|
The early redemption payment will be an amount in cash per stated
principal amount (corresponding to a return of at least 16.85%
per annum
) for each annual determination date, as follows*:
|
|
·
1
st
determination date:
|
At least $1,168.50
|
|
·
2
nd
determination date:
|
At least $1,337.00
|
|
·
3
rd
determination date:
|
At least $1,505.50
|
|
*The actual early redemption payment with respect to each applicable
determination date will be determined on the pricing 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, you will
receive at maturity a cash payment per security as follows:
·
If
the final level of
each
underlying is
greater than or equal to
its respective call threshold level:
At least $1,674 (to be determined on the pricing date)
·
If
the final level of
either
underlying is
less than
its respective call threshold level but the final level of
each
underlying is
greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final level of
either
underlying is
less than
its respective downside threshold level:
$1,000 × performance factor of the
worst performing underlying
Under these circumstances, investors will lose a significant
portion or all of their investment. Accordingly, investors in the securities must be willing to accept the risk of losing their
entire initial investment.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production 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 will be less than $1,000. We estimate that the
value of each security on the pricing date will be approximately $974.10, or within $15.00 of that estimate. Our estimate of the
value of the securities as determined on the pricing date will be set forth in the final pricing supplement.
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 early redemption payment amounts, the call threshold levels and the downside threshold levels, we use an internal
funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing,
selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the
economic terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the
securities in the secondary market, absent changes in market conditions, including those related to the 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
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest.
Instead,
the securities will be automatically redeemed if the closing level
of
each of
the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil &
Gas Exploration & Production ETF
on any annual determination date is
greater than or equal to its respective call threshold level
.
The following scenarios are for illustrative purposes only to
demonstrate how an automatic early redemption payment or 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 prior to maturity and the payment at maturity may be less than 70% of the stated principal amount of the securities and
may be zero.
Scenario 1: The securities are redeemed prior to maturity
|
When each underlying closes at or above its respective call threshold level on any annual determination date, the securities will be automatically redeemed for the applicable early redemption payment on the related early redemption date. Investors do not participate in any appreciation in either underlying.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive a fixed positive return at maturity
|
This scenario assumes that at least one underlying closes below its respective call threshold level on each of the annual determination dates. Consequently, the securities are not redeemed prior to maturity. On the final determination date, each underlying closes at or above its respective call threshold level. At maturity, investors will receive a cash payment equal to at least $1,674 per stated principal amount (to be determined on the pricing date). Investors do not participate in any appreciation in either underlying.
|
Scenario 3: The securities are not redeemed prior to maturity, and investors receive the stated principal amount at maturity
|
This scenario assumes that at least one underlying closes below its respective call threshold level on each of the annual determination dates. Consequently, the securities are not redeemed prior to maturity. On the final determination date, at least one underlying closes below its respective call threshold level, but the final level of each underlying is greater than or equal to its respective downside threshold level. At maturity, investors will receive a cash payment equal to the stated principal amount of $1,000 per security.
|
Scenario 4: The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity
|
This scenario assumes that at least one underlying closes below its respective call threshold level on each of the annual determination dates. Consequently, the securities are not redeemed prior to maturity. On the final determination date, at least one underlying closes below its respective downside threshold level. At maturity, investors will receive an amount equal to the stated principal amount multiplied by the performance factor of the worst performing underlying. Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples are for illustrative purposes
only. Whether the securities are redeemed prior to maturity will be determined by reference to the closing level of each underlying
on each of the annual determination dates, and the payment at maturity, if any, will be determined by reference to the closing
level of each underlying on the final determination date. The actual early redemption payment amounts, initial levels, call threshold
levels and downside threshold levels will be determined on the pricing date. Some numbers appearing in the examples below have
been rounded for ease of analysis. All payments on the securities are subject to our credit risk. The below examples are based
on the following terms:
Hypothetical Early Redemption Payment:
|
The hypothetical early redemption payment will be an amount in
cash per stated principal amount (corresponding to a return of approximately 16.85%
per annum
) for each annual determination
date, as follows:
|
|
·
1
st
determination date:
|
$1,168.50
|
|
·
2
nd
determination date:
|
$1,337.00
|
|
·
3
rd
determination date:
|
$1,505.50
|
|
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, you will
receive at maturity a cash payment per security as follows:
·
If
the final level of
each
underlying is
greater than or equal to
its respective call threshold level:
$1,674 (the actual payment at maturity for this scenario
will be determined on the pricing date)
·
If
the final level of
either
underlying is
less than
its respective call threshold level but the final level of
each
underlying is
greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final level of
either
underlying is
less than
its respective downside threshold level:
$1,000 × performance factor of the
worst performing underlying.
