Bond Morgan Stanleigh 0% ( US61762GDH48 ) in USD

Morgan Stanleigh

100 % ⇌

United States

US61762GDH48 ( in USD )

31/03/2025 - Bond has expired

Prospectus brochure of the bond Morgan Stanley US61762GDH48 in USD 0%, expired

1 000 USD

1 074 000 USD

61762GDH4

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.

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61762GDH48, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 31/03/2025

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61762GDH48, was rated NR by Moody's credit rating agency.

Unassociated Document
424B2 1 dp54777_424b2-ps171.htm PRICING SUPPLEMENT NO. 171
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee
Trigger Performance Leveraged Upside SecuritiesSM

$1,074,000

$124.80
due 2025

M a rc h 2 0 1 5

Pricing Supplement No. 171
Registration Statement No. 333-200365
Dated March 26, 2015
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in Commodities

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x -
Ex c e ss Re t urn due M a rc h 3 1 , 2 0 2 5
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 prospectus supplement for PLUS and prospectus, as supplemented or modified by this document. At
maturity, if the underlying commodity index has appreciated in value, investors will receive the stated principal amount of their investment plus
leveraged upside performance of the underlying commodity index. If the underlying commodity index has depreciated in value, but the final index
value is greater than or equal to the trigger level, the Trigger PLUS will redeem for par. However, if the underlying commodity index has depreciated
in value so that the final index value is less than the trigger level, investors will lose 1% for every 1% decline in the value of the underlying
commodity index 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. T he re is no m inim um pa ym e nt a t m a t urit y on t he T rigge r PLU S. Ac c ordingly, you c ould
lose your e nt ire init ia l inve st m e nt in t he T rigge r PLU S. These long-dated Trigger PLUS are for investors who seek exposure to the
performance of crude oil, as measured by the underlying commodity index, 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 that only applies if the final index value is greater than or equal to
the trigger level. 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 :
March 31, 2025
U nde rlying c om m odit y
S&P GSCITM Crude Oil Index - Excess Return
inde x :
Aggre ga t e princ ipa l
$1,074,000
a m ount :
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+ the leveraged upside payment
·If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger
level:
$1,000
·If the final index value is less than the trigger level:
$1,000 x the index performance factor
Under these circumstances, this amount 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 x leverage factor x 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 nit ia l inde x va lue :
264.8276, which is the official settlement price of the underlying commodity index on the pricing date
Fina l inde x va lue :
The official settlement price of the underlying commodity index on the valuation date
V a lua t ion da t e :
March 26, 2025, subject to adjustment for non-index business days and certain market disruption events
T rigge r le ve l:
132.4138, which is 50% of the initial index value
I nde x pe rform a nc e fa c t or:
final index value / initial index value
St a t e d princ ipa l a m ount :
$1,000 per Trigger PLUS
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document
I ssue pric e :
$1,000 per Trigger PLUS (see "Commissions and issue price" below)
Pric ing da t e :
March 26, 2015
Origina l issue da t e :
March 31, 2015 (3 business days after the pricing date)
CU SI P:
61762GDH4
I SI N :
US61762GDH48
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
$907.90 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

$1,074,000
$37,590
$1,036,410
(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 prospectus supplement for PLUS.
(3) See "Use of proceeds and hedging" beginning on page 14.

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 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
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 prospe c t us 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 prospe c t us 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 .

Prospe c t us Supple m e nt for PLU S 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

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
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 GSCITM Crude Oil Index - Excess Return due March 31, 2025 (the "Trigger PLUS")
can be used:

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

To enhance returns and potentially outperform the underlying commodity index in a bullish scenario

To achieve similar levels of upside exposure to the underlying commodity index as a direct investment while using fewer dollars by
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document
taking advantage of the leverage factor

To provide limited protection against a loss of principal in the event of a decline of the underlying commodity index as of the
valuation date, but only if the final index value is greater than or equal to the trigger level

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 $907.90.

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 commodity 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 commodity index, instruments
based on the underlying commodity 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 commodity 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 commodity 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 Trigger PLUS and, if it once chooses to make a market, may cease doing
so at any time.

