Bond Morgan Stanley Financial 0% ( US61768CH421 ) in USD

Morgan Stanley Financial

100 % ▼

United States

US61768CH421 ( in USD )

31/03/2025 - Bond has expired

Prospectus brochure of the bond Morgan Stanley Finance US61768CH421 in USD 0%, expired

1 000 USD

1 756 000 USD

61768CH42

N/A

A1 ( Upper medium grade - Investment-grade )

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

Morgan Stanley Finance issued a USD 1,756,000 bond (CUSIP: 61768CH42, ISIN: US61768CH421) maturing on March 31, 2025, with a 0% coupon rate, minimum purchase size of USD 1,000, paying semi-annually, currently trading at 100% of par and rated A1 by Moody's.

424B2 1 dp88722_424b2-ps336.htm FORM

CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee
Market-Linked Notes due 2025

$1,756,000

$218.62

M a rc h 2 0 1 8
Pricing Supplement No. 336
Registration Statement Nos. 333-221595; 333-221595-01
Dated March 26, 2018
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in Equities, Bonds and Alternative Investments
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Fully and Unconditionally Guaranteed by Morgan Stanley
The notes are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by
Morgan Stanley. The notes will pay no interest and will have the terms described in the accompanying product supplement and
prospectus, as supplemented and modified by this document. At maturity, we will pay per note the stated principal amount of
$1,000 plus a supplemental redemption amount, if any, based on the value of the underlying index on the determination date.
The Morgan Stanley MAP Trend Index (the "underlying index") was established by Morgan Stanley on March 7, 2017 and employs
a rules-based quantitative strategy (the "Index Methodology") that combines a risk-weighted approach to portfolio construction with
a momentum-based, or trend-following, asset allocation methodology to construct a notional portfolio. In addition, the strategy
imposes an overall volatility-targeting feature upon the resulting portfolio. The goal of the underlying index is to seek positive return
opportunities in different market environments based upon recent trends in the underlying assets. The investment assumption
underlying the allocation strategy is two-fold: that historical volatility of the underlying assets can be used to risk-weight a portfolio,
and that past trends are likely to continue to be a good indicator of the future performance of that portfolio.
The components of the underlying index consist of (i) 20 U.S.-listed exchange traded funds ("ETFs"), representing U.S. and non-
U.S. equities, fixed income securities, commodities and real estate, and (ii) the Morgan Stanley Two Year Treasury Index
(collectively, the "Index Components"). The notional portfolio constructed by the Index Methodology of Index Components is
referred to as the "Asset Portfolio." The Asset Portfolio will consist of long-only positions in each Index Component, and each Index
Component except for the Morgan Stanley Two Year Treasury Index is subject to a maximum exposure cap. The targeted volatility
for the underlying index is 5% (the "Volatility Target").
The underlying index is rebalanced each Strategy Business Day (the "Daily Rebalancing"). Upon each Daily Rebalancing for the
underlying index, the Index Methodology uses the pre-assigned Risk Budget assigned to each ETF (as set forth under "Annex A
Morgan Stanley MAP Trend Index Index Components") and the volatility for each ETF to make initial base allocations. The Index
Methodology then calculates a signal based on the upward or downward trend of each ETF (the "Trend Signal"). The index
calculates each Trend Signal by observing two moving averages, one short-term and one long-term, over different look-back
periods for each respective ETF. A Trend Signal that converges toward one indicates an upward trend and a Trend Signal that
converges toward zero indicates a downward trend. Once the Trend Signal is calculated for each ETF, the previously determined
base allocations are scaled by the Trend Signal by allocating more upward-trending securities to the Asset Portfolio. The magnitude
of each position taken by the underlying index following the Trend Signal adjustment is then scaled to the Volatility Target based on
a pro-rata volatility-scaling that seeks to achieve a balanced level of volatility in the underlying index's exposure to each of the