Under these circumstances, you will lose a significant portion
or all of your investment.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Level:
|
With respect to the SX5E Index: 3,500
With respect to the XOP Shares: $30.00
|
Hypothetical Downside Threshold Level:
|
With respect to the SX5E Index: 2,450, which is 70% of its hypothetical
initial level
With respect to the XOP Shares: $21.00, which is 70%
of its hypothetical initial level
|
Hypothetical Call Threshold Level:
|
With respect to the SX5E Index: 3,150, which is 90% of its hypothetical
initial level
With respect to the XOP Shares: $27.00, which is 90%
of its hypothetical initial level
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Automatic Call:
Example 1 — the securities are redeemed
following the second determination date
Date
|
SX5E Closing Level
|
XOP Shares Closing Value
|
Payment (per Security)
|
1
st
Determination Date
|
3,600 (
at or above
the call threshold level)
|
$20.00 (
below
the call threshold level)
|
--
|
2
nd
Determination Date
|
3,300 (
at or above
the call threshold level)
|
$28.00 (
at or above
the call threshold level)
|
$1,337.00
|
In this example, on the first determination date, the closing
level of one of the underlyings is at or above its respective call threshold level, but the closing level of the other underlying
is below its respective call threshold level. Therefore, the securities are not redeemed. On the second determination date, the
closing level of each underlying is at or above the respective call threshold level. Therefore, the securities are automatically
redeemed on the second early redemption date. Investors will receive a payment of $1,337.00 per security on the related early redemption
date. No further payments will be made on the securities once they have been redeemed, and investors do not participate in the
appreciation in either underlying.
How to calculate the payment at maturity:
In the following examples, one or both of the underlyings close
below the respective call threshold level(s) on each of the annual determination dates, and, consequently, the securities are not
automatically redeemed prior to, and remain outstanding until, maturity.
|
SX5E Index Final Level
|
XOP Shares Final Level
|
Payment at Maturity (per Security)
|
Example 1:
|
3,300 (
at or above
its call threshold level)
|
$28.00 (
at or above
its call threshold level)
|
$1,674
|
Example 2:
|
2,800 (
below
its call threshold level but
at or above
its downside threshold level)
|
$36.00 (
at or above
its call threshold level and downside threshold level)
|
$1,000
|
Example 3:
|
4,375 (
at or above
its call threshold level and downside threshold level)
|
$15.00 (
below
its downside threshold level)
|
$1,000 x ($15.00 / $30.00) = $500
|
Example 4:
|
700 (
below
its downside threshold level)
|
$22.50 (
below
its call threshold level but
at or above
its downside threshold level)
|
$1,000 x (700 / 3,500) = $200
|
Example 5:
|
700 (
below
its downside threshold level)
|
$12.00 (
below
its downside threshold level)
|
$1,000 x (700 / 3,500) = $200
|
In example 1, the final level of each underlying is at or above
its respective call threshold level. Therefore, investors receive $1,674 per security at maturity. Investors do not participate
in any appreciation in either underlying.
In example 2, the final level of one of the underlyings is at
or above its call threshold level and downside threshold level, but the final level of the other underlying is below its call threshold
level and at or above its downside threshold level. The XOP Shares have increased 20% from the initial level to the final level
and the SX5E Index has declined 20% from its initial level to its final level. Therefore, investors receive a payment at maturity
equal to the stated principal amount of $1,000 per security. Investors do not participate in any appreciation in either underlying.
In example 3, the final level of one of the underlyings is at
or above its call threshold level and downside threshold level, but the final level of the other underlying is below its respective
downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying at maturity.
The SX5E Index has increased 25% from its initial level to its final level and the XOP Shares have declined 50% from the initial
level to the final level. Therefore, investors receive at maturity an amount equal to the stated principal amount times the performance
factor of the XOP Shares, which represent the worst performing underlying in this example.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
In example 4, the final level of one of the underlyings is below
its call threshold level but at or above its downside threshold level, while the final level of the other underlying is below its
respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying
at maturity. The XOP Shares have declined 25% from the initial level to the final level and the SX5E Index has declined 80% from
its initial level to its final level. Therefore, investors receive at maturity an amount equal to the stated principal amount times
the performance factor of the SX5E Index, which is the worst performing underlying in this example.
In example 5, the final level of each underlying is below its
respective downside threshold level, and investors receive at maturity an amount equal to the stated principal amount
times
the performance factor of the worst performing underlying. The SX5E Index has declined 80% from its initial level to its final
level and the XOP Shares have declined 60% from the initial level to the final level. Therefore, the payment at maturity equals
the stated principal amount
times
the performance factor of the SX5E Index, which is the worst performing underlying in
this example.
If the securities are not redeemed prior to maturity and the
final level of either underlying is below its respective downside threshold 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 70% of the stated principal amount
per security and could be zero.
Morgan Stanley Finance LLC
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®
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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
.
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§
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The securities do not pay interest or guarantee the return of any
principal.
The terms of the securities differ from those of ordinary debt securities in that they do not pay interest
or guarantee the return of any of the principal amount at maturity. If the securities have not been automatically redeemed prior
to maturity and the final level of
either underlying
is less than its respective downside threshold level of 70% of its
initial level, you will be exposed to the decline in the value of the worst performing underlying, as compared to its initial level,
on a 1-to-1 basis, and you will receive for each security that you hold at maturity an amount equal to the stated principal amount
times
the performance factor of the worst performing underlying. In this case, the payment at maturity will be less than
70% of the stated principal amount and could be zero.
