Obbligazione Morgan Stanley Financial 9% ( US61771BAM63 ) in USD

Morgan Stanley Financial

100 USD ⇌

Stati Uniti

US61771BAM63 ( in USD )

9% per anno ( pagato 2 volte l'anno)

23/11/2021 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61771BAM63 in USD 9%, scaduta

1 000 USD

1 000 000 USD

61771BAM6

N/A

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 US61771BAM63, pays a coupon of 9% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 23/11/2021

424B2 1 dp128516_424b2-ps4012.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Contingent Income Auto-Callable Securities due
$1,000,000

$129.80
2021

M a y 2 0 2 0

Pricing Supplement No. 4,012
Registration Statement Nos. 333-221595; 333-221595-01
Dated May 18, 2020
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll
2 0 0 0 ® I nde x
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Princ ipa l a t Risk Se c urit ie s
The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The
securities have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented or modified by this
document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead, the securities will pay
a contingent monthly coupon but only if the index closing value of e a c h of the S&P 500® Index a nd the Russell 2000® Index is a t or a bove its
coupon barrier level of 70% of its respective initial index value on the related observation date. If, however, the index closing value of e it he r underlying
index is less than its coupon barrier level on any observation date, we will pay no interest for the related monthly period. In addition, the securities will be
automatically redeemed if the index closing value of e a c h underlying index is greater than or equal to its respective initial index value on any quarterly
redemption determination date (beginning six months after the original issue date) for the early redemption payment equal to the sum of the stated principal
amount plus the related contingent monthly coupon. At maturity, if the securities have not previously been redeemed and the final index value of e a c h
underlying index is greater than or equal to its downside threshold level of 70% of the respective initial index value, the payment at maturity will be the
stated principal amount and the related contingent monthly coupon. If, however, the final index value of e it he r underlying index is less than its downside
threshold level, investors will be fully exposed to the decline in the worst performing underlying index on a 1-to-1 basis and will receive a payment at
maturity that is less than 70% of the stated principal amount of the securities and could be zero. Ac c ordingly, inve st ors in t he se c urit ie s m ust be
w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt a nd a lso t he risk of not re c e iving a ny c ont inge nt m ont hly
c oupons t hroughout t he 1 .5 -ye a r t e rm of t he se c urit ie s. Because all payments on the securities are based on the worst performing of the
underlying indices, a decline beyond the respective coupon barrier level or respective downside threshold level, as applicable, of either underlying index will
result in few or no contingent coupon payments or a significant loss of your investment, even if the other underlying index has appreciated or has not
declined as much. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market
rate in exchange for the risk of receiving no monthly coupons over the entire 1.5-year term. Investors will not participate in any appreciation of either
underlying index. The securities are notes issued as part of MSFL's Series A Global Medium-Term Notes program.
All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of your inve st m e nt .
T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st in, or ot he rw ise ha ve a ny a c c e ss t o,
a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
U nde rlying indic e s:
S&P 500® (the "SPX Index") and Russell 2000® Index (the "RTY Index")
Aggre ga t e princ ipa l
$1,000,000
a m ount :
St a t e d princ ipa l a m ount :
$1,000 per security
I ssue pric e :
$1,000 per security
Pric ing da t e :
May 18, 2020
Origina l issue da t e :
May 21, 2020 (3 business days after the pricing date)
M a t urit y da t e :
November 23, 2021
Ea rly re de m pt ion:
T he se c urit ie s a re not subje c t t o a ut om a t ic e a rly re de m pt ion unt il six m ont hs a ft e r t he origina l
issue da t e . Following this initial 6-month non-call period, if, on any redemption determination date, beginning on
November 18, 2020, the index closing value of each underlying index is gre a t e r t ha n or e qua l t o its respective initial
index value, the securities will be automatically redeemed for an early redemption payment on the related early
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redemption date. No further payments will be made on the securities once they have been redeemed.
T he se c urit ie s w ill not be re de e m e d e a rly on a ny e a rly re de m pt ion da t e if t he inde x c losing va lue
of e it he r unde rlying inde x is be low t he re spe c t ive init ia l inde x va lue for suc h unde rlying inde x on
t he re la t e d re de m pt ion de t e rm ina t ion da t e .
Ea rly re de m pt ion
The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii)
pa ym e nt :
the contingent monthly coupon with respect to the related observation date.
Cont inge nt m ont hly
A contingent coupon at an annual rate of 9.00% (c orre sponding t o $ 7 .5 0 pe r m ont h pe r se c urit y) will be paid
c oupon:
on the securities on each coupon payment date but only if the index closing value of e a c h unde rlying inde x is at or
above its respective coupon barrier level on the related observation date.
I f, on a ny obse rva t ion da t e , t he inde x c losing va lue of e it he r unde rlying inde x is le ss t ha n t he
re spe c t ive c oupon ba rrie r le ve l for suc h unde rlying inde x , w e w ill pa y no c oupon for t he
a pplic a ble m ont hly pe riod. I t is possible t ha t one or bot h unde rlying indic e s w ill re m a in be low
t he ir re spe c t ive c oupon ba rrie r le ve ls for e x t e nde d pe riods of t im e or e ve n t hroughout t he e nt ire
1 .5 -ye a r t e rm of t he se c urit ie s so t ha t you w ill re c e ive fe w or no c ont inge nt m ont hly c oupons.
Pa ym e nt a t m a t urit y:
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective downside threshold level:
the stated principal amount and the contingent monthly coupon with respect to the final observation date
If the final index value of e it he r underlying index is le ss t ha n its respective downside threshold level: (i) the stated
principal amount multiplied by (ii) the index performance factor of the worst performing underlying index. Under these
circumstances, the payment at maturity will be less than 70% of the stated principal amount of the securities and could be
zero.