ETFs.
The underlying index is calculated on an excess return basis, and therefore the level reflects the weighted return of the Asset
Portfolio reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. The underlying index performance
is further reduced by a servicing cost of 0.85% per annum calculated on a daily basis. For more information, see "Annex A--
Morgan Stanley MAP Trend Index" beginning on page 25 and the "Risk Factors--There are risks associated with the underlying
index" beginning on page 6.
These long-dated notes are for investors who are concerned about principal risk but seek exposure to a multiple asset-linked
index, and who are willing to forgo current income in exchange for the repayment of principal at maturity plus the potential to
receive a supplemental redemption amount, if any. The notes are notes issued as part of MSFL's Series A Global Medium-Term
Notes program.
All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of
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your inve st m e nt . T he se not e 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 Finance LLC
Gua ra nt or:
Morgan Stanley
I ssue pric e :
$1,000 per note (see "Commissions and issue price" below)
St a t e d princ ipa l a m ount :
$1,000 per note
Aggre ga t e princ ipa l a m ount : $1,756,000
Pric ing da t e :
March 26, 2018
Origina l issue da t e :
March 29, 2018 (3 business days after the pricing date)
M a t urit y da t e :
March 31, 2025
I nt e re st :
None
U nde rlying inde x :
Morgan Stanley MAP Trend Index
Pa ym e nt a t m a t urit y:
The payment due at maturity per $1,000 stated principal amount will equal:
$1,000 + supplemental redemption amount, if any.
The payment due at maturity will not be less than $1,000 per note regardless of the
performance of the underlying index.
Supple m e nt a l re de m pt ion
(i) $1,000 times (ii) the index percent change times (iii) the participation rate, provided that the
a m ount :
supplemental redemption amount will not be less than $0.
Pa rt ic ipa t ion ra t e :
390%
M a x im um pa ym e nt a t
None
m a t urit y:
I nde x pe rc e nt c ha nge :
(final index value initial index value) / initial index value
I nit ia l inde x va lue :
218.01, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the determination date
March 26, 2025, subject to postponement for non-index business days and certain market
De t e rm ina t ion da t e :
disruption events
CU SI P:
61768CH42
I SI N :
US61768CH421
List ing:
The notes will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and 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
$920.30 per note. 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 us(3)
pric e :
Pe r not e
$1,000
$42.50
$957.50
T ot a l
$1,756,000
$74,630
$1,681,370
(1)
The price to public for investors purchasing the notes in the fee-based advisory accounts will be $970 per note.
(2)
Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $42.50 for each
note they sell; provided that dealers selling to investors purchasing the notes in fee-based advisory accounts will receive a sales
commission of $12.50 per note. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional
information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.
(3)
See "Use of proceeds and hedging" on page 21.
T he not e s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt se c urit ie s.
Se e "Risk Fa c t ors" be ginning on pa ge 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 not e s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt a nd prospe c t us is
t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
T he not e s a re not de posit s or sa vings a c c ount 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 or inst rum e nt a lit y, nor a re t he y obliga t ions of, or gua ra nt e e d
by, a ba nk .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d produc t supple m e nt a nd prospe c t us, e a c h of
w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l I nform a t ion About t he N ot e s"
a t t he e nd of t his doc um e nt .
As used in this document, "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the
context requires.
Produc t Supple m e nt for Equit y-Link e d N ot e s da t e d N ove m be r 1 6 , 2 0 1 7 Prospe c t us da t e d N ove m be r 1 6 ,
2 0 1 7
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Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Investment Summary

