Obligation Morgan Stanley Financial 0% ( US61766B5158 ) en USD

Société émettrice Morgan Stanley Financial
Prix sur le marché refresh price now   100 %  ▲ 
Pays  Etas-Unis
Code ISIN  US61766B5158 ( en USD )
Coupon 0%
Echéance 30/06/2026



Prospectus brochure de l'obligation Morgan Stanley Finance US61766B5158 en USD 0%, échéance 30/06/2026


Montant Minimal 1 000 USD
Montant de l'émission 5 502 000 USD
Cusip 61766B515
Notation Standard & Poor's ( S&P ) N/A
Notation Moody's NR
Description détaillée Morgan Stanley est une firme mondiale de services financiers offrant des services de banque d'investissement, de gestion de placements, de courtage et de gestion de patrimoine à une clientèle institutionnelle et privée.

L'Obligation émise par Morgan Stanley Financial ( Etas-Unis ) , en USD, avec le code ISIN US61766B5158, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 30/06/2026

L'Obligation émise par Morgan Stanley Financial ( Etas-Unis ) , en USD, avec le code ISIN US61766B5158, a été notée NR par l'agence de notation Moody's.







424B2 1 dp66821_424b2-ps942.htm FORM 424B2
CALCULATION OF REGISTRATION FEE



Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee


Trigger GEARS Securities due 2026

$5,501,720

$554.02

Pricing Supplement No. 942
Registration Statement Nos. 333-200365; 333-200365-12
Dated June 27, 2016
Filed Pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC $5,501,720 Trigger GEARS
Linked to the S&P 500® Index due June 30, 2026
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 1.93. 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. These long-dated 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 som e 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
K e y Da t e s *
Enhanced Grow th Potential: If the Underlying Return is greater
Trade Date
June 27, 2016
than zero, the Upside Gearing feature will provide leveraged exposure
Settlement Date
June 30, 2016
to the positive performance of the Underlying, and MSFL will pay the
Final Valuation Date*
June 25, 2026
Principal Amount at maturity plus pay a return equal to the Underlying
Maturity Date*
June 30, 2026
Return multiplied by the Upside Gearing. If the Underlying Return is


less than zero, investors may be exposed to the negative Underlying
*Subject to postponement in the event of a Market Disruption Event or for
Return at maturity.
non-Index Business Days. See "Postponement of Final Valuation Date and
Contingent Repayment of Principal at Maturity: If the
Maturity Date" under "Additional Terms of the Securities."
Underlying Return is equal to or less than zero and the Final Level is
not less than the Downside Threshold, MSFL will pay the Principal
Amount at maturity. However, if the Final Level is less than the
Downside Threshold, MSFL will pay less than the full Principal
Amount, if anything, resulting in a significant loss of principal that is
proportionate to the negative Underlying Return. The contingent
repayment of principal applies only if you hold the Securities to
maturity. Any payment on the Securities, including any repayment of
principal, is subject to our creditworthiness.

T H E SECU RI 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 PRI N CI PAL AM OU N T OF T H E SECU RI T I ES. T H E SECU RI T I ES 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 SI GN I FI CAN T
PORT I ON OR ALL OF Y OU R I N V EST M EN T AT 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 OBLI GAT I ON S. Y OU SH OU LD N OT PU RCH ASE T H E SECU RI 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 I N V EST I N G I N T H E SECU RI T I ES.
T H E SECU RI T I ES WI LL N OT BE LI ST ED ON AN Y SECU RI T I ES EX CH AN GE.

Y OU 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 PU RCH ASE OF T H E SECU RI T I ES. EV EN T S RELAT I N G T O AN Y OF T H OSE RI SK S,
OR OT 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, AN D T H E RET U RN ON , Y OU R
SECU RI T I ES.
Se c urit y Offe ring
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


We are offering Trigger GEARS linked to the S&P 500® Index. The Securities are not subject to a predetermined maximum gain and, accordingly, any
return at maturity will be determined by the performance of the Underlying. The Securities are offered at a minimum investment of 100 Securities at the
Price to Public 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
1,000.27, which is 50%
S&P 500® Index
2,000.54
1.93
61766B515
US61766B5158
of 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
$8.90 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
$0.50
$9.50
Total
$5,501,720
$275,086
$5,226,634
(1) UBS Financial Services Inc., acting as dealer, will receive from Morgan Stanley & Co. LLC, the agent, a fixed sales commission of $0.50 for each
Security it sells. For more information, please see "Supplemental Plan of Distribution; Conflicts of Interest" on page 21 of this pricing supplement.
(2) See "Use of Proceeds and Hedging" on page 20.
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 21 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 February 16, 2016:
https://www.sec.gov/Archives/edgar/data/895421/000095010316011144/dp63491_424b2-seriesa.htm

Index supplement dated February 29, 2016:
http://www.sec.gov/Archives/edgar/data/895421/000095010316011495/dp63838_424b2-msflisupple.htm

Prospectus dated February 16, 2016:
https://www.sec.gov/Archives/edgar/data/895421/000095010316011142/dp63500_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 February 16, 2016, the prospectus supplement filed by MSFL and Morgan
Stanley dated February 16, 2016 and the index supplement filed by MSFL and Morgan Stanley dated February 29, 2016,
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.
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]



If the terms discussed in this pricing supplement differ from those discussed in the prospectus supplement, index supplement or
prospectus, the terms contained in this pricing supplement will control.

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 $8.90.

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.