March 2015
Page 2

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
Princ ipa l a t Risk Se c urit ie s
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document

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

The Trigger PLUS offer leveraged upside exposure to the underlying commodity index while providing limited protection against
negative performance of the underlying commodity 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 value of the underlying commodity 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 for any positive performance
Pe rform a nc e
relative to a direct investment in the underlying commodity index.
T rigge r Fe a t ure
At maturity, even if the underlying commodity 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 greater than or equal to the
trigger level.
U pside Sc e na rio
The underlying commodity index increases in value, and, at maturity, the Trigger PLUS redeem for the
stated principal amount of $1,000 plus 160% of the index percent increase.
Pa r Sc e na rio
The final index value is less than or equal to the initial index value but is greater than or equal to the
trigger level. In this case, you receive the stated principal amount of $1,000 at maturity even though the
underlying commodity index has depreciated.
Dow nside Sc e na rio
The final index value is less than 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 decline
in the value of the underlying commodity index over the term of the Trigger PLUS. For example, if the
underlying commodity index decreases in value by 70%, the Trigger PLUS will redeem for $300, or 30% of
the stated principal amount. There is no minimum payment at maturity on the Trigger PLUS, and you
could lose your entire initial investment.

March 2015
Page 3

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
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

http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document

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 commodity index over the term of the 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 or equal to the trigger
level, investors will receive the stated principal amount of $1,000 per Trigger PLUS.

Dow nside Sc e na rio. If the final index value is less than 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 commodity index.

For example, if the underlying commodity index depreciates 70%, investors would lose 70% of their principal and receive
only $300 per Trigger PLUS at maturity, or 30% of the stated principal amount.

March 2015
Page 4

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
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 prospectus supplement for PLUS and
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document
prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your investment
in the Trigger PLUS.

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 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 decrease in the value of the underlying commodity index. There is no minimum payment at maturity
on the Trigger PLUS. Accordingly, you could lose your entire initial investment in the Trigger PLUS.

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. Se ve ra l fa c t ors, m a ny of w hic h a re
be yond our c ont rol, w ill influe nc e t he va lue of t he T rigge r PLU S in t he se c onda ry m a rk e t a nd t he pric e a t
w hic h M S & Co. m a y be w illing t o purc ha se or se ll t he T rigge r PLU S in t he se c onda ry m a rk e t , inc luding t he
va lue of t he unde rlying c om m odit y inde x a t a ny t im e , t he vola t ilit y (fre que nc y a nd m a gnit ude of c ha nge s in
va lue ) of t he unde rlying c om m odit y inde x , t he pric e a nd vola t ilit y of t he c om m odit y c ont ra c t s t ha t unde rlie
t he unde rlying c om m odit y inde x , t re nds of supply a nd de m a nd for t he c om m odit y c ont ra c t s t ha t unde rlie
t he unde rlying c om m odit y inde x , int e re st a nd yie ld ra t e s in t he m a rk e t , t he t im e re m a ining unt il t he T rigge r
PLU S m a t ure , geopolit ic a l c ondit ions a nd e c onom ic , fina nc ia l, polit ic a l, re gula t ory or judic ia l e ve nt s t ha t
a ffe c t t he unde rlying c om m odit y inde x or c om m odit ie s m a rk e t s ge ne ra lly a nd w hic h m a y a ffe c t t he fina l
inde x va lue of t he unde rlying c om m odit y inde x , a nd a ny a c t ua l or a nt ic ipa t e d c ha nge s in our c re dit ra t ings
or c re dit spre a ds. I n a ddit ion, t he c om m odit ie s m a rk e t s a re subje c t t o t e m pora ry dist ort ions or ot he r
disrupt ions due t o va rious fa c t ors, inc luding la c k of liquidit y, pa rt ic ipa t ion of spe c ula t ors a nd gove rnm e nt
int e rve nt ion. Ge ne ra lly, t he longe r t he t im e re m a ining t o m a t urit y, t he m ore t he m a rk e t pric e of t he
T rigge r PLU S w ill be a ffe c t e d by t he ot he r fa c t ors de sc ribe d a bove . The level of the underlying commodity index
may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See "S&P GSCITM Crude
Oil Index - Excess Return Overview" below. You may receive less, and possibly significantly less, than the stated principal amount
per Trigger PLUS if you are able 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 c om m odit y 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 official settlement price of the underlying
commodity index on the valuation date, subject to adjustment for non-index business days and certain market disruption
events. Even if the value of the underlying commodity 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 commodity index prior to such drop. Although the actual value of the underlying
commodity 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 value of the underlying commodity index on the valuation date.

