Obbligazione Morgan Stanley Financial 0% ( US61770C1788 ) in USD

Emittente Morgan Stanley Financial
Prezzo di mercato 100 USD  ⇌ 
Paese  Stati Uniti
Codice isin  US61770C1788 ( in USD )
Tasso d'interesse 0%
Scadenza 30/09/2022 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61770C1788 in USD 0%, scaduta


Importo minimo 1 000 USD
Importo totale 3 328 000 USD
Cusip 61770C178
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Descrizione dettagliata 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 US61770C1788, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 30/09/2022

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61770C1788, was rated NR by Moody's credit rating agency.







424B2 1 dp113373_424b2-ps2525.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Trigger GEARS Securities due 2022

$3,327,900

$403.34

Pricing Supplement No. 2,525
Registration Statement Nos. 333-221595; 333-221595-01
Dated September 25, 2019
Filed Pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC $3,327,900 Trigger GEARS
Linked to the S&P 500® Index due September 30, 2022
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Principal at Risk Securities
I nve st m e nt De sc ript ion
These Trigger GEARS (the "Securities") are unsecured and unsubordinated debt securities issued by Morgan Stanley Finance LLC ("MSFL") and fully and unconditionally guaranteed by Morgan Stanley with returns
linked to the performance of the S&P 500® Index (the "Underlying"). If the Underlying Return is greater than zero, MSFL will pay the Principal Amount at maturity plus a return equal to the product of (i) the Principal
Amount multiplied by (ii) the Underlying Return multiplied by (iii) the Upside Gearing of 1.30. If the Underlying Return is less than or equal to zero, MSFL will either pay the full Principal Amount at maturity, or, if the
Final Level is less than the Downside Threshold, MSFL will pay significantly less than the full Principal Amount at maturity, if anything, resulting in a loss of principal that is proportionate to the negative Underlying
Return. The Securities are for investors who seek an equity index-based return and who are willing to risk a loss on their principal and forgo current income in exchange for the Upside Gearing feature and the
contingent repayment of principal, which applies only if the Final Level is not less than the Downside Threshold, each as applicable at maturity. I nve st ing in t he Se c urit ie s involve s signific a nt risk s. Y ou
w ill not re c e ive int e re st or divide nd pa ym e nt s during t he t e rm of t he Se c urit ie s. Y ou m a y lose a signific a nt port ion or a ll of your Princ ipa l Am ount . T he c ont inge nt re pa ym e nt of
princ ipa l a pplie s only if you hold t he Se c urit ie s t o m a t urit y.
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.



Fe a t ure s
T H K
E e
S y
E D
C a
U t
Re
I s
T I ES ARE SI GN I FI CAN T LY RI SK I ER T H AN CON V EN T I ON AL DEBT I N ST RU M EN T S. T H E T ERM S OF T H E SECU RI T I ES M AY N OT OBLI GAT E U S T O REPAY T H E FU LL
Enhanced Grow th Potential: If the Underlying Return is greater than zero, the Upside Gearing PRI Trade
N CI P Date
AL AM OU N T OF T H E SECU RI T I ES. T H ESeptember
SECU RI 25,
T I E 2019
S CAN H AV E DOWN SI DE M ARK ET RI SK SI M I LAR T O T H E U N DERLY I N G, WH I CH CAN RESU LT I N A LOSS OF A
feature will provide leveraged exposure to the positive performance of the Underlying, and MSFL
SI G Settlement
N I FI CAN Date
T PORT I ON OR ALL OF Y OU R I N V E September
ST M EN T 30,
AT 2019
M AT U RI T Y . T H I S M ARK ET RI SK I S I N ADDI T I ON T O T H E CREDI T RI SK I N H EREN T I N PU RCH ASI N G OU R DEBT
will pay the Principal Amount at maturity plus pay a return equal to the Underlying Return multiplied OB Final
LI GA Valuation
T I ON S. Date*
Y OU SH OU LD N OT PU RCH ASE September
T H E SEC 27,
U RI 2022
T I ES I F Y OU DO N OT U N DERST AN D OR ARE N OT COM FORT ABLE WI T H T H E SI GN I FI CAN T RI SK S I N V OLV ED I N
by the Upside Gearing. If the Underlying Return is less than zero, investors may be exposed to the I N V Maturity
EST I N Date*
G I N T H E SECU RI T I ES. T H E SECU RI T September
I ES WI LL 30,
N O 2022
T BE LI ST ED ON AN Y SECU RI T I ES EX CH AN GE.
negative Underlying Return at maturity.
Y O
U SH OU LD CAREFU LLY CON SI DER T H E RI SK S DESCRI BED U N DER ``K EY RI SK S'' BEGI N N I N G ON PAGE 5 OF T H I S PRI CI N G SU PPLEM EN T I N CON N ECT I ON WI T H Y OU R
Contingent Repayment of Principal at Maturity: If the Underlying Return is equal to or
PU *Subject
RCH AS to
E postponement
OF T H E SEC in
U R the
I T I event
ES. E of
V a
EN Market
T S RE Disruption
LAT I N G Event
T O A or
N Y for
O non
F T H-Index
OSE Business
RI SK S, Days.
OR O See
T H ER RI SK S AN D U N CERT AI N T I ES, COU LD ADV ERSELY AFFECT T H E M ARK ET V ALU E OF,
less than zero and the Final Level is not less than the Downside Threshold, MSFL will pay the
AN "Postponement
D T H E RET U of
RN Final
ON , Valuation
Y OU R S Date
ECU and
RI T I Maturity
ES.
Date" under "Additional Terms of the Securities."
Principal Amount at maturity. However, if the Final Level is less than the Downside Threshold,
Se c urit y Offe ring
MSFL will pay less than the full Principal Amount, if anything, resulting in a significant loss of
We are offering Trigger GEARS linked to the S&P 500® Index. The Securities are not subject to a
principal that is proportionate to the negative Underlying Return. The contingent repayment of
predetermined maximum gain and, accordingly, any return at maturity will be determined by the performance
principal applies only if you hold the Securities to maturity. Any payment on the Securities, including of the Underlying. The Securities are offered at a minimum investment of 100 Securities at the Price to Public
any repayment of principal, is subject to our creditworthiness.
listed below.
U nde rlying
I nit ia l Le ve l
U pside Ge a ring
Dow nside T hre shold
CU SI P
I SI N
2,238.65, which is approximately 75% of
S&P 500® Index
2,984.87
1.30
61770C178
US61770C1788
the Initial Level
Se e "Addit iona l I nform a t ion a bout M orga n St a nle y, M SFL a nd t he Se c urit ie s" on pa ge 2 . T he Se c urit ie s w ill ha ve t he t e rm s se t fort h in t he a c c om pa nying prospe c t us, prospe c t us
supple m e nt a nd inde x supple m e nt a nd t his pric ing supple m e nt .
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these Securities or passed upon the adequacy or accuracy of this pricing supplement or the
accompanying prospectus supplement, index supplement and prospectus. Any representation to the contrary is a criminal offense. The Securities are not deposits or savings accounts and are not insured by the
Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
Est im a t e d va lue on t he T ra de Da t e
$9.906 per Security. See "Additional Information about Morgan Stanley, MSFL and the Securities" on page 2.

Pric e t o Public
U nde rw rit ing Disc ount (1)
Proc e e ds t o U s(2)
Per Security
$10.00
$0
$10.00
Total
$3,327,900
$0
$3,327,900
(1) UBS Financial Services Inc. will act as placement agent at an issue price of $10 per Security. All sales of the Securities will be made to certain fee-based advisory accounts for which UBS Financial Services Inc.
is an investment advisor and will not receive a sales commission. For more information, please see "Supplemental Plan of Distribution; Conflicts of Interest" on page 22 of this pricing supplement.
(2) See "Use of Proceeds and Hedging" on page 21.
The agent for this offering, Morgan Stanley & Co. LLC, is our affiliate and a wholly owned subsidiary of Morgan Stanley. See "Supplemental Plan of Distribution; Conflicts of Interest" on page 22 of this pricing
supplement.
Morgan Stanley
UBS Financial Services Inc.




Addit iona l I nform a t ion a bout M orga n St a nle y, M SFL a nd t he Se c urit ie s
Morgan Stanley and MSFL have filed a registration statement (including a prospectus, as supplemented by a prospectus supplement and an index supplement) with the SEC for the offering to which this
communication relates. In connection with your investment, you should read the prospectus in that registration statement, the prospectus supplement, the index supplement and any other documents relating to this
offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering. You may get these documents for free by visiting EDGAR on the SEC
website at.www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer participating in this offering will arrange to send you the prospectus, the prospectus supplement and the index supplement
if you so request by calling toll-free 1-(800)-584-6837.