Terms continued on the following page
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See
"Supplemental information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he
$950.80 per security. See "Investment Summary" beginning on page 3.
pric ing da t e :
Com m issions a nd issue
Pric e t o public
Age nt 's c om m issions(1)
Proc e e ds t o us (2)
pric e :
Pe r se c urit y
$1,000
$22.50
$977.50
T ot a l
$1,000,000
$22,500
$977,500
(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $22.50 for each security
they sell. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution
(Conflicts of Interest)" in the accompanying product supplement.
(2) See "Use of proceeds and hedging" on page 27.
T he se c urit ie s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt se c urit ie s. Se e "Risk
Fa c t ors" be ginning on pa ge 1 1 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d t he se se c urit ie s,
or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt , inde x supple m e nt a nd prospe c t us is t rut hful or
c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
T he se c urit ie s a re not de posit s or sa vings a c c ount s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e Corpora t ion or a ny
ot he r gove rnm e nt a l a ge nc y or inst rum e nt a lit y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d produc t supple m e nt , inde x supple m e nt a nd prospe c t us, e a c h of
w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l T e rm s of t he Se c urit ie s" a nd "Addit iona l
I nform a t ion About t he Se c urit ie s" a t t he e nd of t his doc um e nt .
As use d in t his doc um e nt , "w e ," "us" a nd "our" re fe r t o M orga n St a nle y or M SFL, or M orga n St a nle y a nd M SFL c olle c t ive ly, a s
t he c ont e x t re quire s.
Produc t Supple m e nt for Aut o -Ca lla ble Se c urit ie s da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt da t e d N ove m be r 1 6 ,
2 0 1 7
Prospe c t us da t e d N ove m be r 1 6 , 2 0 1 7

Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Terms continued from previous page:
Re de m pt ion
Beginning after six months, quarterly, on November 18, 2020, February 18, 2021, May 18, 2021 and August 18, 2021,
de t e rm ina t ion da t e s:
subject to postponement for non-index business days and certain market disruption events.
Ea rly re de m pt ion da t e s:
Beginning after six months, quarterly, on November 23, 2020, February 23, 2021, May 21, 2021 and August 23, 2021. If
any such day is not a business day, that early redemption payment will be made on the next succeeding business day and
no adjustment will be made to any early redemption payment made on that succeeding business day.
Coupon ba rrie r le ve l:
With respect to the SPX Index: 2,067.737, which is 70% of its initial index value
With respect to the RTY Index: 933.582, which is approximately 70% of its initial index value
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Dow nside t hre shold le ve l: With respect to the SPX Index: 2,067.737, which is 70% of its initial index value
With respect to the RTY Index: 933.582, which is approximately 70% of its initial index value
I nit ia l inde x va lue :
With respect to the SPX Index: 2,953.91, which is its index closing value on the pricing date
With respect to the RTY Index: 1,333.689, which is its index closing value on the pricing date
Fina l inde x va lue :
With respect to each index, the respective index closing value on the final observation date
Worst pe rform ing
The underlying index with the larger percentage decrease from the respective initial index value to the respective final
unde rlying:
index value
I nde x pe rform a nc e fa c t or: Final index value divided by the initial index value
Coupon pa ym e nt da t e s:
Monthly, as set forth under "Observation Dates and Coupon Payment Dates" below; provided that if any such day is not a
business day, that contingent monthly coupon, if any, will be paid on the next succeeding business day and no adjustment
will be made to any coupon payment made on that succeeding business day; provided further that the contingent monthly
coupon, if any, with respect to the final observation date will be paid on the maturity date
Obse rva t ion da t e s:
Monthly, as set forth under "Observation Dates and Coupon Payment Dates" below, subject to postponement for non-index
business days and certain market disruption events. We also refer to November 18, 2021 as the final observation date.
CU SI P / I SI N :
61771BAM6 / US61771BAM63
List ing:
The securities will not be listed on any securities exchange.

Observation Dates and Coupon Payment Dates

Obse rva t ion Da t e s
Coupon Pa ym e nt Da t e s
June 18, 2020
June 23, 2020
July 20, 2020
July 23, 2020
August 18, 2020
August 21, 2020
September 18, 2020
September 23, 2020
October 19, 2020
October 22, 2020
November 18, 2020
November 23, 2020
December 18, 2020
December 23, 2020
January 19, 2021
January 22, 2021
February 18, 2021
February 23, 2021
March 18, 2021
March 23, 2021
April 19, 2021
April 22, 2021
May 18, 2021
May 21, 2021
June 18, 2021
June 23, 2021
July 19, 2021
July 22, 2021
August 18, 2021
August 23, 2021
September 20, 2021
September 23, 2021
October 18, 2021
October 21, 2021
November 18, 2021 (final observation date)
November 23, 2021 (maturity date)

May 2020
Page 2
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Investment Summary

Cont inge nt I nc om e Aut o -Ca lla ble Se c urit ie s

Princ ipa l a t Risk Se c urit ie s

Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period All Payments on the
Securities Based on the Worst Performing of the S&P 500® Index and the Russell 2000® Index (the "securities") do not provide for
the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the index closing value of
e a c h underlying index is a t or a bove 70% of its initial index value, which we refer to as the respective coupon barrier level, on
the related observation date. If the index closing value of e it he r unde rlying inde x is less than the respective coupon barrier
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level on any observation date, we will pay no coupon for the related monthly period. It is possible that the index closing value of
either underlying index could remain below the respective coupon barrier level for extended periods of time or even throughout the
entire 1.5-year term of the securities so that you will receive few or no contingent monthly coupons during the term of the
securities. We refer to these coupons as contingent, because there is no guarantee that you will receive a coupon payment on any
coupon payment date. Even if both underlying indices were to be at or above their respective coupon barrier levels on some
monthly observation dates, one or both underlying indices may fluctuate below the respective coupon barrier level(s) on others. In
addition, if the securities have not been automatically called prior to maturity and the final index value of e it he r unde rlying
inde x is less than 70% of the respective initial index value, which we refer to as the downside threshold level, investors will be
fully exposed to the decline in the worst performing underlying index on a 1-to-1 basis, and will receive a payment at maturity that
is less than 70% of the stated principal amount of the securities and could be zero. Ac c ordingly, inve st ors in t he se c urit ie s
m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt a nd a lso t he risk of not re c e iving
a ny c ont inge nt m ont hly c oupons t hroughout t he e nt ire 1 .5 -ye a r t e rm of t he se c urit ie s.

