Obbligazione Morgan Stanley Financial 0% ( US61768Y6876 ) in USD

Morgan Stanley Financial

100 USD ▲

Stati Uniti

US61768Y6876 ( in USD )

06/07/2023 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61768Y6876 in USD 0%, scaduta

1 000 USD

4 293 000 USD

61768Y687

N/A

A1 ( Upper medium grade - Investment-grade )

Morgan Stanley è una delle maggiori istituzioni finanziarie globali, operante in servizi di investment banking, gestione patrimoniale e trading.

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61768Y6876, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 06/07/2023

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61768Y6876, was rated A1 ( Upper medium grade - Investment-grade ) by Moody's credit rating agency.

424B2 1 dp109520_424b2-ps2077.htm FORM 424B2

CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered
Offering Price
Fee
Market-Linked Notes due 2023

$4,293,400

$520.36
J une 2 0 1 9
Pricing Supplement No. 2,077
Registration Statement Nos. 333-221595; 333-221595-01
Dated June 28, 2019
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in Equities, Bonds and Alternative Investments
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F-M AP 2 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 $10 plus a supplemental redemption amount, if any,
based on the value of the underlying index on the determination date. The Morgan Stanley ETF-MAP 2 Index employs a rules-based quantitative
strategy, which uses modern portfolio theory principles and the related concept of efficient frontier to attempt to maximize returns for a given
level of risk, as described more fully below. The underlying index is comprised of three sub-indices. The potential components of each sub-index
consist of U.S.-listed exchange-traded funds (ETFs), representing U.S. and non-U.S. equities, fixed income securities, commodities and real
estate, and the Morgan Stanley Two Year Treasury Index. Each sub-index is calculated on an excess return basis, and therefore the respective
level of each sub-index is determined by the weighted return of the optimized portfolio of index components for such sub-index reduced by the
return on an equivalent cash investment receiving the Federal Funds rate. Each sub-index is rebalanced once per month according to a pre-
determined schedule. Each sub-index is rebalanced using the same methodology, but at different times of each month. Each monthly
rebalancing for a sub-index is based on the index methodology, which seeks to determine the asset portfolio that had the maximum historical
return with 5% annualized volatility during the prior 63-business day period. There is also a daily adjustment to the allocation between the asset
portfolio and cash component based on the overall volatility of the asset portfolio. A servicing cost of 0.50% per annum, calculated on a daily
basis, is deducted when calculating the level of the index. For more information, see "Underlying Index" beginning on page 12. An investment
linked to the index involves risks. See "Risk Factors There are risks related to the index" beginning on page 6. The notes 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. 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 your
inve st m e nt . T he se se c urit ie 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 :
$10 per note (see "Commissions and issue price" below)
St a t e d princ ipa l a m ount :
$10 per note
Aggre ga t e princ ipa l a m ount :
$4,293,400
Pric ing da t e :
June 28, 2019
Origina l issue da t e :
July 3, 2019 (3 business days after the pricing date)
M a t urit y da t e :
July 6, 2023
I nt e re st :
None
U nde rlying inde x :
Morgan Stanley ETF-MAP 2 Index
Pa ym e nt a t m a t urit y:
The payment due at maturity per $10 stated principal amount will equal:
$10 + supplemental redemption amount, if any.
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The payment due at maturity will not be less than $10 per note regardless of the performance of the
underlying index.
Supple m e nt a l re de m pt ion
(i) $10 times (ii) the index percent change times (iii) the participation rate, provided that the supplemental
a m ount :
redemption amount will not be less than $0.
Pa rt ic ipa t ion ra t e :
150%
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 :
1,159.96, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the determination date
June 30, 2023, subject to postponement for non-index business days and certain market disruption
De t e rm ina t ion da t e :
events
CU SI P:
61768Y687
I SI N :
US61768Y6876
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
$9.723 per note. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue pric e :
Pric e t o public
Age nt 's c om m issions
Proc e e ds t o us (3)
Pe r not e
$10
$0.25(1)
$9.70