You may access the accompanying prospectus supplement, index supplement and prospectus on the SEC website at.www.sec.gov as follows:

Prospectus supplement dated November 16, 2017:
https://www.sec.gov/Archives/edgar/data/895421/000095010317011241/dp82788_424b2-seriesa.htm

Index supplement dated November 16, 2017:
https://www.sec.gov/Archives/edgar/data/895421/000095010317011283/dp82797_424b2-indexsupp.htm

Prospectus dated November 16, 2017:
https://www.sec.gov/Archives/edgar/data/895421/000095010317011237/dp82798_424b2-base.htm

References to "MSFL" refer only to MSFL, references to "Morgan Stanley" refer only to Morgan Stanley and references to "we," "our" and "us" refer to MSFL and Morgan Stanley collectively. In this document, the
"Securities" refers to the Trigger GEARS that are offered hereby. Also, references to the accompanying "prospectus", "prospectus supplement" and "index supplement" mean the prospectus filed by MSFL and Morgan
Stanley dated November 16, 2017, the prospectus supplement filed by MSFL and Morgan Stanley dated November 16, 2017 and the index supplement filed by MSFL and Morgan Stanley dated November 16, 2017,
respectively.

You should rely only on the information incorporated by reference or provided in this pricing supplement or the accompanying prospectus supplement, index supplement and prospectus. We have not authorized
anyone to provide you with different information. We are not making an offer of these securities in any state where the offer is not permitted. You should not assume that the information in this pricing supplement or
the accompanying prospectus supplement, index supplement and prospectus is accurate as of any date other than the date on the front of this document.

The Issue Price of each Security is $10. This price includes costs associated with issuing, selling, structuring and hedging the Securities, which are borne by you, and, consequently, the estimated value of the
Securities on the Trade Date is less than $10. We estimate that the value of each Security on the Trade Date is $9.906.

What goes into the estimated value on the Trade Date?

In valuing the Securities on the Trade Date, we take into account that the Securities comprise both a debt component and a performance-based component linked to the Underlying. The estimated value of the
Securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the Underlying, instruments based on the Underlying, 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.

https://www.sec.gov/Archives/edgar/data/895421/000095010319012901/dp113373_424b2-ps2525.htm[9/27/2019 12:25:09 PM]


What determines the economic terms of the Securities?

In determining the economic terms of the Securities, including the Upside Gearing and the Downside Threshold, 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 Securities would
be more favorable to you.

What is the relationship between the estimated value on the Trade Date and the secondary market price of the Securities?

The price at which MS & Co. purchases the Securities in the secondary market, absent changes in market conditions, including those related to the Underlying, may vary from, and be lower than, the estimated value
on the Trade 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 Securities are not fully deducted upon issuance, for a period of up to 6 months following the
Settlement Date, to the extent that MS & Co. may buy or sell the Securities in the secondary market, absent changes in market conditions, including those related to the Underlying, 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. currently intends, but is not obligated, to make a market in the Securities, and, if it once chooses to make a market, may cease doing so at any time.

2

I nve st or Suit a bilit y
T he Se c urit ie s m a y be suit a ble for you if:

T he Se c urit ie s m a y not be suit a ble for you if:


¨You fully understand the risks inherent in an investment in the Securities, including the risk of loss of
¨You do not fully understand the risks inherent in an investment in the Securities, including the risk of
your entire initial investment.
loss of your entire initial investment.


¨You can tolerate a loss of all or a substantial portion of your Principal Amount and are willing to make
¨You cannot tolerate a loss of all or a substantial portion of your Principal Amount, and you are not
an investment that may have the same downside market risk as the Underlying.
willing to make an investment that may have the same downside market risk as the Underlying.


¨You understand and accept the risks associated with the Underlying.
¨You require an investment designed to provide a full return of principal at maturity.


¨You are willing to hold the Securities to maturity, as set forth on the cover of this pricing supplement,
¨You do not understand and accept the risks associated with the Underlying.
and accept that there may be little or no secondary market for the Securities.


¨You are unable or unwilling to hold the Securities to maturity, as set forth on the cover of this pricing
¨You believe the Underlying will appreciate over the term of the Securities and you are willing to invest
supplement, or you seek an investment for which there will be an active secondary market.
in the Securities based on the Upside Gearing of 1.30.


¨You believe that the level of the Underlying will decline during the term of the Securities and is likely to
¨You can tolerate fluctuations of the price of the Securities prior to maturity that may be similar to or
close below the Downside Threshold on the Final Valuation Date.
exceed the downside fluctuations in the level of the Underlying.


¨You are unwilling to invest in the Securities based on the Upside Gearing of 1.30.
¨You do not seek current income from your investment and are willing to forgo dividends paid on the

stocks included in the Underlying.
¨You prefer the lower risk, and, therefore, accept the potentially lower returns, of conventional debt

securities with comparable maturities issued by us or another issuer with a similar credit rating.
¨You are willing to assume our credit risk, and understand that if we default on our obligations you may

not receive any amounts due to you including any repayment of principal.
¨You seek current income from your investment or prefer to receive the dividends paid on the stocks

included in the Underlying.

¨You are not willing or are unable to assume the credit risk associated with us for any payment on the
Securities, including any repayment of principal.

T he inve st or suit a bilit y c onside ra t ions ide nt ifie d a bove a re not e x ha ust ive . Whe t he r or not t he Se c urit ie s a re a suit a ble inve st m e nt for you w ill de pe nd on your individua l
c irc um st a nc e s, a nd you should re a c h a n inve st m e nt de c ision only a ft e r you a nd your inve st m e nt , le ga l, t a x , a c c ount ing a nd ot he r a dvisors ha ve c a re fully c onside re d t he
suit a bilit y of a n inve st m e nt in t he Se c urit ie s in light of your pa rt ic ula r c irc um st a nc e s. Y ou should a lso re vie w "K e y Risk s" on pa ge 5 of t his pric ing supple m e nt a nd "Risk
Fa c t ors" be ginning on pa ge 7 of t he a c c om pa nying prospe c t us for risk s re la t e d t o a n inve st m e nt in t he Se c urit ie s. For a ddit iona l inform a t ion a bout t he U nde rlying, se e t he
inform a t ion se t fort h unde r "T he S& P 5 0 0 ® I nde x " on pa ge 1 5 .

3



Fina l T e rm s
I nve st m e nt T im e line


Issuer
Morgan Stanley Finance LLC
The Closing Level of the Underlying (Initial Level) is
observed, the Downside Threshold is determined
Guarantor
Morgan Stanley
and the Upside Gearing is set.
Issue Price (per Security)
$10.00 per Security
Principal Amount
$10.00 per Security
Term
3 years
Underlying
S&P 500® Index
The Final Level and Underlying Return are
Downside Threshold
2,238.65, which is approximately 75% of the Initial Level
determined on the Final Valuation Date.

Upside Gearing
1.30
Payment at Maturity (per Security)
I f t he U nde rlying Re t urn is gre a t e r t ha n ze ro , MSFL will pay you an amount
I f t he U nde rlying Re t urn is gre a t e r t ha n
calculated as follows:
ze ro , MSFL will pay you a cash payment per

Security equal to:
$10 + [$10 × (Underlying Return × Upside Gearing)]


$10 + [$10 × (Underlying Return × Upside Gearing)]
I f t he U nde rlying Re t urn is le ss t ha n or e qua l t o ze ro a nd t he Fina l Le ve l is

gre a t e r t ha n or e qua l t o t he Dow nside T hre shold, MSFL will pay you a cash
I f t he U nde rlying Re t urn is le ss t ha n or
payment of:
e qua l t o ze ro a nd t he Fina l Le ve l is gre a t e r

t ha n or e qua l t o t he Dow nside T hre shold
$10 per Security
on t he Fina l V a lua t ion Da t e , MSFL will pay

you a cash payment of $10 per $10 Security.
I f t he Fina l Le ve l is le ss t ha n t he Dow nside T hre shold, MSFL will pay you an

amount calculated as follows:
I f t he Fina l Le ve l is le ss t ha n t he Dow nside

T hre shold on t he Fina l V a lua t ion Da t e ,
$10 + ($10 × Underlying Return)
MSFL will pay you a cash payment at maturity equal

to:
I n t his c a se , you c ould lose up t o a ll of your Princ ipa l Am ount in a n a m ount

proport iona t e t o t he ne ga t ive U nde rlying Re t urn.
$10 + ($10 × Underlying Return)
Underlying Return
Final Level ­ Initial Level


Initial Level
U nde r t he se c irc um st a nc e s, you w ill lose a
signific a nt port ion, a nd c ould lose a ll, of
Initial Level
2,984.87, which is the Closing Level of the Underlying on the Trade Date.
your Princ ipa l Am ount .
Final Level
The Closing Level of the Underlying on the Final Valuation Date.