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The appreciation potential of the securities is limited by the fixed
early redemption payment or payment at maturity specified for each determination date.
The
appreciation potential of the securities is limited to the fixed early redemption payment specified for each determination date
if each underlying closes at or above its respective call threshold level on any annual determination date, or to the fixed upside
payment at maturity if the securities have not been redeemed and the final level of each underlying is at or above its call threshold
level. In all cases, you will not participate in any appreciation of either underlying, which could be significant.
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You are exposed to the price risk of each underlying.
Your
return on the securities is not linked to a basket consisting of each underlying. Rather, it will be contingent upon the independent
performance of each underlying. 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 underlying. Poor performance
by
either underlying
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 an early redemption
payment,
each underlying
must close at or above its respective call threshold level
on the applicable determination date. In addition, if the securities have not been redeemed and
at least one underlying
has declined to below its respective downside threshold level as of the final determination date,
you will be
fully exposed
to the decline in the worst performing underlying over
the term of the securities on a 1-to-1 basis, even if the other underlying has appreciated or has not declined as much. Under this
scenario, the value of any such payment at maturity will be less than 70% of the stated principal amount and could be zero. Accordingly,
your investment is subject to the price risk of each underlying.
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§
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The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the value of each
underlying
on any day, including in relation to its respective
initial level, call threshold level and downside threshold level, will affect the value of the securities more than any other factors.
Other factors that may influence the value of the securities include:
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o
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the volatility (frequency and magnitude of changes in value) of the underlyings and the stocks constituting the SX5E Index
and the share underlying index,
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o
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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,
|
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o
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dividend rates on the stocks constituting the SX5E Index and the S&P
®
Oil & Gas Exploration & Production
Select Industry Index
®
,
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o
|
the time remaining until the securities mature,
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o
|
interest and yield rates in the market,
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o
|
the availability of comparable instruments,
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Morgan Stanley Finance LLC
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S&P
®
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Principal at Risk Securities
|
o
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the occurrence of certain events affecting the underlyings that may or may not require an adjustment to the adjustment factor,
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o
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the exchange rates of the U.S. dollar relative to the currencies in which the stocks constituting the share underlying index
trade, and
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o
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any actual or anticipated changes in our credit ratings or credit spreads.
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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 price of either underlying at the time of sale is near or below its downside threshold level or if market interest rates
rise.
You cannot predict the future performance
of either underlying based on its historical performance. The value(s) of one or both of the underlyings may decrease so that you
will receive no return on your investment and receive a payment at maturity that is less than 70% of the stated principal amount.
See “
EURO STOXX 50
®
Index
Overview”
and “
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF Overview”
below
.
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§
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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
upon an early redemption or at maturity and therefore you are subject to our credit risk. If we default on our obligations under
the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value
of the securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual
or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk
is likely to adversely affect the market value of the securities.
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As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated
pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
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§
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The securities are linked to the EURO STOXX 50
®
Index and are subject to risks associated with investments
in securities linked to the value of foreign equity securities.
As the EURO STOXX 50
®
Index
is one of the underlyings, the securities are linked to the value of foreign equity securities. Investments in securities
linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including
risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain
countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that
are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject
to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies.
The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those
countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially
making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably
or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital
reinvestment, resources, self-sufficiency and balance of payment positions between countries.
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Investing in the securities exposes investors to risks associated with investments in securities with a concentration in
the oil and gas exploration and production industry
. The stocks included in the S&P
®
Oil & Gas Exploration
& Production Select Industry Index
®
(the “share underlying index”) and that are generally tracked
by the XOP Shares are stocks of companies whose primary business is associated with the exploration and production of oil
|
Morgan Stanley Finance LLC
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®
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Principal at Risk Securities
and gas. As a result, the value
of the securities may be subject to greater volatility and may be more adversely affected by a single economic, political or regulatory
occurrence affecting this industry than a different investment linked to securities of a more broadly diversified group of issuers
or issuers in a less volatile industry. The oil and gas industry is significantly affected by a number of factors that influence
worldwide economic conditions and oil and gas prices, such as natural disasters, supply disruptions, geopolitical events and other
factors that may offset or magnify each other, including:
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o
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worldwide and domestic supplies of, and demand for, crude oil and natural gas;
|
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o
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the cost of exploring for, developing, producing, refining and marketing crude oil and natural gas;
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o
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changes in weather patterns and climatic changes;
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o
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the ability of the members of Organization of Petroleum Exporting Countries (OPEC) and other producing nations to agree to
and maintain production levels;
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o
|
the worldwide military and political environment, uncertainty or instability resulting from an escalation or additional outbreak
of armed hostilities or further acts of terrorism in the United States, or elsewhere;
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o
|
the price and availability of alternative and competing fuels;
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o
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domestic and foreign governmental regulations and taxes;
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o
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employment levels and job growth; and
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o
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general economic conditions worldwide.
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These or other factors or the absence
of such factors could cause a downturn in the oil and natural gas industries generally or regionally and could cause the value
of some or all of the component stocks included in the share underlying index to decline during the term of the securities.
