Obligation Morgan Stanley Financial 0% ( US61766B6974 ) en USD

Morgan Stanley Financial

100 % ▲

Etas-Unis

US61766B6974 ( en USD )

31/07/2026

Prospectus brochure de l'obligation Morgan Stanley Finance US61766B6974 en USD 0%, échéance 31/07/2026

1 000 USD

3 320 000 USD

61766B697

N/A

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 US61766B6974, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/07/2026

424B2 1 dp67510_424b2-ps988.htm FORM 424B2

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Trigger GEARS Securities due 2026

$3,320,300

$334.35

Pricing Supplement No. 988
Registration Statement Nos. 333-200365; 333-200365-12
Dated July 27, 2016
Filed Pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC $3,320,300 Trigger GEARS
Linked to the EURO STOXX 50® Index due July 31, 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 EURO STOXX 50® 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 2.06. 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 than zero, the Upside
Trade Date
July 27, 2016
Gearing feature will provide leveraged exposure to the positive performance of the
Settlement Date
July 29, 2016
Underlying, and MSFL will pay the Principal Amount at maturity plus pay a return equal to
Final Valuation Date*
July 28, 2026
the Underlying Return multiplied by the Upside Gearing. If the Underlying Return is less
Maturity Date*
July 31, 2026
than zero, investors may be exposed to the negative Underlying Return at maturity.
Contingent Repayment of Principal at Maturity: If the Underlying Return is equal * Subject to postponement in the event of a Market Disruption Event or for non-Index Business Days. See
to or less than zero and the Final Level is not less than the Downside Threshold, MSFL
"Postponement of Final Valuation Date and Maturity Date" under "Additional Terms of the Securities."
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
We are offering Trigger GEARS linked to the EURO STOXX 50® 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
1,949.66, which is
EURO STOXX 50® Index
2,999.48
2.06
approximately 65% of the
61766B697
US61766B6974
Initial Level
Se e "Addit iona l I nform a t ion a bout M orga n St a nle y, M SFL a nd t he Se c urit ie s" on pa ge 2 . T he Se c urit ie s w ill ha ve t he t e rm s se t fort h in t he a c c om pa nying
prospe c t us, prospe c t us supple m e nt a nd inde x supple m e nt a nd t his pric ing supple m e nt .
Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of these Securities or passed upon the adequacy or accuracy of this pricing
supplement or the accompanying prospectus supplement, index supplement and prospectus. Any representation to the contrary is a criminal offense. The Securities are not deposits or savings
accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
Est im a t e d va lue on t he T ra de Da t e
$9.065 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
$3,320,300
$166,015
$3,154,285
(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
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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:
http://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:
http://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.

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 $9.065.

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

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

¨ You understand the characteristics of the Underlying.
¨ You require an investment designed to provide a full return of principal at maturity.

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

¨ You are unable or unwilling to hold the Securities to maturity, as set forth on the cover of
¨ You believe the Underlying will appreciate over the term of the Securities and you are
this pricing supplement, or you seek an investment for which there will be an active
willing to invest in the Securities based on the Upside Gearing of 2.06.
secondary market.

¨ You can tolerate fluctuations of the price of the Securities prior to maturity that may be
¨ You believe that the level of the Underlying will decline during the term of the Securities
similar to or exceed the downside fluctuations in the level of the Underlying.
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
¨ You are unwilling to invest in the Securities based on the Upside Gearing of 2.06.
paid on the stocks included in the Underlying.

¨ You prefer the lower risk, and, therefore, accept the potentially lower returns, of
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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

¨ You seek current income from your investment or prefer to receive the dividends paid on
the stocks included in the Underlying.

