The Securities and Exchange Commission and state securities
regulators have not approved or disapproved these securities, or determined if this document or the accompanying prospectus supplement,
index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and
are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they
obligations of, or guaranteed by, a bank.
You should read this document together with the related
prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see
“Additional Terms of the Securities” and “Additional Information About the Securities” at the end of this
document.
References to “we,” “us” and “our”
refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Morgan
Stanley Finance LLC
Callable
Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Terms continued from previous page:
|
Redemption payment:
|
The redemption payment will be an amount equal to (i) the stated principal amount
plus
(ii) any contingent semi-annual coupon otherwise due with respect to the related observation date.
|
Redemption dates:
|
Beginning on December 3, 2019, semi-annually. See “Observation Dates, Coupon Payment Dates and Redemption Dates” below. If any such day is not a business day, the redemption payment will be made on the next succeeding business day and no adjustment will be made to any redemption payment made on that succeeding business day.
|
Initial index value:
|
With respect to the RTY Index: , which is the index closing value
of such index on the pricing date
With respect to the SX5E Index: , which is the index closing
value of such index on the pricing date
|
Final index value:
|
With respect to each underlying index, the respective index closing value on the final observation date
|
Worst performing
underlying index:
|
The underlying index with the larger percentage decrease from the respective initial index value to the respective final index value
|
Index performance factor:
|
Final index value
divided by
the initial index value
|
Coupon barrier level:
|
With respect to the RTY Index: , which is 70% of the initial
index value for such index
With respect to the SX5E Index: , which is 70% of the initial
index value for such index
|
Downside threshold level:
|
With respect to the RTY Index: , which is 70% of the initial
index value for such index
With respect to the SX5E Index: , which is 70% of the initial
index value for such index
|
Coupon payment dates:
|
Semi-annually, as set forth under “Observation Dates, Coupon Payment Dates and Redemption Dates” below. If any such day is not a business day, that contingent semi-annual coupon, if any, will be paid on the next succeeding business day and no adjustment will be made to any coupon payment made on that succeeding business day;
provided further
that the contingent semi-annual coupon, if any, with respect to the final observation date shall be paid on the maturity date.
|
Observation dates:
|
Semi-annually, as set forth under “Observation Dates, Coupon Payment Dates and Redemption Dates” below, subject to postponement for non-index business days and certain market disruption events. We also refer to May 24, 2022 as the final observation date.
|
CUSIP / ISIN:
|
61768D7D1 / US61768D7D19
|
Listing:
|
The securities will not be listed on any securities exchange.
|
Observation Dates, Coupon
Payment Dates and Redemption Dates
Observation Dates
|
Coupon Payment Dates / Redemption Dates
|
November 25, 2019
|
December 3, 2019
|
May 26, 2020
|
June 2, 2020
|
November 24, 2020
|
December 2, 2020
|
May 24, 2021
|
June 1, 2021
|
November 24, 2021
|
December 2, 2021
|
May 24, 2022 (final observation date)
|
June 1, 2022 (maturity date)
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Investment Overview
Callable Contingent Income Securities
Principal at Risk Securities
Callable Contingent Income Securities due June 1, 2022 Payments
on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index (the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of
interest. Instead, the securities will pay a contingent semi-annual coupon
but only if
the index closing value of
each
of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
(which we refer to together as the “underlying
indices”) is
at or above
70% of its respective initial index value, which we refer to as the respective coupon barrier
level, on the related observation date. If the index closing value
of either underlying index
is less than the coupon barrier
level for such index on any observation date, we will pay no coupon for the related semi-annual period. It is possible that the
index closing value of one or both underlying indices will remain below the respective coupon barrier level(s) for extended periods
of time or even throughout the entire term of the securities so that you will receive few or no contingent semi-annual coupons
during the entire three-year term of the securities. Even if an underlying index were to be at or above the coupon barrier level
for such index on some semi-annual observation dates, it may fluctuate below the coupon barrier level on others. In addition, even
if one underlying index were to be at or above the coupon barrier level for such index on all semi-annual observation dates, you
will receive a contingent semi-annual coupon only with respect to the observation dates on which the other underlying index is
also at or above the coupon barrier level for such index, if any. In addition, beginning on December 3, 2019,
we will have the
right to redeem the securities at our discretion
on any semi-annual redemption date for the redemption payment equal to the
sum of the stated principal amount plus any contingent semi-annual coupon otherwise due with respect to the related observation
date. At maturity, if the securities have not been previously redeemed and if the final index value of
each
underlying index
is greater than or equal to 70% of the respective initial index value, which we refer to as the downside threshold level, the payment
at maturity will be the stated principal amount and the related contingent semi-annual coupon. If, however, the final index value
of
either
underlying index is less than its 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 based on the performance of either index and also the risk of not receiving any semi-annual coupons
throughout the entire term of the securities.