$0.05(2)

T ot a l
$4,293,400
$128,802
$4,164,598
(1) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the
agent, MS & Co., a fixed sales commission of $0.25 for each note 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 for equity-linked notes.
(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each note.
(3) See "Use of proceeds and hedging" on page 20.
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 T e rm s of t he N ot e s" a nd "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

Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 I nde x
Investment Summary

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

The Market-Linked Notes due July 6, 2023 Based on the Value of the Morgan Stanley ETF-MAP 2 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 ETF-MAP 2 Index

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

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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 all, you will receive the stated principal amount of $10
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 4 years
Pa rt ic ipa t ion ra t e :
150%
I nt e re st :
None

T he M orga n St a nle y ET F -M AP 2 I nde x

The Morgan Stanley ETF-MAP 2 Index has been developed by and is calculated, published and rebalanced by Morgan Stanley &
Co. LLC (the "underlying index publisher"). ETF-MAP stands for "Exchange-Traded Fund Multi-Asset Portfolio." The underlying
index employs a rules-based quantitative strategy, which uses modern portfolio theory principles and the related concept of efficient
frontier to attempt to maximize returns for a given level of risk. The index is comprised of three sub-indices (each, a "Sub-Index"
and together, the "Sub-Indices"). The potential components of each Sub-Index consist of U.S.-listed exchange traded funds
("ETFs"), representing U.S. and non-U.S. equities, fixed income securities, commodities and real estate, and the Morgan Stanley
Two Year Treasury Index (collectively, the "Index Components").

In general, the construction of the asset portfolio for each Sub-Index is based on the principles of modern portfolio theory and the
efficient frontier. The fundamental premise of modern portfolio theory is that the weighting of assets in an investment portfolio
should be based not only on the individual risk and return characteristics of each asset but also on each asset's relationship, in
terms of correlation, volatility and return, to the other portfolio components. The efficient frontier represents a set of portfolios
constructed using modern portfolio theory concepts, each of which has a different risk and return profile. An investor choosing a
portfolio from the "efficient frontier" should, the theory says, be maximizing returns for the chosen level of risk.

Each Sub-Index is calculated on an excess return basis, and therefore the respective level of each Sub-Index is determined by the
weighted return of the optimized portfolio of Index Components for such Sub-Index (each, an "Asset Portfolio") reduced by the
return on an equivalent cash investment receiving the Federal Funds rate. The level of the index, which is published in respect of
each day on which the New York Stock Exchange is open for trading, tracks the average daily return of the Sub-Indices.

Each Sub-Index is rebalanced once per month according to a pre-determined schedule (the "Monthly Rebalancing"). Each Sub-
Index is rebalanced using the same methodology, but at different times of each month. The Monthly Rebalancing for each Sub-
Index will occur over a period of several trading days (each such trading day, a "Rebalancing Date"). During each Monthly
Rebalancing for a Sub-Index, the index methodology determines the optimal weightings of each component in the Asset Portfolio
for such Sub-Index by analyzing historical returns and volatility for each Index Component and the historical correlation between
each pair of components. In particular, the index methodology seeks to determine the Asset Portfolio for such Sub-Index that had
the maximum historical return with 5% annualized volatility during the prior 63-trading-day period. The exposure of each Sub-Index
to each market sector and the weighting of each Index Component are subject to limits as outlined below. In addition, there is a
"Daily Allocation" for each Sub-Index, based on a 5% volatility target (the "Volatility Target") between its respective Asset Portfolio
and cash. Accordingly, the exposure of each Sub-Index to its respective Asset Portfolio will be monitored and adjusted so that it
generally equals the Volatility Target divided by the Realized Volatility (as defined below) of the Asset Portfolio for the relevant
Sub-Index. The amount of the reduction in the exposure to the Asset

June 2019
Page 2
Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 I nde x
Portfolio for any Sub-Index will be allocated to cash. For each Sub-Index, the sum of allocations to its respective Asset Portfolio
and cash will not exceed 100%.