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

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

T ra de Da t e
The Closing Level of the Underlying (Initial Level) is observed, the
Guarantor
Morgan Stanley

Downside Threshold is determined and the Upside Gearing is set.
Issue Price (per
$10.00 per Security

Security)
The Final Level and Underlying Return are determined on the Final
Principal Amount
$10.00 per Security
Valuation Date.
Term
Approximately 10 years
Underlying
EURO STOXX 50® Index
Downside Threshold
1,949.66, which is approximately 65% of the Initial Level

Upside Gearing
2.06

I f t he U nde rlying Re t urn is gre a t e r t ha n ze ro , MSFL will pay
you a cash payment per Security equal to:
Payment at Maturity
I f t he U nde rlying Re t urn is gre a t e r t ha n ze ro , MSFL will

(per Security)
pay you an amount calculated as follows:
$10 + [$10 × (Underlying Return × Upside Gearing)]
$10 + [$10 × (Underlying Return × Upside Gearing)]

I f t he U nde rlying Re t urn is le ss t ha n or e qua l t o ze ro a nd
I f t he U nde rlying Re t urn is le ss t ha n or e qua l t o ze ro a nd
t he Fina l Le ve l is gre a t e r t ha n or e qua l t o t he Dow nside
t he Fina l Le ve l is gre a t e r t ha n or e qua l t o t he Dow nside
T hre shold, MSFL will pay you a cash payment of:
M a t urit y Da t e
T hre shold on t he Fina l V a lua t ion Da t e , MSFL will pay you a
$10 per Security
cash payment of $10 per $10 Security.

I f t he Fina l Le ve l is le ss t ha n t he Dow nside T hre shold,
I f t he Fina l Le ve l is le ss t ha n t he Dow nside T hre shold on
MSFL will pay you an amount calculated as follows:
t he Fina l V a lua t ion Da t e , MSFL will pay you a cash payment at
$10 + ($10 × Underlying Return)
maturity equal to:
I n t his c a se , you c ould lose up t o a ll of your Princ ipa l

Am ount in a n a m ount proport iona t e t o t he ne ga t ive
$10 + ($10 × Underlying Return)
U nde rlying Re t urn.

Underlying Return
Final Level Initial Level

U nde r t he se c irc um st a nc e s, you w ill lose a signific a nt

Initial Level

port ion, a nd c ould lose a ll, of your Princ ipa l Am ount .
Initial Level
2,999.48, which is the Closing Level of the Underlying on the Trade
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
Date.
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
Final Level
The Closing Level of the Underlying on the Final Valuation Date.
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
Final Valuation Date
July 28, 2026, subject to postponement in the event of a Market
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 .
Disruption Event or for non-Index Business Days.

CUSIP / ISIN
61766B697 / US61766B6974
4
Calculation Agent
Morgan Stanley & Co. LLC

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 65% 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 35% less than the $10 Principal Amount of each Security, resulting in a loss proportionate to the
decrease in the value of the Underlying from the Initial Level to the Final Level. There is no minimum payment at maturity on the Securities, and, accordingly, you could lose all of your
Principal Amount in the Securities.

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

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

¨
T he Se c urit ie s a re subje c t t o our c re dit risk , a nd a ny a c t ua l or a nt ic ipa t e d c ha nge s t o our c re dit ra t ings or our c re dit spre a ds m a y a dve rse ly a ffe c t t he
m a rk e t va lue of t he Se c urit ie s You are dependent on our ability to pay all amounts due on the Securities at maturity, if any, and therefore you are subject to our credit risk. If we
default on our obligations under the Securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Securities prior to
maturity will be affected by changes in the market's view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in our credit spreads charged by the
market for taking our credit risk is likely to adversely affect the market value of the Securities.

¨
As a fina nc e subsidia ry, M SFL ha s no inde pe nde nt ope ra t ions a nd w ill ha ve no inde pe nde nt a sse t s As a finance subsidiary, MSFL has no independent operations
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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.

