CALCULATION
OF REGISTRATION FEE
Title of Each Class of Securities
Offered
|
|
Maximum Aggregate
Offering Price
|
|
Amount of Registration
Fee
|
Jump Securities with Auto-Callable Feature due 2024
|
|
$1,000,000
|
|
$121.20
|
April
2019
Pricing
Supplement No. 1,768
Registration
Statement Nos. 333-221595; 333-221595-01
Dated
April 18, 2019
Filed
pursuant to Rule 424(b)(2)
M
organ
S
tanley
F
inance
LLC
Structured
Investments
Opportunities in U.S. Equities
Jump Securities with Auto-Callable Feature due
May 15, 2024
All Payments on the Securities Based on the Worst
Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Fully and Unconditionally Guaranteed by Morgan
Stanley
Principal at Risk
Securities
The
securities 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 index closing value
of
each
of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index, which we refer to as the underlying indices,
on
any of the annual determination dates is greater than or equal to 92% of its respective initial index value, 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 index value of each underlying index is
greater than or equal to
its respective
call threshold level, investors will receive a fixed positive return, as set forth below.
If
the securities have not previously been redeemed and the final index value of
any underlying index is less than
its respective call threshold level but the final index value of
each underlying index is greater than or equal to
70%
of its respective initial index value, which we refer to as the respective downside threshold level, investors will receive a
payment at maturity of $1,000 per $1,000 security. However, if the securities are not redeemed prior to maturity and the final
index value of
any underlying index is
less than its respective downside threshold level, investors will be exposed to
the decline in the worst performing underlying index 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.
These long-dated securities are for investors who
are willing to forgo current income and participation in the appreciation of any underlying index in exchange for the possibility
of receiving an early redemption payment or payment at maturity greater than the stated principal amount if each underlying index
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 underlying indices, a decline beyond the respective
downside threshold level of any underlying index will result in a significant loss of your investment, even if the other underlying
indices have appreciated or have not declined as much. Investors will not participate in any appreciation of any underlying index.
The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
All payments are subject to
our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured
obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or
assets.
FINAL TERMS
|
Issuer:
|
Morgan Stanley Finance LLC
|
Guarantor:
|
Morgan Stanley
|
Underlying indices:
|
S&P 500
®
Index (the “SPX Index”), Dow Jones Industrial
Average
SM
(the “INDU Index”) and Russell 2000
®
Index (the “RTY Index”)
|
Aggregate principal amount:
|
$1,000,000
|
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:
|
May 15, 2024
|
Early
redemption:
|
If, on any annual determination
date, beginning on May 6, 2020, the index closing value of
each
underlying index 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 index closing value of any underlying index 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 approximately 9.75%
per annum
)
for each annual determination date, as set forth under “Determination 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 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:
|
The third business day after the relevant determination date
|
Downside
threshold level:
|
With respect to the SPX
Index, 2,033.521, which is 70% of its initial index value
With respect to the INDU
Index, 18,591.678, which is 70% of its initial index value
With respect to the RTY
Index, 1,096.024, which is approximately 70% of its initial index value
|
Call
threshold level:
|
With respect to the SPX
Index, 2,672.628, which is approximately 92% of its initial index value
With respect to the INDU
Index, 24,434.777, which is approximately 92% of its initial index value
With respect to the RTY
Index, 1,440.488, which is approximately 92% of its initial index value
|
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 index value of
each underlying index
is
greater than or equal to
its respective call threshold
level:
$1,487.50
·
If
the final index value of
any underlying index is less than
its respective call threshold level but the final index
value of
each underlying index is greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final index value of
any underlying index
is
less than
its respective downside threshold level:
$1,000 ×
index performance factor of the worst performing underlying index
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:
|
$984.30 per security. 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
|
$1,000,000
|
$0
|
$1,000,000
|
|
(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.
|
|
(2)
|
See “Use of proceeds
and hedging” on page 23.