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

The Market-Linked Notes due March 31, 2025 Based on the Value of the Morgan Stanley MAP Trend Index (the "notes") offer
390% participation in any positive performance of the underlying index. The notes provide investors:

¦
an opportunity to gain exposure to the Morgan Stanley MAP Trend Index

¦
the repayment of principal at maturity, subject to our credit risk

¦
390% participation in any appreciation of the underlying index over the term of the notes

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

At maturity, if the underlying index has depreciated or has not appreciated at all, you will receive the stated principal amount of
$1,000 per note, without any positive return on your investment. All payments on the notes, including the repayment of principal at
maturity, are subject to our credit risk.

M a t urit y:
Approximately 7 years
Pa rt ic ipa t ion ra t e :
390%
I nt e re st :
None

T he M orga n St a nle y M AP T re nd I nde x

The Morgan Stanley MAP Trend Index has been developed by and is calculated, published and maintained by Morgan Stanley &
Co. LLC. MAP stands for "Multi-Asset Portfolio." The underlying index employs a rules-based quantitative strategy that combines a
risk-weighted approach to portfolio construction with a momentum-based, or trend-following, asset allocation methodology to
construct a notional portfolio. In addition, the strategy imposes an overall volatility-targeting feature upon the resulting portfolio.

The goal of the underlying index is to maximize returns for a given level of risk based upon recent trends in the underlying assets.
The investment assumption underlying the allocation strategy is two-fold: that historical volatility of the underlying assets can be
used to risk-weight a portfolio, and that past trends are likely to continue to be a good indicator of the future performance of that
portfolio.

The components of the underlying index consist of (i) 20 U.S.-listed exchange traded funds ("ETFs"), representing U.S. and non-
U.S. equities, fixed income securities, commodities and real estate, and (ii) the Morgan Stanley Two Year Treasury Index. The
notional portfolio constructed by the Index Methodology of Index Components is referred to as the Asset Portfolio. The Asset
Portfolio will consist of long-only positions in each Index Component, and each Index Component except for the Morgan Stanley
Two Year Treasury Index is subject to a maximum exposure cap. The targeted volatility for the Index is 5%.

The underlying index is calculated on an excess return basis, and therefore the level is determined by the weighted return of the
Asset Portfolio reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. The underlying index
performance is further reduced by a servicing cost of 0.85% per annum calculated on a daily basis.

The underlying index is rebalanced each Strategy Business Day. Upon each Daily Rebalancing for the underlying index, the Index
Methodology uses the pre-assigned Risk Budget assigned to each ETF and the volatility for each ETF to make initial base
allocations. The Index Methodology then calculates a signal based on the upward or downward trend of each ETF. The underlying
index calculates each Trend Signal by observing two moving averages, one short-term and one long-term, over different look-back
periods for each respective ETF. A Trend Signal that converges toward one indicates an upward trend and a Trend Signal that
converges toward zero indicates a downward trend. Once the Trend Signal is calculated for each ETF, the previously determined
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base allocations are scaled by the Trend Signal by allocating more upward-trending securities to the Asset Portfolio. The magnitude
of each position taken by the underlying index following the Trend Signal adjustment is then scaled to the Volatility Target based on
a pro-rata volatility-scaling that seeks to achieve a balanced level of volatility in the underlying index's exposure to each of the
ETFs. Once the composition of the Asset Portfolio is determined, the index value is

March 2018
Page 2
Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
equivalent to the sum of each Index Component's market price less the 3-month LIBOR excess return cost and the 0.85% per
annum servicing cost.

Please see "Underlying Index" beginning on page 16 for more information about the underlying index.

The original issue price of each note is $1,000. This price includes costs associated with issuing, selling, structuring and hedging
the notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date is less than $1,000. We
estimate that the value of each note on the pricing date is $920.30.

What goes into the estimated value on the pricing date?

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

What determines the economic terms of the notes?

In determining the economic terms of the notes, including the participation rate, we use an internal funding rate, which is likely to
be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and
hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the notes
would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the notes?

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

MS & Co. may, but is not obligated to, make a market in the notes, and, if it once chooses to make a market, may cease doing so
at any time.

March 2018
Page 3
Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
K e y I nve st m e nt Ra t iona le

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Market-Linked Notes offer investors exposure to the performance of the underlying index and provide for the repayment of principal
at maturity. They are for investors who are concerned about principal risk but seek exposure to a multiple asset-linked index, who
are willing to accept that the underlying index's volatility target feature may reduce upside performance in bullish markets, and who
are willing to forgo current income in exchange for the repayment of principal at maturity plus the potential to receive a
supplemental redemption amount, if any, based on the performance of the underlying index.

Re pa ym e nt of Princ ipa l
The notes offer investors 390% upside exposure to the performance of the underlying index, while
providing for the repayment of principal in full at maturity, subject to our credit risk.
Ex posure t o t he
The Morgan Stanley MAP Trend Index was established by Morgan Stanley on March 7, 2017 and
M orga n St a nle y M AP
employs a rules-based quantitative strategy that combines a risk-weighted approach to portfolio
T re nd I nde x
construction with a momentum-based, or trend-following, asset allocation methodology to construct
a notional portfolio. In addition, the strategy imposes an overall volatility-targeting feature upon the
resulting portfolio. The goal of the underlying index is to seek positive return opportunities in
different market environments based upon recent trends in the underlying assets. The investment
assumption underlying the allocation strategy is two-fold: that historical volatility of the underlying
assets can be used to risk-weight a portfolio, and that past trends are likely to continue to be a
good indicator of the future performance of that portfolio. See "Annex A--Morgan Stanley MAP
Trend Index" beginning on page 24 and the "Risk Factors--There are risks associated with the
underlying index" beginning on page 7 for more information.
The underlying index increases in value, and, at maturity, the notes pay the stated principal amount
U pside Sc e na rio
of $1,000 plus 390% of the appreciation of the underlying index. There is no limitation on the
appreciation potential.
Pa r Sc e na rio
The underlying index declines or does not appreciate in value, and, at maturity, the notes pay only
the stated principal amount of $1,000.

