Bond Morgan Stanley Financial 0% ( US61770FZL39 ) in USD

Morgan Stanley Financial

100 % ▼

United States

US61770FZL39 ( in USD )

23/04/2025 - Bond has expired

Prospectus brochure of the bond Morgan Stanley Finance US61770FZL39 in USD 0%, expired

1 000 USD

843 000 USD

61770FZL3

N/A

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 US61770FZL39, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 23/04/2025

The Bond issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61770FZL39, was rated NR by Moody's credit rating agency.

424B2 1 dp126419_424b2-ps3805.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering Price

Amount of Registration Fee
Buffered Performance Leveraged Upside SecuritiesSM due

$843,000

$109.42
2025

April 2 0 2 0
Pricing Supplement No. 3,805
Registration Statement Nos. 333-221595; 333-221595-01
Dated April 17, 2020
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Princ ipa l a t Risk Se c urit ie s

The Buffered PLUS are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally
guaranteed by Morgan Stanley. The Buffered PLUS will pay no interest, provide a minimum payment at maturity of only 20% of the
stated principal amount and have the terms described in the accompanying product supplement for PLUS, index supplement and
prospectus, as supplemented or modified by this document. The payment at maturity on the Buffered PLUS will be based on the
value of the worst performing of the Russell 2000® Index and the S&P 500® Index. At maturity, if the final index value of e a c h
underlying index is gre a t e r t ha n its respective initial index value, investors will receive the stated principal amount of their
investment plus leveraged upside performance of the worst performing underlying index. If the final index value of e it he r
underlying index is le ss t ha n or e qua l to its respective initial index value, but the final index value of e a c h underlying index is
gre a t e r t ha n or e qua l t o 80% of its respective initial index value, meaning that ne it he r underlying index has decreased from
its initial index value by an amount greater than the buffer amount of 20%, investors will receive the stated principal amount of their
investment. However, if the final index value of e it he r underlying index is le ss t ha n 80% of its respective initial index value,
meaning that e it he r underlying index has decreased from its respective initial index value by an amount greater than the buffer
amount of 20%, investors will lose 1% for every 1% decline in the worst performing underlying index beyond the specified buffer
amount, subject to the minimum payment at maturity of 20% of the stated principal amount. Investors may lose up to 80% of the
stated principal amount of the Buffered PLUS. Because the payment at maturity of the Buffered PLUS is based on the worst
performing of the underlying indices, a decline in e it he r underlying index by an amount greater than the buffer amount will result
in a loss, and potentially a significant loss, of your investment even if the other underlying index has appreciated or has not
declined as much. These long-dated Buffered PLUS are for investors who seek an equity index-based return and who are willing to
risk their principal, risk exposure to the worst performing of two underlying indices and forgo current income in exchange for the
leverage and buffer features that in each case apply to a limited range of performance of the worst performing underlying index.
The Buffered PLUS 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
your inve st m e nt . T he se Buffe re d 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 Finance LLC
Gua ra nt or:
Morgan Stanley
M a t urit y da t e :
April 23, 2025
U nde rlying indic e s:
Russell 2000® Index (the "RTY Index") and the S&P 500® Index (the "SPX Index")
Aggre ga t e princ ipa l
$843,000
a m ount :
Pa ym e nt a t m a t urit y:
If the final index value of e a c h unde rlying inde x is greater than its respective initial index
value,
$1,000 + ($1,000 × leverage factor × index percent change of the worst performing underlying
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index)
If the final index value of e it he r unde rlying inde x is less than or equal to its respective initial
index value but the final index value of e a c h unde rlying inde x is greater than or equal to 80%

of its respective initial index value, meaning that ne it he r underlying index has decreased from its
initial index value by an amount greater than the buffer amount of 20%,

$1,000
If the final index value of e it he r unde rlying inde x is less than 80% of its respective initial

index value, meaning that e it he r underlying index has decreased from its respective initial index
value by an amount greater than the buffer amount of 20%,