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§
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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 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.
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Adjustments to the XOP Shares or the index tracked by the XOP Shares could adversely affect the value of the securities.
The investment adviser to the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF,
SSgA
Funds Management, Inc. (the “Investment Adviser”)
, seeks investment results that correspond generally to the
price and yield performance, before fees and expenses, of the share underlying index. Pursuant to its investment strategies or
otherwise, the Investment Adviser may add, delete or substitute the stocks composing SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF. Any of these actions could adversely affect the price of the XOP Shares and, consequently,
the value of the securities. MSCI Inc. (“MSCI”) is responsible for calculating and maintaining the share underlying
index. MSCI may add, delete or substitute the stocks constituting the share underlying index or make other methodological changes
that could change the level of the share underlying index. MSCI may discontinue or suspend calculation or publication of the share
underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
index that is comparable to the discontinued share underlying index 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 XOP Shares
and, consequently, the value of the securities.
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§
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The performance and market price of the XOP Shares, particularly during periods of market volatility, may not correlate
with the performance of the share underlying index, the performance of the component securities of
|
Morgan Stanley Finance LLC
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®
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Principal at Risk Securities
the share underlying index or
the net asset value per share of the XOP Shares.
The XOP Shares do not fully replicate the share underlying index and
may hold securities that are different than those included in the share underlying index. In addition, the performance of
the XOP Shares will reflect additional transaction costs and fees that are not included in the calculation of the share underlying
index. All of these factors may lead to a lack of correlation between the performance of XOP Shares and the share underlying
index. In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the
XOP Shares may impact the variance between the performances of XOP Shares and the share underlying index. Finally, because
the shares of the XOP Shares are traded on an exchange and are subject to market supply and investor demand, the market price
of one share of the XOP Shares may differ from the net asset value per share of the XOP Shares.
In
particular, during periods of market volatility, or unusual trading activity, trading in the securities underlying the XOP Shares
may be disrupted or limited, or such securities may be unavailable in the secondary market. Under these circumstances, the
liquidity of the XOP Shares may be adversely affected, market participants may be unable to calculate accurately the net asset
value per share of the XOP Shares, and their ability to create and redeem shares of the XOP Shares may be disrupted. Under these
circumstances, the market price of shares of the XOP Shares may vary substantially from the net asset value per share of the XOP
Shares or the level of the
share underlying index
.
For all of the foregoing reasons,
the performance of the XOP Shares may not correlate with the performance of the share underlying index, the performance of the
component securities of the share underlying index or the net asset value per share of the XOP Shares. Any of these events
could materially and adversely affect the price of the shares of the XOP Shares and, therefore, the value of the securities. Additionally,
if market volatility or these events were to occur on the final determination 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 XOP Shares on the final determination
date, even if the XOP Shares’ shares are underperforming the share underlying index or the component securities of the share
underlying index and/or trading below the net asset value per share of the XOP Shares.
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§
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The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the XOP
Shares
. MS & Co., as calculation agent, will adjust the adjustment factor for certain events affecting the XOP Shares.
However, the calculation agent will not make an adjustment for every event that can affect the XOP 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.
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Not equivalent to investing in the underlyings or the stocks composing the SX5E Index or the share underlying index.
Investing in the securities is not equivalent to investing in the underlyings or the stocks that constitute the SX5E Index or the
share underlying index. Investors in the securities will not participate in any positive performance of either underlying, and
will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that
constitute the SX5E Index or the share underlying index.
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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 further payments on the securities and may be forced to invest in a lower interest
rate environment and may not be able to reinvest at comparable terms or returns.
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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 4-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.
|
Morgan Stanley Finance LLC
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®
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Principal at Risk Securities
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.
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§
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The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the 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.
|
§
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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.
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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 expect to carry out hedging activities related to the securities (and to other instruments
linked to the underlyings and the share underlying index), including taking positions in the XOP Shares and the stocks constituting
the SX5E Index or the share underlying index, futures and/or options contracts on the underlyings or the component stock of the
share underlying index 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 determination date approaches. Some of our affiliates also trade the underlyings and other financial instruments related
to the underlyings and the share underlying index on a regular basis as part of their general broker-dealer and other businesses.
Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial level of either
of the underlyings and, therefore, could increase (i) the value at or above which such underlying must close on the 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) and (ii) the downside threshold level for such underlying, which is the value at or above which such underlying
must close on the final determination 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 determination dates, and, accordingly,
whether we redeem the securities prior to maturity and the amount of cash you will receive at maturity, if any.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
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®
S&P
®
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Principal at Risk Securities
|
§
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The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities
. As calculation agent, MS & Co. will determine the initial levels, the call threshold levels, the downside
threshold levels, the final levels, whether the securities will be redeemed on any early redemption date, whether a market disruption
event has occurred, whether to make any adjustments to the adjustment factors and the payment at maturity, if any. Moreover, certain
determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective
judgments, such as with respect to the occurrence or non-occurrence of market disruption events or calculation of a closing level
in the event of a market disruption event or discontinuance of an underlying. These potentially subjective determinations may affect
the payout to you upon an early redemption or at maturity, if any. For further information regarding these types of determinations,
see “Description of Auto-Callable Securities— Postponement of Determination Dates,” “—Alternate Exchange
Calculation in Case of an Event of Default,” “—Discontinuance of Any Underlying Index; Alternation of Method
of Calculation,” “—Calculation Agent and Calculations” and” “Description of Auto-Callable Securities—Auto-Callable
Securities Linked to Underlying Shares” in the accompanying product supplement. In addition, MS & Co. has determined
the estimated value of the securities on the pricing date.