March 2018
Page 4
Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Hypothetical Payout on the Notes

At maturity, for each $1,000 stated principal amount of notes that you hold, you will receive the stated principal amount of $1,000
plus a supplemental redemption amount, if any. The supplemental redemption amount will be calculated on the determination date
as follows:

(i) $1,000 times (ii) the index percent change times (iii) the participation rate of 390%.

The payment due at maturity will not be less than $1,000 per note regardless of the performance of the underlying index.

The table below illustrates the payment at maturity for each note for a hypothetical range of index percent change and does not
cover the complete range of possible payouts at maturity. The table assumes a hypothetical initial index value of 200. The actual
initial index value is set forth on the cover of this document.

I nde x pe rc e nt
Fina l inde x
St a t e d princ ipa l
Supple m e nt a l
Pa ym e nt a t
Re t urn on $ 1 ,0 0 0
c ha nge
va lue
a m ount
re de m pt ion a m ount
m a t urit y
not e
60%
320
$1,000
$2,340
$3,340
234%
50%
300
$1,000
$1,950
$2,950
195%
40%
280
$1,000
$1,560
$2,560
156%
30%
260
$1,000
$1,170
$2,170
117%
20%
240
$1,000
$780
$1,780
78%
10%
220
$1,000
$390
$1,390
39%
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0%
200
$1,000
$0
$1,000
0%
10%
180
$1,000
$0
$1,000
0%
20%
160
$1,000
$0
$1,000
0%
30%
140
$1,000
$0
$1,000
0%
40%
120
$1,000
$0
$1,000
0%
50%
100
$1,000
$0
$1,000
0%
60%
80
$1,000
$0
$1,000
0%
70%
60
$1,000
$0
$1,000
0%

March 2018
Page 5
Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Risk Factors

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

¦
T he not e s do not pa y int e re st a nd m a y not pa y m ore t ha n t he st a t e d princ ipa l a m ount a t m a t urit y. If the
index percent change is less than or equal to 0%, you will receive only the stated principal amount of $1,000 for each note you
hold at maturity. As the notes do not pay any interest, if the underlying index does not appreciate sufficiently over the term of
the notes, the overall return on the notes (the effective yield to maturity) may be less than the amount that would be paid on a
conventional debt security of ours of comparable maturity. The notes have been designed for investors who are willing to forgo
market floating interest rates in exchange for a supplemental redemption amount, if any, based on the performance of the
underlying index.

¦
T he m a rk e t pric e of t he not e s w ill be influe nc e d by m a ny unpre dic t a ble fa c t ors. Several factors will influence
the value of the notes in the secondary market and the price at which MS & Co. may be willing to purchase or sell the notes in
the secondary market, including the value of the underlying index at any time, the volatility (frequency and magnitude of
changes in value) of the underlying index, dividend rate on the exchange traded funds ("ETFs") underlying the index, interest
and yield rates in the market, time remaining until the notes mature, geopolitical conditions and economic, financial, political,
regulatory or judicial events that affect the underlying index or equities markets generally and which may affect the final index
value of the underlying index and any actual or anticipated changes in our credit ratings or credit spreads. Generally, the longer
the time remaining to maturity, the more the market price of the notes will be affected by the other factors described above.
The value of the underlying index may be, and has recently been, volatile, and we can give you no assurance that the volatility
will lessen. See "Hypothetical Retrospective and Historical Information" below. You may receive less, and possibly significantly
less, than the stated principal amount per note if you try to sell your notes prior to maturity.

