Bond Morgan Stanley Financial 0% ( US61770FHN96 ) in USD

Issuer Morgan Stanley Financial
Market price 100 %  ⇌ 
Country  United States
ISIN code  US61770FHN96 ( in USD )
Interest rate 0%
Maturity 05/03/2025 - Bond has expired



Prospectus brochure of the bond Morgan Stanley Finance US61770FHN96 in USD 0%, expired


Minimal amount 1 000 USD
Total amount 250 000 USD
Cusip 61770FHN9
Standard & Poor's ( S&P ) rating N/A
Moody's rating A1 ( Upper medium grade - Investment-grade )
Detailed description Morgan Stanley is a leading global financial services firm offering investment banking, securities, wealth management, and investment management services to corporations, governments, and individuals.

The Bond issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61770FHN96, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 05/03/2025

The Bond issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61770FHN96, was rated A1 ( Upper medium grade - Investment-grade ) by Moody's credit rating agency.







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424B2 1 dp122950_424b2-ps3315.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Market-Linked Notes due 2025

$250,000

$32.45

February 2020
Pricing Supplement No. 3,315
Registration Statement Nos. 333-221595; 333-221595-01
Dated February 28, 2020
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 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Fully and Unconditionally Guaranteed by Morgan Stanley
The notes are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are ful y and unconditional y guaranteed by
Morgan Stanley. The notes wil pay no interest and wil have the terms described in the accompanying product supplement and
prospectus, as supplemented and modified by this document. At maturity, we wil 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-fol owing, asset al ocation methodology to construct a notional portfolio. In addition, the strategy
imposes an overal 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 al ocation 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 (i ) the Morgan Stanley Two Year Treasury Index
(col ectively, the "Index Components"). The notional portfolio constructed by the Index Methodology of Index Components is
referred to as the "Asset Portfolio." The Asset Portfolio wil 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 al ocations. 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 al ocations are scaled by the Trend Signal by al ocating more upward-trending securities to the Asset Portfolio. The magnitude
of each position taken by the underlying index fol owing 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 26 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 wil ing 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 payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment.
These notes are not secured obligations and you will not have any security interest in, or otherwise have any access to,
any underlying reference asset or assets.
FINAL TERMS
Issuer:
Morgan Stanley Finance LLC
Guarantor:
Morgan Stanley
Issue price:
$1,000 per note (see "Commissions and issue price" below)
Stated principal amount:
$1,000 per note
Aggregate principal amount:
$250,000
Pricing date:
February 28, 2020
Original issue date:
March 4, 2020 (3 business days after the pricing date)
Maturity date:
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Interest:
None
Underlying index:
Morgan Stanley MAP Trend Index
Payment at maturity:
The payment due at maturity per $1,000 stated principal amount wil equal:
$1,000 + supplemental redemption amount, if any.
The payment due at maturity wil not be less than $1,000 per note regardless of the
performance of the underlying index.
Supplemental redemption
(i) $1,000 times (i ) the index percent change times (i i) the participation rate, provided that the
amount:
supplemental redemption amount wil not be less than $0.
Participation rate:
150%
Maximum payment at maturity: None
Index percent change:
(final index value ­ initial index value) / initial index value
Initial index value:
231.71, which is the index closing value on the pricing date
Final index value:
The index closing value on the determination date
Determination date:
February 28, 2025, subject to postponement for non-index business days and certain market
disruption events
CUSIP:
61770FHN9
ISIN:
US61770FHN96
Listing:
The notes wil not be listed on any securities exchange.
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a whol y owned subsidiary of
Morgan Stanley. See "Supplemental information regarding plan of distribution; conflicts of
interest."
Estimated value on the pricing
$980.40 per note. See "Investment Summary" beginning on page 2.
date:
Commissions and issue price:
Price to public(1)
Agent's commissions and
Proceeds to us(3)
fees(2)
Per note
$1,000
$5
$995
Total
$250,000
$1,250
$248,750
(1)
The notes will be sold only to investors purchasing the notes in fee-based advisory accounts.
(2)
MS & Co. expects to sell all of the notes that it purchases from us to an unaffiliated dealer at a price of $995 per note, for further sale to
certain fee-based advisory accounts at the price to public of $1,000 per note. MS & Co. will not receive a sales commission with respect to
the notes. 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 23.
The notes involve risks not associated with an investment in ordinary debt securities. See "Risk
Factors" beginning on page 6.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these notes,
or determined if this document or the accompanying product supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
The notes are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any
other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the related product supplement and prospectus, each of which can be
accessed via the hyperlinks below. Please also see "Additional Terms of the Notes" and "Additional Information About the
Notes" at the end of this document.
As used in this document, "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL col ectively, as the
context requires.
Product Supplement for Equity-Linked Notes dated November 16, 2017 Prospectus dated November 16, 2017