A servicing cost of 0.50% per annum, calculated on a daily basis, is deducted when calculating the performance of the underlying
index. Please see "Underlying Index" beginning on page 12 for more information about the underlying index.

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The original issue price of each note is $10. 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 $10. We
estimate that the value of each note on the pricing date is $9.723.

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 6 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.

June 2019
Page 3
Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 I nde x
K e y I nve st m e nt Ra t iona le

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.

The underlying index employs a rules-based quantitative strategy, which uses modern portfolio theory principles and the related
concept of efficient frontier to attempt to maximize returns for a given level of risk. The index is comprised of three Sub-Indices.
The potential components of each Sub-Index consist of U.S.-listed exchange-traded funds (ETFs), representing U.S. and non-U.S.
equities, fixed income securities, commodities and real estate, and the Morgan Stanley Two Year Treasury Index. Each Sub-Index
is calculated on an excess return basis, and therefore the respective level of each Sub-Index is determined by the weighted return
of the optimized portfolio of index components for such Sub-Index reduced by the return on an equivalent cash investment
receiving the Federal Funds rate.

Re pa ym e nt of Princ ipa l
The notes offer investors 150% 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 M orga n The Morgan Stanley ETF-MAP 2 Index attempts to maximize returns for a given level of risk. ETF-
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St a nle y ET F -M AP 2
MAP 2 stands for "Exchange Traded Fund Multi-Asset Portfolio." The underlying index is
I nde x
comprised of three Sub-Indices. The potential components of each Sub-Index consist of U.S.-listed
exchange-traded funds (ETFs), representing U.S. and non-U.S. equities, fixed income securities,
commodities and real estate, and the Morgan Stanley Two Year Treasury Index.

The underlying index increases in value, and, at maturity, the notes pay the stated principal amount
of $10 plus 150% of the appreciation of the underlying index. There is no limitation on the
U pside Sc e na rio
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 $10.
June 2019
Page 4
Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 I nde x
Hypothetical Payout on the Notes

At maturity, for each $10 stated principal amount of notes that you hold, you will receive the stated principal amount of $10 plus a
supplemental redemption amount, if any. The supplemental redemption amount will be calculated on the determination date as
follows:

(i) $10 times (ii) the index percent change times (iii) the participation rate of 150%.

The payment due at maturity will not be less than $10 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 1,000. 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
c ha nge
va lue
a m ount
re de m pt ion a m ount
m a t urit y
not e
50%
1,500
$10
$7.50
$17.50
75.00%
40%
1,400
$10
$6.00
$16.00
60.00%
30%
1,300
$10
$4.50
$14.50
45.00%
20%
1,200
$10
$3.00
$13.00
30.00%
10%
1,100
$10
$1.50
$11.50
15.00%
0%
1,000
$10
$0
$10
0.00%
10%
900
$10
$0
$10
0.00%
20%
800
$10
$0
$10
0.00%
30%
700
$10
$0
$10
0.00%
40%
600
$10
$0
$10
0.00%
50%
500
$10
$0
$10
0.00%
60%
400
$10
$0
$10
0.00%
70%
300
$10
$0
$10
0.00%
June 2019
Page 5
Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 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
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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 $10 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. 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
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 by the determination date, the payment at maturity will be less,
and may be significantly less, than it would

June 2019
Page 6
Morgan Stanley Finance LLC
Market-Linked Notes due July 6, 2023
Ba se d on t he V a lue of t he M orga n St a nle y ET F -M AP 2 I nde x
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 .

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 was in line with the Volatility Target, the underlying index may
decrease over time, which may result in a zero return on the notes.
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The level of the underlying index can go down as well as up. Please see "Hypothetical Retrospective and Historical
Information" below.

Each Sub-Index of the underlying index's portfolio of Index Components is varied and represents a number of different
asset classes in a number of different sectors. Investors should be experienced with respect to, and be able to evaluate
and understand the risks of (either alone or with the investor's investment, legal, tax, accounting and other advisors),
investments the values of which are derived from different asset classes and sectors.

