Obbligazione Morgan Stanleigh 0% ( US61764M1586 ) in USD

Morgan Stanleigh

100 USD ⇌

Stati Uniti

US61764M1586 ( in USD )

06/07/2022 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Morgan Stanley US61764M1586 in USD 0%, scaduta

1 000 USD

7 723 000 USD

61764M158

N/A

Morgan Stanley è una società globale di servizi finanziari che offre servizi di investimento bancario, gestione patrimoniale e trading a clienti istituzionali e privati.

L'obbligazione con codice ISIN US61764M1586 (CUSIP: 61764M158), emessa da Morgan Stanley, una delle principali istituzioni finanziarie globali con sede negli Stati Uniti, che offre una vasta gamma di servizi di investment banking, securities, wealth management e investment management, è stata un'emissione denominata in USD con una dimensione totale di 7.723.000 unità e un lotto minimo di acquisto di 1.000 unità; caratterizzata da un tasso di interesse nullo (0%) e una frequenza di pagamento semestrale, l'obbligazione, che al momento della sua scadenza aveva un prezzo di mercato del 100%, è giunta a scadenza il 6 luglio 2022 ed è stata rimborsata integralmente ai suoi portatori.

424B2 1 dp52276_424b2-ps22.htm FORM 424(B)(2)

CALCULATION OF REGISTRATION FEE

Maximum Aggregate
Amount of Registration

Title of Each Class of Securities Offered
Offering Price
Fee
Market Linked Notes due 2022

$7,722,960

$897.41

De c e m be r 2 0 1 4
Pricing Supplement No. 22
Registration Statement No. 333-200365
Dated December 30, 2014
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x
The notes are unsecured obligations of Morgan Stanley, will pay no interest and will have the terms described in the accompanying product
supplement, index supplement and prospectus, as supplemented and modified by this document. At maturity, we will pay per note the stated
principal amount of $10 plus a supplemental redemption amount, if any, based on the value of the underlying index on the determination date,
subject to the maximum payment at maturity. These long-dated notes are for investors who are concerned about principal risk but seek an equity
index-based return, and who are willing to forgo current income and upside beyond the maximum payment at maturity in exchange for the
repayment of principal at maturity plus the potential to receive a supplemental redemption amount, if any. The notes 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 se c urit ie 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
I ssue pric e :
$10 per note (see "Commissions and issue price" below)
St a t e d princ ipa l a m ount :
$10 per note
Aggre ga t e princ ipa l a m ount : $7,722,960
Pric ing da t e :
December 30, 2014
Origina l issue da t e :
January 5, 2015 (3 business days after the pricing date)
M a t urit y da t e :
July 6, 2022
I nt e re st :
None
U nde rlying inde x :
S&P 500® Index
Pa ym e nt a t m a t urit y:
The payment due at maturity per $10 stated principal amount will equal:
$10 + supplemental redemption amount, if any.
In no event will the payment at maturity be less than the stated principal amount or greater than the maximum
payment at maturity.
Supple m e nt a l re de m pt ion
(i) $10 times (ii) the index percent change times (iii) the participation rate, provided that the supplemental
a m ount :
redemption amount will not be less than $0 or greater than $7.00 per note.
Pa rt ic ipa t ion ra t e :
100%
M a x im um pa ym e nt a t
$17.00 per note (170% of the stated principal amount)
m a t urit y:
I nde x pe rc e nt c ha nge :
(final index value initial index value) / initial index value
I nit ia l inde x va lue :
2,080.35, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the determination date
De t e rm ina t ion da t e :
June 30, 2022, subject to postponement for non-index business days and certain market disruption events
CU SI P:
61764M158
I SI N :
US61764M1586
List ing:
The notes 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
$9.44 per note. See "Investment Summary" on page 2.
pric ing da t e :
Com m issions a nd issue
Age nt 's c om m issions a nd
(1 )
(4 )
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pric e :
Pric e t o public
fe e s
Proc e e ds t o issue r
Pe r not e
$10
$0.30(2)