($1,000 × index performance factor of the worst performing underlying index) + $200
Under these circumstances, the payment at maturity will be less than the stated principal amount

of $1,000. However, under no circumstances will the Buffered PLUS pay less than $200 per
Buffered PLUS at maturity.
I nde x pe rc e nt c ha nge :
With respect to each underlying index, (final index value initial index value) / initial index value
Worst pe rform ing
The underlying index with the lesser index percent change
unde rlying inde x :
I nde x pe rform a nc e fa c t or: With respect to each underlying index, final index value / initial index value
I nit ia l inde x va lue :
With respect to the RTY Index, 1,229.098, which is the index closing value of such index on the
pricing date

With respect to the SPX Index, 2,874.56, which is the index closing value of such index on the
pricing date
Fina l inde x va lue :
With respect to each underlying index, the index closing value of such index on the valuation date
V a lua t ion da t e :
April 17, 2025, subject to adjustment for non-index business days and certain market disruption
events
M inim um pa ym e nt a t
$200 per Buffered PLUS (20% of the stated principal amount)
m a t urit y:
Le ve ra ge fa c t or:
105%
Buffe r a m ount :
20%. As a result of the buffer amount of 20%, the values at or above which the underlying indices
must close on the valuation date so that investors do not suffer a loss on their initial investment in
the Buffered PLUS are as follows:

With respect to the RTY Index, 983.278, which is approximately 80% of its initial index value

With respect to the SPX Index, 2,299.648, which is 80% of its initial index value
St a t e d princ ipa l a m ount :
$1,000 per Buffered PLUS
I ssue pric e :
$1,000 per Buffered PLUS
Pric ing da t e :
April 17, 2020
Origina l issue da t e :
April 22, 2020 (3 business days after the pricing date)
CU SI P / I SI N :
61770FZL3 / US61770FZL39
List ing:
The Buffered PLUS will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley and an
affiliate of MSFL. See "Supplemental information regarding plan of distribution; conflicts of
interest."
Est im a t e d va lue on t he
$917.40 per Buffered PLUS. See "Investment Summary" on page 2.
pric ing da t e :
Com m issions a nd issue
Pric e t o public
pric e :
Age nt 's c om m issions (1)
Proc e e ds t o us(2)
Pe r Buffe re d
$1,000
$42.50
$957.50
PLU S
T ot a l
$843,000
$35,827.50
$807,172.50
(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $42.50 for each Buffered
PLUS they sell. 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.
(2) See "Use of proceeds and hedging" on page 18.

T he Buffe re d 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 7 .

T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt , inde x
supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .

T he Buffe re d PLU 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
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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 , inde x supple m e nt a nd
prospe c t us, e a c h of w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l T e rm s of
t he Buffe re d PLU S" a nd "Addit iona l I nform a t ion About t he Buffe re d PLU S" a t t he e nd of t his doc um e nt .

As use d in t his doc um e nt , "w e ," "us" a nd "our" re fe r t o M orga n St a nle y or M SFL, or M orga n St a nle y a nd
M SFL c olle c t ive ly, a s t he c ont e x t re quire s.

Produc t Supple m e nt for PLU S da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt 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

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Investment Summary

Buffe re d 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 Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500® Index due April
23, 2025 (the "Buffered PLUS") can be used:

To gain exposure to the worst performing of two U.S. equity indices

To potentially outperform the worst performing of the Russell 2000® Index and the S&P 500® Index by taking advantage of the
leverage factor

To obtain a buffer against a specified level of negative performance in the worst performing underlying index

If the final index value of e it he r underlying index is le ss t ha n 80% of its respective initial index value, investors will be negatively
exposed to the decline in the worst performing underlying index beyond the buffer amount and will lose some or a substantial
portion of their investment.