M a t urit y:
Approximately 1.5 years

Cont inge nt
A contingent monthly coupon at an annual rate of 9.00% (corresponding to approximately $7.50 per
m ont hly c oupon: month per security) will be paid on the securities on each coupon payment date but only if the
index closing value of e a c h underlying index is at or above the respective coupon barrier level on
the related observation date. I f on a ny obse rva t ion da t e , t he inde x c losing va lue of
e it he r unde rlying inde x is le ss t ha n t he re spe c t ive c oupon ba rrie r le ve l, w e w ill pa y
no c oupon for t he a pplic a ble m ont hly pe riod.

Aut om a t ic e a rly If the index closing value of e a c h underlying index is greater than or equal to its initial index value
re de m pt ion
on any quarterly redemption determination date, beginning on November 18, 2020 (approximately six
(be ginning a ft e r
months after the original issue date), the securities will be automatically redeemed for an early
six m ont hs):
redemption payment equal to the stated principal amount plus the contingent monthly coupon with
respect to the related observation date.

Pa ym e nt a t
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o the respective
m a t urit y:
downside threshold level, investors will receive at maturity the stated principal amount and the
contingent monthly coupon with respect to the final observation date.

If the final index value of e it he r underlying index is le ss t ha n its downside threshold level,
investors will receive a payment at maturity equal to the stated principal amount times the index
performance factor of the worst performing underlying index. Under these circumstances, the payment
at maturity will be less than 70% of the stated principal amount of the securities and could be zero,
and no monthly coupon will be payable at maturity. Ac c ordingly, inve st ors in t he se c urit ie s
m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt .

May 2020
Page 3
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
The original issue price of each security is $1,000. 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 pricing date is less
than $1,000. We estimate that the value of each security on the pricing date is $950.80.

What goes into the estimated value on the pricing date?

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

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What determines the economic terms of the securities?

In determining the economic terms of the securities, including the contingent monthly coupon rate, the coupon barrier levels and
the downside threshold levels, 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 pricing 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 indices, may vary from, and be lower than, the estimated value on the pricing date, because the
secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would
charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing,
selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the
issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market
conditions, including those related to the underlying indices, and to our secondary market credit spreads, it would do so based on
values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account
statements.

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

May 2020
Page 4
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
K e y I nve st m e nt Ra t iona le

The securities do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but
only if the index closing value of each underlying index is a t or a bove its respective coupon barrier level on the related
observation date. The securities have been designed for investors who are willing to forgo market floating interest rates and accept
the risk of receiving no coupon payments for the entire 1.5-year term of the securities in exchange for an opportunity to earn
interest at a potentially above market rate if each underlying index closes at or above its respective coupon barrier level on each
monthly observation date until the securities are redeemed early or reach maturity. The following scenarios are for illustrative
purposes only to demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed)
are calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be
redeemed, the contingent coupon may be payable in none of, or some but not all of, the monthly periods during the 1.5-year term
of the securities and the payment at maturity may be less than 70% of the stated principal amount of the securities and may be
zero.

Sc e na rio 1 : T he se c urit ie s
This scenario assumes that, prior to early redemption, each underlying index closes at or
a re re de e m e d prior t o
above its coupon barrier level on some monthly observation dates, but one or both underlying
m a t urit y
indices close below the respective coupon barrier level(s) on the others. Investors receive the
contingent monthly coupon for the monthly periods for which each index closing value is at or
above the coupon respective barrier level on the related observation date, but not for the
monthly periods for which either index closing value is below the respective coupon barrier
level on the related observation date.

Starting on November 18, 2020, when each underlying index closes at or above its initial index
value on a quarterly redemption determination date, the securities will be automatically
redeemed for the stated principal amount plus the contingent monthly coupon with respect to
the related observation date.