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§
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The U.S. federal income tax consequences of an investment in the securities are uncertain
. Please read the discussion
under “Additional Information – Tax considerations” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for auto-callable securities (together, the “Tax Disclosure
Sections”) concerning the U.S. federal income tax consequences of an investment in the securities. If the Internal Revenue
Service (the “IRS”) were successful in asserting an alternative treatment for the securities, the timing and character
of income on the securities might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example,
under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders
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 and recognize all income and gain in respect of the securities as ordinary income. Additionally,
as discussed under “United States Federal Taxation—FATCA” in the accompanying product supplement for auto-callable
securities, the withholding rules commonly referred to as “FATCA” would apply to the securities if they were recharacterized
as debt instruments. However, recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely
on them pending finalization) eliminate the withholding requirement on payments of gross proceeds of a taxable disposition. The
risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities,
would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not
have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS
or a court may not agree with the tax treatment described in the Tax Disclosure Sections.
|
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over
the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of
factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments
are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject
to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which
very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While
the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities,
possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income
tax consequences of an investment in the 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
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®
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®
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®
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Principal at Risk Securities
EURO STOXX 50
®
Index Overview
The
EURO STOXX 50
®
Index was created by STOXX Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication
of the EURO STOXX 50
®
Index began on February 26, 1998, based on an initial level of 1,000 at December 31,
1991. The EURO STOXX 50
®
Index is composed of 50 component stocks of market sector leaders from
within the STOXX 600 Supersector Indices, which includes stocks selected from the Eurozone. The component stocks have
a high degree of liquidity and represent the largest companies across all market sectors.
For
additional information about the EURO STOXX 50
®
Index, see the information set forth under “EURO STOXX 50
®
Index” in the accompanying index supplement.
Information as of market close on April 12, 2019:
Bloomberg Ticker Symbol:
|
SX5E
|
52 Week High (on 5/17/2018):
|
3,592.18
|
Current Index Value:
|
3,447.83
|
52 Week Low (on 12/27/2018):
|
2,937.36
|
52 Weeks Ago:
|
3,443.97
|
|
|
The following graph sets forth the daily index closing values
of the SX5E Index for the period from January 1, 2014 through April 12, 2019. The related table sets forth the published high and
low index closing values, as well as the end-of-quarter index closing values, of the SX5E Index for each quarter in the same period.
The index closing value of the SX5E Index on April 12, 2019 was 3,447.83. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical index closing values of the SX5E Index should
not be taken as an indication of future performance, and no assurance can be given as to the value of the SX5E Index at any time,
including on the determination dates.
SX5E Index Daily Index Closing Values
January 1, 2014 to April 12, 2019
|
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production 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
|
3,178.01
|
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
|
3,361.50
|
Second Quarter
|
3,592.18
|
3,340.35
|
3,395.60
|
Third Quarter
|
3,527.18
|
3,293.36
|
3,399.20
|
Fourth Quarter
|
3,414.16
|
2,937.36
|
3,001.42
|
2019
|
|
|
|
First Quarter
|
3,409.00
|
2,954.66
|
3,351.71
|
Second Quarter (through April 12, 2019)
|
3,447.83
|
3,385.38
|
3,447.83
|
“EURO STOXX
®
”
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
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF Overview
The SPDR
®
S&P
®
Oil & Gas
Exploration & Production ETF is an exchange-traded fund that seeks to provide investment results that, before fees and expenses,
correspond generally to the total return performance of publicly traded equity securities of companies included in the S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
. The SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF is managed by SPDR
®
Series Trust (the “Trust”), a registered
investment company that consists of numerous separate investment portfolios, including the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF. Information provided to or filed with the Securities and Exchange Commission by
the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission
file numbers 333-57793 and 811-08839, respectively, through the Commission’s website at.www.sec.gov. In addition, information
may be obtained from other publicly available sources.
Neither the issuer
nor the agent makes any representation that any such publicly available information regarding the
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
is
accurate or complete.
Information as of market close on April 12, 2019:
Bloomberg Ticker Symbol:
|
XOP
|
52 Week High (on 10/3/2018):
|
$44.57
|
Current Index Value:
|
$32.46
|
52 Week Low (on 12/24/2018):
|
$24.12
|
52 Weeks Ago:
|
$36.76
|
|
|
The following graph sets forth the daily closing values of the
XOP Shares for the period from January 1, 2014 through April 12, 2019. The related table sets forth the published high and low
closing prices, as well as the end-of-quarter closing prices, of the XOP Shares for each quarter in the same period. The closing
price of the XOP Shares on April 12, 2019 was $32.46. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification. The historical performance of the XOP Shares should not be taken as an indication of
future performance, and no assurance can be given as to the price of the XOP Shares at any time, including on the determination
dates.