Maturity:
|
Approximately 3 years, unless redeemed earlier at our discretion
|
Contingent semi-annual coupon:
|
If, on any observation date, the index closing value of
each
underlying index
is
greater than or equal to
its respective coupon barrier level, we will pay a contingent semi-annual
coupon at an annual rate of at least 8.45% (corresponding to approximately $42.25 per semi-annual period per security) on the related
coupon payment date. The actual contingent semi-annual coupon rate will be determined on the pricing date.
If, on any observation date, the closing value
of either underlying
index
is
less than
the coupon barrier level for such index, no contingent semi-annual coupon will be paid with respect
to that observation date.
It is possible that one or both underlying indices will remain below the respective coupon barrier
level(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
semi-annual coupons.
|
Early redemption at the option of the issuer:
|
Beginning on December 3, 2019, we have the right to redeem the
securities on any semi-annual redemption date for an early redemption payment equal to the stated principal amount plus any contingent
semi-annual coupon otherwise due with respect to the related observation date. Any early redemption of the securities will be at
our discretion and will not automatically occur based on the performance of the underlying indices. It is more likely that we will
redeem the securities when it would otherwise be advantageous for you to continue to hold the securities. As such, we will be more
likely to redeem the securities when the index closing value of each underlying index on the observation dates is at or above its
respective coupon barrier level, which would otherwise result in an amount of interest payable on the securities that is greater
than instruments of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem
the securities at a time when the securities are paying an above-market coupon. If the securities are redeemed prior to maturity,
you will receive no more contingent semi-annual coupon payments, may be forced to invest in a lower interest rate environment and
may not be able to reinvest at comparable
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
|
terms or returns.
On the other hand, we will be less likely to exercise our redemption
right when the index closing value of either underlying index is below its respective coupon barrier level and/or when the final
index value of either underlying index is expected to be below the downside threshold level, such that you will receive no contingent
semi-annual coupons and/or that you will suffer a significant loss on your initial investment in the securities at maturity. Therefore,
if we do not exercise our redemption right, it is more likely that you will receive few or no contingent semi-annual coupons and
suffer a significant loss at maturity.
|
Payment at maturity:
|
If the securities have not previously been redeemed, investors
will receive on the maturity date a payment at maturity determined as follows:
If the final index value of
each
underlying index is
greater
than or equal to
its respective downside threshold level: the stated principal amount and the contingent semi-annual coupon
with respect to the final observation date.
If the final index value of
either
underlying index is
less than
its respective downside threshold level: (i) the stated principal amount
multiplied by
(ii) the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the
stated principal amount of the securities and could be zero.
|
We are using this preliminary pricing supplement to solicit from
you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at
which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to
purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will
notify you.
Morgan Stanley 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.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
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 $982.60, or within $22.50 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 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 contingent semi-annual coupon rate, the coupon barrier 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
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Key Investment Rationale
The securities do not provide for the regular payment of interest
and instead will pay a contingent semi-annual coupon
but only if
the index closing value of
each underlying index
is
at or above
70% of its initial index value, which we refer to as the respective coupon barrier level, on the related
observation date. These securities are for investors who are willing to risk their principal and seek an opportunity to earn interest
at a potentially above-market rate in exchange for the risk of receiving no semi-annual interest if either underlying index closes
below the coupon barrier level for such index on the observation dates, and the risk of an early redemption of the securities at
our discretion. The following scenarios are for illustration purposes only to demonstrate how the payment at maturity and contingent
semi-annual coupon (if the securities have not previously been redeemed) are determined, and do not attempt to demonstrate every
situation that may occur. Accordingly, the securities may or may not be redeemed by us at our discretion, the contingent semi-annual
coupon may be payable with respect to none of, or some but not all of, the semi-annual periods, and the payment at maturity may
be less than 70% of the stated principal amount and could be zero. Investors will not participate in any appreciation in either
underlying index.
Scenario 1:
The securities are redeemed prior to maturity.
|
This scenario assumes that we redeem the securities at our discretion prior to the maturity date on one of the semi-annual redemption dates, starting on December 3, 2019, six months after the original issue date, for the redemption payment equal to the stated principal amount
plus
any contingent semi-annual coupon with respect to the relevant observation date, as applicable. Prior to the optional early redemption, each underlying index closes at or above its respective coupon barrier level on some or all of the semi-annual observation dates. In this scenario, investors receive the contingent semi-annual coupon with respect to each such observation date, but not for the semi-annual periods for which one of both underlying indices close below the respective coupon barrier level on the related observation date. No further payments will be made on the securities once they have been redeemed.
|
Scenario 2:
The securities are not redeemed prior to maturity, and investors receive principal back at maturity.
