Bond Morgan Stanleigh 0% ( US61761JM306 ) in USD

Morgan Stanleigh

100 % ▼

United States

US61761JM306 ( in USD )

30/10/2025

Prospectus brochure of the bond Morgan Stanley US61761JM306 en USD 0%, maturity 30/10/2025

1 000 USD

889 000 USD

61761JM30

N/A

Morgan Stanley is a leading global financial services firm offering investment banking, wealth management, investment management, and securities services to individuals, corporations, and governments worldwide.

Morgan Stanley, a leading global financial services firm headquartered in the United States, providing a wide range of investment banking, securities, wealth management, and investment management services, has issued a USD-denominated bond (ISIN: US61761JM306; CUSIP: 61761JM30) with a maturity date of October 30, 2025, which is currently quoted at 100% of its par value in the market; notably, this instrument specifies an interest rate of 0% and a payment frequency of two times per year, suggesting its yield to investors, if any, will be derived from factors other than periodic coupon payments or that it represents a zero-coupon instrument priced at par; the total issue size for this bond stands at 889,000 units, with a minimum purchase requirement of 1,000 units, and it carries an "NR" (Not Rated) designation from Moody's rating agency.

424B2 1 dp60791_424b2-ps586.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee
Trigger Performance Leveraged Upside

$889,000

$89.52
Securities due 2025

Oc t obe r 2 0 1 5
Pricing Supplement No. 586
Registration Statement No. 333-200365
Dated October 27, 2015
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
The Trigger PLUS are unsecured obligations of Morgan Stanley, will pay no interest, do not guarantee any return of principal at
maturity and have the terms described in the accompanying product supplement for PLUS, index supplement and prospectus, as
supplemented or modified by this document. At maturity, if the underlying index has a ppre c ia t e d in value, investors will receive
the stated principal amount of their investment plus leveraged upside performance of the underlying index. If the underlying index
de pre c ia t e s in value but the final index value is greater than the trigger level, investors will receive the stated principal amount
of their investment. However, if the underlying index has de pre c ia t e d in value so that the final index value is less than or equal
to the trigger level, investors will lose a significant portion or all of their investment, resulting in a 1% loss for every 1% decline in
the index value over the term of the Trigger PLUS. Under these circumstances, the payment at maturity will be less than 50% of
the stated principal amount and could be zero. Accordingly, you may lose your entire investment. These long-dated Trigger PLUS
are for investors who seek an equity index-based return and who are willing to risk their principal and forgo current income in
exchange for the upside leverage feature and the limited protection against loss but only if the final index value is greater than the
trigger level. I nve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S . The Trigger PLUS are notes
issued as part of Morgan Stanley's Series F Global Medium-Term Notes program.
All pa ym e nt s a re subje c t t o t he c re dit risk of M orga n St a nle y. I f M orga n St a nle y de fa ult s on it s obliga t ions,
you c ould lose som e or a ll of your inve st m e nt . T he se T rigge r PLU S a re not se c ure d obliga t ions a nd you w ill
not ha ve a ny se c urit y int e re st in, or ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or
a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley
M a t urit y da t e :
October 30, 2025
U nde rlying inde x :
S&P 500® Index
Aggre ga t e princ ipa l a m ount :
$889,000
Pa ym e nt a t m a t urit y:
If the final index value is greater than the initial index value: $1,000 + leveraged upside payment
If the final index value is less than or equal to the initial index value but is greater than the trigger level: $1,000
If the final index value is less than or equal to the trigger level: $1,000 × index performance factor
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000 and
will represent a loss of at least 50%, and possibly all, of your investment.
Le ve ra ge d upside pa ym e nt :
$1,000 × leverage factor × index percent increase
Le ve ra ge fa c t or:
180%
I nde x pe rc e nt inc re a se :
(final index value initial index value) / initial index value
I nde x pe rform a nc e fa c t or:
final index value / initial index value
I nit ia l inde x va lue :
2,065.89, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
T rigge r le ve l:
1,032.945, which is 50% of the initial index value
V a lua t ion da t e :
October 27, 2025, subject to adjustment for non-index business days and certain market disruption events
St a t e d princ ipa l a m ount :
$1,000 per Trigger PLUS
I ssue pric e :
$1,000 per Trigger PLUS (see "Commissions and issue price" below)
Pric ing da t e :
October 27, 2015
Origina l issue da t e :
October 30, 2015 (3 business days after the pricing date)
CU SI P / I SI N :
61761JM30/ US61761JM306
List ing:
The Trigger PLUS will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), a wholly-owned subsidiary of Morgan Stanley. See "Supplemental
information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he pric ing
$916.50 per Trigger PLUS. See "Investment Summary" beginning on page 2.
da t e :
Com m issions a nd issue pric e :
Pric e t o public (1)
Age nt 's c om m issions (2)
Proc e e ds t o issue r(3)
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Pe r T rigge r PLU S
$1,000
$35
$965
T ot a l
$889,000
$31,115
$857,885
(1) The price to public for investors purchasing the Trigger PLUS in fee-based advisory accounts will be $970 per Trigger PLUS.
(2) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $35 for each Trigger PLUS
they sell; provided that dealers selling to investors purchasing the Trigger PLUS in fee-based advisory accounts will receive a sales commission of $5
per Trigger PLUS. 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.
(3) See "Use of proceeds and hedging" on page 13.
T he T rigge r PLU S involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt se c urit ie s. Se e "Risk
Fa c t ors" be ginning on pa ge 6 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d t he se se c urit ie s,
or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt , inde x supple m e nt a nd prospe c t us is t rut hful or
c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
T he T rigge r PLU S a re not ba nk de posit s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e Corpora t ion or a ny ot he r
gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d produc t supple m e nt , inde x supple m e nt a nd prospe c t us, e a c h of
w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l I nform a t ion About t he T rigge r PLU S" a t t he e nd
of t his doc um e nt .
Produc t Supple m e nt for PLU S da t e d N ove m be r 1 9 , 2 0 1 4 I nde x Supple m e nt da t e d N ove m be r 1 9 , 2 0 1 4
Prospe c t us da t e d N ove m be r 1 9 , 2 0 1 4

Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
Investment Summary

T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s
Princ ipa l a t Risk Se c urit ie s

The Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025 (the "Trigger PLUS") can be used:

As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the
underlying index

To enhance returns and potentially outperform the underlying index in a bullish scenario, with no limitation on the appreciation
potential

To provide limited protection against a loss of principal in the event of a decline of the underlying index as of the valuation date
but only if the final index value is gre a t e r t ha n the trigger level

M a t urit y:
10 years
Le ve ra ge fa c t or:
180%
T rigge r le ve l:
50% of the initial index value
M inim um pa ym e nt a t
None. You could lose your entire initial investment in the Trigger
m a t urit y:
PLUS.
I nt e re st :
None

The original issue price of each Trigger PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and
hedging the Trigger PLUS, which are borne by you, and, consequently, the estimated value of the Trigger PLUS on the pricing
date is less than $1,000. We estimate that the value of each Trigger PLUS on the pricing date is $916.50.

What goes into the estimated value on the pricing date?

In valuing the Trigger PLUS on the pricing date, we take into account that the Trigger PLUS comprise both a debt component and
a performance-based component linked to the underlying index. The estimated value of the Trigger PLUS is determined using our
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own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the
underlying index, volatility and other factors including current and expected interest rates, as well as an interest rate related to our
secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary
market.

What determines the economic terms of the Trigger PLUS?

In determining the economic terms of the Trigger PLUS, including the leverage factor and the trigger level, 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 Trigger PLUS 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 Trigger PLUS?

The price at which MS & Co. purchases the Trigger PLUS in the secondary market, absent changes in market conditions, including
those related to the underlying index, may vary from, and be lower than, the estimated value on the pricing date, because the
secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would
charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing,
selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 12 months following
the issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market
conditions, including those related to the underlying index, and to our secondary market credit spreads,

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
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 Trigger PLUS, and, if it once chooses to make a market, may cease
doing so at any time.

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
K e y I nve st m e nt Ra t iona le

Trigger PLUS offer leveraged exposure to any positive performance of the underlying index. In exchange for the leverage feature,
investors are exposed to the risk of loss of a significant portion or all of their investment due to the trigger feature. At maturity, an
investor will receive an amount in cash based upon the closing value of the underlying index on the valuation date. The Trigger
PLUS are unsecured obligations of Morgan Stanley, and all payments on the Trigger PLUS are subject to the credit risk of Morgan
Stanley. I nve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S.