M a t urit y:
Approximately 5 years
Le ve ra ge fa c t or:
105%
M inim um pa ym e nt a t m a t urit y: $200 per Buffered PLUS (20% of the stated principal amount). Investors may
lose up to 80% of the stated principal amount of the Buffered PLUS.
Buffe r a m ount :
20%, with 1-to-1 downside exposure to the worst performing underlying index
below the buffer
Coupon:
None
List ing:
The Buffered PLUS will not be listed on any securities exchange

The original issue price of each Buffered PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and
hedging the Buffered PLUS, which are borne by you, and, consequently, the estimated value of the Buffered PLUS on the pricing
date is less than $1,000. We estimate that the value of each Buffered PLUS on the pricing date is $917.40.

What goes into the estimated value on the pricing date?
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In valuing the Buffered PLUS on the pricing date, we take into account that the Buffered PLUS comprise both a debt component
and a performance-based component linked to the underlying indices. The estimated value of the Buffered PLUS is determined
using our own pricing and valuation models, market inputs and assumptions relating to the underlying indices, instruments based
on the underlying indices, 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 Buffered PLUS?

In determining the economic terms of the Buffered PLUS, including the leverage factor, the buffer amount and the minimum
payment at maturity, 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 Buffered 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 Buffered PLUS?

The price at which MS & Co. purchases the Buffered PLUS in the secondary market, absent changes in market conditions,
including those related to the underlying indices, 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 Buffered PLUS are not fully deducted upon issuance, for a period of up to 6 months
following the issue date, to the extent that MS & Co. may buy or sell the Buffered PLUS in the secondary market, absent changes
in market conditions, including those related to the underlying indices, 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 Buffered PLUS, and, if it once chooses to make a market, may cease
doing so at any time.

April 2020
Page 2
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

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

The Buffered PLUS offer leveraged exposure to the worst performing of the Russell 2000® Index and the S&P 500® Index to the
extent that the final index value of e a c h underlying index is greater than its respective initial index value. At maturity, if the final
index value of e a c h underlying index is gre a t e r t ha n its respective initial index value, investors will receive the stated principal
amount of their investment plus leveraged upside performance of the worst performing underlying index. If the final index value of
e it he r underlying index is le ss t ha n or e qua l to its respective initial index value but the final index value of e a c h underlying
index is gre a t e r t ha n or e qua l t o 80% of its respective initial index value, investors will receive the stated principal amount of
their investment. However, if the final index value of e it he r underlying index is le ss t ha n 80% of its respective initial index value,
investors will lose 1% for every 1% decline in the worst performing underlying index beyond the specified buffer amount, subject to
the minimum payment at maturity. I nve st ors m a y lose up t o 8 0 % of t he st a t e d princ ipa l a m ount of t he Buffe re d
PLU S. All pa ym e nt s on t he Buffe re d PLU S a re subje c t t o our c re dit risk .

Le ve ra ge d
The Buffered PLUS offer investors an opportunity to receive 105% of the positive return of the worst
Pe rform a nc e
performing of the underlying indices if bot h underlying indices have appreciated in value.
U pside Sc e na rio if Both underlying indices increase in value, and, at maturity, the Buffered PLUS redeem for the stated
Bot h U nde rlying
principal amount of $1,000 plus 105% of the index percent change of the worst performing underlying
I ndic e s
index.
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Appre c ia t e
The final index value of e it he r underlying index is le ss t ha n or e qua l to its respective initial index
value but the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o 80% of its
Pa r Sc e na rio
respective initial index value. At maturity, the Buffered PLUS redeem for the stated principal amount of
$1,000.
The final index value of e it he r underlying index is le ss t ha n 80% of its respective initial index value. In
this case, the Buffered PLUS redeem for less than the stated principal amount by an amount
proportionate to the percentage decrease of the worst performing underlying index over the term of the
Dow nside
Buffered PLUS, plus the buffer amount of 20%. For example, if the final index value of the worst
Sc e na rio
performing underlying index is 70% less than its initial index value, the Buffered PLUS will be redeemed
at maturity for a loss of 50% of principal at $500, or 50% of the stated principal amount. T he m inim um
pa ym e nt a t m a t urit y is $ 2 0 0 pe r Buffe re d PLU S.