Each Sub-Index of the underlying index at any time may be composed of a very limited number of ETFs. The components
of each Sub-Index's Asset Portfolio are varied and will be selected from the index Components according to the index
methodology. Therefore, at any time, the Sub-Indices of the index may be composed of a very limited number of ETFs,
and investors could be exposed to the risks associated with a concentrated investment in that limited number of ETFs. In
addition, if the trading of one or more of such ETFs is disrupted, it is likely that the calculation agent will determine that a
market disruption event with respect to the notes has occurred and thus postpone the determination date or, if such market
disruption event is continuing, determine the level of the underlying index at its discretion. Investors' interests may be
adversely affected by such determination.

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 the underlying index publisher's control. The nature and weighting of the
Index Components can vary significantly, and no assurance can be given as to the underlying index's allocations of the
Sub-Indices to any Index Component at any time.

While each Sub-Index, and therefore, the underlying index, has a Volatility Target of 5%, there can be no guarantee, even
if each Sub-Index's allocation to its respective Asset Portfolio is adjusted as frequently as is permitted (i.e., 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 generally been between 4% and 6%.

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 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
bullish markets, if the Realized Volatility is higher than the Volatility Target, the adjustments to the respective Asset
Portfolios of the Sub-Indices through Monthly Rebalancing or Daily Allocation might dampen the performance of the
underlying index.

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 Index Components and the dividends
paid on the Index Components 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 underlying index was established on June 16, 2014 and therefore has a very limited history. As such, performance for
periods prior to the establishment of the underlying index has been

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retrospectively simulated by the underlying index publisher 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 period for which the underlying index publisher calculates hypothetical
retrospective values. For any period during which data for the Morgan Stanley Two Year Treasury Index or one or more
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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. I nve st ors should be a w a re t ha t no a c t ua l inve st m e nt w hic h a llow e d a t ra c k ing of
t he pe rform a nc e of t he unde rlying inde x w a s possible a t a ny t im e prior t o J une 1 6 , 2 0 1 4 . Suc h da t a
m ust be c onside re d illust ra t ive 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.

As the underlying index is new and has very limited actual historical performance, any investment in the underlying index
may involve greater risk than an investment in an index with longer actual historical performance and a proven track
record.

The underlying index is calculated on an excess return basis. The level of the underlying index tracks the average daily
return of the Sub-Indices. The level of each Sub-Index is calculated as the excess of the weighted return of the Asset
Portfolio for such Sub-Index over an equivalent cash investment receiving the Federal Funds rate. As a result, the level of
each Sub-Index, and therefore the level of the index, reflects a deduction of the Federal Funds rate that would apply to
such a cash investment, and is less than the average return on the weighted Asset Portfolios of the Sub-Indices. Changes
in the Federal Funds rate will affect the value of the underlying index. In particular, an increase in the Federal Funds rate
will negatively affect the value of the underlying index.

The underlying index contains embedded costs. As described in more detail under "Underlying Index" below, the underlying
index contains an embedded servicing cost of 0.50% per annum. Such cost is deducted when calculating the level of the
index and will thus reduce the return of the index.

An inve st m e nt in t he not e s involve s risk s a ssoc ia t e d w it h e m e rging m a rk e t s e quit ie s a nd bonds,
c urre nc y e x c ha nge ra t e s a nd c om m odit ie s. ETFs representing foreign equities (including emerging markets equities)
can constitute up to 70% of the underlying index. The underlying index can also consist of certain ETFs representing emerging
markets bonds. Therefore, an investment in the notes involve risks associated with the securities markets in those foreign
markets and emerging markets countries, including but not limited to risks of volatility in those markets, governmental
intervention in those markets and cross-shareholdings in companies in certain countries. The prices of securities issued in
foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions,
including changes in government, economic and fiscal policies and currency exchange laws. In addition, because the price of
an ETF representing foreign securities is generally related to the U.S. dollar value of securities underlying the index tracked by
such ETF, an investment in the notes involve currency exchange rate risk with respect to each of the currencies in which such
securities trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors
including the supply of, and the demand for, those currencies, as well as relevant government policy, intervention or actions,
but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors
and speculative actions related to the relevant region.