Trade Date
September 25, 2019

https://www.sec.gov/Archives/edgar/data/895421/000095010319012901/dp113373_424b2-ps2525.htm[9/27/2019 12:25:09 PM]



Settlement Date
September 30, 2019

Final Valuation Date
September 27, 2022*


Maturity Date
September 30, 2022*


CUSIP / ISIN
61770C178 / US61770C1788

Calculation Agent
Morgan Stanley & Co. LLC




*Subject to postponement in the event of a Market Disruption Event or for non-Trading Days. See "Postponement of Final Valuation Date

and Maturity Date" under "Additional Terms of the Securities."
I N V EST I N G I N T H E SECU RI T I ES I N V OLV ES SI GN I FI CAN T
RI SK S. Y OU M AY LOSE Y OU R EN T I RE PRI N CI PAL AM OU N T . AN Y PAY M EN T ON T H E SECU RI T I ES I S SU BJ ECT T O OU R CREDI T WORT H I N ESS. I F WE WERE T O DEFAU LT ON OU R
PAY M EN T OBLI GAT I ON S, Y OU M AY N OT RECEI V E AN Y AM OU N T S OWED T O Y OU U N DER T H E SECU RI T I ES AN D Y OU COU LD LOSE Y OU R EN T I RE I N V EST M EN T .

4


K e y Risk s
An investment in the Securities involves significant risks. Some of the risks that apply to the Securities are summarized here, but we urge you to also read the "Risk Factors" section of the accompanying prospectus.
You should also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the Securities.

¨
T he Se c urit ie s do not gua ra nt e e a ny re t urn of princ ipa l ­ The terms of the Securities differ from those of ordinary debt securities in that MSFL is not necessarily obligated to repay any of the Principal
Amount at maturity. If the Final Level is less than the Downside Threshold (which is 75% of the Initial Level), you will be exposed to the full negative Underlying Return and the payout owed at maturity by MSFL
will be an amount in cash that is at least 25% less than the $10 Principal Amount of each Security, resulting in a loss proportionate to the decrease in the value of the Underlying from the Initial Level to the
Final Level. There is no minimum payment at maturity on the Securities, and, accordingly, you could lose all of your Principal Amount in the Securities.

¨
Y ou m a y inc ur a loss on your inve st m e nt if you se ll your Se c urit ie s prior t o m a t urit y ­ The Downside Threshold is observed on the Final Valuation Date, and the contingent repayment of
principal applies only at maturity. If you are able to sell your Securities in the secondary market prior to maturity, you may have to sell them at a loss relative to your initial investment even if the Closing Level of
the Underlying is above the Downside Threshold at that time.

¨
T he U pside Ge a ring a pplie s only if you hold t he Se c urit ie s t o m a t urit y ­ You should be willing to hold your Securities to maturity. If you are able to sell your Securities prior to maturity in the
secondary market, the price you receive will likely not reflect the full economic value of the Upside Gearing or the Securities themselves, and the return you realize may be less than the Underlying's return even
if such return is positive. You can receive the full benefit of the Upside Gearing from MSFL only if you hold your Securities to maturity.

¨
T he Se c urit ie 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 our 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
Se c urit ie s ­ You are dependent on our ability to pay all amounts due on the Securities at maturity, if any, and therefore you are subject to our credit risk. If we default on our obligations under the Securities,
your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Securities 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 our credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the
Securities.

¨
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 Se c urit ie s do not pa y int e re st ­ MSFL will not pay any interest with respect to the Securities over the term of the Securities.

¨
T he m a rk e t pric e of t he Se c urit ie s m a y be influe nc e d by m a ny unpre dic t a ble fa c t ors ­ Several factors, many of which are beyond our control, will influence the value of the Securities in the
secondary market and the price at which MS & Co. may be willing to purchase or sell the Securities in the secondary market (if at all), including:

o
the value of the Underlying at any time,

o
the volatility (frequency and magnitude of changes in value) of the Underlying,

o
dividend rates on the securities included in the Underlying,

o
interest and yield rates in the market,

o
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying or stock markets generally and which may affect the Final Level,

o
the time remaining until the Securities mature, and

o
any actual or anticipated changes in our credit ratings or credit spreads.

Some or all of these factors will influence the terms of the Securities at the time of issuance and the price that you will receive if you are able to sell your Securities prior to maturity, as the Securities are
comprised of both a debt component and a performance-based component linked to the Underlying, and these are the types of factors that also generally affect the values of debt securities and derivatives linked
to the Underlying. For example, you may have to sell your Securities at a substantial discount from the principal amount of $10 per Security if the value of the Underlying at the time of sale is at or below or
moderately above its Initial Level, and especially if it is near or below the Downside Threshold, or if market interest rates rise. You cannot predict the future performance of the Underlying based on its historical
performance.

5

The probability that the Final Level w ill be less than the Dow nside Threshold w ill depend on the volatility of the Underlying -- "Volatility" refers to the frequency and magnitude of
changes in the level of the Underlying. Higher expected volatility with respect to the Underlying as of the Trade Date generally indicates a greater chance as of that date that the Final Level will be less than the
Downside Threshold, which would result in a loss of a significant portion or all of your investment at maturity. However, the Underlying's volatility can change significantly over the term of the Securities. The
level of the Underlying could fall sharply, resulting in a significant loss of principal. You should be willing to accept the downside market risk of the Underlying and the potential loss of a significant portion or all of
your investment at maturity.

¨
T he a m ount pa ya ble on t he Se c urit ie s is not link e d t o t he le ve l of t he U nde rlying a t a ny t im e ot he r t ha n t he Fina l V a lua t ion Da t e ­ The Final Level will be based on the Closing Level
of the Underlying on the Final Valuation Date, subject to postponement for non-Index Business Days and certain Market Disruption Events. Even if the level of the Underlying appreciates prior to the Final
Valuation Date but then drops by the Final Valuation Date, the Payment at Maturity may be significantly less than it would have been had the Payment at Maturity been linked to the level of the Underlying prior
to such drop. Although the actual level of the Underlying on the stated Maturity Date or at other times during the term of the Securities may be higher than the Final Level, the Payment at Maturity will be based
solely on the Closing Level of the Underlying on the Final Valuation Date as compared to the Initial Level.

¨
I nve st ing in t he Se c urit ie s is not e quiva le nt t o inve st ing in t he U nde rlying or t he st oc k s c om posing t he U nde rlying ­ Investing in the Securities is not equivalent to investing in the
Underlying or the stocks that constitute the Underlying. Investors in the Securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the stocks that
constitute the Underlying. Additionally, the Underlying is not a "total return" index, which, in addition to reflecting the market prices of the stocks that constitute the Underlying, would also reflect dividends paid on
such stocks. The return on the Securities will not include such a total return feature.

¨
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 Se c urit ie s in t he I ssue Pric e re duc e t he
e c onom ic t e rm s of t he Se c urit ie s, c a use t he e st im a t e d va lue of t he Se c urit ie s t o be le ss t ha n t he I ssue 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 Securities in secondary market transactions will likely be
significantly lower than the Issue Price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the 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 Securities in the Issue Price and the lower rate we are willing to pay as issuer make the economic terms of the Securities less favorable
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to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the Securities are not fully deducted upon issuance, for a period of up to 6 months following the Settlement Date, to the
extent that MS & Co. may buy or sell the Securities in the secondary market, absent changes in market conditions, including those related to the Underlying, 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.

¨
T he e st im a t e d va lue of t he Se c urit ie 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 Securities than those generated by others,
including other dealers in the market, if they attempted to value the Securities. In addition, the estimated value on the Trade Date does not represent a minimum or maximum price at which dealers, including MS
& Co., would be willing to purchase your Securities in the secondary market (if any exists) at any time. The value of your Securities at any time after the date of this pricing supplement will vary based on many
factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also "The market price of the Securities may be influenced by many unpredictable factors"
above.

¨
Adjust m e nt s t o t he U nde rlying c ould a dve rse ly a ffe c t t he va lue of t he Se c urit ie s ­ The Underlying Publisher of the Underlying is responsible for calculating and maintaining the Underlying. The
Underlying Publisher may add, delete or substitute the stocks constituting the Underlying or make other methodological changes required by certain corporate events relating to the stocks constituting the
Underlying, such as stock dividends, stock splits, spin-offs, rights offerings and extraordinary dividends, that could change the value of the Underlying. The Underlying Publisher may discontinue or suspend
calculation or publication of the Underlying at any time. In these circumstances, the Calculation Agent will have the sole discretion to substitute a Successor Underlying that is comparable to the discontinued
Underlying, and is permitted to consider indices that are calculated and published by the Calculation Agent or any of its affiliates. Any of these actions could adversely affect the value of the Underlying and,
consequently, the value of the Securities.

