Obbligazione Morgan Stanley Financial 0% ( US61771BBD55 ) in USD

Morgan Stanley Financial

163 USD ⇌

Stati Uniti

US61771BBD55 ( in USD )

30/05/2025 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61771BBD55 in USD 0%, scaduta

1 000 USD

320 000 USD

61771BBD5

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 US61771BBD55, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 30/05/2025

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61771BBD55, was rated NR by Moody's credit rating agency.

424B2 1 dp128917_424b2-ps4031.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Dual Directional Trigger Jump Securities due

$320,000

$41.54
2025

M a y 2 0 2 0
Pricing Supplement No. 4,031
Registration Statement Nos. 333-221595; 333-221595-01
Dated May 26, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones
Industrial AverageSM and the Russell 2000® Index due May 30, 2025
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 Dual Directional Trigger Jump Securities, which we refer to as the securities, are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and
are fully and unconditionally guaranteed by Morgan Stanley. The securities will pay no interest, do not guarantee any return of principal at maturity and have
the terms described in the accompanying product supplement for Jump Securities, index supplement and prospectus, as supplemented and modified by this
document. 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 initial index value, you will receive for each
security that you hold at maturity a minimum of $150 per security in addition to the stated principal amount. If the worst performing underlying index
appreciates by more than 15% over the term of the securities, you will receive for each security that you hold at maturity the stated principal amount plus an
amount based on the percentage increase of such worst performing underlying index. If the final index value of e it he r underlying index is less than its
respective initial index value but the final index value of e a c h underlying index is greater than or equal to its respective downside threshold value, investors
will receive the stated principal amount of their investment plus an unleveraged positive return based on the absolute value of the performance of the worst
performing underlying index, which will be effectively limited to a 30% return. However, if the final index value of e it he r underlying index is le ss t ha n its
respective downside threshold value, the payment at maturity will be significantly less than the stated principal amount of the securities by an amount that is
proportionate to the percentage decrease in the final index value of the worst performing underlying from its initial index value. Under these circumstances,
the payment at maturity will be less than $700 per security and could be zero. Ac c ordingly, you c ould lose your e nt ire init ia l inve st m e nt in
t he se c urit ie s. Because the payment at maturity on the securities is based on the worst performing of the underlying indices, a decline in e it he r final
index value below 70% of its respective initial index value will result in a significant loss on your investment, even if the other underlying index has
appreciated or has not declined as much. These long-dated securities are for investors who seek an equity index-based return and who are willing to risk
their principal, risk exposure to the worst performing of two underlying indices and forgo current income in exchange for the upside payment and absolute
return features that in each case apply to a limited range of performance of the worst performing underlying index. The securities are notes issued as part of
MSFL's Series A Global Medium-Term Notes Program.
The securities differ from the Jump Securities described in the accompanying product supplement for Jump Securities in that the securities offer the potential
for a positive return at maturity if the worst performing underlying index depreciates by no more than 30%. The securities are not the Buffered Jump
Securities described in the accompanying product supplement for Jump Securities. Unlike the Buffered Jump Securities, the securities do not provide any
protection if the worst performing underlying index depreciates by more than 30%.
All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of your inve st m e nt .
T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st in, or ot he rw ise ha ve a ny a c c e ss t o,
a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
I ssue pric e :
$1,000 per security
St a t e d princ ipa l a m ount :
$1,000 per security
Pric ing da t e :
May 26, 2020
Origina l issue da t e :
May 29, 2020 (3 business days after the pricing date)
M a t urit y da t e :
May 30, 2025
Aggre ga t e princ ipa l a m ount :
$320,000
I nt e re st :
None
U nde rlying indic e s:
The Dow Jones Industrial AverageSM (the "INDU Index") and the Russell 2000® Index (the "RTY Index")
Pa ym e nt a t m a t urit y:
· If the final index value of each underlying index is greater than or equal to its respective initial index value:
$1,000 + the greater of (i) $1,000 × the index percent change of the worst performing underlying index and
(ii) the upside payment
· If the final index value of either underlying index is less than its respective initial index value but the final index
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value of e a c h underlying index is greater than or equal to its respective downside threshold value:
$1,000 + ($1,000 × absolute index return of the worst performing underlying index)
· If the final index value of either underlying index is less than its respective downside threshold value, meaning
the value of e it he r underlying index has declined by more than 30% from its respective initial index value to its
respective final index value:
$1,000 × index performance factor of the worst performing underlying index
Under these circumstances, the payment at maturity will be significantly less than the stated principal amount of
$1,000, and will represent a loss of more than 30%, and possibly all, of your investment.
U pside pa ym e nt :
$150 per security (15% of the stated principal amount)
I nde x pe rc e nt c ha nge :
With respect to each underlying index, (final index value - initial index value) / initial index value
I nde x pe rform a nc e fa c t or:
With respect to each underlying index, final index value / initial index value
Absolut e inde x re t urn:
The absolute value of the index percent change. For example, a -5% index percent change will result in a +5%
absolute index return.
Worst pe rform ing unde rlying
The underlying index with the lesser index performance factor
inde x :
I nit ia l inde x va lue :
With respect to the INDU Index, 24,995.11, which is the index closing value of such index on the pricing date
With respect to the RTY Index, 1,393.074, which is the index closing value of such index on the pricing date
Dow nside t hre shold va lue :
With respect to the INDU Index, 17,496.577, which is 70% of the initial index value for such index
With respect to the RTY Index, 975.152, which is approximately 70% of the initial index value for such index
Fina l inde x va lue :
With respect to each underlying index, the index closing value of such index on the valuation date
V a lua t ion da t e :
May 27, 2025, subject to postponement for non-index business days and certain market disruption events
CU SI P / I SI N :
61771BBD5 / US61771BBD55
List ing:
The securities will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See
"Supplemental information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he
$898.70 per security. See "Investment Summary" on page 2.
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
$40
$960
T ot a l
$320,000
$12,800
$307,200
(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $40 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 for Jump Securities.
(2) See "Use of proceeds and hedging" on page 19.
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 8 .
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 .
Re fe re nc e s t o "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 J um p 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
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