In addition, potential underlying index components also include ETFs representing commodities and thus investors are exposed
to risks associated with commodities. Investments linked to the prices of commodities are subject to sharp fluctuations in the
prices of commodities over short periods of time for a variety of factors, including: changes in supply and demand relationships;
weather; climatic events; the occurrence of natural disasters; wars; political and civil upheavals; acts of terrorism; trade, fiscal,

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monetary, and exchange control programs; domestic and foreign political and economic events and policies; disease;
pestilence; technological developments; changes in interest rates; and trading activities in commodities and related contracts.
These factors may affect the prices of commodities and therefore of the underlying index and the notes, in varying and
potentially inconsistent ways.

The Morgan Stanley Tw o Year Treasury Index can produce negative returns, w hich may have an adverse
e ffe c t on t he le ve l of t he re spe c t ive Sub-I ndic e s, a nd c onse que nt ly, t he le ve l of t he inde x . The Index
methodology for the Morgan Stanley Two Year Treasury Index was developed based on historical data and conditions, and
there can be no assurances that the methodology can generate positive performance in the future. Therefore, the past
performance of the Morgan Stanley Two Year Treasury Index, whether actual or retrospectively calculated, is not a reliable
indication of future performance. Poor performance by the Morgan Stanley Two Year Treasury Index will have a negative effect
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on the performance of the respective Sub-Indices, and consequently on the performance of the index.

I f t he unde rlying inde x is disc ont inue d a nd no suc c e ssor inde x is a va ila ble , a t m a t urit y, M orga n St a nle y
w ill pa y a n a lt e rna t ive supple m e nt a l re de m pt ion a m ount , if a ny, in lie u of t he supple m e nt a l re de m pt ion
a m ount . If MS & Co., as the underlying index publisher, discontinues publication of the underlying index and, as the
calculation agent, determines in its sole discretion that no successor index is available, no supplemental redemption amount
will be paid on the notes. Instead, on the date of such determination, the calculation agent will determine, in good faith and in
a commercially reasonable manner, an alternative supplemental redemption amount, which will equal its estimate of the value,
if any, of the investors' forgone opportunity to receive any supplemental redemption amount, determined by reference to the
calculation agent's pricing models, inputs, assumptions about future market conditions including, without limitation, the volatility
of the ETF-MAP 2 Index and its components and current and expected interest rates. The alternative supplemental redemption
amount, if any, will be paid at maturity in addition to the stated principal amount of the notes. As a result, investors will have
no more exposure to the underlying index once the calculation agent determines that no successor index is available to replace
the discontinued underlying index, but will not receive the alternative supplemental redemption amount until the maturity date.
See "Additional Information About the Notes--Discontinuance of the underlying index" below.

M S & Co., w hic h is a subsidia ry of M orga n St a nle y a nd a n a ffilia t e of M SFL, is bot h t he c a lc ula t ion a ge nt
a nd t he unde rlying inde x publishe r, a nd w ill m a k e de t e rm ina t ions w it h re spe c t t o t he not e s a nd t he
unde rlying inde x . As calculation agent, MS & Co. has determined the initial index value, will determine the final index value
and will calculate the amount of cash you will receive at maturity. Determinations made by MS & Co. in its capacity as
calculation agent, including with respect to the occurrence or non-occurrence of market disruption events and the selection of a
successor index or calculation of the alternative supplemental redemption amount in the event of a discontinuance of the
underlying index or a market disruption event, may adversely affect the payout to you at maturity.

