Bond Morgan Stanleigh 0% ( US61762GEV23 ) in USD

Morgan Stanleigh

100 % ▲

United States

US61762GEV23 ( in USD )

29/09/2023 - Bond has expired

Prospectus brochure of the bond Morgan Stanley US61762GEV23 in USD 0%, expired

1 000 USD

500 000 USD

61762GEV2

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 US61762GEV23, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 29/09/2023

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61762GEV23, was rated NR by Moody's credit rating agency.

424B2 1 dp60071_424b2-ps521.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered
Offering Price
Fee
Performance Leveraged Upside SecuritiesSM due 2023

$500,000

$58.10

Se pt e m be r 2 0 1 5
Pricing Supplement No. 521

Registration Statement No. 333-200365
Dated September 25, 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 Se pt e m be r 2 9 , 2 0 2 3
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 :
September 29, 2023
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
$500,000
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:
150%
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 :
214.4749, 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 :
September 26, 2023, subject to adjustment for non-index business days and certain market disruption events
T rigge r le ve l:
107.23745, 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
I ssue pric e :
$1,000 per Trigger PLUS (see "Commissions and issue price" below)
Pric ing da t e :
September 25, 2015
Origina l issue da t e :
September 30, 2015 (3 business days after the pricing date)
CU SI P:
61762GEV2
I SI N :
US61762GEV23
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
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he
$934.10 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
$500,000
$17,500
$482,500
(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" on page 15.

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 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 Se pt e m be r 2 9 , 2 0 2 3
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 September 29, 2023 (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 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:
Approximately 8 years
Le ve ra ge fa c t or:
150%
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

http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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 $934.10.

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.
September 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 Se pt e m be r 2 9 , 2 0 2 3
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
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 150% of the index percent increase. There is no limitation on the
appreciation potential.
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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
The final index value is less than the trigger level. In this case, the Trigger PLUS redeem for at least 50%
Sc e na rio
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.
September 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 Se pt e m be r 2 9 , 2 0 2 3
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:
150%
T rigge r le ve l:
50% of the initial index value

T rigge r PLU S Pa yoff Dia gra m
H ow it w ork s

Upside Scenario. If the final index value is greater than the initial index value, investors will receive the $1,000 stated
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

principal amount plus 150% of the appreciation of the underlying commodity index over the term of the Trigger PLUS.

Par Scenario. 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 Scenario. 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.

September 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 Se pt e m be r 2 9 , 2 0 2 3
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
prospectus. We also urge you to consult your investment, legal, tax, accounting and other advisers in connection with your
investment in the Trigger PLUS.

Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ from
those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of any principal at maturity.
If the final index value is less than 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.

The market price w ill be influenced by many unpredictable factors. Several factors, many of which are beyond
our control, will influence the value of the Trigger PLUS in the secondary market and the price at which MS & Co. may be
willing to purchase or sell the Trigger PLUS in the secondary market, including the value of the underlying commodity index at
any time, the volatility (frequency and magnitude of changes in value) of the underlying commodity index, the price and
volatility of the commodity contracts that underlie the underlying commodity index, trends of supply and demand for the
commodity contracts that underlie the underlying commodity index, interest and yield rates in the market, the time remaining
until the Trigger PLUS mature, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect
the underlying commodity index or commodities markets generally and which may affect the final index value of the underlying
commodity index, and any actual or anticipated changes in our credit ratings or credit spreads. In addition, the commodities
markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, participation of
speculators and government intervention. 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 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.

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

http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

The amount payable on the Trigger PLUS is not linked to the value of the underlying commodity index at
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.

Investments linked to commodities are subject to sharp fluctuations in commodity prices. 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

September 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 Se pt e m be r 2 9 , 2 0 2 3
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.

The underlying commodity index may in the future include contracts that are not traded on regulated
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 investment in the Trigger PLUS w ill expose you to concentrated risks relating to crude 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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.

Higher future prices of the index commodity relative to its current prices may adversely affect the value
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

September 2015
Page 6

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 Se pt e m be r 2 9 , 2 0 2 3
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 investment linked to commodity futures contracts is not equivalent to an investment linked to the
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.