$0.05(3)
$9.65
T ot a l
$7,722,960
$270,303.60
$7,452,656.40
(1) The actual price to public and agent's commissions and fees for a particular investor may be reduced for volume purchase discounts depending on the
aggregate amount of notes purchased by that investor. The lowest price payable by an investor is $9.90 per note. Please see "Syndicate Information" on
page 14 for further details.
(2) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the
agent, MS & Co., a fixed sales commission of $0.30 for each note they sell. See "Supplemental information regarding plan of distribution; conflicts of
interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement for equity-linked notes.
(3) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each note.
(4) See "Use of proceeds and hedging" on page 11.
T he not e 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 5 .
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 not e 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 not e 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 N ot e s" a t t he e nd of t his
doc um e nt .

Produc t Supple m e nt for Equit y -Link e d N ot e 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

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

Investment Summary

M a rk e t -Link e d N ot e s

The Market-Linked Notes due July 6, 2022 Based on the Value of the S&P 500® Index (the "notes") offer 100% participation in the
positive performance of the underlying index, subject to the maximum payment at maturity. The notes provide investors:

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an opportunity to gain exposure to the S&P 500® Index

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the repayment of principal at maturity

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100% participation in any appreciation of the underlying index over the term of the notes, subject to the maximum payment at
maturity of $17.00 per note (170% of the stated principal amount)

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no exposure to any decline of the underlying index if the notes are held to maturity

At maturity, if the underlying index has depreciated or has not appreciated at all, you will receive the stated principal amount of $10
per note, without any positive return on your investment. All payments on the notes, including the repayment of principal at maturity,
are subject to the credit risk of Morgan Stanley.

M a t urit y:
Approximately 7.5 years
Pa rt ic ipa t ion ra t e :
100%
M a x im um pa ym e nt a t
$17.00 per note (170% of the stated principal amount)
m a t urit y:
I nt e re st :
None

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The original issue price of each note is $10. This price includes costs associated with issuing, selling, structuring and hedging the
notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date is less than $10. We estimate
that the value of each note on the pricing date is $9.44.

What goes into the estimated value on the pricing date?

In valuing the notes on the pricing date, we take into account that the notes comprise both a debt component and a performance-
based component linked to the underlying index. The estimated value of the notes is determined using our 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 notes?

In determining the economic terms of the notes, including the participation rate and the maximum payment at maturity, 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 notes 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 notes?

The price at which MS & Co. purchases the notes 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 notes 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 notes 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. 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 notes, and, if it once chooses to make a market, may cease doing so at
any time.

December 2014
Page 2

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

K e y I nve st m e nt Ra t iona le

Market-Linked Notes offer investors exposure to the performance of equities or equity indices and provide for the repayment of
principal at maturity. They are for investors who are concerned about principal risk but seek an equity index-based return, and who are
willing to forgo yield in exchange for the repayment of principal at maturity plus the potential to receive a supplemental redemption
amount, if any, based on the performance of the underlying index, subject to the maximum payment at maturity.

Re pa ym e nt of
The notes offer investors 1 to 1 upside exposure to the performance of the underlying index up to the
Princ ipa l
maximum payment at maturity, while providing for the repayment of principal in full at maturity.
The underlying index increases in value significantly, and, at maturity, the investor receives a return
U pside Sc e na rio
reflecting the appreciation of the underlying index, subject to the maximum payment at maturity of $17.00
per note (170% of the stated principal amount).
Pa r Sc e na rio
The underlying index declines or does not appreciate in value, and, at maturity, the notes pay only the
stated principal amount of $10.

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December 2014
Page 3

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

Hypothetical Payout on the Notes

At maturity, for each $10 stated principal amount of notes that you hold, you will receive the stated principal amount of $10 plus a
supplemental redemption amount, if any, subject to the maximum payment at maturity. The supplemental redemption amount will be
calculated on the determination date as follows:

(i) $10 times (ii) the index percent change times (iii) the participation rate of 100%, provided that the supplemental redemption
amount will not be less than $0 or greater than $7.00 per note.