Because the payment at maturity of the Buffered PLUS is based on the worst performing of the underlying indices, a decline in
e it he r underlying index to less than 80% of its respective initial index value will result in a loss, and potentially a significant loss,
of your investment, even if the other underlying index has appreciated or has not declined as much.

April 2020
Page 3
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d 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

Hypothetical Examples

The following hypothetical examples illustrate how to calculate the payment at maturity on the Buffered PLUS. The following
examples are for illustrative purposes only. The actual initial index value for each underlying index is set forth on the cover of this
document. Any payment at maturity on the Buffered PLUS is subject to our credit risk. The below examples are based on the
following terms:

St a t e d princ ipa l a m ount :
$1,000 per Buffered PLUS
Le ve ra ge fa c t or:
105%
H ypot he t ic a l init ia l inde x
With respect to the RTY Index: 1,500
va lue :
With respect to the SPX Index: 2,700
Buffe r a m ount :
20%
EX AM PLE 1 : T he fina l inde x va lue of e a c h unde rlying inde x is gre a t e r t ha n it s re spe c t ive init ia l inde x va lue .

Final index value

RTY Index: 1,650

SPX Index: 3,780
Index percent change

RTY Index: (1,650 1,500) / 1,500 = 10%
SPX Index: (3,780 2,700) / 2,700 = 40%
Payment at maturity
=
$1,000 + ($1,000 × leverage factor × index percent change of the worst performing
underlying index)

=
$1,000 + ($1,000 × 105% × 10%)

=
$1,105

In example 1, the final index values of both the RTY Index and SPX Index are greater than their initial index values. The RTY
Index has appreciated by 10% while the SPX Index has appreciated by 40%. Therefore, investors receive at maturity the stated
principal amount plus 105% of the appreciation of the worst performing underlying index, which is the RTY Index in this example.
Investors receive $1,105 per Buffered PLUS at maturity.

EX AM PLE 2 : T he fina l inde x va lue of one unde rlying inde x is gre a t e r t ha n it s re spe c t ive init ia l inde x va lue
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w hile t he fina l inde x va lue of t he ot he r unde rlying inde x is le ss t ha n it s re spe c t ive init ia l inde x va lue , but
ne it he r unde rlying inde x ha s de c re a se d from it s init ia l inde x va lue by a n a m ount gre a t e r t ha n t he buffe r
a m ount of 2 0 % .

Final index value

RTY Index: 2,100

SPX Index: 2,430
Index percent change

RTY Index: (2,100 1,500) / 1,500 = 40%
SPX Index: (2,430 2,700) / 2,700 = -10%
Payment at maturity
=
$1,000

In example 2, the final index value of the RTY Index is greater than its respective initial index value, while the final index value of
the SPX Index is less than its respective initial index value. The RTY Index has appreciated by 40%, while the SPX index has
declined by 10%, but neither underlying index has decreased from its initial index value by an amount greater than the buffer
amount of 20%. Therefore, investors receive at maturity the stated principal amount. Investors receive $1,000 per Buffered PLUS at
maturity.

EX AM PLE 3 : T he fina l inde x va lue of one unde rlying inde x is gre a t e r t ha n it s re spe c t ive init ia l inde x va lue
w hile t he fina l inde x va lue of t he ot he r unde rlying inde x is le ss t ha n 8 0 % of it s re spe c t ive init ia l inde x
va lue .