I nve st m e nt s link e d t o c om m odit ie s a re subje c t t o sha rp fluc t ua t ions in c om m odit y pric e s. Investments, such
as the Trigger PLUS, linked to the prices of commodities are subject to sharp fluctuations in the prices of commodities and related
contracts over short periods of time for a variety of factors, including: changes in supply and demand relationships; weather;
climatic events; the occurrence of natural disasters; wars; political and civil upheavals; acts of

March 2015
Page 5

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

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

terrorism; trade, fiscal, monetary, and exchange control programs; domestic and foreign political and economic events and policies;
disease; pestilence; technological developments; changes in interest rates; and trading activities in commodities and related
contracts. These factors may affect the settlement price of the underlying commodity index and the value of your Trigger PLUS in
varying and potentially inconsistent ways. As a result of these or other factors, the level of the underlying commodity index may be,
and has recently been, volatile. See "S&P GSCITM Crude Oil Index - Excess Return Overview" below.

T he unde rlying c om m odit y inde x m a y in t he fut ure inc lude c ont ra c t s t ha t a re not t ra de d on re gula t e d
fut ure s e x c ha nge s. The underlying commodity index was originally based solely on futures contracts traded on regulated
futures exchanges (referred to in the United States as "designated contract markets"). At present, the underlying commodity index
continues to be composed exclusively of regulated futures contracts. However, the underlying commodity index may in the future
include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser
degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which
prices and volumes are reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections
afforded by, the Commodity Exchange Act of 1936, as amended, or other applicable statutes and related regulations, that govern
trading on regulated futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not
have significant trading histories. As a result, the trading of contracts on such facilities and the inclusion of such contracts in the
indices may be subject to certain risks not presented by most exchange-traded futures contracts, including risks related to the
liquidity and price histories of the relevant contracts.

An inve st m e nt in t he T rigge r PLU S w ill e x pose you t o c onc e nt ra t e d risk s re la t ing t o c rude oil. The underlying
commodity index is composed entirely of crude oil futures contracts included in the S&P GSCITMER. An investment in the Trigger
PLUS may therefore bear risks similar to a securities investment concentrated in a single underlying sector. The price of crude oil
futures is primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time
by speculative actions and by currency exchange rates. Demand for refined petroleum products by consumers, as well as the
agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil's end-use as a refined product is
often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although
considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are
linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations,
such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are
affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions
in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the
event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the
Organization of Petroleum Exporting Countries (OPEC) and other crude oil producers. In the event of sudden disruptions in the
supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could
become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example,
upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into
the market or the introduction of substitute products or commodities. The price of crude oil futures has experienced very severe
price fluctuations over the recent past and there can be no assurance that this extreme price volatility will not continue in the
future.

H ighe r fut ure pric e s of t he inde x c om m odit y re la t ive t o it s c urre nt pric e s m a y a dve rse ly a ffe c t t he va lue of
t he unde rlying c om m odit y inde x a nd t he va lue of t he T rigge r PLU S. The S&P GSCITMER, on which the underlying
commodity index is based, is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the
holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the
underlying physical commodity. As the futures contracts that compose the underlying commodity index approach expiration, they
are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in September may
specify an October expiration. As time passes, the contract expiring in October is replaced by a contract for delivery in
November. This process is referred to as "rolling." If the market for these contracts is (putting aside other considerations) in
"backwardation," where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the
October contract would take place at a price that is higher than the price of the November contract, thereby creating a "roll
yield." However, crude oil and certain other commodities included in the S&P GSCITMER have historically traded in "contango"
markets. Contango markets are

March 2015
Page 6

http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
Princ ipa l a t Risk Se c urit ie s

those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The presence of
contango and absence of backwardation in the crude oil markets generally results in negative "roll yields," which would adversely
affect the value of the underlying commodity index, and, accordingly, the value of the Trigger PLUS.

An inve st m e nt link e d t o c om m odit y fut ure s c ont ra c t s is not e quiva le nt t o a n inve st m e nt link e d t o t he spot
pric e s of physic a l c om m odit ie s. The underlying commodity index has returns based on the change in price of futures
contracts included in such underlying commodity index, not the change in the spot price of actual physical commodity to which
such futures contracts relate. The price of a futures contract reflects the expected value of the commodity upon delivery in the
future, whereas the price of a physical commodity reflects the value of such commodity upon immediate delivery, which is referred
to as the spot price. Several factors can result in differences between the price of a commodity futures contract and the spot price
of a commodity, including the cost of storing such commodity for the length of the futures contract, interest costs related to
financing the purchase of such commodity and expectations of supply and demand for such commodity. While the changes in the
price of a futures contract are usually correlated with the changes in the spot price, such correlation is not exact. In some cases,
the performance of a commodity futures contract can deviate significantly from the spot price performance of the related underlying
commodity, especially over longer periods of time. Accordingly, investments linked to the return of commodities futures contracts
may underperform similar investments that reflect the spot price return on physical commodities.