¦
T he not e s a re subje c t t o our c re dit risk , a nd a ny a c t ua l or a nt ic ipa t e d c ha nge s t o our c re dit ra t ings or
c re dit spre a ds m a y a dve rse ly a ffe c t t he m a rk e t va lue of t he not e s. You are dependent on our ability to pay all
amounts due on the notes at maturity and therefore you are subject to our credit risk. The notes are not guaranteed by any
other entity. If we default on our obligations under the notes, your investment would be at risk and you could lose some or all
of your investment. As a result, the market value of the notes prior to maturity will be affected by changes in the market's view
of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the
market for taking our credit risk is likely to adversely affect the market value of the notes.

¦
As a fina nc e subsidia ry, M SFL ha s no inde pe nde nt ope ra t ions a nd w ill ha ve no inde pe nde nt a sse t s. As a
finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have
no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities
in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available
under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured,
unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its
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assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings
they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated
creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

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

March 2018
Page 6
Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
by the determination date, the payment at maturity will be less, and may be significantly less, than it would have been had the
payment at maturity been linked to the value of the underlying index prior to such drop. Although the actual value of the
underlying index on the stated maturity date or at other times during the term of the notes may be higher than the final index
value, the payment at maturity will be based solely on the index closing value on the determination date.

¦
T he re a re risk s a ssoc ia t e d w it h t he unde rlying inde x .

¦
T he le ve l of t he unde rlying inde x c a n go dow n a s w e ll a s up. There can be no assurance that the underlying
index will achieve positive returns. The underlying index tracks the performance of a rules-based investment methodology
that selects a hypothetical portfolio of Underlying Assets to track. The performance of the underlying index will depend on
the performance of that hypothetical portfolio minus the sum of the 3-month LIBOR and a servicing cost of 0.85% per
annum. If the hypothetical portfolio declines in value, the index value will also decline. Even if the hypothetical portfolio
increases in value, the index value will nevertheless decline if the increase in the value of the portfolio is not sufficient to
overcome the deduction of the 3-month LIBOR and the servicing cost of 0.85% per annum. Accordingly, no assurance can
be given that the underlying index will be successful or outperform any alternative strategy that might be employed in
respect of the Index Components.

¦
T he ba se a lloc a t ion of ET Fs in t he Asse t Port folio is de t e rm ine d in re fe re nc e t o e a c h ET F's Risk
Budge t a nd vola t ilit y. The base allocation of each ETF in the Asset Portfolio is determined in proportion to its pre-set
Risk Budget. The Risk Budget was set by the Strategy Sponsor, does not change during the life of the underlying index
and there is no guarantee that the Risk Budget allocated to each ETF is the optimal allocation. A higher or lower Risk
Budget could result in increased investment in an ETF that performs poorly or insufficient investment in an ETF that
performs well over the life of the underlying index. The base allocations of each ETF in the Asset Portfolio are then scaled
relative to the other ETFs in the Asset Portfolio according to their volatility. The base allocation of each ETF can be higher
or lower than its Risk Budget (However, after the entirety of the underlying index calculation is complete, no ETF's
exposure will exceed its maximum exposure cap.) Volatility calculations based on historical volatility presume that historical
volatility is an accurate indication of current volatility. However, there is a time lag associated with the volatility calculation.
There is no guarantee that the volatility in the preceding period is representative of the current volatility of the ETFs.
Because the underlying index calculates realized volatility over approximately a one-year period, it may be some period of
time before a recent increase in the volatility of the ETFs is sufficiently reflected in the calculation of realized volatility to
cause a compensating change to the base allocation in the Asset Portfolio. Moreover, there is no guarantee that the one
year look-back period for volatility utilized by the underlying index produces the most accurate measure of current volatility.
Accordingly, no assurance can be given that each ETF's Risk Budget and calculated volatility will result in the optimal base
allocation.