|
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 May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Initial
index value:
|
With respect to the SPX
Index, 2,905.03, which is its index closing value on the pricing date
With respect to the INDU
Index, 26,559.54, which is its index closing value on the pricing date
With respect to the RTY
Index, 1,565.748, which is its index closing value on the pricing date
|
Final
index value:
|
With respect to each underlying
index, the respective index closing value on the final determination date
|
Worst
performing underlying index:
|
The underlying index with
the largest percentage decrease from the respective initial index value to the respective final index value
|
Index performance factor:
|
With respect to each underlying index, the final index value
divided by
the initial
index value
|
CUSIP / ISIN:
|
61768D4E2 / US61768D4E29
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Determination Dates and Early
Redemption Payments
Determination
Dates
|
Early
Redemption Payments (per $1,000 Security)
|
1
st
determination date: 5/6/2020
|
$1,097.50
|
2
nd
determination date: 5/5/2021
|
$1,195.00
|
3
rd
determination date: 5/4/2022
|
$1,292.50
|
4
th
determination date: 5/3/2023
|
$1,390.00
|
Final determination date: 5/8/2024
|
See “Payment at maturity” above.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Investment Summary
Jump Securities with Auto-Callable Feature
Principal at Risk
Securities
The Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial
Average
SM
and the Russell 2000
®
Index (the “securities”) do not provide for the regular payment
of interest. Instead,
the securities will be automatically redeemed if
the index closing value
of
each of
the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
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 index value of each underlying index is
greater
than or equal to
its respective call threshold level, investors will receive a fixed positive return, as set forth below.
If
the securities have not previously been redeemed and the final index value of
any
underlying index is
less than
its
respective call threshold level but the final index value of
each
underlying index is
greater than or equal to
its
respective downside threshold level, investors will receive a payment of maturity of $1,000 per $1,000 security. However, if the
securities are not redeemed prior to maturity and the final index value of
any underlying index is
less than its respective
downside threshold level, investors will be exposed to the decline in the worst performing underlying index 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 any underlying index.
Maturity:
|
Approximately 5 years and 1 month
|
Automatic
early redemption:
|
If, on any annual determination date, the index closing value of each underlying index 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 approximately 9.75%
per annum
) for each annual determination date, as follows:
·
1st
determination date: $1,097.50
·
2nd
determination date: $1,195.00
·
3rd
determination date: $1,292.50
·
4th
determination date: $1,390.00
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 index value of
each
underlying index is
greater than or equal to
its respective call threshold level:
$1,487.50
·
If
the final index value of
any
underlying index is
less than
its respective call threshold level but the final index
value of
each
underlying index is
greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final index value of
any
underlying index is
less than
its respective downside threshold level:
$1,000 × index performance factor
of the worst performing underlying index
Under these circumstances, investors will lose a significant
portion or all of their investment. Accordingly,
i
nvestors in the securities must be willing to accept
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
|
the risk of losing their entire initial investment.
|
The original issue price of each security is
$1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by
you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value
of each security on the pricing date is $984.30.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date,
we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying
indices. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions
relating to the underlying indices, instruments based on the underlying indices, volatility and other factors including current
and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest
rate at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities,
including the 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 underlying indices, may
vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our
secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction
of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities
are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co.
may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying
indices, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect
that those higher values will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
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 index closing
value
of
each of
the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell
2000
®
Index
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 index 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 any underlying index.
|
Scenario 2: The securities are not redeemed prior to maturity, and investors receive a fixed positive return at maturity
|
This scenario assumes that any underlying index 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 index closes at or above its respective call threshold level. At maturity, investors will receive a cash payment equal to $1,487.50 per stated principal amount. Investors do not participate in any appreciation in any underlying index.
|
Scenario 3: The securities are not redeemed prior to maturity, and investors receive the return of principal at maturity
|
This scenario assumes that any underlying index 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 index closes below its respective call threshold level, but the final index value of each underlying index is greater than or equal to its respective downside threshold level. At maturity, investors will receive a cash payment equal to $1,000 per $1,000 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 any underlying index 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, any underlying index closes below its respective downside threshold level. At maturity, investors will receive an amount equal to the stated principal amount multiplied by the index performance factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
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 index closing value of each
underlying index on each of the annual determination dates, and the payment at maturity, if any, will be determined by reference
to the index closing value of each underlying index on the final determination date. The actual initial index values, call threshold
levels and downside threshold levels are set forth on the cover of this document. 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:
Early Redemption Payment:
|
The early redemption payment will be an amount in cash per stated
principal amount (corresponding to a return of approximately 9.75%
per annum
) for each annual determination date, as follows:
·
1st
determination date: $1,097.50
·
2nd
determination date: $1,195.00
·
3rd
determination date: $1,292.50
·
4th
determination date: $1,390.00
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 index value of
each
underlying index is
greater than or equal to
its respective call threshold level:
$1,487.50
·
If
the final index value of
any
underlying index is
less than
its respective call threshold level but the final index
value of
each
underlying index is
greater than or equal to
its respective downside threshold level:
$1,000
·
If
the final index value of
any
underlying index is
less than
its respective downside threshold level:
$1,000 × index performance factor
of the worst performing underlying index.