6

¨
T he Se c urit ie 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 ­ The Securities will not be listed on any securities exchange. Therefore, there may be
little or no secondary market for the Securities. MS & Co. currently intends, but is not obligated, to make a market in the Securities 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 Securities, 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
Securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Securities easily. Since other broker-dealers may not participate significantly in the secondary
market for the Securities, the price at which you may be able to trade your Securities 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 Securities, it is likely that there would be no secondary market for the Securities. Accordingly, you should be willing to hold your Securities 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 Se c urit ie 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 Securities, including trading in the constituent stocks of the Underlying, in futures or options contracts on the Underlying or the constituent stocks of the
Underlying, as well as in other instruments related to the Underlying. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may
involve greater and more frequent dynamic adjustments to the hedge as the Final Valuation Date approaches. MS & Co. and some of our other affiliates also trade the constituent stocks of the Underlying, in
futures or options contracts on the constituent stocks of the Underlying, as well as in other instruments related to the Underlying, 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 Trade Date could have increased the Initial Level of the Underlying, and, therefore, could have increased the Downside Threshold, which is the level at
or above which the Underlying must close on the Final Valuation Date so that investors do not suffer a significant loss on their initial investment in the Securities. Additionally, such hedging or trading activities
during the term of the Securities, including on the Final Valuation Date, could adversely affect the Closing Level of the Underlying on the Final Valuation Date, and, accordingly, the amount of cash payable at
maturity, if any.

¨
Pot e nt ia l c onflic t of int e re st ­ As Calculation Agent, MS & Co. has determined the Initial Level, the Downside Threshold and the Upside Gearing, will determine the Final Level and whether any Market
Disruption Event has occurred and will calculate the amount payable at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as Calculation Agent, may require it to exercise
discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of Market Disruption Events and the selection of a Successor Underlying or calculation of the Final Level in
the event of a discontinuance of the Underlying or a Market Disruption Event. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information
regarding these types of determinations, see "Additional Terms of the Securities--Postponement of Final Valuation Date and Maturity Date," "--Discontinuance of the Underlying; Alteration of Method of
Calculation" and "--Calculation Agent and Calculations" below. In addition, MS & Co. has determined the estimated value of the Securities on the Trade Date.

¨
Pot e nt ia lly inc onsist e nt re se a rc h, opinions or re c om m e nda t ions by M orga n St a nle y, U BS or our or t he ir re spe c t ive a ffilia t e s ­ Morgan Stanley, UBS and our or their respective affiliates
may publish research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions or provide recommendations that are inconsistent with purchasing
or holding the Securities. Any research, opinions or recommendations expressed by Morgan Stanley, UBS or our or their respective affiliates may not be consistent with each other and may be modified from time
to time without notice. Investors should make their own independent investigation of the merits of investing in the Securities and the Underlying to which the Securities are linked.

¨
U nc e rt a in t a x t re a t m e nt ­ Please note that the discussions in this pricing supplement concerning the U.S. federal income tax consequences of an investment in the Securities supersede the discussions
contained in the accompanying prospectus supplement.

Subject to the discussion under "What Are the Tax Consequences of the Securities" in this pricing supplement, although there is uncertainty regarding the U.S. federal income tax consequences of an investment
in the Securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP ("our counsel"), under current law, and based on current market conditions, each Security should
be treated as a single financial contract that is an "open transaction" for U.S. federal income tax purposes.

If the Internal Revenue Service (the "IRS") were successful in asserting an alternative treatment for the Securities, the timing and character of income on the Securities might differ significantly from the tax
treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the Securities as debt instruments. In that event, U.S. Holders (as defined below) would be required
to accrue into income original issue discount on the Securities every year at a "comparable yield" determined at the time of issuance and recognize all income and gain in respect of the Securities as ordinary
income. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than the risk of
recharacterization for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Securities, and the IRS or a court may
not agree with the tax treatment described in this pricing supplement.

7

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in
particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss
with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of
the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by Non-U.S. Holders (as defined below) should be subject to
withholding tax; and whether these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues
could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive effect.

Bot h U .S. a nd N on -U .S. H olde rs should re a d c a re fully t he disc ussion unde r "Wha t Are t he T a x Conse que nc e s of t he Se c urit ie s" in t his pric ing supple m e nt a nd c onsult t he ir
t a x a dvise rs re ga rding a ll a spe c t s of t he U .S. fe de ra l t a x c onse que nc e s of a n inve st m e nt in t he Se c urit ie s a s w e ll a s a ny t a x c onse que nc e s a rising unde r t he la w s of a ny
st a t e , loc a l or non -U .S. t a x ing jurisdic t ion.

8

Sc e na rio Ana lysis a nd Ex a m ple s a t M a t urit y

T he se e x a m ple s a re ba se d on hypot he t ic a l t e rm s. T he a c t ua l t e rm s a re se t fort h on t he c ove r of t his pric ing supple m e nt .

The below scenario analysis and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible scenario concerning increases or decreases in
the level of the Underlying relative to the Initial Level. We cannot predict the Final Level on the Final Valuation Date. You should not take the scenario analysis and these examples as an indication or assurance of
the expected performance of the Underlying. The numbers appearing in the examples below have been rounded for ease of analysis. The following scenario analysis and examples illustrate the payment at maturity
for a $10.00 security on a hypothetical offering of the Securities and reflect the Upside Gearing of 1.30 and the following terms*:

Investment term:
3 years
Hypothetical Initial Level:
2,000
Hypothetical Downside Threshold:
1,500 (75% of the hypothetical Initial Level)
Upside Gearing:
1.30

* The actual Initial Level and Downside Threshold are specified on the cover of this pricing supplement.
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Ex a m ple 1 -- T he le ve l of t he U nde rlying increases from a n I nit ia l Le ve l of 2 ,0 0 0 t o a Fina l Le ve l of 2 ,2 0 0 . The Underlying Return is greater than zero and expressed as a formula:

Underlying Return = (2,200 - 2,000) / 2,000 = 10.00%

Payment at Maturity = $10 + [$10 × (10.00% × 1.30)] = $11.30

Because the Underlying Return is equal to 10.00%, the Payment at Maturity is equal to $11.30 per $10.00 Principal Amount of Securities, resulting in a total return on the Securities of 13.00%.

Ex a m ple 2 -- T he Fina l Le ve l is e qua l t o t he I nit ia l Le ve l of 2 ,0 0 0 . The Underlying Return is zero and expressed as a formula:

Underlying Return = (2,000 ­ 2,000) / 2,000 = 0.00%

Payment at Maturity = $10.00

Because the Underlying Return is zero, the Payment at Maturity per Security is equal to the original $10.00 Principal Amount per Security, resulting in a zero percent return on the Securities.

Ex a m ple 3 -- T he le ve l of t he U nde rlying decreases from a n I nit ia l Le ve l of 2 ,0 0 0 t o a Fina l Le ve l of 1 ,8 0 0 . The Underlying Return is negative and expressed as a formula:

Underlying Return = (1,800 - 2,000) / 2,000 = -10.00%

Payment at Maturity = $10.00

Because the Underlying Return is less than zero, but the Final Level is greater than or equal to the Downside Threshold on the Final Valuation Date, MSFL will pay you a Payment at Maturity equal to $10.00 per
$10.00 Principal Amount of Securities, resulting in a zero percent return on the Securities.

Ex a m ple 4 -- T he le ve l of t he U nde rlying decreases from a n I nit ia l Le ve l of 2 ,0 0 0 t o a Fina l Le ve l of 6 0 0 . The Underlying Return is negative and expressed as a formula:

Underlying Return = (600 - 2,000) / 2,000 = -70.00%

Payment at Maturity = $10 + ($10 × -70.00%) = $3.00

Because the Underlying Return is less than zero and the Final Level is below the Downside Threshold on the Final Valuation Date, the Securities will be fully exposed to any decline in the level of the Underlying on
the Final Valuation Date. Therefore, the Payment at Maturity is equal to $3.00 per $10.00 Principal Amount of Securities, resulting in a total loss on the Securities of 70.00%.

If the Final Level is below the Downside Threshold on the Final Valuation Date, the Securities will be fully exposed to any decline in the Underlying, and you will lose a significant portion or all of your
Principal Amount at maturity.

9

Scenario Analysis ­ Hypothetical Payment at Maturity for each $10.00 Principal Amount of Securities.