Le ve ra ge d
The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct
Pe rform a nc e
investment in the underlying index.
T rigge r Fe a t ure
At maturity, even if the underlying index has declined over the term of the Trigger PLUS, you will receive
your stated principal amount but only if the final index value is gre a t e r t ha n the trigger level.
U pside Sc e na rio
The final index value is greater than the initial index value, and, at maturity, the Trigger PLUS redeem
for the stated principal amount of $1,000 plus 180% of the increase in the value of the underlying
index.
Pa r Sc e na rio
The final index value is less than or equal to the initial index value but is greater than the trigger
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level. In this case, you receive the stated principal amount of $1,000 at maturity even though the
underlying index has depreciated.
Dow nside Sc e na rio The final index value is less than or equal to the trigger level. In this case, the Trigger PLUS redeem for
at least 50% less than the stated principal amount, and this decrease will be by an amount proportionate
to the full decline in the value of the underlying index over the term of the Trigger PLUS.
October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
How the Trigger PLUS Work

Pa yoff Dia gra m

The payoff diagram below illustrates the payment at maturity on the Trigger PLUS based on the following terms:

St a t e d princ ipa l a m ount :
$1,000 per Trigger PLUS
Le ve ra ge fa c t or:
180%
T rigge r le ve l:
50% of the initial index value

T rigge r PLU S Pa yoff Dia gra m

H ow it w ork s

Upside Scenario: If the final index value is greater than the initial index value, investors will receive the $1,000 stated
principal amount plus 180% of the appreciation of the underlying index over the term of the Trigger PLUS.

If the underlying index appreciates 5%, investors will receive a 9% return, or $1,090 per Trigger PLUS.

Par Scenario: If the final index value is less than or equal to the initial index value but is greater than the trigger level,
investors will receive the $1,000 stated principal amount.

If the underlying index depreciates 30%, investors will receive the $1,000 stated principal amount.
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Dow nside Scenario: If the final index value is less than or equal to the trigger level, investors will receive an amount
significantly less than the $1,000 stated principal amount, based on a 1% loss of principal for each 1% decline in the
underlying index.

If the underlying index depreciates 80%, investors will lose 80% of their principal and receive only $200 per Trigger PLUS
at maturity, or 20% of the stated principal amount.

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS. For further discussion of these
and other risks, you should read the section entitled "Risk Factors" in the accompanying product supplement for PLUS, index
supplement and prospectus. You should also consult with your investment, legal, tax, accounting and other advisers in connection
with your investment in the Trigger PLUS.

The Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ
from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of any principal at
maturity. If the final index value is less than or equal to the trigger level (which is 50% of the initial index level), the payout at
maturity will be an amount in cash that is at least 50% less than the $1,000 stated principal amount of each Trigger PLUS, and
this decrease will be by an amount proportionate to the full decrease in the value of the underlying index. There is no minimum
payment at maturity on the Trigger PLUS, and you could lose your entire investment.

The market price w ill be influenced by many unpredictable factors. Several factors, many of which are beyond
our control, will influence the value of the Trigger PLUS in the secondary market and the price at which MS & Co. may be
willing to purchase or sell the Trigger PLUS in the secondary market, including: the value, volatility (frequency and magnitude
of changes in value) and dividend yield of the underlying index, interest and yield rates, time remaining to maturity, geopolitical
conditions and economic, financial, political and regulatory or judicial events that affect the underlying index or equities markets
generally and which may affect the final index value of the underlying index, and 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 Trigger PLUS
will be affected by the other factors described above. The value of the underlying index may be, and has recently been,
volatile, and we can give you no assurance that the volatility will lessen. See "S&P 500® Index Overview" below. You may
receive less, and possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell your Trigger
PLUS prior to maturity.