Under these circumstances, you will lose a significant portion
or all of your investment.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the SPX Index: 2,500
With respect to the INDU Index: 24,000
With respect to the RTY Index: 1,200
|
Hypothetical Downside Threshold Level:
|
With respect to the SPX Index: 1,750, which is 70% of its hypothetical
initial index value
With respect to the INDU Index: 16,800, which is 70% of its hypothetical
initial index value
With respect to the RTY Index: 840, which is 70% of its hypothetical
initial index value
|
Hypothetical Call Threshold Level:
|
With respect to the SPX Index: 2,300, which is 92% of its hypothetical
initial index value
With respect to the INDU Index: 22,080, which is 92% of its hypothetical
initial index value
With respect to the RTY Index: 1,104, which is 92% of
its hypothetical initial index value
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Automatic Call:
Example 1 — the securities are redeemed
following the second determination date
Date
|
SPX Index Closing Value
|
INDU Index Closing Value
|
RTY Index Closing Value
|
Payment (per Security)
|
1
st
Determination Date
|
2,000 (
below
the call threshold level)
|
26,000 (
at or above
the call threshold level)
|
1,400 (
at or above
the call threshold level)
|
--
|
2
nd
Determination Date
|
2,800 (
at or above
the call threshold level)
|
27,500 (
at or above
the call threshold level)
|
1,750 (
at or above
the call threshold level)
|
$1,195.00
|
In this example, on the first determination date, the index closing
values of two of the underlying indices are at or above their respective call threshold levels, but the index closing value of
the other underlying index is below its respective call threshold level. Therefore, the securities are not redeemed. On the second
determination date, the index closing value of each underlying index 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 $1,195.00 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 any underlying index.
How to calculate the payment at maturity:
In the following examples, one or more of the underlying indices
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.
|
SPX Index Final Index Value
|
INDU Index Final Index Value
|
RTY Index Final Index Value
|
Payment at Maturity (per Security)
|
Example 1:
|
4,000 (
at or above
its call threshold level)
|
30,000 (
at or above
its call threshold level)
|
2,500 (
at or above
its call threshold level)
|
$1,487.50
|
Example 2:
|
3,000 (
at or above
its call threshold level and downside threshold level)
|
19,200 (
below
its call threshold level but
at or above
its downside threshold level)
|
1,320 (
at or above
its call threshold level and downside threshold level)
|
$1,000
|
Example 3:
|
3,000 (
at or above
its call threshold level and downside threshold level)
|
30,000 (
at or above
its call threshold level and downside threshold level)
|
480 (
below
its downside threshold level)
|
$1,000 x (480 / 1,200) = $400
|
Example 4:
|
3,000 (
at or above
its call threshold level and downside threshold level)
|
4,800 (
below
its downside threshold level)
|
900 (
below
its call threshold level but
at or above
its downside threshold level)
|
$1,000 x (4,800 / 24,000) = $200
|
Example 5:
|
500 (
below
its downside threshold level)
|
10,800 (
below
its downside threshold level)
|
600 (
below
its downside threshold level)
|
$1,000 x (500 / 2,500) = $200
|
In example 1, the final index value of each underlying index
is at or above its respective call threshold level. Therefore, investors receive at maturity a fixed positive return. Investors
do not participate in any appreciation in any underlying index.
In example 2, the final index values of two of the underlying
indices are at or above their call threshold levels and downside threshold levels, but the final index value of the other underlying
index is below its call threshold level and at or above its downside threshold level. The SPX Index has increased 20% from its
initial index value to its final index value, the RTY Index has increased 10% from its initial index value to its final index value
and the INDU Index has declined 20% from its initial index value to its final index value. Therefore, investors receive $1,000
per security at maturity. Investors do not participate in any appreciation in any underlying index.