Sc e na rio 2 : T he se c urit ie s
This scenario assumes that each underlying index closes at or above the respective coupon
a re not re de e m e d prior t o
barrier level on some monthly observation dates, but one or both underlying indices close
m a t urit y a nd inve st ors
below the respective coupon barrier level(s) on the others, and each underlying index closes
re c e ive princ ipa l ba c k a t
below the respective initial index value on every quarterly redemption determination date.
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m a t urit y
Consequently, the securities are not automatically redeemed, and investors receive the
contingent monthly coupon for the monthly periods for which each index closing value is at or
above the respective coupon barrier level on the related observation date, but not for the
monthly periods for which either index closing value is below the respective coupon barrier
level on the related observation date. On the final observation date, each underlying index
closes at or above its downside threshold level. At maturity, investors will receive the stated
principal amount and the contingent monthly coupon with respect to the final observation date.
Sc e na rio 3 : T he se c urit ie s
This scenario assumes that each underlying index closes at or above its respective coupon
a re not re de e m e d prior t o
barrier level on some monthly observation dates, but one or both underlying indices close
m a t urit y a nd inve st ors
below the respective coupon barrier level(s) on the others, and each underlying index closes
suffe r a subst a nt ia l loss of
below the respective initial index value on every quarterly redemption determination
princ ipa l a t m a t urit y
date. Consequently, the securities are not automatically redeemed, and investors receive the
contingent monthly coupon for the monthly periods for which each index closing value is at or
above the respective coupon barrier level on the related observation date, but not for the
monthly periods for which either index closing value is below the respective coupon barrier
level on the related observation date. On the final observation date, one or both underlying
indices close below the respective downside threshold level(s). At maturity, investors will
receive an amount equal to the stated principal amount multiplied by the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at
maturity will be less than 70% of the stated principal amount and could be zero. No coupon
will be paid at maturity in this scenario.
May 2020
Page 5
Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the index closing values on each
monthly observation date, (2) the index closing values on each quarterly redemption determination date and (3) the final index
values. Please see "Hypothetical Examples" beginning on page 8 for illustration of hypothetical payouts on the securities.

Dia gra m # 1 : Cont inge nt M ont hly Coupons (Be ginning on t he First Coupon Pa ym e nt Da t e unt il Ea rly
Re de m pt ion or M a t urit y)

Dia gra m # 2 : Aut om a t ic Ea rly Re de m pt ion (Be ginning Approx im a t e ly Six M ont hs Aft e r t he Origina l I ssue
Da t e )

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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Dia gra m # 3 : Pa ym e nt a t M a t urit y if N o Aut om a t ic Ea rly Re de m pt ion Oc c urs

For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see "Hypothetical
Examples" starting on page 8.
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
®
®
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All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 I nde x a nd t he Russe ll 2 0 0 0 I nde x
Princ ipa l a t Risk Se c urit ie s
Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is paid with respect to an
observation date and how to calculate the payment at maturity if the securities have not been automatically redeemed early. The
following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined by
reference to the index closing value of each underlying index on each monthly observation date, and the amount you will receive at
maturity, if any, will be determined by reference to the final index value of each underlying index on the final observation date. The
actual initial index value, coupon barrier level and downside threshold level for each underlying index are set forth on the cover of
this document. All payments on the securities, if any, are subject to our credit risk. The numbers in the hypothetical examples
below may have been rounded for the ease of analysis. The below examples are based on the following terms:

Contingent Monthly Coupon:
9.00% per annum (corresponding to approximately $7.50 per month per security)*

Wit h re spe c t t o e a c h c oupon pa ym e nt da t e , a c ont inge nt m ont hly c oupon is
pa id but only if t he fina l inde x va lue of e a c h unde rlying is a t or a bove it s
re spe c t ive c oupon ba rrie r le ve l on t he re la t e d obse rva t ion da t e .

Automatic Early Redemption:
If the index closing value of e a c h underlying index is greater than or equal to its initial index
value on any quarterly redemption determination date (beginning approximately six months after
the original issue date), the securities will be automatically redeemed for an early redemption
payment equal to the stated principal amount plus the contingent monthly coupon with respect to
the related observation date.
Payment at Maturity (if the
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective
securities have not been
downside threshold level: the stated principal amount and the contingent monthly coupon with
automatically redeemed early):
respect to the final observation date.