In no event will the payment at maturity be less than the stated principal amount or greater than the maximum payment at maturity of
$17.00 per note (170% of the stated principal amount).

The table below illustrates the payment at maturity for each note for a hypothetical range of index percent change and does not cover
the complete range of possible payouts at maturity. The table assumes a hypothetical initial index value of 2,000 and reflects the
maximum payment at maturity of $17.00 per note. The actual initial index value is set forth on the cover page of this document.

I nde x pe rc e nt
Fina l inde x
St a t e d princ ipa l
Supple m e nt a l
Pa ym e nt a t
Re t urn on $ 1 0
c ha nge
va lue
a m ount
re de m pt ion a m ount
m a t urit y
not e
100.00%
4,000.00
$10
$7.00
$17.00
70.00%
90.00%
3,800.00
$10
$7.00
$17.00
70.00%
80.00%
3,600.00
$10
$7.00
$17.00
70.00%
70.00%
3,400.00
$10
$7.00
$17.00
70.00%
60.00%
3,200.00
$10
$6.00
$16.00
60.00%
50.00%
3,000.00
$10
$5.00
$15.00
50.00%
40.00%
2,800.00
$10
$4.00
$14.00
40.00%
30.00%
2,600.00
$10
$3.00
$13.00
30.00%
20.00%
2,400.00
$10
$2.00
$12.00
20.00%
10.00%
2,200.00
$10
$1.00
$11.00
10.00%
0.00%
2,000.00
$10
$0.00
$10.00
0.00%
10.00%
1,800.00
$10
$0.00
$10.00
0.00%
20.00%
1,600.00
$10
$0.00
$10.00
0.00%
30.00%
1,400.00
$10
$0.00
$10.00
0.00%
40.00%
1,200.00
$10
$0.00
$10.00
0.00%
50.00%
1,000.00
$10
$0.00
$10.00
0.00%
60.00%
800.00
$10
$0.00
$10.00
0.00%
70.00%
600.00
$10
$0.00
$10.00
0.00%
80.00%
400.00
$10
$0.00
$10.00
0.00%
90.00%
200.00
$10
$0.00
$10.00
0.00%
100.00%
0.00
$10
$0.00
$10.00
0.00%

December 2014
Page 4

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

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

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T he not e s do not pa y int e re st a nd m a y not pa y m ore t ha n t he st a t e d princ ipa l a m ount a t m a t urit y. If the
index percent change is less than or equal to 0%, you will receive only the stated principal amount of $10 for each note you hold
at maturity. As the notes do not pay any interest, if the underlying index does not appreciate sufficiently over the term of the
notes, the overall return on the notes (the effective yield to maturity) may be less than the amount that would be paid on a
conventional debt security of the issuer of comparable maturity. The notes have been designed for investors who are willing to
forgo market floating interest rates in exchange for a supplemental redemption amount, if any, based on the performance of the
underlying index.

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T he a ppre c ia t ion pot e nt ia l of t he not e s is lim it e d by t he m a x im um pa ym e nt a t m a t urit y. The appreciation
potential of the notes is limited by the maximum payment at maturity of $17.00 per note, or 170% of the stated principal amount.
Because the payment at maturity will be limited to 170% of the stated principal amount for the notes, any increase in the level of
the index beyond 170% of the initial index value will not increase the return on the notes.

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T he m a rk e t pric e of t he not e s w ill be influe nc e d by m a ny unpre dic t a ble fa c t ors. Several factors will influence
the value of the notes in the secondary market and the price at which MS & Co. may be willing to purchase or sell the notes in
the secondary market, including the value of the underlying index at any time and, in particular, on the determination date, the
volatility (frequency and magnitude of changes in value) of the underlying index, dividend rate on the stocks underlying the index,
interest and yield rates in the market, time remaining until the notes mature, geopolitical conditions and economic, financial,
political, 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 notes 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 note if you try to sell your notes prior to maturity.