In example 3, the final index values of two of the underlying
indices are at or above their call threshold levels and downside threshold levels, but the final index value of the other underlying
index is below its respective downside threshold level. Therefore,
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
investors are exposed to the downside performance of the worst
performing underlying index at maturity. The SPX Index has increased 20% from its initial index value to its final index value,
the INDU Index has increased 25% from its initial index value to its final index value and the RTY Index has declined 60% from
its initial index value to its final index value. Therefore, investors receive at maturity an amount equal to the stated principal
amount times the index performance factor of the RTY Index, which is the worst performing underlying index in this example.
In example 4, the final index value of one of the underlying
indices is at or above its call threshold level and downside threshold level, the final index value of one of the underlying indices
is below its call threshold level and at or above its downside threshold level, and the final index value of the other underlying
index is below its respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst
performing underlying index at maturity. The SPX Index has increased 20% from its initial index value to its final index value,
the RTY Index has declined 25% from its initial index value to its final index value and the INDU Index has declined 80% from its
initial index value to its final index value. Therefore, investors receive at maturity an amount equal to the stated principal
amount times the index performance factor of the INDU Index, which is the worst performing underlying index in this example.
In example 5, the final index value of each underlying index
is below its respective downside threshold level, and investors receive at maturity an amount equal to the stated principal amount
times
the index performance factor of the worst performing underlying index. The SPX Index has declined 80% from its initial
index value to its final index value, the INDU Index has declined 55% from its initial index value to its final index value and
the RTY Index has declined 50% from its initial index value to its final index value. Therefore, the payment at maturity equals
the stated principal amount
times
the index performance factor of the SPX Index, which is the worst performing underlying
index in this example.
If the final index value of any underlying index is below
its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying index
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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SM
and the Russell 2000
®
Index
Principal at Risk Securities
Risk Factors
The
following is a list of certain key risk factors for investors in the securities. For further discussion of these and other risks,
you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus.
We also urge you to consult with your investment, legal, tax, accounting and other advisers
in connection with your
investment in the securities
.
|
§
|
The securities do not 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 if the final index value of
any underlying index
is less than its respective downside threshold level of
70% of its initial index value, you will be exposed to the decline in the value of the worst performing underlying index, as compared
to its initial index value, 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 index performance factor of the worst performing underlying index. In this case,
the payment at maturity will be less than 70% of the stated principal amount and could be zero.
|
|
§
|
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 index 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 index value of each underlying index is at or
above its call threshold level. In all cases, you will not participate in any appreciation of any underlying index, which could
be significant.
|
|
§
|
You are exposed to the price risk of each underlying index.
Your
return on the securities is not linked to a basket consisting of each underlying index. Rather, it will be contingent upon the
independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets, in
which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each
underlying index. Poor performance by
any underlying index
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
indices. To receive an early redemption payment,
each underlying index
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
any underlying index
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 index over the term of the securities on a 1-to-1 basis, even if the other underlying
indices have appreciated or have not declined as much. 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
index.
|
|
§
|
The market price will be influenced by many unpredictable factors.
Several factors, many of which are beyond our control, will influence the value of the securities
in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary
market. We expect that generally the level of interest rates available in the market and the value of each
underlying
index
on any day, including in relation to its respective
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:
|
|
o
|
the volatility (frequency and magnitude of changes in value) of the underlying indices,
|
|
o
|
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks
of the underlying indices or securities markets generally and which may affect the value of each underlying index,
|
|
o
|
dividend rates on the securities underlying the
underlying
indices,
|
|
o
|
the time remaining until the securities mature,
|
|
o
|
interest and yield rates in the market,
|
|
o
|
the availability of comparable instruments,
|
Morgan Stanley Finance LLC
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All Payments on the Securities Based on the Worst Performing of the S&P 500
®
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SM
and the Russell 2000
®
Index
Principal at Risk Securities
|
o
|
the composition of the underlying indices and changes in the constituent stocks of such indices, and
|
|
o
|
any actual or anticipated changes in our credit ratings or credit spreads.
|
Generally,
the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described
above. Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity
.