The Trigger PLUS are subject to the credit risk of Morgan Stanley, and any actual or anticipated
c ha nge s t o it s c re dit ra t ings or c re dit spre a ds m a y a dve rse ly a ffe c t t he m a rk e t va lue of t he T rigge r
PLU S. You are dependent on Morgan Stanley's ability to pay all amounts due on the Trigger PLUS at maturity and therefore
you are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations under the Trigger PLUS, your
investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Trigger
PLUS prior to maturity will be affected by changes in the market's view of Morgan Stanley's creditworthiness. Any actual or
anticipated decline in Morgan Stanley's credit ratings or increase in the credit spreads charged by the market for taking Morgan
Stanley credit risk is likely to adversely affect the market value of the Trigger PLUS.

The amount payable on the Trigger PLUS is not linked to the value of the underlying index at any time
ot he r t ha n t he va lua t ion da t e . The final index value will be the index closing value on the valuation date, subject to
adjustment for non-index business days and certain market disruption events. Even if the value of the underlying index
appreciates prior to the valuation date but then drops by the valuation date, the payment at maturity may be less, and may be
significantly less, than it would have been had the payment at maturity been linked to the value of the underlying index prior to
such drop. Although the actual value of the underlying index on the stated maturity date or at other times during the term of
the Trigger PLUS may be higher than the final index value, the payment at maturity will be based solely on the index closing
value on the valuation date.

Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing in the Trigger
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PLUS is not equivalent to investing in the underlying index or its component stocks. As an investor in the Trigger PLUS, you
will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that
constitute the underlying index.

Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The underlying
index publisher may add, delete or substitute the stocks constituting the underlying index or make other methodological
changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend
calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole
discretion to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from
considering indices that

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
are calculated and published by the calculation agent or any of its affiliates. If the calculation agent determines that there is no
appropriate successor index, the payment at maturity on the Trigger PLUS will be an amount based on the closing prices at
maturity of the securities composing the underlying index at the time of such discontinuance, without rebalancing or
substitution, computed by the calculation agent in accordance with the formula for calculating the underlying index last in effect
prior to discontinuance of the underlying index.

The rate w e are w illing to pay for securities of this type, maturity and issuance size is likely to be low er
t ha n t he ra t e im plie d by our se c onda ry m a rk e t c re dit spre a ds a nd a dva nt a ge ous t o us. Bot h t he low e r
ra t e a nd t he inc lusion of c ost s a ssoc ia t e d w it h issuing, se lling, st ruc t uring a nd he dging t he T rigge r
PLU S in t he origina l issue pric e re duc e t he e c onom ic t e rm s of t he T rigge r PLU S, c a use t he e st im a t e d
va lue of t he T rigge r PLU S t o be le ss t ha n t he origina l issue pric e a nd w ill a dve rse ly a ffe c t se c onda ry
m a rk e t pric e s. 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 Trigger PLUS 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 Trigger PLUS in the original issue price and the lower
rate we are willing to pay as issuer make the economic terms of the Trigger PLUS less favorable to you than they otherwise
would be.

However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted
upon issuance, for a period of up to 12 months following the issue date, to the extent that MS & Co. may buy or sell the
Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index,
and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect
that those higher values will also be reflected in your brokerage account statements.

The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models,
w hic h m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry m a rk e t pric e .
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 Trigger PLUS than those generated by
others, including other dealers in the market, if they attempted to value the Trigger PLUS. 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 Trigger PLUS in the secondary market (if any exists) at any time. The value of your Trigger PLUS at any time
after the date of this pricing supplement 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.

The Trigger PLUS w ill not be listed on any securities exchange and secondary trading may be limited.
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The Trigger PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
Trigger PLUS. MS & Co. may, but is not obligated to, make a market in the Trigger PLUS 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 Trigger PLUS, 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 Trigger PLUS. Even if there is a
secondary market, it may not provide enough liquidity to allow you to trade or sell the Trigger PLUS easily. Since other broker-
dealers may not participate significantly in the secondary market for the Trigger PLUS, the price at which you may be able to
trade your Trigger PLUS 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 Trigger PLUS, it is likely that there would be no secondary market for the Trigger
PLUS. Accordingly, you should be willing to hold your Trigger PLUS to maturity.