Performance of the Underlying*
Performance of the Securities
Final Level
Underlying Return
Upside Gearing
Payment at Maturity
Return on Securities Purchased at $10.00(1)
4,000.00
100.00%
1.30
$23.00
130.00%

3,800.00
90.00%
1.30
$21.70
117.00%

3,600.00
80.00%
1.30
$20.40
104.00%

3,400.00
70.00%
1.30
$19.10
91.00%

3,200.00
60.00%
1.30
$17.80
78.00%

3,000.00
50.00%
1.30
$16.50
65.00%

2,800.00
40.00%
1.30
$15.20
52.00%

2,600.00
30.00%
1.30
$13.90
39.00%

2,400.00
20.00%
1.30
$12.60
26.00%

2,200.00
10.00%
1.30
$11.30
13.00%

2 ,0 0 0 .0 0
0 .0 0 %
N /A
$ 1 0 .0 0
0 .0 0 %

1,800.00
-10.00%
N/A
$10.00
0.00%

1,600.00
-20.00%
N/A
$10.00
0.00%

1 ,5 0 0 .0 0
-2 5 .0 0 %
N /A
$ 1 0 .0 0
0 .0 0 %

1,480.00
-26.00%
N/A
$7.40
-26.00%

1,400.00
-30.00%
N/A
$7.00
-30.00%

1,200.00
-40.00%
N/A
$6.00
-40.00%

1,000.00
-50.00%
N/A
$5.00
-50.00%

800.00
-60.00%
N/A
$4.00
-60.00%

600.00
-70.00%
N/A
$3.00
-70.00%

400.00
-80.00%
N/A
$2.00
-80.00%

200.00
-90.00%
N/A
$1.00
-90.00%

0.00
-100.00%
N/A
$0.00
-100.00%


*. The Underlying excludes cash dividend payments on stocks included in the Underlying.

(1) This "Return on Securities" is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $10 Principal Amount Security to the purchase price of $10 per Security.

10

Wha t a re t he t a x c onse que nc e s of t he Se c urit ie s ?
Prospe c t ive inve st ors should not e t ha t t he disc ussion unde r t he se c t ion c a lle d "U nit e d St a t e s Fe de ra l T a x a t ion" in t he a c c om pa nying prospe c t us supple m e nt doe s not a pply t o
t he Se c urit ie s issue d unde r t his pric ing supple m e nt a nd is supe rse de d by t he follow ing disc ussion.

The following summary is a general discussion of the principal U.S. federal income tax consequences and certain estate tax consequences of the ownership and disposition of the Securities. This discussion applies
only to investors in the Securities who:

purchase the Securities in the original offering; and
hold the Securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the "Code").

This discussion does not describe all of the tax consequences that may be relevant to a holder in light of the holder's particular circumstances or to holders subject to special rules, such as:

certain financial institutions;
insurance companies;
certain dealers and traders in securities or commodities;
investors holding the Securities as part of a "straddle," wash sale, conversion transaction, integrated transaction or constructive sale transaction;
U.S. Holders (as defined below) whose functional currency is not the U.S. dollar;
partnerships or other entities classified as partnerships for U.S. federal income tax purposes;
regulated investment companies;
real estate investment trusts; or
tax-exempt entities, including "individual retirement accounts" or "Roth IRAs" as defined in Section 408 or 408A of the Code, respectively.

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If an entity that is classified as a partnership for U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend on the status of the partner and the
activities of the partnership. If you are a partnership holding the Securities or a partner in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and
disposing of the Securities to you.

In addition, we will not attempt to ascertain whether any issuer of any shares to which a Security relates (such shares hereafter referred to as "Underlying Shares") is treated as a "passive foreign investment
company" ("PFIC") within the meaning of Section 1297 of the Code or as a "U.S. real property holding corporation" ("USRPHC") within the meaning of Section 897 of the Code. If any issuer of Underlying Shares were
so treated, certain adverse U.S. federal income tax consequences might apply, to a U.S. Holder in the case of a PFIC and to a Non-U.S. Holder (as defined below) in the case of a USRPHC, upon the sale,
exchange or settlement of the Securities. You should refer to information filed with the Securities and Exchange Commission or other governmental authorities by the issuers of the Underlying Shares and consult
your tax adviser regarding the possible consequences to you if any issuer is or becomes a PFIC or USRPHC.

As the law applicable to the U.S. federal income taxation of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general summary. Moreover, the effect of
any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum tax consequences or consequences resulting from the Medicare tax on investment income.

This discussion is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date of this pricing supplement, changes to any of which
subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase of the Securities should consult their tax advisers with regard to the application of the U.S. federal
income tax laws to their particular situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Ge ne ra l

Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, under current law, and based
on current market conditions, each Security should be treated as a single financial contract that is an "open transaction" for U.S. federal income tax purposes.

Due t o t he a bse nc e of st a t ut ory, judic ia l or a dm inist ra t ive a ut horit ie s t ha t dire c t ly a ddre ss t he t re a t m e nt of t he Se c urit ie s or inst rum e nt s t ha t a re sim ila r t o t he Se c urit ie s for
U .S. fe de ra l inc om e t a x purpose s, no a ssura nc e c a n be give n t ha t t he I nt e rna l Re ve nue Se rvic e (t he "I RS") or a c ourt w ill a gre e w it h t he t a x t re a t m e nt de sc ribe d he re in.
Ac c ordingly, you should c onsult your t a x a dvise r re ga rding a ll a spe c t s of t he U .S. fe de ra l t a x c onse que nc e s of a n inve st m e nt in t he Se c urit ie s (inc luding possible a lt e rna t ive
t re a t m e nt s of t he Se c urit ie s). U nle ss ot he rw ise st a t e d, t he follow ing disc ussion is ba se d on t he t re a t m e nt of t he Se c urit ie s a s de sc ribe d in t he pre vious pa ra gra ph.

11

T a x Conse que nc e s t o U .S. H olde rs

This section applies to you only if you are a U.S. Holder. As used herein, the term "U.S. Holder" means a beneficial owner of a Security that is, for U.S. federal income tax purposes:

a citizen or individual resident of the United States;
a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof or the District of Columbia; or
an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.

Tax Treatment of the Securities

Assuming the treatment of the Securities as set forth above is respected, the following U.S. federal income tax consequences should result.

Tax Treatment Prior to Settlement. A U.S. Holder should not be required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant to a sale or exchange as described
below.

Tax Basis. A U.S. Holder's tax basis in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.

Sale, Exchange or Settlement of the Securities. Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized on the
sale, exchange or settlement and the U.S. Holder's tax basis in the Securities sold, exchanged or settled. Subject to the discussion above regarding the possible application of Section 1297 of the Code, any gain or
loss recognized upon the sale, exchange or settlement of the Securities should be long-term capital gain or loss if the U.S. Holder has held the Securities for more than one year at such time, and short-term capital
gain or loss otherwise.

Possible Alternative Tax Treatments of an Investment in the Securities

Due to the absence of authorities that directly address the proper tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment described above. In
particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities under Treasury regulations governing contingent payment debt instruments (the "Contingent Debt
Regulations"). If the IRS were successful in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income thereon would be significantly affected. Among other things, a
U.S. Holder would be required to accrue into income original issue discount on the Securities every year at a "comparable yield" determined at the time of their issuance, adjusted upward or downward to reflect the
difference, if any, between the actual and the projected amount of the contingent payment on the Securities. Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition
of the Securities would generally be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder's prior accruals of original issue discount and as capital loss
thereafter. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization
for comparable financial instruments that do not have such features.

Other alternative federal income tax treatments of the Securities are also possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the Securities. In 2007, the
U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on
whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to
these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying
property to which the instruments are linked; and whether these instruments are or should be subject to the "constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital
gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after
consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive effect. U.S. Holders should consult their tax advisers regarding the
U.S. federal income tax consequences of an investment in the Securities, including possible alternative treatments and the issues presented by this notice.

Backup Withholding and Information Reporting

Backup withholding may apply in respect of the payment on the Securities at maturity and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S. Holder provides proof of
an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements of the backup withholding rules. The amounts withheld under the backup withholding rules are
not an additional tax and may be refunded, or credited against the U.S. Holder's U.S. federal income tax liability, provided that the required information is timely furnished to the IRS. In addition, information returns
may be filed with the IRS in connection with the payment on the Securities and the payment of proceeds

12

from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof of an applicable exemption from the information reporting rules.

T a x Conse que nc e s t o N on -U .S. H olde rs

This section applies to you only if you are a Non-U.S. Holder. As used herein, the term "Non-U.S. Holder" means a beneficial owner of a Security that is, for U.S. federal income tax purposes:

an individual who is classified as a nonresident alien;
a foreign corporation; or
a foreign estate or trust.

The term "Non-U.S. Holder" does not include any of the following holders:

a holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S. federal income tax
purposes;
certain former citizens or residents of the United States; or
a holder for whom income or gain in respect of the Securities is effectively connected with the conduct of a trade or business in the United States.

Such holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Securities.

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Tax Treatment upon Sale, Exchange or Settlement of the Securities

In general. Assuming the treatment of the Securities as set forth above is respected, and subject to the discussions below concerning backup withholding and the possible application of Section 871(m) of the Code
and the discussion above concerning the possible application of Section 897 of the Code, a Non-U.S. Holder of the Securities generally will not be subject to U.S. federal income or withholding tax in respect of
amounts paid to the Non-U.S. Holder.