For example, you may have to sell your securities
at a substantial discount from the stated principal amount of $1,000 per security if the price of any underlying index 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 any underlying index based on its historical performance. The value(s) of one or more of the underlying indices 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 “
S&P 500
®
Index Overview,”
“
Dow Jones Industrial
Average
SM
Overview”
and “
Russell
2000
®
Index Overview”
below
.
|
§
|
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the securities.
You are dependent on our ability to pay all amounts due on the securities
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.
|
|
§
|
As a finance subsidiary, MSFL has no independent operations and will have no independent assets.
As a finance subsidiary,
MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets
available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank
pari passu
with all other unsecured, unsubordinated obligations of Morgan
Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of
securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should
be treated
pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders
of Morgan Stanley-issued securities.
|
|
§
|
The securities are linked to the Russell 2000
®
Index and are subject to risks associated with small-capitalization companies.
As the Russell 2000
®
Index is
one of the underlying indices, and the Russell 2000
®
Index consists of stocks issued by companies with relatively
small market capitalization, the securities are linked to the value of small-capitalization companies. These companies often have
greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the Russell
2000
®
Index may be more volatile than indices that consist of stocks issued by large-capitalization companies. Stock
prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business
and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization
companies are typically less well-established and less stable financially than large-capitalization companies and may depend on
a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues,
less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive
strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.
|
|
§
|
Not equivalent to investing in the underlying indices.
Investing in the securities
is not equivalent to investing in any underlying index or the component stocks of any underlying index. Investors in the securities
will not participate in any positive performance of any underlying index, and will not have voting rights or rights to receive
dividends or other distributions or any other rights with respect to stocks that constitute any underlying index.
|
|
§
|
Reinvestment risk.
The term
of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities
are redeemed prior to maturity, you will receive no further
|
Morgan Stanley Finance LLC
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®
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Principal at Risk Securities
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.
|
§
|
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 5-year term of the securities.
The securities
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS &
Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so
at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based
on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility,
the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and
the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary
market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any,
at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it
is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities
to maturity.
|
|
§
|
The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate
implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated
with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities,
cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market
prices.
Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than
the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs
that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.
|
The inclusion of the costs of issuing,
selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer
make the economic terms of the securities less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlying indices, and to our secondary market credit spreads, it would do
so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage
account statements.
|
§
|
The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from
those of other dealers, and is not a maximum or minimum secondary market price.
These pricing and valuation models are proprietary
and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be
incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher
estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value
the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers,
including MS & Co., would be willing to purchase your 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.
|
|
§
|
Hedging and trading activity by our affiliates could potentially affect the value of the securities.
One or more of
our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the securities
(and to other instruments linked to the underlying indices or their component stocks), including trading in the stocks that constitute
the underlying indices as well as in other instruments related to the underlying indices. As a
|
Morgan Stanley Finance LLC
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®
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Principal at Risk Securities
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 stocks that
constitute the underlying indices and other financial instruments related to the underlying indices on a regular basis as part
of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date
could have increased the initial index value of an underlying index, and, therefore, could have increased (i) the value at or above
which such underlying index must close on the determination dates so that the securities are redeemed prior to maturity for the
early redemption payment (depending also on the performance of the other underlying indices) and (ii) the downside threshold level
for such underlying index, which is the value at or above which such underlying index must close on the final determination date
so that you are not exposed to the negative performance of the worst performing underlying index at maturity (depending also on
the performance of the other underlying indices). Additionally, such hedging or trading activities during the term of the securities
could potentially affect the value of any underlying index 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.
|
§
|
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities.
As calculation agent, MS & Co. has determined the initial index values, the call threshold levels and
the downside threshold levels and will determine the final index values, whether the securities will be redeemed on any early redemption
date and the payment at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence
of market disruption events and the selection of a successor index or calculation of an index closing value in the event of a market
disruption event or discontinuance of an underlying index. 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; Alteration of Method of Calculation”
and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has
determined the estimated value of the securities on the pricing date.
|
|
§
|
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
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®
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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.