If the final index value of e it he r underlying is le ss t ha n its respective downside threshold
level: (i) the stated principal amount multiplied by (ii) the index performance factor of the worst
performing underlying index

Stated Principal Amount:
$1,000
Hypothetical Initial Index Value:
With respect to the SPX Index: 2,500

With respect to the RTY Index: 1,200

Hypothetical Coupon Barrier
With respect to the SPX Index: 1,750, which is 70% of the hypothetical initial index value for
Level:
such index

With respect to the RTY Index: 840, which is 70% of the hypothetical initial index value for such
index

Hypothetical Downside Threshold With respect to the SPX Index: 1,750, which is 70% of the hypothetical initial index value for
Level:
such index

With respect to the RTY Index: 840, which is 70% of the hypothetical initial index value for such
index

* The actual contingent monthly coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment
period, calculated on a 30/360 basis. The hypothetical contingent monthly coupon of $7.50 is used in these examples for ease of analysis.

May 2020
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
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How to determine whether a contingent monthly coupon is payable with respect to an observation date:

Index Closing Value
Contingent Monthly Coupon

SPX Index
RTY Index

Hypothetical Observation Date 1
2,000 (a t or a bove
1,000 (a t or a bove coupon
$7.50
coupon barrier level)
barrier level)
Hypothetical Observation Date 2
1,900 (a t or a bove
600 (be low coupon barrier
$0
coupon barrier level)
level)
Hypothetical Observation Date 3
1,200 (be low coupon
1,200 (a t or a bove coupon
$0
barrier level)
barrier level)
Hypothetical Observation Date 4
1,000 (be low coupon
500 (be low coupon barrier
$0
barrier level)
level)

On hypothetical observation date 1, both the SPX Index and RTY Index close at or above their respective coupon barrier levels.
Therefore a contingent monthly coupon of $7.50 is paid on the relevant coupon payment date.

On each of the hypothetical observation dates 2 and 3, one underlying index closes at or above its coupon barrier level, but the
other underlying index closes below its coupon barrier level. Therefore, no contingent monthly coupon is paid on the relevant
coupon payment date.

On hypothetical observation date 4, each underlying index closes below its respective coupon barrier level, and, accordingly, no
contingent monthly coupon is paid on the relevant coupon payment date.

Y ou w ill not re c e ive a c ont inge nt m ont hly c oupon on a ny c oupon pa ym e nt da t e if t he inde x c losing va lue of
e it he r unde rlying inde x is be low it s re spe c t ive c oupon ba rrie r le ve l on t he re la t e d obse rva t ion da t e .

How to calculate the payment at maturity (if the securities have not been automatically redeemed early):

Index Closing Value
Payment at Maturity

SPX Index
RTY Index

Example 1:
2,700 (a t or a bove the
1,300 (a t or a bove the
$1,007.50 (the stated principal amount plus
downside threshold level and a t
downside threshold level and
the contingent monthly coupon with respect
or a bove the coupon barrier
a t or a bove the coupon
to the final observation date)
level)
barrier level)
Example 2:
1,900 (a t or a bove the
600 (be low the downside
$1,000 x index performance factor of the
downside threshold level)
threshold level)
worst performing underlying index =
$1,000 x (600 / 1,200) = $500
Example 3:
1,000 (be low the downside
1,600 (a t or a bove t he
$1,000 x (1,000 / 2,500) = $400
threshold level)
downside threshold level)
Example 4:
1,000 (be low the downside
600 (be low the downside
$1,000 x (1,000 / 2,500) = $400
threshold level)
threshold level)
Example 5:
1,000 (be low the downside
360 (be low the downside
$1,000 x (360 / 1,200) = $300
threshold level)
threshold level)

In example 1, the final index values of both the SPX Index and RTY Index are at or above their respective downside threshold
levels and coupon threshold levels. Therefore, investors receive at maturity the stated principal amount of the securities and the
contingent monthly coupon with respect to the final observation date. However, investors do not participate in any appreciation of
either underlying index.