Suspe nsions or disrupt ions of m a rk e t t ra ding in c om m odit y a nd re la t e d fut ure s m a rk e t s c ould a dve rse ly
a ffe c t t he pric e of t he T rigge r PLU S. The commodity markets are subject to temporary distortions or other disruptions due
to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and
intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation
in futures contract prices which may occur during a single business day. These limits are generally referred to as "daily price
fluctuation limits" and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a
"limit price." Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit
prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times
or prices. These circumstances could adversely affect the value of the underlying commodity index, and, therefore, the value of
the Trigger PLUS.

Adjust m e nt s t o t he unde rlying c om m odit y 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
publisher of the underlying commodity index may add, delete or substitute the commodity contracts constituting the underlying
commodity index or make other methodological changes that could change the value of the underlying commodity index. The
underlying commodity index publisher may discontinue or suspend calculation or publication of the underlying commodity index at
any time. Any of these actions could adversely affect the value of the Trigger PLUS. Where the underlying commodity index is
discontinued, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the underlying
commodity index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its
affiliates.

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 c om m odit y inde x . Investing in
the Trigger PLUS is not equivalent to investing in the underlying commodity index or t he fut ure s c ont ra c t s t ha t unde rlie
t he unde rlying c om m odit y inde x .

Le ga l a nd re gula t ory c ha nge s c ould a dve rse ly a ffe c t t he re t urn on a nd va lue of your T rigge r PLU S. Futures
contracts and options on futures contracts, including those related to the index commodity, are subject to extensive statutes,
regulations, and margin requirements. The Commodity Futures Trading Commission, commonly referred to as the "CFTC," and
the exchanges on which such futures contracts trade, are authorized to take extraordinary actions in the event of a market
emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the
establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount
of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely
affect the market prices of relevant futures and options contracts and forward contracts. The regulation of commodity transactions
in the U.S. is subject to ongoing modification by government and judicial action. In addition, various non-U.S. governments have
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document
expressed concern regarding the disruptive effects of speculative trading in the commodity markets and the need to regulate the
derivative markets in general. The effect on the value of the Trigger PLUS of any future regulatory change is impossible to predict,
but could be substantial and adverse to the interests of holders of the Trigger PLUS.

March 2015
Page 7

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
Princ ipa l a t Risk Se c urit ie s

For example, the Dodd-Frank Act, which was enacted on July 21, 2010, requires the CFTC to establish limits on the amount of
positions that may be held by any person in certain commodity futures contracts and swaps, futures and options that are
economically equivalent to such contracts. While the effects of these or other regulatory developments are difficult to predict, when
adopted, such rules may have the effect of making the markets for commodities, commodity futures contracts, options on futures
contracts and other related derivatives more volatile and over time potentially less liquid. Such restrictions may force market
participants, including us and our affiliates, or such market participants may decide, to sell their positions in such futures contracts
and other instruments subject to the limits. If this broad market selling were to occur, it would likely lead to declines, possibly
significant declines, in commodity prices, in the price of such commodity futures contracts or instruments and potentially, the value
of the Trigger PLUS.

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 commodity 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.
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Unassociated Document

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

March 2015
Page 8

T rigge r PLU S Ba se d on t he V a lue of t he S& P GSCI TM Crude Oil I nde x - Ex c e ss Re t urn I nde x
due M a rc h 3 1 , 2 0 2 5
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie sSM
Princ ipa l a t Risk Se c urit ie s

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, Morgan Stanley Capital Group Inc. ("MSCG") has determined the initial index value and
the trigger level, will determine the final index value and will calculate the amount of cash you receive at maturity, if
any. Moreover, certain determinations made by MSCG 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 discontinuance of the underlying commodity
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," "--Alternate
Exchange Calculation in case of an Event of Default," "--Discontinuance of Any Underlying Commodity Index; Alteration of Method
of Calculation" and "--Calculation Agent and Calculations" and related definitions in the accompanying prospectus 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 possibly to other instruments linked to the underlying commodity index), including trading
in swaps or futures contracts on the underlying commodity index and on commodities that underlie the underlying commodity
index. Some of our subsidiaries also trade in financial instruments related to the underlying commodity index or the prices of the
commodities or contracts that underlie the underlying commodity index on a regular basis as part of their general commodity
trading 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 at or above which the underlying
commodity 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 adversely affect the value of the underlying commodity index on the valuation date, and, accordingly, the amount of cash an
investor will receive at maturity, if any.

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 prospectus 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315002438/dp54777_424b2-ps171.htm[3/30/2015 4:39:38 PM]

Document Outline

#1">
- #1">