¦
T he re a re risk s a ssoc ia t e d w it h t he unde rlying inde x 's m om e nt um inve st m e nt st ra t e gy. The underlying
index is constructed using what is generally known as a momentum-based investment strategy. Momentum-based
investing generally seeks to capitalize on positive trends in the prices of assets. As such, the composition of the underlying
index is based on the historical performance of the ETFs over both long-term and short-term periods. However, there is no
guarantee that trends existing in the preceding periods will continue in the future. A momentum-based strategy is different
from a strategy that seeks long-term exposure to a notional portfolio consisting of constant components with fixed weights.
The underlying index may fail to realize gains that could occur as a result of holding assets that have experienced price
declines, but after which experience a sudden price spike. As a result, if market conditions do not represent a continuation
of prior observed trends, the level of the underlying index, which is rebalanced based on prior trends, may decline.
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Additionally, even when the values of the ETFs tracked by the underlying index are trending downwards, the underlying
index will continue to be composed of those ETFs until the next rebalancing. Furthermore, the equity and alternative asset
classes of ETFs in the underlying index seek to capitalize on potential counter-trends in the short term. This could
potentially result in a failure to maximize return on an ETF in the equity or

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Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
alternative asset classes that consistently trends upward over the life of the underlying index. In this scenario, while the
Trend Signal will be 0.5 because the spot horizon is always above the long-term horizon, it will never result in a Trend
Signal of 1 because the short-term horizon value from 1 Strategy Business Day prior will consistently exceed the spot
horizon value from 5 Strategy Business Days prior. This will result in substantially lower returns than if one were to hold an
interest in the underlying ETF itself. Alternatively, this strategy could result in over-exposure to a steadily declining ETF.
The Trend Signal in these asset classes will remain at 1 and the underlying index will remain fully exposed to an ETF's
decline until the ETF begins trending up and the short-term horizon exceeds the spot horizon or continues declining such
that the spot horizon is below the long-term horizon. Even if the spot horizon falls below the long-term horizon, the Trend
Signal will be 0.5 and the underlying index will not fully divest its position until the spot horizon of the ETF is down
compared to both the long-term horizon and the short-term horizon. No assurance can be given that the investment
strategy used to construct the underlying index will outperform any alternative index that might be constructed from the
Index Components.

¦
Low vola t ilit y in t he unde rlying inde x is not synonym ous w it h low risk in a n inve st m e nt link e d t o t he
unde rlying inde x . For example, even if the volatility of the underlying index were to be in line with the Volatility Target,
the underlying index level may decrease over time, which may result in a zero return on the notes.

¦
While t he unde rlying inde x ha s a V ola t ilit y T a rge t of 5 % , t he re c a n be no gua ra nt e e , e ve n if t he Asse t
Port folio is re ba la nc e d da ily, t ha t t he re a lize d vola t ilit y of t he unde rlying inde x w ill not be le ss t ha n
or gre a t e r t ha n 5 % . In fact, the historical volatility of the underlying index, based on simulated returns, has generally
been between 4% and 6%. Although the underlying index aims to ensure that its realized volatility does not exceed 5%,
there is no guarantee that it will successfully do so. There is a time lag associated with the underlying index's volatility
control adjustments. Because realized volatility is measured over either approximately the prior month or two months for
purposes of the volatility control feature, it may be some period of time before a recent increase in the volatility of the
index ETFs is sufficiently reflected in the calculation of realized volatility to cause a compensating reallocation in the Asset
Portfolio. During the intervening period, if the increased volatility is associated with a significant decline in the value of the
index ETFs, the underlying index may in turn experience a significant decline without the reduction in exposure to the
Index ETFs that the volatility control feature is intended to trigger. Moreover, the index ETFs during the earlier part of the
relevant volatility period may be different than the current index ETFs, and if the earlier index ETFs were significantly less
volatile than the current index ETFs, the underlying index may be slow to adjust to significant volatility in the current index
ETFs. Furthermore, the fact that the underlying index applies a 5% volatility constraint in the selection of the Asset
Portfolio is no assurance that the resulting selected portfolio will not experience volatility that is significantly greater than
5% in the future. An Asset Portfolio may experience greater volatility in the future because future market conditions may
differ from past market conditions.

¦
T he re c a n be no a ssura nc e t ha t t he a c t ua l vola t ilit y of t he unde rlying inde x w ill be low e r t ha n t he
vola t ilit y of a ny or a ll of t he I nde x Com pone nt s. The underlying index's exposure to each Index Component is
adjusted through a volatility-scaling mechanism that seeks to target a volatility of 5% for the underlying index. However, as
the volatility-scaling mechanism looks to trends that have occurred in the past to then make adjustments to future
positions, it is unlikely that the underlying index will achieve the target volatility in any Index Component for any given
period of time. The actual volatility achieved by the underlying index overall, as well as the volatility achieved for each
Index Component, will likely differ perhaps significantly from the Volatility Target.