XOP Shares Daily Closing
Prices
January 1, 2014 to April
12, 2019
|
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF (CUSIP: 78464A730)
|
High ($)
|
Low ($)
|
Period End ($)
|
2014
|
|
|
|
First Quarter
|
71.83
|
64.04
|
71.83
|
Second Quarter
|
83.45
|
71.19
|
82.28
|
Third Quarter
|
82.08
|
68.83
|
68.83
|
Fourth Quarter
|
66.84
|
42.75
|
47.86
|
2015
|
|
|
|
First Quarter
|
53.94
|
42.55
|
51.66
|
Second Quarter
|
55.63
|
46.43
|
46.66
|
Third Quarter
|
45.22
|
31.71
|
32.84
|
Fourth Quarter
|
40.53
|
28.64
|
30.22
|
2016
|
|
|
|
First Quarter
|
30.96
|
23.60
|
30.35
|
Second Quarter
|
37.50
|
29.23
|
34.81
|
Third Quarter
|
39.12
|
32.75
|
38.46
|
Fourth Quarter
|
43.42
|
34.73
|
41.42
|
2017
|
|
|
|
First Quarter
|
42.21
|
35.17
|
37.44
|
Second Quarter
|
37.89
|
30.17
|
31.92
|
Third Quarter
|
34.37
|
29.09
|
34.09
|
Fourth Quarter
|
37.64
|
32.25
|
37.18
|
2018
|
|
|
|
First Quarter
|
39.85
|
32.38
|
35.22
|
Second Quarter
|
44.22
|
34.03
|
43.06
|
Third Quarter
|
44.52
|
39.10
|
43.29
|
Fourth Quarter
|
44.57
|
24.12
|
26.53
|
2019
|
|
|
|
First Quarter
|
31.61
|
27.10
|
30.74
|
Second Quarter (through April 12, 2019)
|
32.46
|
30.16
|
32.46
|
This document relates only to the securities offered hereby
and does not relate to the XOP Shares. We have derived all disclosures contained in this document regarding the Trust
from the publicly available documents described above. In connection with the offering of the securities, neither we
nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither
we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
the Trust is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the
date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above)
that would affect the trading price of the XOP Shares (and therefore the price of the XOP Shares at the time we price the securities)
have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material
future events concerning the Trust 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 XOP Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to the 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 XOP 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 prospective purchaser of the securities, you should undertake an independent investigation of the Trust as in your judgment is
appropriate to make an informed decision with respect to an investment linked to the XOP Shares.
“S&P
®
”, “SPDR
®
”
and “S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
”
are trademarks of Standard & Poor’s Financial Services LLC (“S&P”), an affiliate of The McGraw-Hill Companies,
Inc. (“MGH”). The securities are not sponsored, endorsed, sold, or promoted by S&P, MGH or the Trust. S&P,
MGH and the Trust make no representations or warranties to the owners of the securities or any member of the public regarding the
advisability of investing in the Securities. S&P, MGH and the Trust have no obligation or liability in connection with the
operation, marketing, trading or sale of the securities.
The S&P
®
Oil
& Gas Exploration & Production Select Industry Index
®
.
The S&P
®
Oil
& Gas Exploration & Production Select Industry Index
®
is an equal-weighted index designed to measure
the performance of the oil and gas exploration and production sub-industry portion of the S&P
®
Total Market
Index, a benchmark that measures the performance of the U.S. equity market.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
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®
S&P
®
Oil & Gas Exploration & Production 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.
|
Underlying
Index publisher:
|
With respect to the SX5E Index, STOXX Limited, or any successor thereof
|
Share
underlying index:
|
With respect to the XOP Shares, S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
|
Share
underlying index publisher:
|
With respect to the XOP Shares, Standard & Poor’s Financial Services LLC, or any successor thereof
|
Downside
threshold level:
|
The accompanying product supplement refers to the downside threshold level as the “trigger level.”
|
Jump
securities with auto-callable feature:
|
The accompanying product supplement refers to these jump securities with auto-callable feature as the “auto-callable securities.”
|
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 determination date, the issuer shall give notice of such postponement and, once it has been determined, of the date
to which the maturity date has been rescheduled (i) to each registered holder of the securities by mailing notice of such postponement
by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books,
(ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its
New York office and (iii) to the depositary by telephone or facsimile confirmed by mailing such notice to the depositary by first
class mail, postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided shall
be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the
notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement
of the maturity date, the business day immediately preceding the scheduled maturity date and (ii) with respect to notice of the
date to which the maturity date has been rescheduled, the business day immediately following the final determination 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 determination date, give notice of the early redemption of the
securities and the applicable early redemption payment, including specifying the payment date of the applicable 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.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, if any, to be delivered with respect to 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, if any, to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.
|
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®
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®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
Additional Information About the Securities
Additional
Information:
|
Minimum
ticketing size:
|
$1,000 / 1 security
|
Tax considerations:
|
Although there is uncertainty
regarding the U.S. federal income tax consequences of an investment in the securities due to the lack of governing authority, in
the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions, each security
should be treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes.