Investment Summary

Princ ipa l a t Risk Se c urit ie s

SM
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The Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial Average
and the Russell 2000® Index due May 30, 2025 (the "securities") can be used:

As an alternative to direct exposure to the underlying indices that provides a minimum positive return of 15% if the final index
value of each underlying index is greater than or equal to its respective initial index value and offers uncapped 1-to-1
participation in the worst performing underlying index if the appreciation of such underlying index is greater than 15%;

To potentially outperform the worst performing of the Dow Jones Industrial AverageSM and the Russell 2000® Index in a
moderately bullish or moderately bearish scenario;

To obtain an unleveraged positive return for a limited range of negative performance of the worst performing underlying index

If the final index value of e it he r underlying index is less than its downside threshold value, the securities are exposed on a 1-to-1
basis to the percentage decline of the final index value of the worst performing underlying index from its respective initial index
value. Ac c ordingly, inve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he se c urit ie s.

M a t urit y:
Approximately 5 years
U pside pa ym e nt :
$150 per security (15% of the stated principal amount)
Dow nside t hre shold va lue :
For each underlying index, 70% of the respective initial index value
M inim um pa ym e nt a t
None. Investors may lose their entire initial investment in the securities.
m a t urit y:
I nt e re st :
None

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 $898.70.

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.

What determines the economic terms of the securities?

In determining the economic terms of the securities, including the upside payment and the downside threshold values, 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

May 2020
Page 2
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

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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 3
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
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 pay interest but provide a minimum positive return of 15% if the final index value of each of the Dow Jones
Industrial AverageSM and the Russell 2000® Index is greater than or equal to its respective initial index value and offer an
uncapped 1-to-1 participation in the worst performing underlying index if the appreciation of such underlying index is greater than
15%. However, if, as of the valuation date, the value of either underlying index is less than its respective downside threshold value,
the payment due at maturity will be less than $700 per security and could be zero.