Subject to the discussions regarding the possible application of Sections 871(m) and 897 of the Code and FATCA, if all or any portion of a Security were recharacterized as a debt instrument, any payment made to a
Non-U.S. Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:

the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes of Morgan Stanley stock entitled to vote;
the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to Morgan Stanley through stock ownership;
the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code, and
the certification requirement described below has been fulfilled with respect to the beneficial owner.

Certification Requirement. The certification requirement referred to in the preceding paragraph will be fulfilled if the beneficial owner of a Security (or a financial institution holding a Security on behalf of the
beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate form) on which the beneficial owner certifies under penalties of perjury that it is not a U.S. person.

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments. Among the issues
addressed in the notice is the degree, if any, to which any income with respect to instruments such as the Securities should be subject to U.S. withholding tax. It is possible that any Treasury regulations or other
guidance promulgated after consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the Securities, possibly on a retroactive basis. Non-U.S.
Holders should note that we currently do not intend to withhold on any payment made with respect to the Securities to Non-U.S. Holders (subject to compliance by such holders with the certification requirement
described above and to the discussions regarding Sections 871(m) and 897 of the Code and FATCA). However, in the event of a change of law or any formal or informal guidance by the IRS, the U.S. Treasury
Department or Congress, we may decide to withhold on payments made with respect to the Securities to Non-U.S. Holders, and we will not be required to pay any additional amounts with respect to amounts
withheld. Accordingly, Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Securities, including the possible implications of
the notice referred to above.

Section 871(m) Withholding Tax on Dividend Equivalents

Section 871(m) of the Code and Treasury regulations promulgated thereunder ("Section 871(m)") generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed
paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an "Underlying Security"). Subject to certain exceptions, Section 871(m)
generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a "Specified
Security"). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2021 that do not have a delta of one with respect to any Underlying Security. Based on our
determination that the Securities do not have a

13

delta of one with respect to any Underlying Security, our counsel is of the opinion that the Securities should not be Specified Securities and, therefore, should not be subject to Section 871(m).

Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you
enter into other transactions with respect to an Underlying Security. If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your
tax adviser regarding the potential application of Section 871(m) to the Securities.

U.S. Federal Estate Tax

Individual Non-U.S. Holders and entities the property of which is potentially includible in such an individual's gross estate for U.S. federal estate tax purposes (for example, a trust funded by such an individual and
with respect to which the individual has retained certain interests or powers), should note that, absent an applicable treaty exemption, the Securities may be treated as U.S. situs property subject to U.S. federal
estate tax. Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the U.S. federal estate tax consequences of an investment in the
Securities.

Backup Withholding and Information Reporting

Information returns may be filed with the IRS in connection with the payment on the Securities at maturity as well as in connection with the payment of proceeds from a sale, exchange or other disposition of the
Securities. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish that it is not a
U.S. person for U.S. federal income tax purposes or otherwise establishes an exemption. Compliance with the certification procedures described above under "?Tax Treatment upon Sale, Exchange or Settlement of
the Securities ­ Certification Requirement" will satisfy the certification requirements necessary to avoid backup withholding as well. The amount of any backup withholding from a payment to a Non-U.S. Holder will be
allowed as a credit against the Non-U.S. Holder's U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided that the required information is timely furnished to the IRS.

FAT CA

Legislation commonly referred to as "FATCA" generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to certain financial instruments,
unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S. entity's jurisdiction may modify these
requirements. FATCA generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source "fixed or determinable annual or periodical" income ("FDAP income"). If the
Securities were recharacterized as debt instruments, FATCA would apply to any payment of amounts treated as interest and to payments of gross proceeds of the disposition (including upon retirement) of the
Securities. However, under recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply on payments of gross proceeds
(other than amounts treated as FDAP income). If withholding were to apply to the Securities, we would not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.

T he disc ussion in t he pre c e ding pa ra gra phs unde r "Wha t Are t he T a x Conse que nc e s of t he Se c urit ie s," insofa r a s it purport s t o de sc ribe provisions of U .S. fe de ra l inc om e t a x
la w s or le ga l c onc lusions w it h re spe c t t he re t o, c onst it ut e s t he full opinion of Da vis Polk & Wa rdw e ll LLP re ga rding t he m a t e ria l U .S. fe de ra l inc om e t a x c onse que nc e s of a n
inve st m e nt in t he Se c urit ie s.

14

T he S& P 5 0 0 ® I nde x
The S&P 500® Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC ("S&P"), consists of stocks of 500 component companies selected to provide a performance benchmark for the
U.S. equity markets. The calculation of the S&P 500® Index is based on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared to
the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through 1943. For additional information about the S&P 500® Index, see the information set forth under
"S&P 500® Index" in the accompanying index supplement.

"Standard & Poor's®," "S&P®," "S&P 500®," "Standard & Poor's 500" and "500" are trademarks of Standard and Poor's Financial Services LLC. For more information, see "S&P 500® Index" in the accompanying
index supplement.

H ist oric a l I nform a t ion
The following table sets forth the published high and low Closing Levels, as well as the end-of-quarter Closing Levels, of the S&P 500® Index for each quarter in the period from January 1, 2014 through September
25, 2019. The Closing Level of the S&P 500® Index on September 25, 2019 was 2,984.87. We obtained the information in the table below from Bloomberg Financial Markets, without independent verification. The
historical Closing Levels of the S&P 500® Index should not be taken as an indication of future performance, and no assurance can be given as to the level of the S&P 500® Index on the Final Valuation Date.

Qua rt e r Be gin
Qua rt e r End
Qua rt e rly H igh
Qua rt e rly Low
Qua rt e rly Close
1/1/2014
3/31/2014
1,878.04
1,741.89
1,872.34
4/1/2014
6/30/2014
1,962.87
1,815.69
1,960.23
7/1/2014
9/30/2014
2,011.36
1,909.57
1,972.29
10/1/2014
12/31/2014
2,090.57
1,862.49
2,058.90
1/1/2015
3/31/2015
2,117.39
1,992.67
2,067.89
4/1/2015
6/30/2015
2,130.82
2,057.64
2,063.11
7/1/2015
9/30/2015
2,128.28
1,867.61
1,920.03
10/1/2015
12/31/2015
2,109.79
1,923.82
2,043.94
1/1/2016
3/31/2016
2,063.95
1,829.08
2,059.74
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4/1/2016
6/30/2016
2,119.12
2,000.54
2,098.86
7/1/2016
9/30/2016
2,190.15
2,088.55
2,168.27
10/1/2016
12/31/2016
2,271.72
2,085.18
2,238.83
1/1/2017
3/31/2017
2,395.96
2,257.83
2,362.72
4/1/2017
6/30/2017
2,453.46
2,328.95
2,423.41
7/1/2017
9/30/2017
2,519.36
2,409.75
2,519.36
10/1/2017
12/31/2017
2,690.16
2,529.12
2,673.61
1/1/2018
3/31/2018
2,872.87
2,581.00
2,640.87
4/1/2018
6/30/2018
2,786.85
2,581.88
2,718.37
7/1/2018
9/30/2018
2,930.75
2,713.22
2,913.98
10/1/2018
12/31/2018
2,925.51
2,351.10
2,506.85
1/1/2019
3/31/2019
2,854.88
2,447.89
2,834.40
4/1/2019
6/30/2019
2,954.18
2,744.45
2,941.76
7/1/2019
9/25/2019*
3,025.86
2,840.60
2,984.87

* Available information for the indicated period includes data for less than the entire calendar quarter, and, accordingly, the "Quarterly High," "Quarterly Low" and "Quarterly Close" data indicated are for this shortened
period only.

15

The graph below illustrates the performance of the S&P 500® Index from January 1, 2008 through September 25, 2019, based on information from Bloomberg. Past performance of the S&P 500® Index is not
indicative of the future performance of the S&P 500® Index.




16


Addit iona l T e rm s of t he Se c urit ie s
If the terms contained in this pricing supplement differ from those contained in the prospectus supplement, index supplement or prospectus, the terms contained in this pricing supplement will control.

Som e De finit ions

We have defined some of the terms that we use frequently in this pricing supplement below:

"Closing Level" means, on any Index Business Day for the Underlying, the closing value of the Underlying, or any Successor Underlying (as defined under "--Discontinuance of the Underlying; Alteration of
Method of Calculation" below) published at the regular weekday close of trading on that Index Business Day by the Underlying Publisher. In certain circumstances, the Closing Level will be based on the alternate
calculation of the Underlying as described under "--Discontinuance of the Underlying; Alteration of Method of Calculation."

"Underlying Publisher" means S&P Dow Jones Indices LLC or any successor thereto.