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T he not e s a re subje c t t o t he c re dit risk of M orga n St a nle y, a nd a ny a c t ua l or a nt ic ipa t e d 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 not e s. You are dependent on
Morgan Stanley's ability to pay all amounts due on the notes at maturity and therefore you are subject to the credit risk of Morgan
Stanley. The notes are not guaranteed by any other entity. If Morgan Stanley defaults on its obligations under the notes, your
investment would be at risk and you could lose some or all of your investment. As a result, the market value of the notes 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 notes.

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T he a m ount pa ya ble on t he not e s is not link e d t o t he va lue of t he unde rlying inde x a t a ny t im e ot he r t ha n
t he de t e rm ina t ion da t e . The final index value will be based on the index closing value on the determination date, subject to
postponement for non-index business days and certain market disruption events. Even if the value of the underlying index
appreciates prior to the determination date but then drops by the determination date, the payment at maturity will 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 notes may be higher than the final index value, the payment at maturity will be based solely on the index closing value on
the determination date.

December 2014
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Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

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T he ra t e w e a re w illing t o pa y for se c urit ie s of t his t ype , m a t urit y a nd issua nc e size is lik e ly t o be low e r
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
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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 not e 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 not e s, c a use t he e st im a t e d va lue of t he not e 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 notes 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 notes in the original issue price and the lower rate we
are willing to pay as issuer make the economic terms of the notes less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the notes 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 notes 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.

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T he e st im a t e d va lue of t he not e s is de t e rm ine d by re fe re nc e t o our pric ing a nd va lua t ion m ode ls, 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 notes than those generated by others, including other dealers
in the market, if they attempted to value the notes. 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 notes in the secondary
market (if any exists) at any time. The value of your notes 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.

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Adjust m e nt s t o t he unde rlying inde x c ould a dve rse ly a ffe c t t he va lue of t he not e s. The publisher of the
underlying index can add, delete or substitute the stocks underlying the index, and can make other methodological changes
required by certain events relating to the underlying stocks, such as stock dividends, stock splits, spin-offs, rights offerings and
extraordinary dividends, that could change the value of the underlying index. Any of these actions could adversely affect the value
of the notes. The publisher of the underlying index may also discontinue or suspend calculation or publication of the underlying
index at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a
successor index that is comparable to the discontinued index. MS & Co. could have an economic interest that is different than that
of investors in the notes insofar as, for example, MS & Co. is permitted to consider indices that are calculated and published by
MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor index on such determination date,
the index closing value on the determination date will be an amount based on the stocks underlying the discontinued index at the
time of such discontinuance, without rebalancing or substitution, computed by MS & Co, as calculation agent, in accordance with
the formula for calculating the index closing value last in effect prior to discontinuance of the index.

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Y ou ha ve no sha re holde r right s. As an investor in the notes, you will not have voting rights or rights to receive dividends or
other distributions or any other rights with respect to the stocks that underlie the index.

December 2014
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Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

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I nve st ing in t he not e s is not e quiva le nt t o inve st ing in t he unde rlying inde x . Investing in the notes is not
equivalent to investing in the underlying index or its component stocks. See "Hypothetical Payout on the Notes" above.

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T he not e s w ill not be list e d on a ny se c urit ie s e x c ha nge a nd se c onda ry t ra ding m a y be lim it e d. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. MS & Co. may, but
is not obligated to, make a market in the notes and, if it once chooses to make a market, may cease doing so at any time. When
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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 notes, 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 notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the
notes easily. Since other broker-dealers may not participate significantly in the secondary market for the notes, the price at which
you may be able to trade your notes 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 notes, it is likely that there would be no secondary market for the notes.
Accordingly, you should be willing to hold your notes to maturity.

¡
T he c a lc ula t ion a ge nt , w hic h is a subsidia ry of t he issue r, w ill m a k e de t e rm ina t ions w it h re spe c t t o t he
not e s. As calculation agent, MS & Co. has determined the initial index value, will determine the final index value, and will
calculate the amount of cash 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 index closing value in the
event of a discontinuance of the underlying index or a market disruption event, may adversely affect the payout to you at maturity.
For further information regarding these types of determinations, see "Description of Equity-Linked Notes--Supplemental
Redemption Amount," "--Calculation Agent and Calculations," "--Alternate Exchange Calculation in the Case of an Event of
Default" and "--Discontinuance of Any Underlying Index; Alteration of Method of Calculation" in the accompanying product
supplement. In addition, MS & Co. has determined the estimated value of the notes on the pricing date.