Absolut e Re t urn
The securities enable investors to obtain an unleveraged positive return if the final index value of e it he r
Fe a t ure
underlying index is le ss t ha n its respective initial index value but the final index value of e a c h
underlying index is gre a t e r t ha n or e qua l t o its respective downside threshold value.
U pside Sc e na rio
If the final index value of each underlying index is greater than or equal to its respective initial index
value, the payment at maturity for each security will be equal to $1,000 plus the greater of (i) $1,000 times
the index percent change of the worst performing underlying index and (ii) the upside payment of $150.
Absolut e Re t urn
The final index value of e it he r underlying index is le ss t ha n its respective initial index value but the
Sc e na rio
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 value. In this case, you receive a 1% positive return on the securities for each 1% negative
return on the worst performing underlying index. For example, if the final index value of the worst
performing underlying index is 10% less than its respective initial index value, the securities will provide a
total positive return of 10% at maturity. The maximum return you may receive in this scenario is a positive
30% return at maturity.
Dow nside
If the final index value of either underlying index is less than its respective downside threshold value,
Sc e na rio
you will lose 1% for every 1% decline in the value of the worst performing underlying index from its initial
index value, without any buffer (e.g., a 60% depreciation in the worst performing underlying index from the
respective initial index value to the respective final index value will result in a payment at maturity of $400
per security).

Because the payment at maturity of the securities is based on the worst performing of the underlying
indices, a decline in either underlying index below its respective downside threshold value will result in a
loss of a significant portion or all of your investment, even if the other underlying index has appreciated or
has not declined as much.

May 2020
Page 4
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

Hypothetical Examples

The following hypothetical examples illustrate how to calculate the payment at maturity on the securities. The following examples
are for illustrative purposes only. The payment at maturity on the securities is subject to our credit risk. The below examples are
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based on the following terms. The actual initial index values and downside threshold values are set forth on the cover of this
document.

St a t e d Princ ipa l
$1,000 per security
Am ount :
H ypot he t ic a l I nit ia l
With respect to the INDU Index: 26,000
I nde x V a lue :
With respect to the RTY Index: 1,400
H ypot he t ic a l
With respect to the INDU Index: 18,200, which is 70% of its hypothetical initial index value
Dow nside T hre shold
With respect to the RTY Index: 980, which is 70% of its hypothetical initial index value
V a lue :
U pside Pa ym e nt :
$150 per security (15% of the stated principal amount)
I nt e re st :
None

EX AM PLE 1 : Bot h unde rlying indic e s a ppre c ia t e subst a nt ia lly, a nd inve st ors t he re fore re c e ive t he st a t e d
princ ipa l a m ount plus a re t urn re fle c t ing t he inde x pe rc e nt c ha nge of t he w orst pe rform ing unde rlying
inde x .

Final index value

INDU Index: 40,300

RTY Index: 2,100
Index percent change

INDU Index: (40,300 26,000) / 26,000 = 55%
RTY Index: (2,100 1,400) / 1,400 = 50%
Index performance factor

INDU Index: 40,300 / 26,000 = 155%
RTY Index: 2,100 / 1,400 = 150%
Payment at maturity
=
$1,000 + ($1,000 × the index percent change of the worst performing underlying
index)

=
$1,000 + $500

=
$1,500

In example 1, the final index value for the INDU Index has increased from its initial index value by 55%, and the final index value
for the RTY Index has increased from its initial index value by 50%. Because the final index value of each underlying index is at or
above its respective initial index value, and the index percent change of the worst performing underlying index is greater than the
minimum positive return of 15%, investors receive at maturity the stated principal amount plus 1-to-1 participation in the
performance of the worst performing underlying index. Investors receive $1,500 per security at maturity.

EX AM PLE 2 : T he fina l inde x va lue s of bot h unde rlying indic e s a re a t or a bove t he ir re spe c t ive init ia l inde x
va lue s but t he w orst pe rform ing unde rling inde x ha s not a ppre c ia t e d by m ore t ha n 1 5 % , a nd inve st ors
t he re fore re c e ive t he st a t e d princ ipa l a m ount plus t he upside pa ym e nt .