"Index Business Day" means a day, for the Underlying, as determined by the Calculation Agent, on which trading is generally conducted on each of the Relevant Exchange(s) for the Underlying, other than a day
on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing price.

"Market Disruption Event" means:

(i) the occurrence or existence of any of:

(a) a suspension, absence or material limitation of trading of stocks then constituting 20 percent or more of the value of the Underlying (or the Successor Underlying (as defined below under "--
Discontinuance of the Underlying; Alteration of Method of Calculation")) on the Relevant Exchange for such securities for more than two hours of trading or during the one-half hour period preceding the close
of the principal trading session on such Relevant Exchange, or

(b) a breakdown or failure in the price and trade reporting systems of any Relevant Exchange as a result of which the reported trading prices for stocks then constituting 20 percent or more of the value of the
Underlying (or the Successor Underlying) during the last one-half hour preceding the close of the principal trading session on such Relevant Exchange are materially inaccurate, or

(c) the suspension, material limitation or absence of trading on any major U.S. securities market for trading in futures or options contracts or exchange-traded funds related to the Underlying (or the Successor
Underlying) for more than two hours of trading or during the one-half hour period preceding the close of the principal trading session on such market,

in each case as determined by the Calculation Agent in its sole discretion; and

(ii) a determination by the Calculation Agent in its sole discretion that any event described in clause (i) above materially interfered with our ability or the ability of any of our affiliates to unwind or adjust all or a
material portion of the hedge position with respect to the Securities.

For the purpose of determining whether a Market Disruption Event exists at any time, if trading in a security included in the Underlying is materially suspended or materially limited at that time, then the relevant
percentage contribution of that security to the value of the Underlying shall be based on a comparison of (x) the portion of the value of the Underlying attributable to that security relative to (y) the overall value of
the Underlying, in each case immediately before that suspension or limitation.

For the purpose of determining whether a Market Disruption Event has occurred: (1) a limitation on the hours or number of days of trading will not constitute a Market Disruption Event if it results from an
announced change in the regular business hours of the Relevant Exchange or market, (2) a decision to permanently discontinue trading in the relevant futures or options contract or exchange-traded fund will not
constitute a Market Disruption Event, (3) a suspension of trading in futures or options contracts or exchange-traded funds on the Underlying by the primary securities market trading in such contracts or funds by
reason of (a) a price change exceeding limits set by such securities exchange or market, (b) an imbalance of orders relating to such contracts or funds, or (c) a disparity in bid and ask quotes relating to such
contracts or funds will constitute a suspension, absence or material limitation of trading in futures or options contracts or exchange-traded funds related to the Underlying and (4) a "suspension, absence or
material limitation of trading" on any Relevant Exchange or on the primary market on which futures or options contracts or exchange-traded funds related to the Underlying are traded will not include any time
when such securities market is itself closed for trading under ordinary circumstances.

"Relevant Exchange" means, with respect to the Underlying, the primary exchange(s) or market(s) of trading for (i) any security then included in the Underlying, or any Successor Underlying, and (ii) any futures or
options contracts related to the Underlying or to any security then included in the Underlying.
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Post pone m e nt of Fina l V a lua t ion Da t e a nd M a t urit y Da t e

If the scheduled Final Valuation Date is not an Index Business Day or if a Market Disruption Event with respect to the Underlying occurs on such date, the Closing Level for such date will be determined on the
immediately succeeding Index Business Day on

17

which no Market Disruption Event shall have occurred; provided that the Closing Level with respect to the Final Valuation Date will not be determined on a date later than the fifth scheduled Index Business Day after
the scheduled Final Valuation Date, and if such date is not an Index Business Day or if there is a Market Disruption Event on such date, the Calculation Agent will determine the Closing Level of the Underlying on
such date in accordance with the formula for calculating such Underlying last in effect prior to the commencement of the Market Disruption Event (or prior to the non-Index Business Day), without rebalancing or
substitution, using the closing price (or, if trading in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such
suspension, limitation or non-Index Business Day) on such date of each security most recently constituting the Underlying.

If the Final Valuation Date is postponed so that it falls less than two business days prior to the scheduled Maturity Date, the Maturity Date will be the second business day following the Final Valuation Date, as
postponed.

Alt e rna t e Ex c ha nge Ca lc ula t ion in c a se of a n Eve nt of De fa ult

If an event of default with respect to the Securities shall have occurred and be continuing, the amount declared due and payable upon any acceleration of the Securities (the "Acceleration Amount") will be an amount,
determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial Institution, of the kind and selected as described below, expressly assume all our payment and other
obligations with respect to the Securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to the
Securities. That cost will equal:

o
the lowest amount that a Qualified Financial Institution would charge to effect this assumption or undertaking, plus

o
the reasonable expenses, including reasonable attorneys' fees, incurred by the holders of the Securities in preparing any documentation necessary for this assumption or undertaking.

During the Default Quotation Period for the Securities, which we describe below, the holders of the Securities and/or we may request a Qualified Financial Institution to provide a quotation of the amount it would
charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest--
or, if there is only one, the only--quotation obtained, and as to which notice is so given, during the Default Quotation Period. With respect to any quotation, however, the party not obtaining the quotation may object,
on reasonable and significant grounds, to the assumption or undertaking by the Qualified Financial Institution providing the quotation and notify the other party in writing of those grounds within two business days
after the last day of the Default Quotation Period, in which case that quotation will be disregarded in determining the Acceleration Amount.

Notwithstanding the foregoing, if a voluntary or involuntary liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan Stanley, then depending on applicable
bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.

If the maturity of the Securities is accelerated because of an event of default as described above, we shall, or shall cause the Calculation Agent to, provide written notice to the Trustee at its New York office, on
which notice the Trustee may conclusively rely, and to the Depositary of the Acceleration Amount and the aggregate cash amount due, if any, with respect to the Securities as promptly as possible and in no event
later than two business days after the date of such acceleration.

Default Quotation Period

The Default Quotation Period is the period beginning on the day the Acceleration Amount first becomes due and ending on the third business day after that day, unless:

o
no quotation of the kind referred to above is obtained, or

o
every quotation of that kind obtained is objected to within five business days after the due date as described above.

If either of these two events occurs, the Default Quotation Period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above. If that
quotation is objected to as described above within five business days after that first business day, however, the Default Quotation Period will continue as described in the prior sentence and this sentence.

In any event, if the Default Quotation Period and the subsequent two business day objection period have not ended before the Final Valuation Date, then the Acceleration Amount will equal the principal amount of
the Securities.

Qualified Financial Institutions

For the purpose of determining the Acceleration Amount at any time, a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction in the United States or Europe, which at
that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:

o
A-2 or higher by Standard & Poor's Ratings Services or any successor, or any other comparable rating then used by that rating agency, or

o
P-2 or higher by Moody's Investors Service or any successor, or any other comparable rating then used by that rating agency.

18

Disc ont inua nc e of t he U nde rlying; Alt e ra t ion of M e t hod of Ca lc ula t ion

If the Underlying Publisher of the Underlying discontinues publication of the Underlying and the Underlying Publisher or another entity (including MS & Co.) publishes a successor or substitute index that the
Calculation Agent determines, in its sole discretion, to be comparable to the discontinued Underlying (such index being referred to herein as a "Successor Underlying"), then any subsequent Closing Level of the
Underlying will be determined by reference to the published value of such Successor Underlying at the regular weekday close of trading on any Index Business Day that the Closing Level is to be determined, and, to
the extent the Closing Level of the Successor Underlying differs from the Closing Level of the Underlying at the time of such substitution, proportionate adjustments will be made by the Calculation Agent to the Initial
Level and Downside Threshold.

Upon any selection by the Calculation Agent of a Successor Underlying, the Calculation Agent will cause written notice thereof to be furnished to the Trustee, to us and to the Depositary, as holder of the Securities,
within three business days of such selection. We expect that such notice will be made available to you, as a beneficial owner of such Securities, in accordance with the standard rules and procedures of the
Depositary and its direct and indirect participants.

If the Underlying Publisher discontinues publication of the Underlying prior to, and such discontinuance is continuing on, the Final Valuation Date and the Calculation Agent determines, in its sole discretion, that no
Successor Underlying is available at such time, then the Calculation Agent will determine the Closing Level of the Underlying for such date. The Closing Level of the Underlying will be computed by the Calculation
Agent in accordance with the formula for and method of calculating the Underlying last in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities has been materially
suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such suspension or limitation) at the close of the principal trading session of the Relevant Exchange on the
Final Valuation Date of each security most recently constituting the Underlying without any rebalancing or substitution of such securities following such discontinuance. Notwithstanding these alternative arrangements,
discontinuance of the publication of the Underlying may adversely affect the value of the Securities.