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

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

¨
T he Se c urit ie s a re link e d t o t he EU RO ST OX X 5 0 ® I nde x a nd a re subje c t t o risk s a ssoc ia t e d w it h inve st m e nt s in se c urit ie s link e d t o t he va lue of fore ign
e quit y se c urit ie s The Securities are linked to the value of foreign equity securities. Investments in securities linked to the value of foreign equity securities involve risks associated with
the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries.
Although the equity securities included in the EURO STOXX 50® Index are traded in foreign currencies, the value of your Securities (as measured in U.S. dollars) will not be adjusted for any
exchange rate fluctuations. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the
United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those
applicable to U.S. reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global
regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number of securities and may be unable to
respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ
favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and
balance of payment positions.

¨
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
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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

6

about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value
of the Securities than those generated by others, including other dealers in the market, if they attempted to value the Securities. In addition, the estimated value on the Trade Date does not
represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your Securities in the secondary market (if any exists) at any time. The value of
your Securities at any time after the date of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in
market conditions. See also "The market price of the Securities may be influenced by many unpredictable factors" above.

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

¨
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.

7

¨
U nc e rt a in T a x T re a t m e nt Please note that the discussions in this pricing supplement concerning the U.S. federal income tax consequences of an investment in the Securities
supersede the discussions contained in the accompanying prospectus supplement. Subject to the discussion under "What Are the Tax Consequences of the Securities" in this pricing
supplement, although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our
counsel, Davis Polk & Wardwell LLP ("our counsel"), under current law, and based on current market conditions, each Security should be treated as a single financial contract that is an
"open transaction" for U.S. federal income tax purposes.

If the Internal Revenue Service (the "IRS") were successful in asserting an alternative treatment for the Securities, the timing and character of income on the Securities might differ
significantly. 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 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
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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 2.06 and the
following terms*:

Investment term:
Approximately 10 years
Hypothetical Initial Level:
3,500
Hypothetical Downside Threshold:
2,275 (65% of the hypothetical Initial Level)
Upside Gearing:
2.06

* 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 3 ,5 0 0 t o a Fina l Le ve l of 3 ,8 5 0 . The Underlying Return is greater than zero and expressed as a
formula:

Underlying Return = (3,850 - 3,500) / 3,500 = 10.00%
Payment at Maturity = $10 + [$10 × (10.00% × 2.06)] = $12.06

Because the Underlying Return is equal to 10.00%, the Payment at Maturity is equal to $12.06 per $10.00 Principal Amount of Securities, resulting in a total return on the Securities of 20.60%.

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 3 ,5 0 0 . The Underlying Return is zero and expressed as a formula:

Underlying Return = (3,500 3,500) / 3,500 = 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 3 ,5 0 0 t o a Fina l Le ve l of 3 ,1 5 0 . The Underlying Return is negative and expressed as a formula:

Underlying Return = (3,150 - 3,500) / 3,500 = -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 3 ,5 0 0 t o a Fina l Le ve l of 1 ,4 0 0 . The Underlying Return is negative and expressed as a formula:

Underlying Return = (1,400 - 3,500) / 3,500 = -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 Purchased at
Final Level
Underlying Return
Upside Gearing
Payment at Maturity
$10.00(1)
7,000
100.00%
2.06
$30.60
206.00%
6,650
90.00%
2.06
$28.54
185.40%
6,300
80.00%
2.06
$26.48
164.80%
5,950
70.00%
2.06
$24.42
144.20%
5,600
60.00%
2.06
$22.36
123.60%
5,250
50.00%
2.06
$20.30
103.00%
4,900
40.00%
2.06
$18.24
82.40%
4,550
30.00%
2.06
$16.18
61.80%
4,200
20.00%
2.06
$14.12
41.20%
3,850
10.00%
2.06
$12.06
20.60%
3,500
0.00%
N/A
$10.00
0.00%
3,150
-10.00%
N/A
$10.00
0.00%
2,800
-20.00%
N/A
$10.00
0.00%
2,450
-30.00%
N/A
$10.00
0.00%
2,275
-35.00%
N/A
$10.00
0.00%
2,240
-36.00%
N/A
$6.40
-36.00%
2,100
-40.00%
N/A
$6.00
-40.00%
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

1,750
-50.00%
N/A
$5.00
-50.00%
1,400
-60.00%
N/A
$4.00
-60.00%
1,050
-70.00%
N/A
$3.00
-70.00%
700
-80.00%
N/A
$2.00
-80.00%
350
-90.00%
N/A
$1.00
-90.00%
0
-100.00%
N/A
$0.00
-100.00%

* The Underlying excludes cash dividend payments on stocks included in the Underlying.
(1) This "Return on Securities" is the number, expressed as a percentage, that results from comparing the Payment at Maturity per $10 Principal Amount Security to the purchase price of $10 per Security.