The calculation agent, w hich is a subsidiary of the issuer, w ill make determinations w ith respect to the
T rigge r PLU S. As calculation agent, MS & Co. has determined the initial index value and the trigger

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
level, will determine the final index value, including whether the underlying index has decreased to or below the trigger level,
and will calculate the amount of cash, if any, you will receive at maturity. Moreover, certain determinations made by MS & Co.,
in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect
to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the
final index value in the event of a market disruption event or discontinuance of the underlying index. These potentially
subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these
types of determinations, see "Description of PLUS--Postponement of Valuation Date(s)" and "--Calculation Agent and
Calculations" and related definitions in the accompanying product supplement. In addition, MS & Co. has determined the
estimated value of the Trigger PLUS on the pricing date.

Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the
T rigge r PLU S. One or more of our subsidiaries and/or third-party dealers have carried out, and will continue to carry out,
hedging activities related to the Trigger PLUS (and to other instruments linked to the underlying index or its component stocks),
including trading in the stocks that constitute the underlying index as well as in other instruments related to the underlying
index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Trigger PLUS, and the
hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches.
MS & Co. and some of our other subsidiaries also trade the stocks that constitute the underlying index and other financial
instruments related to the underlying index on a regular basis as part of their general broker-dealer and other businesses. Any
of these hedging or trading activities on or prior to the pricing date could have increased the initial index value, and, therefore,
could have increased the trigger level, which is the level above which the underlying index must close on the valuation date so
that investors do not suffer a significant loss on their initial investment in the Trigger PLUS. Additionally, such hedging or
trading activities during the term of the Trigger PLUS, including on the valuation date, could potentially affect whether the value
of the underlying index on the valuation date is at or below the trigger level, and, therefore, whether an investor would receive
significantly less than the stated principal amount of the Trigger PLUS at maturity.

The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please
read the discussion under "--Additional provisions?Tax considerations" in this document and the discussion under "United
States Federal Taxation" in the accompanying product supplement for PLUS (together the "Tax Disclosure Sections")
concerning the U.S. federal income tax consequences of an investment in the Trigger PLUS. If the Internal Revenue Service
(the "IRS") were successful in asserting an alternative treatment, the timing and character of income on the Trigger PLUS 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 Trigger PLUS as debt instruments. In that event, U.S. Holders would be required to
accrue into income original issue discount on the Trigger PLUS every year at a "comparable yield" determined at the time of
issuance and recognize all income and gain in respect of the Trigger PLUS as ordinary income. Additionally, as discussed
under "United States Federal Taxation--FATCA Legislation" in the accompanying product supplement for PLUS, the
withholding rules commonly referred to as "FATCA" would apply to the Trigger PLUS if they were recharacterized as debt
instruments except that, under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds
http://www.sec.gov/Archives/edgar/data/895421/000095010315008469/dp60791_424b2-ps586.htm[10/29/2015 5:00:14 PM]

(other than any amount treated as interest) of any disposition of financial instruments before January 1, 2019. The risk that
financial instruments providing for buffers, triggers or similar downside protection features, such as the Trigger PLUS, 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 Trigger PLUS, and the IRS or a
court may not agree with the tax treatment described in the Tax Disclosure Sections.

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be
subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the
nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any
mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or
should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term
capital gain as ordinary income and impose an

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
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 Trigger PLUS, 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 Trigger PLUS, 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.

October 2015
Page 9
Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
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. S&P has announced that, effective with the September 2015 rebalance, consolidated share class
lines are no longer included in the S&P 500® Index. Each share class line is subject to public float and liquidity criteria individually,
but the company's total market capitalization is used to evaluate each share class line for purposes of determining index
membership eligibility. This may result in one listed share class line of a company being included in the S&P 500® Index while a
second listed share class line of the same company is excluded. 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 October 27, 2015:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,065.89
5 2 We e k s Ago:
1,961.63
5 2 We e k H igh (on 5 /2 1 /2 0 1 5 ):
2,130.82
5 2 We e k Low (on 8 /2 5 /2 0 1 5 ):
1,867.61
http://www.sec.gov/Archives/edgar/data/895421/000095010315008469/dp60791_424b2-ps586.htm[10/29/2015 5:00:14 PM]

The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2010 through October
27, 2015. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the
underlying index for each quarter in the same period. The closing value of the underlying index on October 27, 2015 was 2,065.89.
We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The
underlying index has at times experienced periods of high volatility, and you should not take the historical values of the underlying
index as an indication of its future performance.