Suspensions or disruptions of market trading in commodity and related futures markets could adversely
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.

Adjustments to the underlying commodity index could adversely affect the value of the Trigger PLUS.
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
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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.

Investing in the Trigger PLUS is not equivalent to investing in the underlying commodity index. 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 .

Legal and regulatory changes could adversely affect the return on and value of your Trigger PLUS.
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 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.

September 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 Se pt e m be r 2 9 , 2 0 2 3
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.

The rate w e are w illing to pay for securities of this type, maturity and issuance size is likely to be low er
t ha n t he ra t e im plie d by our se c onda ry m a rk e t c re dit spre a ds a nd a dva nt a ge ous t o us. Bot h t he low e r
ra t e a nd t he inc lusion of c ost s a ssoc ia t e d w it h issuing, se lling, st ruc t uring a nd he dging t he T rigge r
PLU S in t he origina l issue pric e re duc e t he e c onom ic t e rm s of t he T rigge r PLU S, c a use t he e st im a t e d
va lue of t he T rigge r PLU S t o be le ss t ha n t he origina l issue pric e a nd w ill a dve rse ly a ffe c t se c onda ry
m a rk e t pric e s. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers,
including MS & Co., may be willing to purchase the Trigger PLUS in secondary market transactions will likely be significantly
lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-
related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect
our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction
of this type as well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the Trigger PLUS in the original issue price and the lower
rate we are willing to pay as issuer make the economic terms of the Trigger PLUS less favorable to you than they otherwise
would be.

However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted
upon issuance, for a period of up to 12 months following the issue date, to the extent that MS & Co. may buy or sell the
Trigger PLUS in the secondary market, absent changes in market conditions, including those related to the underlying
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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.

The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models,
w hic h m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry m a rk e t pric e .
These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain
assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to
value these types of securities, our models may yield a higher estimated value of the Trigger PLUS than those generated by
others, including other dealers in the market, if they attempted to value the Trigger PLUS. In addition, the estimated value on
the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to
purchase your Trigger PLUS in the secondary market (if any exists) at any time. The value of your Trigger PLUS at any time
after the date of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our
creditworthiness and changes in market conditions. See also "The market price will be influenced by many unpredictable
factors" above.

The Trigger PLUS w ill not be listed on any securities exchange and secondary trading may be limited.
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

September 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 Se pt e m be r 2 9 , 2 0 2 3
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.

The calculation agent, w hich is a subsidiary of the issuer, w ill make determinations w ith respect to the
T rigge r PLU S. As calculation agent, 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.

Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the
T rigge r PLU S. One or more of our subsidiaries and/or third-party dealers have carried out, and will continue to carry out,
hedging activities related to the Trigger PLUS (and 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. As a result, these entities may be unwinding or adjusting hedge positions during the term of the
securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation
date approaches. 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
http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

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.

The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please
read the discussion under "Additional provisions ? Tax considerations" in this document and the discussion under "United
States Federal Taxation" in the accompanying 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 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 prospectus supplement for PLUS, the
withholding rules commonly referred to as "FATCA" would apply to the Trigger PLUS if they were recharacterized as debt
instruments except that, under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds
(other than any amount treated as interest) of any disposition of financial instruments before January 1, 2019. The risk that
financial instruments providing for buffers, triggers or similar downside protection features, such as the Trigger PLUS, would be
recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such
features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Trigger PLUS, and the IRS or a
court may not agree with the tax treatment described in the Tax Disclosure Sections.

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax
treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related
topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be
subject to any such accrual regime; the relevance of factors such as the exchange-traded status

September 2015
Page 9

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 Se pt e m be r 2 9 , 2 0 2 3
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
of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which
income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to
recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests
comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the Trigger PLUS,
possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal
income tax consequences of an investment in the Trigger PLUS, including possible alternative treatments, the issues presented
by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

September 2015
Page 10

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 Se pt e m be r 2 9 , 2 0 2 3
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
S&P GSCITM Crude Oil Index - Excess Return Overview

http://www.sec.gov/Archives/edgar/data/895421/000095010315007731/dp60071_424b2-ps521.htm[9/29/2015 3:46:48 PM]

Document Outline

#1">
- #1">