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


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

the Underlying.
¨ You understand the characteristics of the Underlying.


¨ You require an investment designed to provide a full return of
¨ You are willing to hold the Securities to maturity, as set forth
principal at maturity.
on the cover of this pricing supplement, and accept that

there may be little or no secondary market for the Securities. ¨ You do not understand the characteristics of the Underlying.


¨ You believe the Underlying will appreciate over the term of the ¨ You are unable or unwilling to hold the Securities to maturity,
Securities and you are willing to invest in the Securities
as set forth on the cover of this pricing supplement, or you
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


based on the Upside Gearing of 1.93.
seek an investment for which there will be an active

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

Downside Threshold on the Final Valuation Date.
¨ You do not seek current income from your investment and are
willing to forgo dividends paid on the stocks included in the
¨ You are unwilling to invest in the Securities based on the
Underlying.
Upside Gearing of 1.93.


¨ You are willing to assume our credit risk, and understand that
¨ You prefer the lower risk, and, therefore, accept the potentially
if we default on our obligations you may not receive any
lower returns, of conventional debt securities with
amounts due to you including any repayment of principal.
comparable maturities issued by us or another issuer with a

similar credit rating.

¨ 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 4 .


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
Guarantor
Morgan Stanley
is determined and the Upside Gearing is set.
Issue Price (per
$10.00 per Security

Security)

Principal Amount
$10.00 per Security

Term
10 years


Underlying
S&P 500® Index

Downside
1,000.27, which is 50% of the Initial Level

Threshold

Upside Gearing
1.93
The Final Level and Underlying Return are
determined on the Final Valuation Date.
Payment at Maturity I f t he U nde rlying Re t urn is gre a t e r

(per Security)
t ha n ze ro , MSFL will pay you an

amount calculated as follows:


I f t he U nde rlying Re t urn is gre a t e r
$10 + [$10 × (Underlying Return ×
t ha n ze ro , MSFL will pay you a cash
Upside Gearing)]
payment per Security equal to:


I f t he U nde rlying Re t urn is le ss

https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


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
$10 + [$10 × (Underlying Return × Upside
e qua l t o t he Dow nside T hre shold,
Gearing)]
MSFL will pay you a cash payment of:



$10 per Security


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

V a lua t ion Da t e , MSFL will pay you a cash
$10 + ($10 × Underlying Return)
payment of $10 per $10 Security.


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
I f t he Fina l Le ve l is le ss t ha n t he
ne ga t ive U nde rlying Re t urn.
Dow nside T hre shold on t he Fina l

V a lua t ion Da t e , MSFL will pay you a cash
Underlying Return
Final Level ­ Initial Level
payment at maturity equal to:

Initial Level

Initial Level
2,000.54, which is the Closing Level of the

Underlying on the Trade Date.

Final Level
The Closing Level of the Underlying on
$10 + ($10 × Underlying Return)
the Final Valuation Date.


Final Valuation
June 25, 2026, subject to postponement in

Date
the event of a Market Disruption Event or

for non-Index Business Days.
U nde r t he se c irc um st a nc e s, you w ill
CUSIP / ISIN
61766B515 / US61766B5158
lose a signific a nt port ion, a nd c ould
Calculation Agent
Morgan Stanley & Co. LLC
lose a ll, of your Princ ipa l Am ount .

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 50% 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 50% 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
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


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. 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. 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

5

Threshold, or if market interest rates rise. You cannot predict the future performance of the Underlying based on its historical
performance.


https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


T he proba bilit y t ha t t he Fina l Le ve l w ill be le ss t ha n t he Dow nside T hre shold w ill de pe nd on t he
vola t ilit y of t he U nde rlying -- "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 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 17 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
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


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

6

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.

¨
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
https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


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. For example, under one possible treatment, the IRS could
seek to recharacterize the Securities as debt instruments. In that event, U.S. Holders 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. Please read carefully the discussion under "What Are the Tax

7

Consequences of the Securities" in this pricing supplement concerning the U.S. federal income tax consequences of an
investment in 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; the degree, if any, to which income (including any
mandated accruals) realized by non-U.S. investors 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

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 1.93 and the following terms*:

Investment term:
10 years
Hypothetical Initial Level:
2,000
Hypothetical Downside Threshold:
1,000 (50% of the hypothetical Initial Level)
Upside Gearing:
1.93

https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


* The actual Initial Level and Downside Threshold are specified on the cover of this pricing supplement.

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% × 1.93)] = $11.93

Because the Underlying Return is equal to 10.00%, the Payment at Maturity is equal to $11.93 per $10.00 Principal Amount of
Securities, resulting in a total return on the Securities of 19.30%.

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 8 0 0 . The
Underlying Return is negative and expressed as a formula:

Underlying Return = (800 - 2,000) / 2,000 = -60.00%

Payment at Maturity = $10 + ($10 × -60.00%) = $4.00

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 $4.00 per $10.00 Principal Amount of Securities, resulting in a total loss on the Securities of
60.00%.

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
Return on Securities
Final Level
Underlying Return
Upside Gearing
Payment at Maturity
Purchased at $10.00(1)

4,000.00
100.00%
1.93
$29.30
193.00%

3,800.00
90.00%
1.93
$27.37
173.70%

3,600.00
80.00%
1.93
$25.44
154.40%

https://www.sec.gov/Archives/edgar/data/895421/000095010316014442/dp66821_424b2-ps942.htm[6/30/2016 10:37:52 AM]


Document Outline