However, because our counsel’s opinion is based in part on market conditions as of the date of this document, it is subject
to confirmation on the pricing date.
Assuming this treatment
of the securities is respected and subject to the discussion in “United States Federal Taxation” in the accompanying
product supplement for auto-callable securities, the following U.S. federal income tax consequences should result based on current
law:
§
A
U.S. Holder should not be required to recognize taxable income over the term of the securities prior to settlement, other than
pursuant to a sale or exchange.
§
Upon
sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the difference between the
amount realized and the U.S. Holder’s tax basis in the securities. Such gain or loss should be long-term capital gain or
loss if the investor has held the securities for more than one year, and short-term capital gain or loss otherwise.
In 2007,
the U.S. Treasury Department and the Internal Revenue Service (the “IRS”) released a notice requesting comments on
the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in
particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks
for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether
short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status
of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these
instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate
transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.
As discussed
in the accompanying product supplement for auto-callable securities, Section 871(m) of the Internal Revenue Code of 1986, as amended,
and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty
rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain
exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of one or more
Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”).
However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2021 that do not have
a delta of one with respect to any Underlying Security. Based on the terms of the securities and current market conditions, we
expect that the securities will not have a delta of one with respect to any Underlying Security on the pricing date. However, we
will provide an updated determination in the pricing supplement. Assuming that the securities do not have a delta of one with respect
to any Underlying Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore,
should not be subject to Section 871(m).
Our determination
is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may
depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You
should consult your tax adviser regarding the potential application of Section 871(m) to the securities.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
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®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
|
Both U.S. and non-U.S. investors considering
an investment in the securities should read the discussion under “Risk Factors” in this document and the discussion
under “United States Federal Taxation” in the accompanying product supplement for auto-callable securities and consult
their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the securities, including
possible alternative treatments, the issues presented by the aforementioned notice and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
The discussion in
the preceding paragraphs under “Tax considerations” and the discussion contained in the section entitled “United
States Federal Taxation” in the accompanying product supplement for auto-callable securities, insofar as they purport to
describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis
Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the securities.
|
Use
of proceeds and hedging:
|
The proceeds from the sale of the securities will be used by
us for general corporate purposes. We will receive, in aggregate, $1,000 per security issued, because, when we enter into hedging
transactions in order to meet our obligations under the securities, our hedging counterparty will reimburse the cost of the agent’s
commissions. The costs of the securities borne by you and described beginning on page 4 above comprise the agent’s commissions
and the cost of issuing, structuring and hedging the securities.
On or prior to the pricing date, we will hedge our anticipated
exposure in connection with the securities by entering into hedging transactions with our affiliates and/or third-party dealers.
We expect our hedging counterparties to take positions in the XOP Shares, in stocks constituting the SX5E Index or the S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
and in futures and/or options contracts on the
XOP Shares, the SX5E Index, the S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
or their component stocks, or positions in any other available securities or instruments that they may wish to use in connection
with such hedging. Such purchase activity could potentially increase the initial level of an underlying and, therefore, could increase
(i) the value at or above which such underlying must close on the 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) and (ii) the downside
threshold level for such underlying, which is the value at or above which such underlying must close on the final determination
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). In addition, through our affiliates, we are likely to modify our hedge position throughout
the term of the securities, including on the final determination date, by purchasing and selling the XOP Shares, the stocks constituting
the SX5E Index or S&P
®
Oil & Gas Exploration & Production Select Industry Index
®
, futures
or options contracts on the XOP Shares, the SX5E Index, the S&P
®
Oil & Gas Exploration & Production
Select Industry Index
®
or their component stocks listed on major securities markets or by taking positions in any
other available securities or instruments that we may wish to use in connection with such hedging activities. 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 determination date approaches. Additionally, our hedging
activities, as well as our other trading activities, during the term of the securities could potentially affect the value of either
underlying on the determination dates, and, accordingly, whether we redeem the securities prior to maturity and the amount of cash
you will receive at maturity, if any. For further information on our use of proceeds and hedging, see “Use of Proceeds and
Hedging” in the accompanying product supplement.
|
Benefit plan investor considerations:
|
Each fiduciary of a pension, profit-sharing or other employee
benefit plan subject to Title I of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) (a “Plan”),
should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances before authorizing
an investment in the securities. Accordingly, among other factors, the fiduciary should consider whether the investment would satisfy
the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the
Plan.
In addition, we and certain of our affiliates, including MS &
Co., may each be considered a “party in interest” within the meaning of ERISA, or a “disqualified person”
within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to many Plans, as well
as many individual retirement accounts and Keogh plans (such accounts and plans, together with other plans, accounts and arrangements
subject to Section 4975 of the Code, also “Plans”). ERISA Section 406 and Code Section 4975 generally prohibit transactions
between
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
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®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
|
Plans and parties in interest or disqualified persons.