MS & Co. is also the underlying index publisher and retains the final discretion as to the manner in which the underlying index
is calculated and constructed. The underlying index publisher may change the methodology of the underlying index or
discontinue the publication of the underlying index without prior notice, and such changes or discontinuance may affect the
value of the underlying index. The underlying index publisher's calculations and determinations in relation to the underlying
index shall be binding in the absence of manifest error.

In performing its duties as the calculation agent of the notes and the underlying index publisher, MS & Co. may have interests
adverse to your interests, which may affect the value of the underlying index and the value of the notes.

T he ra t e w e a re w illing t o pa y for se c urit ie s of t his t ype , m a t urit y a nd issua nc e size is lik e ly t o be low e r
t ha n t he ra t e im plie d by our se c onda ry m a rk e t c re dit spre a ds a nd a dva nt a ge ous t o us. Bot h t he low e r
ra t e a nd t he inc lusion of c ost s a ssoc ia t e d w it h issuing, se lling, st ruc t uring a nd he dging t he not e 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 not e s, c a use t he e st im a t e d va lue of t he not e 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

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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 notes 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 notes in the original issue price and the lower rate we
are willing to pay as issuer make the economic terms of the notes less favorable to you than they otherwise would be.

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 6 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, and we expect that those higher values
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will also be reflected in your brokerage account statements.

T he e st im a t e d va lue of t he not e s is de t e rm ine d by re fe re nc e t o our pric ing a nd va lua t ion m ode ls, w hic h
m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry m a rk e t pric e . These
pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain
assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to
value these types of securities, our models may yield a higher estimated value of the notes than those generated by others,
including other dealers in the market, if they attempted to value the notes. 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
notes in the secondary market (if any exists) at any time. The value of your notes 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 notes will be influenced by many unpredictable factors" above.

Adjust m e nt s t o t he unde rlying inde x c ould a dve rse ly a ffe c t t he va lue of t he not e s. MS & Co., as the
underlying index publisher, can add, delete or substitute the Index Components, and can make other methodological changes
required by certain events relating to the Index Components. Any of these actions could adversely affect the value of the notes.
The underlying index publisher may also discontinue or suspend calculation or publication of the underlying index at any time.
In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is
comparable to the discontinued index. MS & Co., in its capacity as both the calculation agent for the notes and underlying
index publisher, could have an economic interest that is different than that of investors in the notes.

I nve st ing in t he not e s is not e quiva le nt t o inve st ing in t he unde rlying inde x . Investing in the notes is not
equivalent to investing in the underlying index or its component ETFs. Investors in the notes will not have voting rights or rights
to receive dividends or other distributions or any other right with respect to the component ETFs of the underlying index.

T he not e s w ill not be list e d on a ny se c urit ie s e x c ha nge a nd se c onda ry t ra ding m a y be lim it e d.
Ac c ordingly, you should be w illing t o hold your not e s for t he e nt ire 4 -ye a r t e rm of t he not e s. The notes will
not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. 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.
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 notes, 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 notes. Even if there is a secondary market, it may not provide

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enough liquidity to allow you to trade or sell the notes easily. Since other broker-dealers may not participate significantly in the
secondary market for the notes, the price at which you may be able to trade your notes 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 notes, it is likely that
there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to maturity.

H e dging a nd t ra ding a c t ivit y by our a ffilia t e s c ould pot e nt ia lly a dve rse ly a ffe c t t he va lue of t he not e s.
One or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related
to the notes (and to other instruments linked to the underlying index or its component ETFs), including trading in the
component ETFs of the underlying index, in options contracts on the component ETFs, or in other instruments related to the
underlying index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the notes, and
the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the determination date
approaches. Some of our affiliates also trade the component ETFs of the underlying index and other financial instruments
related to the underlying index 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 have increased the initial index value, and, therefore, could
have increased the value at or above which the underlying index must close on the determination date before an investor
receives a payment at maturity that exceeds the stated principal amount of the notes. Additionally, such hedging or trading
activities during the term of the notes, including on the determination date, could adversely affect the closing value of the
underlying index on the determination date, and, accordingly, the amount of cash an investor will receive at maturity.

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