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SM
and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index Overview
The S&P 500
®
Index, which is calculated, maintained
and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies selected
to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P 500
®
Index is based
on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time
as compared to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through
1943. For additional information about the S&P 500
®
Index, see the information set forth under “S&P
500
®
Index” in the accompanying index supplement.
Information as of market close on April 18, 2019:
Bloomberg Ticker Symbol:
|
SPX
|
52 Week High (on 9/20/2018):
|
2,930.75
|
Current Index Value:
|
2,905.03
|
52 Week Low (on 12/24/2018):
|
2,351.10
|
52 Weeks Ago:
|
2,708.64
|
|
|
The following graph sets forth the daily index closing values
of the SPX Index for the period from January 1, 2014 through April 18, 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 SPX Index for each quarter in the same period.
The index closing value of the SPX Index on April 18, 2019 was 2,905.03. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical index closing values of the SPX Index should
not be taken as an indication of future performance, and no assurance can be given as to the value of the SPX Index at any time,
including on the determination dates.
SPX Index Daily Index
Closing Values
January 1, 2014 to April
18, 2019
|
|
Morgan Stanley Finance LLC
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SM
and the Russell 2000
®
Index
Principal at Risk Securities
S&P 500
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
Fourth Quarter
|
2,090.57
|
1,862.49
|
2,058.90
|
2015
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
2016
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
2017
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
Second Quarter
|
2,453.46
|
2,328.95
|
2,423.41
|
Third Quarter
|
2,519.36
|
2,409.75
|
2,519.36
|
Fourth Quarter
|
2,690.16
|
2,529.12
|
2,673.61
|
2018
|
|
|
|
First Quarter
|
2,872.87
|
2,581.00
|
2,640.87
|
Second Quarter
|
2,786.85
|
2,581.88
|
2,718.37
|
Third Quarter
|
2,930.75
|
2,713.22
|
2,913.98
|
Fourth Quarter
|
2,925.51
|
2,351.10
|
2,506.85
|
2019
|
|
|
|
First Quarter
|
2,854.88
|
2,447.89
|
2,834.40
|
Second Quarter (through April 18, 2019)
|
2,907.41
|
2,867.19
|
2,905.03
|
“Standard
& Poor’s
®
,” “S&P
®
,” “S&P 500
®
,” “Standard
& Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC. See “S&P
500
®
Index” in the accompanying index supplement.
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Dow Jones Industrial Average
SM
Overview
The Dow Jones Industrial Average
SM
is a price-weighted
index composed of 30 common stocks that is published by S&P Dow Jones Indices LLC, the marketing name and a licensed trademark
of CME Group Inc., as representative of the broad market of U.S. industry. For additional information about the Dow Jones Industrial
Average
SM
, see the information set forth under “Dow Jones Industrial Average
SM
” in the accompanying
index supplement.
Information as of market close on April 18, 2019:
Bloomberg Ticker Symbol:
|
INDU
|
52 Week High (on 10/3/2018):
|
26,828.39
|
Current Index Value:
|
26,559.54
|
52 Week Low (on 12/24/2018):
|
21,792.20
|
52 Weeks Ago:
|
24,748.07
|
|
|
The following graph sets forth the daily index closing values
of the INDU Index for the period from January 1, 2014 through April 18, 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 INDU Index for each quarter in the same period.
The index closing value of the INDU Index on April 18, 2019 was 26,559.54. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical index closing values of the INDU Index should
not be taken as an indication of future performance, and no assurance can be given as to the value of the INDU Index at any time,
including on the determination dates.