Prohibited transactions within the meaning of ERISA or the Code would likely arise, for example, if the securities are acquired
by or with the assets of a Plan with respect to which MS & Co. or any of its affiliates is a service provider or other party
in interest, unless the securities are acquired pursuant to an exemption from the “prohibited transaction” rules. A
violation of these “prohibited transaction” rules could result in an excise tax or other liabilities under ERISA and/or
Section 4975 of the Code for such persons, unless exemptive relief is available under an applicable statutory or administrative
exemption.
The U.S. Department of Labor has issued five prohibited
transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions
resulting from the purchase or holding of the securities. Those class exemptions are PTCE 96-23 (for certain transactions determined
by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for
certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company
separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified professional asset managers). In
addition, ERISA Section 408(b)(17) and Code Section 4975(d)(20) provide an exemption for the purchase and sale of securities and
the related lending transactions,
provided
that neither the issuer of the securities nor any of its affiliates has or exercises
any discretionary authority or control or renders any investment advice with respect to the assets of the Plan involved in the
transaction and
provided further
that the Plan pays no more, and receives no less, than “adequate consideration”
in connection with the transaction (the so-called “service provider” exemption). There can be no assurance that any
of these class or statutory exemptions will be available with respect to transactions involving the securities.
Because we may be considered a party in interest with
respect to many Plans, the securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets
include “plan assets” by reason of any Plan’s investment in the entity (a “Plan Asset Entity”) or
any person investing “plan assets” of any Plan, unless such purchase, holding or disposition is eligible for exemptive
relief, including relief available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase,
holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee
or holder of the securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and
holding of the securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such securities on behalf
of or with “plan assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject
to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section
4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition of these securities will not constitute
or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any Similar
Law.
Due to the complexity of these rules and the penalties
that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan consult with
their counsel regarding the availability of exemptive relief.
The securities are contractual financial instruments.
The financial exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy
for, individualized investment management or advice for the benefit of any purchaser or holder of the securities. The securities
have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of
any purchaser or holder of the securities.
Each purchaser or holder of any securities
acknowledges and agrees that:
(i) the
purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser
or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser
or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities,
or (C) the exercise of or failure to exercise any rights we have under or with respect to the securities;
(ii) we
and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the securities
and (B) all hedging transactions in connection with our obligations under the securities;
(iii) any
and all assets and positions relating to hedging transactions by us or our affiliates
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Morgan Stanley Finance LLC
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are assets and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder;
(iv) our interests are adverse to the interests of the purchaser or holder; and
(v) neither
we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions
or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment advice.
Each purchaser and holder of the securities has exclusive
responsibility for ensuring that its purchase, holding and disposition of the securities do not violate the prohibited transaction
rules of ERISA or the Code or any Similar Law. The sale of any securities to any Plan or plan subject to Similar Law is in no respect
a representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements
with respect to investments by plans generally or any particular plan, or that such an investment is appropriate for plans generally
or any particular plan. In this regard, neither this discussion nor anything provided in this document is or is intended to be
investment advice directed at any potential Plan purchaser or at Plan purchasers generally and such purchasers of these securities
should consult and rely on their own counsel and advisers as to whether an investment in these securities is suitable.
However, individual retirement accounts, individual retirement
annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts,
will not be permitted to purchase or hold the securities if the account, plan or annuity is for the benefit of an employee of Morgan
Stanley, Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such as, for example,
an addition to bonus) based on the purchase of the securities by the account, plan or annuity.
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Additional considerations:
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Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the securities, either directly or indirectly.
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Supplemental information regarding
plan of distribution; conflicts of interest:
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Selected dealers and their financial advisors will receive a
structuring fee of $4 for each security. MS & Co. will not receive a sales commission with respect to the securities.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging
the securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities, including
the early redemption payment amounts, such that for each security the estimated value on the pricing date will be no lower than
the minimum level described in “Investment Summary” beginning on page 3.
MS & Co. will conduct this offering in compliance with the
requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding
a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any
of our other affiliates may not make sales in this offering to any discretionary account. See “Plan of Distribution (Conflicts
of Interest)” and “Use of Proceeds and Hedging” in the accompanying product supplement for auto-callable securities.
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Contact:
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Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087.
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Where
you can find more information:
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Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by the product supplement for auto-callable securities and the index supplement) with the Securities
and Exchange Commission, or SEC, for the offering to which this communication relates. You should read the prospectus in that registration
statement, the product supplement for auto-callable securities, the index supplement and any other documents relating to this offering
that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering.
You may get these documents without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, Morgan Stanley, MSFL,
any underwriter or any dealer participating in the offering will arrange to send you the prospectus, the product supplement for
auto-callable securities and the index supplement if you so request by calling toll-free 1-(800)-584-6837.
You may access these documents on the SEC web site at
.
www.sec.gov
as follows:
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Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due April 25, 2023
All Payments on the Securities Based on the Worst Performing of the EURO STOXX 50
®
Index and the SPDR
®
S&P
®
Oil & Gas Exploration & Production ETF
Principal at Risk Securities
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