¡
H e dging a nd t ra ding a c t ivit y by our subsidia rie s c ould pot e nt ia lly a dve rse ly a ffe c t t he va lue of t he
not e 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 notes (and to other instruments linked to the underlying index or its component stocks), including trading in
the component stocks of the underlying index and in other instruments related to the underlying index. Some of our subsidiaries
also trade the component stocks of 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 value at or above which the
underlying index must close on the determination date before an investor receives a payment at maturity that exceeds the stated
principal amount of the notes. Additionally, such hedging or trading activities during the term of the notes, including on the
determination date, could adversely affect the closing value of the underlying index on the determination date, and, accordingly,
the amount of cash an investor will receive at maturity.

December 2014
Page 7

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

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 December 30, 2014:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,080.35
5 2 We e k s Ago:
1,841.07
5 2 We e k H igh (on
2,090.57
1 2 /2 9 /2 0 1 4 ):
5 2 We e k Low (on 2 /3 /2 0 1 4 ):
1,741.89

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The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2009 through December
30, 2014. 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 December 30, 2014 was
2,080.35. 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.

S& P 5 0 0 ® I nde x H ist oric a l Pe rform a nc e
Da ily Closing V a lue s
J a nua ry 1 , 2 0 0 9 t o De c e m be r 3 0 , 2 0 1 4

December 2014
Page 8

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

S& P 5 0 0 ® I nde x
H igh
Low
Pe riod End
2 0 0 9

First Quarter
934.70
676.53
797.87
Second Quarter
946.21
811.08
919.32
Third Quarter
1,071.66
879.13
1,057.08
Fourth Quarter
1,127.78
1,025.21
1,115.10
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
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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
1,457.15
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
Fourth Quarter (through December 30, 2014)
2,090.57
1,862.49
2,080.35
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.

December 2014
Page 9

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

Additional Information About the Notes

Please read this information in conjunction with the summary terms on the front cover of this document.
Addit iona l Provisions:
De nom ina t ions:
$10 and integral multiples thereof
I nt e re st :
None
Bull or be a r not e s:
Bull notes
Ca ll right :
The notes are not callable prior to the maturity date.
Post pone m e nt of m a t urit y
If the determination date is postponed so that it falls less than two business days prior to the scheduled
da t e :
maturity date, the maturity date will be postponed to the second business day following the determination date
as postponed.
Equit y -link e d not e s:
All references to "equity-linked notes" or related terms in the accompanying product supplement for equity-
linked notes shall be deemed to refer to market-linked notes when read in conjunction with this document.
M inim um t ic k e t ing size :
$1,000 / 100 notes
T rust e e :
The Bank of New York Mellon
Ca lc ula t ion a ge nt :
MS & Co.
T a x c onside ra t ions:
In the opinion of our counsel, Davis Polk & Wardwell LLP, the notes will be treated as "contingent payment
debt instruments" for U.S. federal income tax purposes, as described in the section of the accompanying
product supplement called "United States Federal Taxation--Tax Consequences to U.S. Holders." Under this
treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based on the
"comparable yield" (as defined in the accompanying product supplement) of the notes, even though no interest
is payable on the notes. In addition, any gain recognized by U.S. taxable investors on the sale or exchange, or
at maturity, of the notes generally will be treated as ordinary income. We have determined that the
"comparable yield" for the notes is a rate of 3.2490% per annum, compounded semi-annually. Based on the
comparable yield set forth above, the "projected payment schedule" for a note (assuming an issue price of
$10) consists of a single projected amount equal to $12.7356 due at maturity. You should read the discussion
under "United States Federal Taxation" in the accompanying product supplement concerning the U.S. federal
income tax consequences of an investment in the notes.