If at any time the method of calculating the Underlying or Successor Underlying, or the value thereof, is changed in a material respect, or if the Underlying or Successor Underlying is in any other way modified so
that such index does not, in the opinion of the Calculation Agent, fairly represent the value of such index had such changes or modifications not been made, then, from and after such time, the Calculation Agent will,
at the close of business in New York City on each date on which the Closing Level is to be determined, make such calculations and adjustments as, in the good faith judgment of the Calculation Agent, may be
necessary in order to arrive at a value of a stock index comparable to the Underlying or Successor Underlying, as the case may be, as if such changes or modifications had not been made, and the Calculation Agent
will calculate the Closing Level with reference to the Underlying or Successor Underlying, as adjusted. Accordingly, if the method of calculating the Underlying or Successor Underlying is modified so that the value of
such index is a fraction of what it would have been if it had not been modified (e.g., due to a split in the index), then the Calculation Agent will adjust such index in order to arrive at a value of the Underlying or
Successor Underlying as if it had not been modified (e.g., as if such split had not occurred).

T rust e e

The "Trustee" for each offering of notes issued under our Senior Debt Indenture, including the Securities, will be The Bank of New York Mellon, a New York banking corporation.

Age nt

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The "agent" is MS & Co.

Ca lc ula t ion Age nt a nd Ca lc ula t ions

The "Calculation Agent" for the Securities will be MS & Co. As Calculation Agent, MS & Co. will determine, among other things, the Initial Level, the Final Level, the Underlying Return and the Payment at Maturity.

All determinations made by the Calculation Agent will be at the sole discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the Trustee and
us.

All calculations with respect to the Payment at Maturity, if any, will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward (e.g., .876545 would be rounded to .87655); all dollar
amounts related to determination of the amount of cash payable per Security will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to
.7655); and all dollar amounts paid on the aggregate number of Securities will be rounded to the nearest cent, with one-half cent rounded upward.

Because the Calculation Agent is our affiliate, the economic interests of the Calculation Agent and its affiliates may be adverse to your interests, as an owner of the Securities, including with respect to certain
determinations and judgments that the Calculation Agent must make in determining the Final Level or whether a Market Disruption Event has occurred. See "--Discontinuance of the Underlying; Alteration of Method
of Calculation," and the definition of Market Disruption Event. MS & Co. is obligated to carry out its duties and functions as Calculation Agent in good faith and using its reasonable judgment.

I ssue r N ot ic e t o Re gist e re d Se c urit y H olde rs, t he T rust e e a nd t he De posit a ry

In the event that the Maturity Date of the Securities is postponed due to a postponement of the Final Valuation Date, the Issuer shall give notice of such postponement and, once it has been determined, of the date
to which the Maturity Date has been rescheduled (i) to each registered holder of the Securities by mailing notice of such postponement by first class mail, postage

19

prepaid, to such registered holder's last address as it shall appear upon the registry books, (ii) to the Trustee by facsimile confirmed by mailing such notice to the Trustee by first class mail, postage prepaid, at its
New York office and (iii) to The Depository Trust Company (the "Depositary") by telephone or facsimile confirmed by mailing such notice to the Depositary by first class mail, postage prepaid. Any notice that is mailed
to a registered holder of the Securities in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The
Issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the Maturity Date, the Business Day immediately preceding the scheduled Maturity Date
and (ii) with respect to notice of the date to which the Maturity Date has been rescheduled, the Business Day immediately following the Final Valuation Date as postponed.

The Issuer shall, or shall cause the Calculation Agent to, (i) provide written notice to the Trustee and to the Depositary of the amount of cash, if any, to be delivered with respect to each stated principal amount of the
Securities, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount due with respect to the Securities, if any, to the Trustee for
delivery to the Depositary, as holder of the Securities, on the Maturity Date.


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Addit iona l I nform a t ion About t he Se c urit ie s
U se of Proc e e ds a nd H e dging

The proceeds from the sale of the Securities will be used by us for general corporate purposes. We will receive, in aggregate, $10 per Security issued. The costs of the Securities borne by you and described on
page 2 above comprise the cost of issuing, structuring and hedging the Securities. See also "Use of Proceeds" in the accompanying prospectus.

On or prior to the Trade Date, we hedged our anticipated exposure in connection with the Securities, by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging
counterparties to have taken positions in the constituent stocks of the Underlying and in futures or options contracts on the Underlying or the constituent stocks of the Underlying. Such purchase activity could have
increased the Initial Level of the Underlying, and, therefore, could have increased the Downside Threshold, which is the level at or above which the Underlying must close on the Final Valuation Date so that you do
not suffer a significant loss on your initial investment in the Securities. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the Securities, including on the Final
Valuation Date, by purchasing and selling the constituent stocks of the Underlying, futures or options contracts on the Underlying or the constituent stocks of the Underlying, as well as other instruments related to the
Underlying that we may wish to use in connection with such hedging activities, including by purchasing or selling any such securities or instruments on the Final Valuation Date. As a result, these entities may be
unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Final Valuation Date approaches.
We cannot give any assurance that our hedging activities will not affect the level of the Underlying, and, therefore, adversely affect the value of the Securities or the amount payable at maturity, if any.

Be ne fit Pla n I nve st or Conside ra t ions

Each fiduciary of a pension, profit-sharing or other employee benefit plan subject to Title I of the Employee Retirement Income Security Act of 1974, as amended ("ERISA") (a "Plan"), should consider the fiduciary
standards of ERISA in the context of the Plan's particular circumstances before authorizing an investment in the Securities. Accordingly, among other factors, the fiduciary should consider whether the investment
would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the Plan.

In addition, we and certain of our affiliates, including MS & Co., may each be considered a "party in interest" within the meaning of ERISA, or a "disqualified person" within the meaning of the Internal Revenue Code
of 1986, as amended (the "Code"), with respect to many Plans, as well as many individual retirement accounts and Keogh plans (such accounts and plans, together with other plans, accounts and arrangements
subject to Section 4975 of the Code, also "Plans"). ERISA Section 406 and Code Section 4975 generally prohibit transactions between Plans and parties in interest or disqualified persons. Prohibited transactions
within the meaning of ERISA or the Code would likely arise, for example, if the Securities are acquired by or with the assets of a Plan with respect to which MS & Co. or any of its affiliates is a service provider or
other party in interest, unless the Securities are acquired pursuant to an exemption from the "prohibited transaction" rules. A violation of these "prohibited transaction" rules could result in an excise tax or other
liabilities under ERISA and/or Section 4975 of the Code for those persons, unless exemptive relief is available under an applicable statutory or administrative exemption.

The U.S. Department of Labor has issued five prohibited transaction class exemptions ("PTCEs") that may provide exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of
the Securities. Those class exemptions are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts),
PTCE 91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain transactions
determined by independent qualified professional asset managers). In addition, ERISA Section 408(b)(17) and Code Section 4975(d)(20) provide an exemption for the purchase and sale of securities and the related
lending transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises any discretionary authority or control or renders any investment advice with respect to the assets of the
Plan involved in the transaction and provided further that the Plan pays no more, and receives no less, than "adequate consideration" in connection with the transaction (the so-called "service provider" exemption).
There can be no assurance that any of these class or statutory exemptions will be available with respect to transactions involving the Securities.

Because we may be considered a party in interest with respect to many Plans, the Securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets include "plan assets" by
reason of any Plan's investment in the entity (a "Plan Asset Entity") or any person investing "plan assets" of any Plan, unless such purchase, holding or disposition is eligible for exemptive relief, including relief
available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase, holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on
behalf of a Plan, transferee or holder of the Securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the Securities that either (a) it is not a Plan or a
Plan Asset Entity and is not purchasing such Securities on behalf of or with "plan assets" of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject to any federal, state, local or non-
U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code ("Similar Law") or (b) its purchase, holding and disposition of these Securities will not constitute or result in
a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any Similar Law.

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Due to the complexity of these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries or other persons considering
purchasing the Securities on behalf of or with "plan assets" of any Plan consult with their counsel regarding the availability of exemptive relief.

The Securities are contractual financial instruments. The financial exposure provided by the Securities is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized investment
management or advice for the benefit of any purchaser or holder of the Securities. The Securities have not been designed and will not be administered in a manner intended to reflect the individualized needs and
objectives of any purchaser or holder of the Securities.

Each purchaser or holder of any Securities acknowledges and agrees that:

(i) the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and shall not rely in any way upon us or our
affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (A) the design and terms of the Securities, (B) the purchaser or holder's investment in the Securities, or (C) the exercise of
or failure to exercise any rights we have under or with respect to the Securities;

(ii) we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the Securities and (B) all hedging transactions in connection with our obligations under
the Securities;
https://www.sec.gov/Archives/edgar/data/895421/000095010319012901/dp113373_424b2-ps2525.htm[9/27/2019 12:25:09 PM]


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