|
This scenario assumes that we do not exercise our redemption right on any of the semi-annual redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, each underlying index closes at or above its respective coupon barrier level on some semi-annual observation dates, but one or both underlying indices close below the respective coupon barrier level(s) for such index on the others. Investors will receive the contingent semi-annual coupon for the semi-annual periods for which the index closing value of each underlying index is at or above its respective coupon barrier level on the related observation date, but not for the semi-annual periods for which one or both underlying indices close below the respective coupon barrier level(s) on the related observation date. On the final observation date, each underlying index closes at or above its downside threshold level. At maturity, investors receive the stated principal amount and the contingent semi-annual coupon with respect to the final observation date.
|
Scenario 3:
The securities are not redeemed prior to maturity, and investors suffer a substantial loss of principal at maturity.
|
This scenario assumes that we do not exercise our redemption right on any of the semi-annual redemption dates, and, as a result, investors hold the securities to maturity. During the term of the securities, one or both underlying indices close below the respective coupon barrier level(s) on every semi-annual observation date. Since one or both underlying indices close below the respective coupon barrier level(s) on every semi-annual observation date, investors do not receive any contingent semi-annual coupon. On the final observation date, one or both underlying indices close below the respective downside threshold level(s). 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 less than 70% of the stated principal amount and could be zero.
|
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Underlying Indices Summary
Russell 2000
®
Index
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.
Information as of market close on April 23, 2019:
Bloomberg Ticker Symbol:
|
RTY
|
Current Index Value:
|
1,585.093
|
52 Weeks Ago:
|
1,562.120
|
52 Week High (on 8/31/2018):
|
1,740.753
|
52 Week Low (on 12/24/2018):
|
1,266.925
|
For additional information about the Russell 2000
®
Index, see the information set forth under “Russell 2000
®
Index” in the accompanying index supplement.
Furthermore, for additional historical information, see “Russell 2000
®
Index Historical Performance”
below.
EURO STOXX 50
®
Index
The EURO STOXX 50
®
Index
was created by STOXX Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX
50
®
Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The
EURO STOXX 50
®
Index is composed of 50 component stocks of market sector leaders from within the STOXX 600
Supersector Indices, which includes stocks selected from the Eurozone. The component stocks have a high degree of liquidity
and represent the largest companies across all market sectors.
Information as of market close on April 23, 2019:
Bloomberg Ticker Symbol:
|
SX5E
|
Current Index Value:
|
3,503.85
|
52 Weeks Ago:
|
3,513.06
|
52 Week High (on 5/17/2018):
|
3,592.18
|
52 Week Low (on 12/27/2018):
|
2,937.36
|
For additional information about the EURO STOXX 50
®
Index, see the information set forth under “EURO STOXX 50
®
Index” in the accompanying index supplement.
Furthermore, for additional historical information, see “EURO STOXX 50
®
Index Historical Performance”
below.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Hypothetical Examples
The following hypothetical examples illustrate how to determine
whether a contingent semi-annual coupon is paid with respect to an observation date and how to calculate the payment at maturity.
The following examples are for illustrative purposes only. Whether you receive a contingent semi-annual coupon will be determined
by reference to the index closing value of each underlying index on each semi-annual observation date, and the amount you will
receive at maturity, if any, will be determined by reference to the final index value of each underlying index on the final observation
date. Any early redemption of the securities will be at our discretion. The actual initial index value, coupon barrier level and
downside threshold level for each underlying index will be determined on the pricing date. All payments on the securities, if any,
are subject to our credit risk. The below examples are based on the following terms:
Hypothetical Contingent Semi-annual Coupon:
|
If, on any observation date, the index closing value of
each
underlying index
is
greater than or equal to
its respective coupon barrier level, we will pay a contingent semi-annual
coupon at an annual rate of 8.45% (corresponding to approximately $42.25 per semi-annual period per security) on the related coupon
payment date. The actual contingent semi-annual coupon rate will be determined on the pricing date.
If, on any observation date, the closing value
of either underlying
index
is
less than
the coupon barrier level for such index, no contingent semi-annual coupon will be paid with respect
to that observation date.
It is possible that one or both underlying indices will remain below the respective coupon barrier
level(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent
semi-annual coupons.
|
Optional Early Redemption:
|
Beginning on December 3, 2019, we will have the right to redeem the securities at our discretion on any semi-annual redemption date for a redemption payment equal to the stated principal amount plus any contingent semi-annual coupon otherwise due with respect to the related observation date.
If the securities are redeemed prior to maturity, you will receive no more contingent semi-annual coupon payments, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
|
Payment at Maturity (if the securities have not been redeemed early at our option):
|
If the final index value of
each
underlying index is
greater
than or equal to
its respective downside threshold level: the stated principal amount and the contingent semi-annual coupon
with respect to the final observation date.