The following table states the amount of original issue discount ("OID") (without taking into account any
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adjustment to reflect the difference, if any, between the actual and the projected amount of the contingent
payment on a note) that will be deemed to have accrued with respect to a note for each accrual period
(assuming a day count convention of 30 days per month and 360 days per year), based upon the comparable
yield set forth above.

T OT AL OI D DEEM ED
T O H AV E ACCRU ED

FROM ORI GI N AL
OI D DEEM ED T O
I SSU E
ACCRU E DU RI N G
DAT E (PER N OT E) AS

ACCRU AL PERI OD
OF EN D OF ACCRU AL
ACCRU AL PERI OD
(PER N OT E)
PERI OD
Original Issue Date through June 30, 2015
$0.1579
$0.1579
July 1, 2015 through December 31, 2015
$0.1650
$0.3229
January 1, 2016 through June 30, 2016
$0.1677
$0.4906
July 1, 2016 through December 31, 2016
$0.1704
$0.6610
January 1, 2017 through June 30, 2017
$0.1732
$0.8342
July 1, 2017 through December 31, 2017
$0.1760
$1.0102
January 1, 2018 through June 30, 2018
$0.1789
$1.1891
July 1, 2018 through December 31, 2018
$0.1818
$1.3709
January 1, 2019 through June 30, 2019
$0.1847
$1.5556
July 1, 2019 through December 31, 2019
$0.1877
$1.7433
January 1, 2020 through June 30, 2020
$0.1908
$1.9341
July 1, 2020 through December 31, 2020
$0.1939
$2.1280
January 1, 2021 through June 30, 2021
$0.1970
$2.3250
July 1, 2021 through December 31, 2021
$0.2002
$2.5252
January 1, 2022 through June 30, 2022
$0.2035
$2.7287
July 1, 2022 through the Maturity Date
$0.0069
$2.7356

T he c om pa ra ble yie ld a nd t he proje c t e d pa ym e nt sc he dule a re not provide d for a ny
purpose ot he r t ha n t he de t e rm ina t ion of U .S. H olde rs' a c c rua ls of OI D a nd a djust m e nt s
t he re t o in re spe c t of t he not e s for U .S. fe de ra l inc om e t a x purpose s, a nd w e m a k e no
re pre se nt a t ion re ga rding t he a c t ua l a m ount of t he pa ym e nt t ha t w ill be m a de on a not e .
If you are a non-U.S. investor, please also read the section of the accompanying product supplement called
"United States Federal Taxation--Tax Consequences to Non-U.S. Holders."

December 2014
Page 10

Market-Linked Notes due July 6, 2022
Ba se d on t he V a lue of t he S& P 5 0 0 ® I nde x

You should review the discussion under "United States Federal Taxation--FATCA Legislation" in the
accompanying product supplement regarding the withholding rules under FATCA.

Y ou should c onsult your t a x a dvise r re ga rding a ll a spe c t s of t he U .S. fe de ra l inc om e t a x
c onse que nc e s of a n inve st m e nt in t he not e s, inc luding t he pot e nt ia l a pplic a t ion of t he
FAT CA rule s, a s w e ll a s a ny t a x c onse que nc e s a rising unde r t he la w s of a ny st a t e , loc a l
or fore ign t a x ing jurisdic t ion.

T he disc ussion in t he pre c e ding pa ra gra phs unde r "T a x c onside ra t ions" a nd t he
disc ussion c ont a ine d in t he se c t ion e nt it le d "U nit e d St a t e s Fe de ra l T a x a t ion" in t he
a c c om pa nying produc t supple m e nt , insofa r a s t he y purport t o de sc ribe provisions of U .S.
fe de ra l inc om e t a x la w s or le ga l c onc lusions w it h re spe c t t he re t o, c onst it ut e t he full
opinion of Da vis Polk & Wa rdw e ll LLP re ga rding t he m a t e ria l U .S. fe de ra l t a x
c onse que nc e s of a n inve st m e nt in t he not e s.
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Document Outline

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