¦
T he vola t ilit y t a rge t fe a t ure of t he unde rlying inde x m a y da m pe n it s pe rform a nc e in bullish m a rk e t s.
The underlying index is designed to achieve a Volatility Target of 5% regardless of the direction of price movements in the
market. Therefore, in bullish markets, if the realized volatility is higher than the Volatility Target, the adjustments to the
Asset Portfolio of the underlying index through Daily Rebalancing might dampen the performance of the underlying index.
The selection of the Index
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Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Components, as well as the Volatility Target feature, may cause the underlying index to underperform one or more of the
Index Components.

¦
T he va lue of t he unde rlying inde x a nd a ny inst rum e nt link e d t o t he unde rlying inde x m a y inc re a se or
de c re a se due t o a num be r of fa c t ors, m a ny of w hic h a re be yond our c ont rol. The nature and weighting of
the ETFs can vary significantly, and no assurance can be given as to the allocation of any ETF at any time.

¦
T he fut ure pe rform a nc e of t he unde rlying inde x m a y be a r lit t le or no re la t ion t o t he hist oric a l or
hypot he t ic a l re t rospe c t ive pe rform a nc e of t he unde rlying inde x . Among other things, the trading prices of the
ETFs and the dividends paid on the ETFs will impact the level and the volatility of the underlying index. It is impossible to
predict whether the level of the underlying index will rise or fall. The fact that a given allocation among the Asset Portfolio
performed well over any look-back period does not mean that such allocation will continue to perform well in the future.
Future market conditions may differ from past market conditions, and the conditions that may have caused the favorable
historical performance may no longer exist. Furthermore, by continually seeking to track the Asset Portfolio that would have
been the best-performing portfolio (subject to constraints) over a look-back period, the underlying index may perpetually be
too late, and it may perpetually "buy high." By the time the underlying index hypothetically invests in a portfolio of ETFs,
the ETFs in that portfolio may already have experienced significant appreciation. The underlying index may therefore
perpetually make hypothetical investments in portfolios when they are expensive, which may lead to poor returns.

¦
T he unde rlying inde x I s pa rt ic ula rly susc e pt ible t o "c hoppy" m a rk e t s. Past performance is particularly likely
to be a poor indicator of future performance in "choppy" markets, which are characterized by short-term volatility and the
absence of consistent long-term performance trends. In such markets, strategies that use past performance as an indicator
of future performance, such as that followed by the underlying index, are subject to "whipsaws," which occur when the
market reverses and does the opposite of what is indicated by past performance. The underlying index may experience
significant declines in such markets.

¦
T he unde rlying inde x ha s fix e d w e ight ing c onst ra int s. The index applies limits to the weight that may be
assigned to each ETF. These limits are fixed and may skew the allocations among the ETFs in a way that reduces the
potential performance of the underlying index. For example, because of the weighting constraints, the underlying index may
not allocate all of its exposure to the single ETF with the best performance over the prior six months, even if that ETF had
a realized volatility of less than 5%. Instead, the weighting constraints require the underlying index to spread its exposure
over all the ETFs, even if one or more of those ETFs had unfavorable returns over the relevant look-back period.
Additionally, the weighting constraints mean that the underlying index must have some exposure to all of the ETFs at all
times, even when there is no Asset Portfolio that would be expected to appreciate because all are in decline. The
underlying index will not take a "short" position in any Index Component, even if the relevant Index Component displays a
negative performance over the relevant look-back period.

