Obligation Morgan Stanleigh 0% ( US61761JYA14 ) en USD

Morgan Stanleigh

400.2 % ▲

Etas-Unis

US61761JYA14 ( en USD )

30/04/2025 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley US61761JYA14 en USD 0%, échue

1 000 USD

1 357 000 USD

61761JYA1

Morgan Stanley est une firme mondiale de services financiers offrant des services de banque d'investissement, de gestion de patrimoine et de courtage à une clientèle institutionnelle et privée.

L'Obligation émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61761JYA14, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/04/2025

424B2 1 dp55711_424b2-221.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 Securities due 2025

$1,357,000

$157.68

Morgan Stanley
April 2 0 1 5

Pricing Supplement No. 221
Registration Statement No. 333-200365
Dated April 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 April 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 :
April 30, 2025
U nde rlying inde x :
S&P 500® Index
Aggre ga t e princ ipa l a m ount :$1,357,000
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:
160%
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 :
2,108.92, 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:
1,054.46, which is 50% of the initial index value
V a lua t ion da t e :
April 25, 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 :
April 27, 2015
Origina l issue da t e :
April 30, 2015 (3 business days after the pricing date)
CU SI P / I SI N :
61761JYA1 / US61761JYA14
List ing:
The Trigger PLUS will not be listed on any securities exchange.
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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
$909.70 per Trigger PLUS. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue
Pric e t o public (1)
Age nt 's c om m issions (2)
Proc e e ds t o issue r (3)
pric e :
Pe r T rigge r PLU S
$1,000
$35
$965
T ot a l
$1,357,000
$47,495
$1,309,505

(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 for PLUS.
(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

Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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 April 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
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M a t urit y:
10 years

Le ve ra ge fa c t or:
160%

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 PLUS.
m a t urit y:

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 $909.70.

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 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,

April 2015
Page 2

Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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.

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April 2015
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Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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 investment in the
Pe rform a nc e underlying index.
T rigge r
At maturity, even if the underlying index has declined over the term of the Trigger PLUS, you will receive your stated
Fe a t ure
principal amount but only if the final index value is gre a t e r t ha n the trigger level.
U pside
The final index value is greater than the initial index value, and, at maturity, the Trigger PLUS redeem for the stated
Sc e na rio
principal amount of $1,000 plus 160% 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 level. In this case,
you receive the stated principal amount of $1,000 at maturity even though the underlying index has depreciated.
Dow nside
The final index value is less than or equal to the trigger level. In this case, the Trigger PLUS redeem for at least
Sc e na rio
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.

April 2015
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Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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:
160%

T rigge r le ve l:
50% of the initial index value
T rigge r PLU S Pa yoff Dia gra m
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H ow it w ork s

?
U pside Sc e na rio: If the final index value is greater than the initial index value, investors will receive the $1,000 stated principal
amount plus 160% of the appreciation of the underlying index over the term of the Trigger PLUS.

?
If the underlying index appreciates 5%, investors will receive an 8% return, or $1,080.00 per Trigger PLUS.

?
Pa r Sc e na rio: 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.

?
Dow nside Sc e na rio: 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.

April 2015
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Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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
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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.

?
T he T rigge r PLU S do not pa y int e re st or gua ra nt e e re t urn of a ny princ ipa l. 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.

?
T he m a rk e t pric e w ill be influe nc e d by m a ny unpre dic t a ble fa c t ors. 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.

?
T he T rigge r PLU 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 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.

?
T he a m ount pa ya ble on t he T rigge r PLU 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 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.

?
I nve st ing in t he T rigge r PLU S is not e quiva le nt t o inve st ing in t he unde rlying inde x . Investing in the Trigger
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.

?
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 T rigge r PLU S. 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

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Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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.

?
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
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.

?
T he e st im a t e d va lue of t he T rigge r PLU 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 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.

?
T he T rigge r PLU 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
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.

?
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
T rigge r PLU S . As calculation agent, MS & Co. has determined the initial index value and the trigger
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Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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.

?
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 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. 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.

?
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 T rigge r PLU S a re unc e rt a in. 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. 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315003367/dp55711_424b2-221.htm[4/29/2015 5:07:57 PM]

and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the
tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect.

April 2015
Page 8

Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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
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.

April 2015
Page 9

Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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. For additional information about the S&P 500® Index, see the information set forth under "S&P 500® Index"
in the accompanying index supplement.

Information as of market close on April 27, 2015:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,108.92
5 2 We e k s Ago:
1,863.40
5 2 We e k H igh (on
2,117.69
4 /2 4 /2 0 1 5 ):
5 2 We e k Low (on
1,862.49
1 0 /1 5 /2 0 1 4 ):

The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2010 through April 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 April 27, 2015 was 2,108.92. 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315003367/dp55711_424b2-221.htm[4/29/2015 5:07:57 PM]

J a nua ry 1 , 2 0 1 0 t o April 2 7 , 2 0 1 5

April 2015
Page 10

Morgan Stanley
Trigger PLUS Based on the Value of the S&P 500® Index due April 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315003367/dp55711_424b2-221.htm[4/29/2015 5:07:57 PM]

Document Outline

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