INDU Index Daily Index Closing Values
January 1, 2014 to April 18, 2019
|
|
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Principal at Risk Securities
Dow Jones Industrial Average
SM
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
16,530.94
|
15,372.80
|
16,457.66
|
Second Quarter
|
16,947.08
|
16,026.75
|
16,826.60
|
Third Quarter
|
17,279.74
|
16,368.27
|
17,042.90
|
Fourth Quarter
|
18,053.71
|
16,117.24
|
17,823.07
|
2015
|
|
|
|
First Quarter
|
18,288.63
|
17,164.95
|
17,776.12
|
Second Quarter
|
18,312.39
|
17,596.35
|
17,619.51
|
Third Quarter
|
18,120.25
|
15,666.44
|
16,284.70
|
Fourth Quarter
|
17,918.15
|
16,272.01
|
17,425.03
|
2016
|
|
|
|
First Quarter
|
17,716.66
|
15,660.18
|
17,685.09
|
Second Quarter
|
18,096.27
|
17,140.24
|
17,929.99
|
Third Quarter
|
18,636.05
|
17,840.62
|
18,308.15
|
Fourth Quarter
|
19,974.62
|
17,888.28
|
19,762.60
|
2017
|
|
|
|
First Quarter
|
21,115.55
|
19,732.40
|
20,663.22
|
Second Quarter
|
21,528.99
|
20,404.49
|
21,349.63
|
Third Quarter
|
22,412.59
|
21,320.04
|
22,405.09
|
Fourth Quarter
|
24,837.51
|
22,557.60
|
24,719.22
|
2018
|
|
|
|
First Quarter
|
26,616.71
|
23,533.20
|
24,103.11
|
Second Quarter
|
25,322.31
|
23,644.19
|
24,271.41
|
Third Quarter
|
26,743.50
|
24,174.82
|
26,458.31
|
Fourth Quarter
|
26,828.39
|
21,792.20
|
23,327.46
|
2019
|
First Quarter
|
26,091.95
|
22,686.22
|
25,928.68
|
Second Quarter (through April 18, 2019)
|
26,559.54
|
26,143.05
|
26,559.54
|
“Dow Jones,”
“Dow Jones Industrial Average,” “Dow Jones Indexes” and “DJIA” are service marks of Dow Jones
Trademark Holdings LLC. See “Dow Jones Industrial Average
SM
” in the accompanying index supplement.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index Overview
The Russell 2000
®
Index is an index calculated,
published and disseminated by FTSE Russell, and measures the composite price performance of stocks of 2,000 companies incorporated
in the U.S. and its territories. All 2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities that
form the Russell 3000
®
Index. The Russell 3000
®
Index is composed of the 3,000 largest U.S.
companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The Russell 2000
®
Index consists of the smallest 2,000 companies included in the Russell 3000
®
Index and represents a small
portion of the total market capitalization of the Russell 3000
®
Index. The Russell 2000
®
Index is designed to track the performance of the small capitalization segment of the U.S. equity market. For additional information
about the Russell 2000
®
Index, see the information set forth under “Russell 2000
®
Index”
in the accompanying index supplement.
Information as of market close on April 18, 2019:
Bloomberg Ticker Symbol:
|
RTY
|
52 Week High (on 8/31/2018):
|
1,740.753
|
Current Index Value:
|
1,565.748
|
52 Week Low (on 12/24/2018):
|
1,266.925
|
52 Weeks Ago:
|
1,583.562
|
|
|
The following graph sets forth the daily index closing values
of the RTY Index for the period from January 1, 2014 through April 18, 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 RTY Index for each quarter in the same period.
The index closing value of the RTY Index on April 18, 2019 was 1,565.748. We obtained the information in the table and graph below
from Bloomberg Financial Markets, without independent verification. The historical index closing values of the RTY Index should
not be taken as an indication of future performance, and no assurance can be given as to the value of the RTY Index at any time,
including on the determination dates.