¦
T he unde rlying inde x w a s e st a blishe d on M a rc h 7 , 2 0 1 7 a nd t he re fore ha s a ve ry lim it e d hist ory. The
performances of the underlying index and some of the component data have been retrospectively simulated for the period
from September 22, 2003 to March 7, 2017. As such, performance for periods prior to the establishment of the underlying
index has been retrospectively simulated by Morgan Stanley & Co. LLC on a hypothetical basis. A retrospective simulation
means that no actual investment which allowed a tracking of the performance of the underlying index existed at any time
during the period of the retrospective simulation. The methodology and the underlying index used for the calculation and
retrospective simulation of the underlying index has been developed with the advantage of hindsight. In reality, it is not
possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical and may
not be indicative of future performance. In addition, the Morgan Stanley Two Year Treasury Index and certain ETFs
included in the Index Components existed for only a portion of the period for which Morgan Stanley & Co. LLC has
calculated hypothetical retrospective values. For any period during which data for the Morgan Stanley

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Morgan Stanley Finance LLC
Market-Linked Notes due March 31, 2025
Ba se d on t he V a lue of t he M orga n St a nle y M AP T re nd I nde x
Two Year Treasury Index or one or more ETFs did not exist, the historical simulation is based on (i) the value of the
Morgan Stanley Two Year Treasury Index based on simulated historical performance and (ii) the value of each ETF's
benchmark index less the relevant ETF's current expense ratio. Investors should be aware that no actual investment which
allowed a tracking of the performance of the underlying index was possible at any time prior to March 7, 2017. Such data
must be considered illustrative only. The historical data may not reflect future performance and no assurance can be given
as to the level of the underlying index at any time. Because the Morgan Stanley Two Year Treasury Index and certain
ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data have been
used for portions of the simulation. Wherever data for the Morgan Stanley Two Year Treasury Index or one or more ETFs
did not exist, the simulation has included (i) the value of the Morgan Stanley Two Year Treasury Index based on simulated
historical performance and (ii) the value of each ETF's benchmark index less the relevant current expense ratio. The ETFs
(and corresponding fund inception dates) for which substitute data have been used for all periods prior to the relevant
inception date are: USMV (October 20, 2011), DVY (November 7, 2003), HYG (April 11, 2007), AGG (September 26,
2003), EMB (December 19, 2007), TIP (December 5, 2003), PFF (March 30, 2007), GLD (November 18, 2004), USO (April
10, 2006), VNQ (September 29, 2004) and UUP (February 20, 2007).

¦
As t he unde rlying inde x is ne w a nd ha s ve ry lim it e d a c t ua l hist oric a l pe rform a nc e , a ny inve st m e nt in
t he unde rlying inde x m a y involve gre a t e r risk t ha n a n inve st m e nt in a n inde x w it h longe r a c t ua l
hist oric a l pe rform a nc e a nd a prove n t ra c k re c ord. All information regarding the performance of the underlying
index prior to March 7, 2017 is hypothetical and back-tested, as the underlying index did not exist prior to that time. It is
important to understand that hypothetical back-tested index performance information is subject to significant limitations, in
addition to the fact that past performance is never a guarantee of future performance. In particular:

¦
Morgan Stanley & Co. International plc developed the rules of the underlying index with the benefit of hindsight--that
is, with the benefit of being able to evaluate how the underlying index rules would have caused the underlying index to
perform had it existed during the hypothetical back-tested period.

¦
According to Morgan Stanley & Co. International plc, for time periods prior to the launch of an Index Component and
that Index Component's initial satisfaction of a minimum liquidity standard, the hypothetical back-tested data included
in this note were calculated using alternative performance information derived from a related index, after deducting
hypothetical fund fees, rather than the performance information for that Index Component. This alternative performance
information may differ, perhaps significantly, from the manner in which the relevant Index Components would have
performed during the relevant period. As a result, the hypothetical back-tested index performance information, to the
extent that it utilizes this alternative performance information, may not reflect how the underlying index would have
performed had it instead utilized the actual performance of the relevant Index Components.

¦
Certain of the Index Components have changed the underlying indices that they seek to track or track underlying
indices that have made changes to their rules. As a result of these changes, the underlying indices to be tracked in the
future by certain of the Index Components differ in certain respects from the underlying indices tracked by the same
Index Components during certain portions of the back-tested period. The sponsor of any Index Component or its
underlying index may make additional changes in the future. The hypothetical back-tested index performance may not
reflect how the underlying index would have performed had the relevant Index Components tracked the same
underlying indices (with the same rules) during the full back-tested period that they will track in the future.

¦
The hypothetical back-tested performance of the underlying index might look different if it covered a different historical
period. The market conditions that existed during the historical period covered by the hypothetical back-tested index
performance information in this note are not necessarily representative of the market conditions that will exist in the
future.

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