Final index value

RTY Index: 1,650

SPX Index: 1,350

April 2020
Page 4
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d 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

Index percent change

RTY Index: (1,650 1,500) / 1,500 = 10%
SPX Index: (1,350 2,700) / 2,700 = -50%
Index performance factor

RTY Index: 1,650 / 1,500 = 110%
SPX Index: 1,350 / 2,700 = 50%
Payment at maturity
=
($1,000 × index performance factor of the worst performing underlying index) + $200

=
($1,000 × 50%) + $200

=
$700

In example 3, the final index value of the RTY Index is greater than its respective initial index value, while the final index value of
the SPX Index is less than 80% of its respective initial index value. While the RTY Index has appreciated by 10%, the SPX index
has declined by 50%. Therefore, investors are exposed to the negative performance of the SPX Index, which is the worst
performing underlying index in this example, beyond the buffer amount of 20%, and receive a payment at maturity of $700 per
Buffered PLUS. In this example, investors are exposed to the negative performance of the worst performing underlying index even
though the other underlying index has appreciated in value by 10%, because the final index value of each index is not greater than
or equal to 80% of its respective initial index value.

EX AM PLE 4 : T he fina l inde x va lue of e a c h unde rlying inde x is le ss t ha n it s re spe c t ive init ia l inde x va lue ,
but ne it he r unde rlying inde x ha s de c re a se d from it s init ia l inde x va lue by a n a m ount gre a t e r t ha n t he buffe r
a m ount of 2 0 % .

Final index value

RTY Index: 1,425

SPX Index: 2,430
Index percent change

RTY Index: (1,425 1,500) / 1,500 = -5%
SPX Index: (2,430 2,700) / 2,700 = -10%
Payment at maturity
=
$1,000

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In example 4, the final index value of each underlying index is less than its respective initial index value, but neither underlying
index has decreased from its initial index value by an amount greater than the buffer amount of 20%. The RTY index has declined
by 5% while the SPX Index has declined by 10%. Therefore, investors receive at maturity the stated principal amount. Investors
receive $1,000 per Buffered PLUS at maturity.

EX AM PLE 5 : T he fina l inde x va lue of e a c h unde rlying inde x is le ss t ha n 8 0 % of it s re spe c t ive init ia l inde x
va lue .

Final index value

RTY Index: 450

SPX Index: 1,080
Index percent change

RTY Index: (450 1,500) / 1,500 = -70%
SPX Index: (1,080 2,700) / 2,700 = -60%
Index performance factor

RTY Index: 450 / 1,500 = 30%
SPX Index: 1,080 / 2,700 = 40%
Payment at maturity
=
($1,000 × index performance factor of the worst performing underlying index) + $200

=
($1,000 × 30%) + $200

=
$500

In example 5, the final index values of both the RTY Index and the SPX Index are less than their respective initial index values by
an amount greater than the buffer amount of 20%. The RTY index has declined by 70% while the SPX Index has declined by 60%.
Therefore, investors are exposed to the negative performance of the RTY Index, which is the worst performing underlying index in
this example, beyond the buffer amount of 20%, and receive a payment at maturity of $500 per Buffered PLUS.

April 2020
Page 5
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d 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

Be c a use t he pa ym e nt a t m a t urit y of t he Buffe re d PLU S is ba se d on t he w orst pe rform ing of t he unde rlying
indic e s, a de c line in e it he r unde rlying inde x by a n a m ount gre a t e r t ha n t he buffe r a m ount of 2 0 % w ill re sult
in a loss, a nd pot e nt ia lly a signific a nt loss, of your inve st m e nt , e ve n if t he ot he r unde rlying inde x ha s
a ppre c ia t e d or ha s not de c line d a s m uc h.

April 2020
Page 6
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d 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

Risk Factors

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

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The Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 20% of the
st a t e d princ ipa l a m ount . The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered
PLUS do not pay interest and provide a minimum payment at maturity of only 20% of the stated principal amount of the
Buffered PLUS. If the final index value of e it he r underlying index is le ss t ha n 80% of its initial index value, you will receive
for each Buffered PLUS that you hold a payment at maturity that is less than the stated principal amount of each Buffered
PLUS by an amount proportionate to the decline in the value of the worst performing underlying index from its initial index
value, plus $200 per Buffered PLUS. Ac c ordingly, inve st ors m a y lose up t o 8 0 % of t he st a t e d princ ipa l a m ount
of t he Buffe re d PLU S.