Final index value

INDU Index: 32,500

RTY Index: 1,540
Index percent change

INDU Index: (32,500 26,000) / 26,000 = 25%
RTY Index: (1,540 1,400) / 1,400 = 10%
Index performance factor

INDU Index: 32,500 / 26,000 = 125%
RTY Index: 1,540 / 1,400 = 110%
Payment at maturity
=
$1,000 + upside payment
May 2020
Page 5
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

=
$1,000 + $150

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=
$1,150

In example 2, the final index value for the INDU Index has increased from its initial index value by 25%, and the final index value
for the RTY Index has increased from its initial index value by 10%. Because the final index value of each underlying index is at or
above its respective initial index value, investors receive at maturity the stated principal amount plus the upside payment of $150.
Investors receive $1,150 per security at maturity.

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

Final index value

INDU Index: 36,400

RTY Index: 1,190
Index percent change

INDU Index: (36,400 26,000) / 26,000 = 40%
RTY Index: (1,190 1,400) / 1,400 = -15%
Index performance factor

INDU Index: 36,400 / 26,000 = 140%
RTY Index: 1,190 / 1,400 = 85%
Payment at maturity
=
$1,000 + ($1,000 × absolute index return of the worst performing underlying
index)

=
$1,000 + ($1,000 × 15%)

=
$1,150

In example 3, the final index value of the INDU Index is greater than its respective initial index value, while the final index value of
the RTY Index is less than its respective initial index value but greater than its respective downside threshold value. While the
INDU Index has appreciated by 40%, the RTY index has declined by 15%. Therefore, investors receive at maturity the stated
principal amount plus a return reflecting the absolute value of the performance of the worst performing underlying index, which is
the RTY Index in this example. Investors receive $1,150 per security at maturity. In this example, investors receive a positive return
even though one of the underlying indices declined in value by 15%, due to the absolute return feature of the securities and
because neither underlying index declined beyond its respective downside threshold value.

EX AM PLE 4 : T he fina l inde x va lue of one of t he unde rlying indic e s is le ss t ha n it s re spe c t ive dow nside
t hre shold va lue . I nve st ors a re t he re fore e x pose d t o t he full de c line in t he w orst pe rform ing unde rlying
inde x from it s init ia l inde x va lue .

Final index value

INDU Index: 31,200

RTY Index: 630
Index percent change

INDU Index: (31,200 26,000) / 26,000 = 20%
RTY Index: (630 1,400) / 1,400 = -55%
Index performance factor

INDU Index: 31,200 / 26,000 = 120%
RTY Index: 630 / 1,400 = 45%
Payment at maturity
=
$1,000 × index performance factor of the worst performing underlying index

=
$1,000 × 45%

=
$450
In example 4, the final index value for the INDU Index has increased from its initial index value by 20%, and the final index value
for the RTY Index has decreased from its initial index value by 55%. Because one of the underlying indices has declined below its
respective downside threshold value, investors do not receive the upside payment and instead are exposed to the full negative
performance of the RTY Index, which is the worst performing underlying index in this example. Under these circumstances,
investors lose 1% of the stated principal amount for every 1% decline in

May 2020
Page 6
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
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Princ ipa l a t Risk Se c urit ie s

the value of the worst performing underlying index from its initial index value. In this example, investors receive a payment at
maturity equal to $450 per security, resulting in a loss of 55%.

EX AM PLE 5 : T he fina l inde x va lue of e a c h unde rlying inde x is le ss t ha n it s re spe c t ive init ia l inde x va lue but
is gre a t e r t ha n it s re spe c t ive dow nside t hre shold va lue .

Final index value

INDU Index: 22,100

RTY Index: 1,176
Index percent change

INDU Index: (22,100 26,000) / 26,000 = -15%
RTY Index: (1,176 1,400) / 1,400 = -16%
Index performance factor

INDU Index: 22,100 / 26,000 = 85%
RTY Index: 1,176 / 1,400 = 84%
Payment at maturity
=
$1,000 + ($1,000 × absolute index return of the worst performing underlying
index)

=
$1,000 + ($1,000 × 16%)

=
$1,160

In example 5, the final index value of each underlying index is less than its respective initial index value but is greater than its
respective downside threshold value. The INDU index has declined by 15% while the RTY Index has declined by 16%. Therefore,
investors receive at maturity the stated principal amount plus a return reflecting the absolute value of the performance of the worst
performing underlying index, which is the RTY Index in this example. Investors receive $1,160 per security at maturity.