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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Investment Summary

Market-Linked Notes

The Market-Linked Notes due March 5, 2025 Based on the Value of the Morgan Stanley MAP Trend Index (the "notes") offer 150%
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
§ 150% 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 al , you wil receive the stated principal amount of
$1,000 per note, without any positive return on your investment. Al payments on the notes, including the repayment of principal at
maturity, are subject to our credit risk.

Maturity:
Approximately 5 years
Participation rate:
150%
Interest:
None

The Morgan Stanley MAP Trend Index

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-fol owing, asset al ocation methodology to
construct a notional portfolio. In addition, the strategy imposes an overal 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 al ocation 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 (i ) 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 wil 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
al ocations. 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
base al ocations are scaled by the Trend Signal by al ocating more upward-trending securities to the Asset Portfolio. The magnitude
of each position taken by the underlying index fol owing 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

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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
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, sel ing, 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 $980.40.

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 wel 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, sel ing, 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 wel 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, sel ing,
structuring and hedging the notes are not ful y deducted upon issuance, for a period of up to 6 months fol owing the issue date, to
the extent that MS & Co. may buy or sel 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 wil 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.

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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Key Investment Rationale

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 wil ing to accept that the underlying index's volatility target feature may reduce upside performance in bul ish markets, and who
are wil ing 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.

Repayment of Principal
The notes offer investors 150% upside exposure to the performance of the underlying index, while
providing for the repayment of principal in ful at maturity, subject to our credit risk.
Exposure to the Morgan
The Morgan Stanley MAP Trend Index was established by Morgan Stanley on March 7, 2017 and
Stanley MAP Trend Index
employs a rules-based quantitative strategy that combines a risk-weighted approach to portfolio
construction with a momentum-based, or trend-fol owing, asset al ocation methodology to construct
a notional portfolio. In addition, the strategy imposes an overal 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 al ocation 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 26 and the "Risk Factors--There are risks associated with the
underlying index" beginning on page 6 for more information.
The underlying index increases in value, and, at maturity, the notes pay the stated principal amount
Upside Scenario
of $1,000 plus 150% of the appreciation of the underlying index. There is no limitation on the
appreciation potential.
Par Scenario
The underlying index declines or does not appreciate in value, and, at maturity, the notes pay only
the stated principal amount of $1,000.


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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Hypothetical Payout on the Notes

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

(i) $1,000 times (i ) the index percent change times (i i) the participation rate of 150%.

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

The table below il ustrates 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.

Index percent
Final index
Stated principal
Supplemental redemption
Payment at
Return on $1,000
change
value
amount
amount
maturity
note
60%
320
$1,000
$900.00
$1,900.00
90%
50%
300
$1,000
$750.00
$1,750.00
75%
40%
280
$1,000
$600.00
$1,600.00
60%
30%
260
$1,000
$450.00
$1,450.00
45%
20%
240
$1,000
$300.00
$1,300.00
30%
10%
220
$1,000
$150.00
$1,150.00
15%
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%


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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Risk Factors

The fol owing 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.
§ The notes do not pay interest and may not pay more than the stated principal amount at maturity. If the index percent
change is less than or equal to 0%, you wil 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 overal 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 wil ing to forgo
market floating interest rates in exchange for a supplemental redemption amount, if any, based on the performance of the
underlying index.
§ The market price of the notes will be influenced by many unpredictable factors. Several factors wil influence the value of
the notes in the secondary market and the price at which MS & Co. may be wil ing to purchase or sel 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 general y 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. General y, the longer the time
remaining to maturity, the more the market price of the notes wil 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 wil 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 sel your notes prior to maturity.
§ The notes are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads
may adversely affect the market value of the notes. You are dependent on our ability to pay al 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 al of your investment. As a result, the
market value of the notes prior to maturity wil 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 finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance
subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and wil 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 wil be limited to those available
under the related guarantee by Morgan Stanley and that guarantee wil rank pari passu with al other unsecured,
unsubordinated obligations of Morgan Stanley. Holders wil have recourse only to a single claim against Morgan Stanley and its
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.
§ The amount payable on the notes is not linked to the value of the underlying index at any time other than the
determination date. The final index value wil 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

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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
by the determination date, the payment at maturity wil 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 wil be based solely on the index closing value on the determination date.