You are exposed to the price risk of both underlying indices. Your return on the Buffered PLUS it not linked to a
basket consisting of both underlying indices. Rather, it will be based upon the independent performance of each underlying
index. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified
among all the components of the basket, you will be exposed to the risks related to both underlying indices. Poor performance
by either underlying index over the term of the securities will negatively affect your return and will not be offset or mitigated by
any positive performance by the other underlying index. If either underlying index declines to below 80% of its respective initial
index value as of the valuation date, you will lose some or a substantial portion of your investment, even if the other underlying
index has appreciated or has not declined as much. Accordingly, your investment is subject to the price risk of both underlying
indices.

Because the Buffered PLUS are linked to the performance of the w orst performing underlying index, you
a re e x pose d t o gre a t e r risk of sust a ining a loss on your inve st m e nt t ha n if t he Buffe re d PLU S w e re
link e d t o just one unde rlying inde x . The risk that you will suffer a loss on your investment is greater if you invest in the
Buffered PLUS as opposed to substantially similar securities that are linked to the performance of just one underlying index.
With two underlying indices, it is more likely that either underlying index will decline to below 80% of its initial index value as of
the valuation date than if the Buffered PLUS were linked to only one underlying index. Therefore it is more likely that you will
suffer a loss on your investment.

The market price of the Buffered PLUS w ill be influenced by many unpredictable factors. Several factors
will influence the value of the Buffered PLUS in the secondary market and the price at which MS & Co. may be willing to
purchase or sell the Buffered PLUS in the secondary market, including the value, volatility and dividend yield of the underlying
indices, interest and yield rates in the market, time remaining until the Buffered PLUS mature, geopolitical conditions and
economic, financial, political, regulatory or judicial events 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 Buffered PLUS will be affected
by the other factors described above. The levels of the underlying indices may be, and have recently been, volatile, and we
can give you no assurance that the volatility will lessen. See "Russell 2000® Index Overview" and "S&P 500® Index Overview"
below. You may receive less, and possibly significantly less, than the stated principal amount per Buffered PLUS if you try to
sell your Buffered PLUS prior to maturity.

The Buffered PLUS are subject to our credit risk, and any actual or anticipated changes to our credit
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 Buffe re d PLU S. You are dependent on
our ability to pay all amounts due on the Buffered PLUS at maturity and therefore you are subject to our credit risk. If we
default on its obligations under the Buffered 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 Buffered PLUS 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 Buffered PLUS.

As a finance subsidiary, MSFL has no independent operations and w ill have no independent assets. 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

April 2020
Page 7
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
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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
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 Buffered PLUS are linked to the Russell 2000® Index and are subject to risks associated w ith small-
c a pit a liza t ion c om pa nie s. As the Russell 2000® Index is one of the underlying indices, and the Russell 2000® Index
consists of stocks issued by companies with relatively small market capitalization, the Buffered PLUS are linked to the value of
small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less
liquidity than large-capitalization companies and therefore the Russell 2000® Index may be more volatile than indices that
consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more
vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of
small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less well-
established and less stable financially than large-capitalization companies and may depend on a small number of key
personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse
product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than
large-capitalization companies and are more susceptible to adverse developments related to their products.

The amount payable on the Buffered PLUS is not linked to the values of the underlying indices at any
t im e ot he r t ha n t he va lua t ion da t e . The final index value of each underlying index will be based on the index closing
value of such index on the valuation date, subject to postponement for non-index business days and certain market disruption
events. Even if both underlying indices appreciate prior to the valuation date but the value of e it he r underlying index drops by
the valuation date, the payment at maturity will be less than it would have been had the payment at maturity been linked to the
values of the underlying indices prior to such drop. Although the actual values of the underlying indices on the stated maturity
date or at other times during the term of the Buffered PLUS may be higher than their respective final index values, the
payment at maturity will be based solely on the index closing values on the valuation date.