EX AM PLE 6 : T he fina l inde x va lue s of bot h unde rlying indic e s a re le ss t ha n t he ir re spe c t ive dow nside
t hre shold va lue s. I nve st ors a re t he re fore e x pose d t o t he full de c line in t he w orst pe rform ing unde rlying
inde x from it s init ia l inde x va lue .

Final index value

INDU Index: 5,200

RTY Index: 560
Index percent change

INDU Index: (5,200 26,000) / 26,000 = -80%
RTY Index: (560 1,400) / 1,400 = -60%
Index performance factor

INDU Index: 5,200 / 26,000 = 20%
RTY Index: 560 / 1,400 = 40%
Payment at maturity
=
$1,000 × index performance factor of the worst performing underlying index

=
$1,000 × 20%

=
$200

In example 6, the final index value for the INDU Index has decreased from its initial index value by 80%, and the final index value
for the RTY Index has decreased from its initial index value by 60%. Because one or more underlying indices have declined below
their respective downside threshold values, investors do not receive the upside payment and instead are exposed to the full
negative performance of the INDU Index, which is the worst performing underlying index in this example. Under these
circumstances, investors lose 1% of the stated principal amount for every 1% decline in the value of the worst performing
underlying index from its initial index value. In this example, investors receive a payment at maturity equal to $200 per security,
resulting in a loss of 80%.

I f t he fina l inde x va lue of e it he r of t he unde rlying indic e s is le ss t ha n it s re spe c t ive dow nside t hre shold
va lue , you w ill re c e ive a n a m ount in c a sh t ha t is signific a nt ly le ss t ha n t he $ 1 ,0 0 0 st a t e d princ ipa l a m ount
of e a c h se c urit y by a n a m ount proport iona t e t o t he full de c line in t he le ve l of t he w orst pe rform ing
unde rlying inde x from it s init ia l inde x va lue ove r t he t e rm of t he se c urit ie s, a nd you w ill lose a signific a nt
port ion or a ll of your inve st m e nt .

May 2020
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Morgan Stanley Finance LLC
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Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the 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. You should also consult with your investment, legal, tax, accounting and other advisers in connection with your
investment in the securities.

The securities do not pay interest or guarantee the return of any principal. The terms of the securities differ
from those of ordinary debt securities in that the securities do not pay interest or guarantee the payment of any principal at
maturity. At maturity, you will receive for each $1,000 stated principal amount of securities that you hold an amount in cash
based upon the final index value of each underlying index. If the final index value of e it he r underlying index is less than 70%
of its respective initial index value, the absolute return feature will no longer be available and the payment at maturity will be an
amount in cash that is significantly less than the $1,000 stated principal amount of each security by an amount proportionate to
the full decline in the final index value of the worst performing underlying index from its initial index value over the term of the
securities, and you will lose a significant portion or all of your investment. T he re is no m inim um pa ym e nt a t m a t urit y
on t he se c urit ie s, a nd, a c c ordingly, you c ould lose your e nt ire inve st m e nt .

You are exposed to the price risk of both underlying indices. Your return on the securities is not linked to a basket
consisting of both underlying indices. Rather, it will be based upon the independent performance of each underlying index.
Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all
the components of the basket, you will be exposed to the risks related to both underlying indices. Poor performance by either
underlying index over the term of the securities will negatively affect your return and will not be offset or mitigated by any
positive performance by the other underlying index. If the final index value of either underlying index declines to below 70% of
its respective initial index value, you will be fully exposed to the negative performance of the worst performing underlying index
at maturity, even if the other underlying index has appreciated or has not declined as much. Ac c ordingly, your
inve st m e nt is subje c t t o t he pric e risk of bot h unde rlying indic e s.

Because the securities are linked to the performance of the w orst performing underlying index, you are
e x pose d t o gre a t e r risk of sust a ining a signific a nt loss on your inve st m e nt t ha n if t he se c urit ie s w e re
link e d t o just one unde rlying inde x . The risk that you will suffer a significant loss on your investment is greater if you
invest in the securities as opposed to substantially similar securities that are linked to the performance of just one underlying
index. With two underlying indices, it is more likely that the final index value of either underlying index will decline to below its
respective downside threshold value than if the securities were linked to only one underlying index. Therefore, it is more likely
that you will suffer a significant loss on your investment.