RTY Index Daily
Index Closing Values
January 1, 2014 to April
18, 2019
|
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Russell 2000
®
Index
|
High
|
Low
|
Period End
|
2014
|
|
|
|
First Quarter
|
1,208.651
|
1,093.594
|
1,173.038
|
Second Quarter
|
1,192.960
|
1,095.986
|
1,192.960
|
Third Quarter
|
1,208.150
|
1,101.676
|
1,101.676
|
Fourth Quarter
|
1,219.109
|
1,049.303
|
1,204.696
|
2015
|
|
|
|
First Quarter
|
1,266.373
|
1,154.709
|
1,252.772
|
Second Quarter
|
1,295.799
|
1,215.417
|
1,253.947
|
Third Quarter
|
1,273.328
|
1,083.907
|
1,100.688
|
Fourth Quarter
|
1,204.159
|
1,097.552
|
1,135.889
|
2016
|
|
|
|
First Quarter
|
1,114.028
|
953.715
|
1,114.028
|
Second Quarter
|
1,188.954
|
1,089.646
|
1,151.923
|
Third Quarter
|
1,263.438
|
1,139.453
|
1,251.646
|
Fourth Quarter
|
1,388.073
|
1,156.885
|
1,357.130
|
2017
|
|
|
|
First Quarter
|
1,413.635
|
1,345.598
|
1,385.920
|
Second Quarter
|
1,425.985
|
1,345.244
|
1,415.359
|
Third Quarter
|
1,490.861
|
1,356.905
|
1,490.861
|
Fourth Quarter
|
1,548.926
|
1,464.095
|
1,535.511
|
2018
|
|
|
|
First Quarter
|
1,610.706
|
1,463.793
|
1,529.427
|
Second Quarter
|
1,706.985
|
1,492.531
|
1,643.069
|
Third Quarter
|
1,740.753
|
1,653.132
|
1,696.571
|
Fourth Quarter
|
1,672.992
|
1,266.925
|
1,348.559
|
2019
|
|
|
|
First Quarter
|
1,590.062
|
1,330.831
|
1,539.739
|
Second Quarter (through April 18, 2019)
|
1,584.802
|
1,553.325
|
1,565.748
|
The
“Russell 2000
®
Index” is a trademark of FTSE Russell. For more information, see “Russell 2000
®
Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities
Additional Terms of the Securities
Please read this information in conjunction with the summary
terms on the front cover of this document.
Additional
Terms:
|
If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.
|
Underlying
Index publisher:
|
With respect to the SPX Index, S&P Dow Jones Indices LLC,
or any successor thereof.
With respect to the INDU Index, S&P Dow Jones Indices LLC,
or any successor thereof.
With respect to the RTY Index, FTSE Russell, or any successor
thereof.
|
Index
closing value:
|
With respect to each of the SPX Index and the INDU Index, the
index closing value on any index business day shall be determined by the calculation agent and shall equal the official closing
value of such underlying index, or any successor underlying index (as defined under “Discontinuance of an Underlying Index;
Alteration of Method of Calculation” in the accompanying product supplement), published at the regular official weekday close
of trading on such index business day by the underlying index publisher for such underlying index. In certain circumstances, the
index closing value for the SPX Index or the INDU Index shall be based on the alternate calculation of such underlying index described
under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in the accompanying product supplement.
With respect to the RTY Index, the index closing value on any
index business day shall be determined by the calculation agent and shall equal the closing value of the RTY Index, or any successor
underlying index (as defined under “Discontinuance of an Underlying Index; Alteration of Method of Calculation” in
the accompanying product supplement), reported by Bloomberg Financial Services, or any successor reporting service the calculation
agent may select, on such index business day. In certain circumstances, the index closing value for the RTY Index shall be based
on the alternate calculation of the RTY Index described under “Discontinuance of an Underlying Index; Alteration of Method
of Calculation” in the accompanying product supplement.
|
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 early redemption date or the maturity date
is postponed due to postponement of the relevant determination date, the issuer shall give notice of such postponement and, once
it has been determined, of the date to which the early redemption date or the maturity date, as applicable, has been rescheduled
(i) to the holder of the securities by mailing notice of such postponement by first class mail, postage prepaid, to the holder’s
last address as it shall appear upon the registry books, (ii) to the trustee by facsimile confirmed by mailing such notice to the
trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”)
by telephone or facsimile confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that
is mailed to the holder of the securities in the manner herein provided shall be conclusively presumed to have been duly given
to such holder, whether or not such 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 early redemption date or the maturity date, as applicable,
the business day immediately preceding the scheduled early redemption date or maturity date, as applicable, and (ii) with respect
to notice of the date to which the early redemption date or the maturity date, as applicable, has been rescheduled, the business
day immediately following the relevant 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
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
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SM
and the Russell 2000
®
Index
Principal at Risk Securities
|
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 holder, whether
or not such registered holder receives the notice. This notice shall be given by the issuer or, at the issuer’s request,
by the trustee in the name and at the expense of the issuer, with any such request to be accompanied by a copy of the notice to
be given.
The issuer shall, or shall cause the calculation agent to, (i)
provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of
cash, 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.
|
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due May 15, 2024
All Payments on the Securities Based on the Worst Performing of the S&P 500
®
Index, the Dow Jones Industrial Average
SM
and the Russell 2000
®
Index
Principal at Risk Securities