Investing in the Buffered PLUS is not equivalent to investing in either underlying index. Investing in the
Buffered PLUS is not equivalent to investing in either underlying index or the component stocks of either underlying index. As
an investor in the Buffered PLUS, you will not have voting rights or rights to receive dividends or other distributions or any other
rights with respect to stocks that constitute either underlying index.

Adjustments to the underlying indices could adversely affect the value of the Buffered PLUS. The publisher
of either underlying index may add, delete or substitute the stocks constituting such underlying index or make other
methodological changes that could change the value of such underlying index. The publisher of either underlying index may
discontinue or suspend calculation or publication of such underlying index at any time. In these circumstances, the calculation
agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying index and
will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.

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 Buffe re d
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 Buffe re d PLU S, c a use t he e st im a t e d
va lue of t he Buffe re d 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 Buffered 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 Buffered PLUS in the original issue price and the
lower rate we are willing to pay as issuer make the economic terms of the Buffered PLUS less favorable to you than they
otherwise would be.

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April 2020
Page 8
Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the Russell 2000® Index and the S&P 500®
Index due April 23, 2025
Buffe re d 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

However, because the costs associated with issuing, selling, structuring and hedging the Buffered PLUS are not fully deducted
upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the
Buffered PLUS in the secondary market, absent changes in market conditions, including those related to the underlying indices,
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 Buffered PLUS is determined by reference to our pricing and valuation
m ode ls, w hic h m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry
m a rk e t pric e . These pricing and valuation models are proprietary and rely in part on subjective views of certain market
inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-
standard way to value these types of securities, our models may yield a higher estimated value of the Buffered PLUS than
those generated by others, including other dealers in the market, if they attempted to value the Buffered 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 Buffered PLUS in the secondary market (if any exists) at any time. The value of your
Buffered PLUS at any time after the date of this document 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 of the Buffered PLUS
will be influenced by many unpredictable factors" above.

The Buffered PLUS w ill not be listed on any securities exchange and secondary trading may be limited.
The Buffered PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
Buffered PLUS. MS & Co. may, but is not obligated to, make a market in the Buffered 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 Buffered 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 Buffered PLUS. Even if
there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily. Since
other broker-dealers may not participate significantly in the secondary market for the Buffered PLUS, the price at which you
may be able to trade your Buffered 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 Buffered PLUS, it is likely that there would be no secondary market
for the Buffered PLUS. Accordingly, you should be willing to hold your Buffered PLUS to maturity.

Hedging and trading activity by our affiliates could potentially adversely affect the value of the Buffered
PLU S. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the Buffered
PLUS (and possibly to other instruments linked to the underlying indices or their component stocks), including trading in the
stocks that constitute the underlying indices as well as in other instruments related to the underlying indices. As a result, these
entities may be unwinding or adjusting hedge positions during the term of the Buffered PLUS, and the hedging strategy may
involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates
also trade the stocks that constitute the underlying indices and other financial instruments related to the underlying indices on a
regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior
to the pricing date could potentially affect the initial index value of either underlying index, and, therefore, could increase the
value at or above which such underlying index must close on the valuation date so that investors do not suffer a loss on their
initial investment in the Buffered PLUS (depending also on the performance of the other underlying index). Additionally, such
hedging or trading activities during the term of the Buffered PLUS, including on the valuation date, could adversely affect the
closing value of either underlying index on the valuation date, and, accordingly, the amount of cash an investor will receive at
maturity (depending also on the performance of the other underlying index).

The calculation agent, w hich is a subsidiary of Morgan Stanley and an affiliate of MSFL, w ill make
de t e rm ina t ions w it h re spe c t t o t he Buffe re d PLU S. As calculation agent, MS & Co. will determine the initial index
values and the final index values, including whether any underlying index has decreased to below 80% of its respective initial
index value, and will calculate the amount of cash you receive at maturity. Moreover, certain determinations made by MS &
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