U nde rlying I nde x H ist oric a l Pe rform a nc e Da ily I nde x Closing V a lue s
J a nua ry 1 , 2 0 1 0 t o Oc t obe r 2 7 , 2 0 1 5
October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
S& P 5 0 0 ® I nde x
H igh
Low
Pe riod End
2 0 1 0

First Quarter
1,174.17
1,056.74
1,169.43
Second Quarter
1,217.28
1,030.71
1,030.71
Third Quarter
1,148.67
1,022.58
1,141.20
Fourth Quarter
1,259.78
1,137.03
1,257.64
2 0 1 1

First Quarter
1,343.01
1,256.88
1,325.83
Second Quarter
1,363.61
1,265.42
1,320.64
Third Quarter
1,353.22
1,119.46
1,131.42
Fourth Quarter
1,285.09
1,099.23
1,257.60
2 0 1 2

First Quarter
1,416.51
1,277.06
1,408.47
Second Quarter
1,419.04
1,278.04
1,362.16
Third Quarter
1,465.77
1,334.76
1,440.67
Fourth Quarter
1,461.40
1,353.33
1,426.19
2 0 1 3

First Quarter
1,569.19
1,426.19
1,569.19
Second Quarter
1,669.16
1,541.61
1,606.28
Third Quarter
1,725.52
1,614.08
1,681.55
Fourth Quarter
1,848.36
1,655.45
1,848.36
2 0 1 4

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
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Fourth Quarter
2,090.57
1,862.49
2,058.90
2 0 1 5

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 (through October 27, 2015)
2,075.15
1,923.82
2,065.89

Lic e nse Agre e m e nt be t w e e n M orga n St a nle y a nd St a nda rd & Poor's Fina nc ia l Se rvic e s LLC

Standard & Poor's®," "S&P®," "S&P 500®," "Standard & Poor's 500" and "500" are trademarks of Standard and Poor's Financial
Services LLC and have been licensed for use by S&P Dow Jones Indices LLC and Morgan Stanley. See "S&P 500® Index" in the
accompanying index supplement.

October 2015
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Trigger PLUS Based on the Value of the S&P 500® Index due October 30, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
Additional Information About the Trigger PLUS

Please read this information in conjunction with the summary terms on the front cover of this document.

Addit iona l provisions:

U nde rlying inde x
S&P Dow Jones Indices LLC
publishe r:
De nom ina t ions:
$1,000 per Trigger PLUS and integral multiples thereof
I nt e re st :
None
Bull m a rk e t or be a r
Bull market PLUS
m a rk e t PLU S:
Post pone m e nt of
If the scheduled valuation date is not an index business day or if a market disruption event occurs
m a t urit y da t e :
on that day so that the valuation date as postponed falls less than two business days prior to the
scheduled maturity date, the maturity date of the Trigger PLUS will be postponed to the second
business day following that valuation date as postponed.
M inim um t ic k e t ing size : $1,000 / 1 Trigger PLUS
T a x c onside ra t ions:
Although there is uncertainty regarding the U.S. federal income tax consequences of an
investment in the Trigger PLUS due to the lack of governing authority, in the opinion of our
counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions,
a Trigger PLUS should be treated as a single financial contract that is an "open transaction" for
U.S. federal income tax purposes.

Assuming this treatment of the Trigger PLUS is respected and subject to the discussion in "United
States Federal Taxation" in the accompanying product supplement for PLUS, the following U.S.
federal income tax consequences should result based on current law:

A U.S. Holder should not be required to recognize taxable income over the term of the Trigger
PLUS prior to settlement, other than pursuant to a sale or exchange.

Upon sale, exchange or settlement of the Trigger PLUS, a U.S. Holder should recognize gain
or loss equal to the difference between the amount realized and the U.S. Holder's tax basis in
the Trigger PLUS. Such gain or loss should be long-term capital gain or loss if the investor
has held the Trigger PLUS for more than one year, and short-term capital gain or loss
otherwise.

In 2007, the U.S. Treasury Department and the Internal Revenue Service (the "IRS") released a
notice requesting comments on the U.S. federal income tax treatment of "prepaid forward
contracts" and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments
http://www.sec.gov/Archives/edgar/data/895421/000095010315008469/dp60791_424b2-ps586.htm[10/29/2015 5:00:14 PM]

Document Outline

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