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

The securities w ill not be listed on any securities exchange and secondary trading may be limited. The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
Morgan Stanley & Co. LLC, which we refer to as 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. 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

May 2020
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Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

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.

The market price of the securities may be influenced by many unpredictable factors. 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, including:

the values of the underlying indices at any time (including in relation to their initial index values),

the volatility (frequency and magnitude of changes in value) of the underlying indices,

dividend rates on the securities underlying the underlying indices,

interest and yield rates in the market,

geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component
stocks of the underlying indices or securities markets generally and which may affect the value of the underlying
indices,

the time remaining until the maturity of the securities,

the composition of the underlying indices and changes in the constituent stocks of the underlying indices, and

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

Generally, the longer the time remaining to maturity, the more the market price of the securities will be affected by the other
factors described above. Some or all of these factors will influence the price you will receive if you sell your securities prior to
maturity. In particular, you may have to sell your securities at a substantial discount from the stated principal amount if at the
time of sale the value of either underlying index is near, at or below its respective downside threshold value.

You cannot predict the future performance of the underlying indices based on their historical performance. If the final index
value of either underlying index is less than 70% of its respective initial index value, you will be exposed on a 1-to-1 basis to
the full decline in the final index value of the worst performing underlying index from its respective initial index value. There
can be no assurance that the final index value of each underlying index will be greater than or equal to 70% of its respective
initial index value so that you will receive at maturity an amount that is greater than the $1,000 stated principal amount for
each security you hold, or that you will not lose a significant portion or all of your investment.

The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings
or c re dit spre a ds m a y a dve rse ly a ffe c t t he m a rk e t va lue of t he se c urit ie s. You are dependent on our ability to
pay all amounts due on the securities at maturity 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 the credit spreads charged by the market
for taking our credit risk is likely to adversely affect the market value of the securities.

As a finance subsidiary, MSFL has no independent operations and w ill have no independent assets. As a
finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have
no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities
in 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
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creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

May 2020
Page 9
Morgan Stanley Finance LLC
Dual Directional Trigger Jump Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM and
the Russell 2000® Index due May 30, 2025
Princ ipa l a t Risk Se c urit ie s

The rate w e are w illing to pay for securities of this type, maturity and issuance size is likely to be low er
t ha n t he ra t e im plie d by our se c onda ry m a rk e t c re dit spre a ds a nd a dva nt a ge ous t o us. Bot h t he low e r
ra t e a nd t he inc lusion of c ost s a ssoc ia t e d w it h issuing, se lling, st ruc t uring a nd he dging t he se c urit ie s in
t he origina l issue pric e re duc e t he e c onom ic t e rm s of t he 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 origina l issue pric e a nd w ill a dve rse ly a ffe c t se c onda ry m a rk e t pric e s.
Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS &
Co., are willing to purchase the securities in secondary market transactions will likely be significantly lower than the original
issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are
included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as
well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the securities in the original issue price and the lower rate
we are willing to pay as issuer make the economic terms of the securities less favorable 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 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, and we expect that those
higher values will also be reflected in your brokerage account statements.

The estimated value of the securities is determined by reference to our pricing and valuation models,
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 pricing
date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your
notes in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this
document will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes
in market conditions. See also "The market price of the securities may be influenced by many unpredictable factors" above.

The securities are linked to the Russell 2000® Index and are subject to risks associated w ith small-
c a pit a liza t ion c om pa nie s. As the Russell 2000® Index is one of the underlying indices, and the Russell 2000® Index
consists of stocks issued by companies with relatively small market capitalization, the securities are linked to the value of small-
capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than
large-capitalization companies and therefore the Russell 2000® Index may be more volatile than indices that consist of stocks
issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of
large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization
companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable
financially than large-capitalization companies and may depend on a small number of key personnel, making them more
vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of
their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies
and are more susceptible to adverse developments related to their products.

Investing in the securities is not equivalent to investing in the underlying indices. Investing in the securities
is not equivalent to investing in either underlying index or the component stocks of either underlying index. Investors in the
securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks
that constitute the underlying indices.

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