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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
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In examples 2 and 3, the final index value of one underlying index is at or above its downside threshold level, but the final index
value of the other underlying index is below its downside threshold level. Therefore, investors are exposed to the downside
performance of the worst performing underlying index at maturity and receive at maturity an amount equal to the stated principal
amount times the index performance factor of the worst performing underlying index.

Similarly, in examples 4 and 5, the final index value of each underlying index is below its respective downside threshold level, and
investors receive at maturity an amount equal to the stated principal amount times the index performance factor of the worst
performing underlying index. In example 4, the SPX Index has declined 60% from its initial index value to its final index value, while
the RTY Index has declined 50% from its initial index value to its final index value. Therefore, the payment at maturity equals the
stated principal amount times the index performance factor of the SPX Index, which is the worst performing underlying index in this
example. In example 5, the SPX Index has declined 60% from its initial index value to its final index value, while the RTY Index has
declined 70% from its initial index value to its final index value. Therefore, the payment at maturity equals the stated principal
amount times the index performance factor of the RTY Index, which is the worst performing underlying index in this example.

I f t he fina l inde x va lue of EI T H ER unde rlying inde x is be low it s re spe c t ive dow nside t hre shold le ve l, you
w ill be e x pose d t o t he dow nside pe rform a nc e of t he w orst pe rform ing unde rlying inde x a t m a t urit y, a nd
your pa ym e nt a t m a t urit y w ill be le ss t ha n $ 7 0 0 pe r se c urit y a nd c ould be ze ro.

May 2020
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Morgan Stanley Finance LLC
Contingent Income Auto-Callable Securities due November 23, 2021, With 6-month Initial Non-Call Period
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he S& P 5 0 0 ® I nde x a nd t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Risk Factors

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

The securities do not guarantee the return of any principal. The terms of the securities differ from those of
ordinary debt securities in that they do not guarantee the repayment of any principal. If the securities have not been
automatically redeemed prior to maturity, and if the final index value of either underlying index is less than its downside
threshold level of 70% of its initial index value, you will be exposed to the decline in the closing value of the worst performing
underlying index, as compared to its initial index value, on a 1-to-1 basis, and you will receive for each security that you hold at
maturity an amount equal to the stated principal amount times the index performance factor of the worst performing underlying
index. I n t his c a se , t he pa ym e nt a t m a t urit y w ill be le ss t ha n 7 0 % of t he st a t e d princ ipa l a m ount a nd
c ould be ze ro.

The securities do not provide for the regular payment of interest. The terms of the securities differ from those of
ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a
contingent monthly coupon but only if the index closing value of e a c h underlying index is a t or a bove 70% of its
respective initial index value, which we refer to as the coupon barrier level, on the related observation date. If, on the other
hand, the index closing value of e it he r underlying index is lower than the coupon barrier level for such underlying index on
the relevant observation date for any interest period, we will pay no coupon on the applicable coupon payment date. It is
possible that the index closing value of one or both underlying indices will remain below the respective coupon barrier level(s)
for extended periods of time or even throughout the entire 1.5-year term of the securities so that you will receive few or no
contingent monthly coupons. If you do not earn sufficient contingent monthly coupons over the term of the securities, the
overall return on the securities may be less than the amount that would be paid on a conventional debt security of ours of
comparable maturity.

You are exposed to the price risk of both underlying indices, w ith respect to both the contingent
m ont hly c oupons, if a ny, a nd t he pa ym e nt a t m a t urit y, if a ny. Your return on the securities is not linked to a
basket consisting of both underlying indices. Rather, it will be contingent upon the independent performance of each underlying
index. Unlike an instrument with a return linked to a basket of underlying assets in which risk is mitigated and diversified among
all the components of the basket, you will be exposed to the risks related to both underlying indices. Poor performance by
e it he r underlying index over the term of the securities will negatively affect your return and will not be offset or mitigated by
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