If the final index value of
either
underlying index is
less than
its respective downside threshold level: (i) the stated principal amount
multiplied by
(ii) the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at maturity will be less than 70% of the
stated principal amount of the securities and could be zero.
|
Stated Principal Amount:
|
$1,000
|
Hypothetical Initial Index Value:
|
With respect to the RTY Index: 1,200
With respect to the SX5E Index: 3,100
|
Hypothetical Coupon Barrier Level:
|
With respect to the RTY Index: 840, which is 70% of the hypothetical
initial index value for such index
With respect to the SX5E Index: 2,170, which is 70% of the hypothetical
initial index value for such index
|
Hypothetical Downside Threshold Level:
|
With respect to the RTY Index: 840, which is 70% of the hypothetical
initial index value for such index
With respect to the SX5E Index: 2,170, which is 70% of the hypothetical
initial index value for such index
|
* The actual semi-annual coupon will be an amount determined
by the calculation agent based on the actual contingent semi-annual coupon rate and the number of days in the applicable payment
period, calculated on a 30/360 basis. The hypothetical semi-annual coupon of $42.25 is used in these examples for ease of analysis.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
How to determine whether a contingent semi-annual
coupon is payable with respect to an observation date (if the securities have not been previously redeemed):
|
Index Closing Value
|
Contingent Semi-annual Coupon
|
|
RTY Index
|
SX5E Index
|
|
Hypothetical Observation Date 1
|
950 (
at or above
coupon barrier level)
|
2,500 (
at or above
coupon barrier level)
|
$42.25
|
Hypothetical Observation Date 2
|
1,200 (
at or above
coupon barrier level)
|
1,000 (
below
coupon barrier level)
|
$0
|
Hypothetical Observation Date 3
|
600 (
below
coupon barrier level)
|
2,400 (
at or above
coupon barrier level)
|
$0
|
Hypothetical Observation Date 4
|
500 (
below
coupon barrier level)
|
1,500 (
below
coupon barrier level)
|
$0
|
On hypothetical observation date 1, both the RTY Index and SX5E
Index close at or above their respective coupon barrier levels. Therefore a contingent semi-annual coupon of $42.25 is paid on
the relevant coupon payment date.
On each of the hypothetical observation dates 2 and 3, one underlying
index closes at or above its coupon barrier level but the other underlying index closes below its coupon barrier level. Therefore,
no contingent semi-annual coupon is paid on the relevant coupon payment date.
On hypothetical observation date 4, each underlying index closes
below its respective coupon barrier level and accordingly no contingent semi-annual coupon is paid on the relevant coupon payment
date.
How to calculate the payment
at maturity (if the securities have not been redeemed early at our option):
|
Final Index Value
|
Payment at Maturity
|
|
RTY Index
|
SX5E Index
|
|
Example 1:
|
1,500 (
at or above
the downside threshold level)
|
3,800 (
at or above
the downside threshold level)
|
$1,042.25 (the stated principal amount
plus
the contingent semi-annual coupon with respect to the final observation date)
|
Example 2:
|
900 (
at or above
the downside threshold level)
|
1,240 (
below
the downside threshold level)
|
$1,000 x index performance factor of the worst performing underlying = $1,000 x (1,240 / 3,100) = $400
|
Example 3:
|
480 (
below
the downside threshold level)
|
2,500 (
at or above
the downside threshold level)
|
$1,000 x (480 / 1,200) = $400
|
Example 4:
|
360 (
below
the downside threshold level)
|
1,000 (
below
the downside threshold level)
|
$1,000 x (360 / 1,200) = $300
|
Example 5:
|
480 (
below
the downside threshold level)
|
930 (
below
the downside threshold level)
|
$1,000 x (930 / 3,100) = $300
|
In example 1, the final index values of both the RTY Index and
SX5E Index are at or above their downside threshold levels. Therefore, investors receive at maturity the stated principal amount
of the securities and the contingent semi-annual coupon with respect to the final observation date. However, investors do not participate
in the appreciation of either underlying index.
In examples 2 and 3, the final index value of one underlying
index is at or above its downside threshold level but the final index value of the other underlying index is below its downside
threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying index at maturity
and receive at maturity an amount equal to the stated principal amount
times
the index performance factor of the worst performing
underlying index.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities
Similarly, in examples 4 and 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. In example 4, the RTY Index
has declined 70% from its initial index value to its final index value, while the SX5E Index has declined 60% 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 RTY Index, which is the worst performing underlying index in this example. In example 5, the RTY Index
has declined 60% from its initial index value, while the SX5E Index has declined 70% 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 SX5E Index, which is the worst performing underlying index in this example.
If the securities have not been redeemed prior to maturity
and the final index value of EITHER 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 $700
per security and could be zero.
Morgan Stanley Finance LLC
Callable Contingent Income Securities due June 1, 2022
Payments on the Securities Based on the Worst Performing of the Russell 2000
®
Index and the EURO STOXX 50
®
Index
Principal at Risk Securities