§ There are risks associated with the underlying index.

§ The level of the underlying index can go down as well as up. There can be no assurance that the underlying index wil
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 wil 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 wil also decline. Even if the hypothetical portfolio increases in
value, the index value wil 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 wil be successful or outperform any alternative strategy that might be employed in respect of the
Index Components.

§ The base allocation of ETFs in the Asset Portfolio is determined in reference to each ETF's Risk Budget and
volatility. The base al ocation 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 al ocated to each ETF is the optimal al ocation. 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 wel over the life
of the underlying index. The base al ocations 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 al ocation 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 wil 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 al ocation 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 wil result in the optimal base al ocation.

§ There are risks associated with the underlying index's momentum investment strategy. The underlying index is
constructed using what is general y known as a momentum-based investment strategy. Momentum-based investing
general y 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 wil 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.
Additional y, even when the values of the ETFs tracked by the underlying index are trending downwards, the underlying
index wil 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
potential y result in a failure to maximize return on an ETF in the equity or

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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
alternative asset classes that consistently trends upward over the life of the underlying index. In this scenario, while the
Trend Signal wil be 0.5 because the spot horizon is always above the long-term horizon, it wil never result in a Trend
Signal of 1 because the short-term horizon value from 1 Strategy Business Day prior wil consistently exceed the spot
horizon value from 5 Strategy Business Days prior. This wil result in substantial y 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 wil remain at 1 and the underlying index wil remain ful y 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 fal s below the long-term horizon, the Trend
Signal wil be 0.5 and the underlying index wil not ful y 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 wil outperform any alternative index that might be constructed from the
Index Components.

§ Low volatility in the underlying index is not synonymous with low risk in an investment linked to the underlying
index. 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 the underlying index has a Volatility Target of 5%, there can be no guarantee, even if the Asset Portfolio is
rebalanced daily, that the realized volatility of the underlying index will not be less than or greater than 5%. In fact,
the historical volatility of the underlying index, based on simulated returns, has general y 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
wil successful y 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 real ocation 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 wil 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.

§ There can be no assurance that the actual volatility of the underlying index will be lower than the volatility of any
or all of the Index Components. 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 wil achieve the target volatility in any Index Component for any given period of time. The actual volatility
achieved by the underlying index overal , as wel as the volatility achieved for each Index Component, wil likely differ ­
perhaps significantly ­ from the Volatility Target.

§ The volatility target feature of the underlying index may dampen its performance in bullish markets. The underlying
index is designed to achieve a Volatility Target of 5% regardless of the direction of price movements in the market.
Therefore, in bul ish 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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Morgan Stanley Finance LLC
Market-Linked Notes due March 5, 2025
Based on the Value of the Morgan Stanley MAP Trend Index
Components, as wel as the Volatility Target feature, may cause the underlying index to underperform one or more of the
Index Components.

§ The value of the underlying index and any instrument linked to the underlying index may increase or decrease due
to a number of factors, many of which are beyond our control. The nature and weighting of the ETFs can vary
significantly, and no assurance can be given as to the al ocation of any ETF at any time.

§ The future performance of the underlying index may bear little or no relation to the historical or hypothetical
retrospective performance of the underlying index. Among other things, the trading prices of the ETFs and the
dividends paid on the ETFs wil impact the level and the volatility of the underlying index. It is impossible to predict whether
the level of the underlying index wil rise or fal . The fact that a given al ocation among the Asset Portfolio performed wel
over any look-back period does not mean that such al ocation wil continue to perform wel 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 continual y 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 perpetual y be too late,
and it may perpetual y "buy high." By the time the underlying index hypothetical y invests in a portfolio of ETFs, the ETFs in
that portfolio may already have experienced significant appreciation. The underlying index may therefore perpetual y make
hypothetical investments in portfolios when they are expensive, which may lead to poor returns.

§ The underlying index is particularly susceptible to "choppy" markets. 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 fol owed 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.

§ The underlying index has fixed weighting constraints. The index applies limits to the weight that may be assigned to
each ETF. These limits are fixed and may skew the al ocations 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
al ocate al 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 al the ETFs, even if one or more of those ETFs had unfavorable returns over the relevant look-back period.
Additional y, the weighting constraints mean that the underlying index must have some exposure to al of the ETFs at al
times, even when there is no Asset Portfolio that would be expected to appreciate because al are in decline. The
underlying index wil 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.

§ The underlying index was established on March 7, 2017 and therefore has a very limited history. 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 al owed 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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