10

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

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

purchase the Securities at their "issue price"; and

hold the Securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the "Code").

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

certain financial institutions;

insurance companies;

certain dealers and traders in securities or commodities;

investors holding the Securities as part of a "straddle," wash sale, conversion transaction, integrated transaction or constructive sale transaction;

U.S. Holders (as defined below) whose functional currency is not the U.S. dollar;

partnerships or other entities classified as partnerships for U.S. federal income tax purposes;

regulated investment companies;

real estate investment trusts; or

tax-exempt entities, including "individual retirement accounts" or "Roth IRAs" as defined in Section 408 or 408A of the Code, respectively.

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

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

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

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

Ge ne ra l

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

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

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

11

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

a citizen or individual resident of the United States;

a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof or the District of Columbia; or

an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.

Tax Treatment of the Securities

Assuming the treatment of the Securities as set forth above is respected, the following U.S. federal income tax consequences should result.
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

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

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

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

Possible Alternative Tax Treatments of an Investment in the Securities

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

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

Backup Withholding and Information Reporting

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

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

12

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

an individual who is classified as a nonresident alien;

a foreign corporation; or

a foreign estate or trust.

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

a holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S.
federal income tax purposes;

certain former citizens or residents of the United States; or

a holder for whom income or gain in respect of the Securities is effectively connected with the conduct of a trade or business in the United States.

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

Tax Treatment upon Sale, Exchange or Settlement of the Securities

In general. Assuming the treatment of the Securities as set forth above is respected, and subject to the discussion below regarding backup withholding, a Non-U.S. Holder of the Securities will
not be subject to U.S. federal income or withholding tax in respect of amounts paid to the Non-U.S. Holder.

Subject to the discussion below regarding the possible application of FATCA, if all or any portion of a Security were recharacterized as a debt instrument, any payment made to a Non-U.S.
Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:

the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes of Morgan Stanley stock entitled to vote;

the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to Morgan Stanley through stock ownership;

the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code, and

the certification requirement described below has been fulfilled with respect to the beneficial owner.

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

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of "prepaid forward contracts" and similar instruments.
Among the issues addressed in the notice is the degree, if any, to which any income with respect to these instruments should be subject to U.S. withholding tax. It is possible that any Treasury
regulations or other guidance issued after consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the Securities,
possibly on a retroactive basis. Non-U.S. Holders should note that we currently do not intend to withhold on any payment made with respect to the Securities to Non-U.S. Holders (subject to
compliance by such holders with the certification requirement described above and to the discussion below regarding FATCA). However, in the event of a change of law or any formal or informal
guidance by the IRS, the U.S. Treasury Department or Congress, we may decide to withhold on payments made with respect to the Securities to Non-U.S. Holders, and we will not be required to
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

pay any additional amounts with respect to amounts withheld. Accordingly, Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences
of an investment in the Securities, including the possible implications of the notice referred to above.

U.S. Federal Estate Tax

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

Backup Withholding and Information Reporting

Information returns may be filed with the IRS in connection with the payment on the Securities at maturity as well as in connection with the payment of proceeds from a sale, exchange or other
disposition of the Securities. A Non-U.S. Holder may be

13

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

FAT CA Le gisla t ion

Legislation commonly referred to as "FATCA" generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to certain
financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S.
entity's jurisdiction may modify these requirements. This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source "fixed or
determinable annual or periodical" income. If the Securities were recharacterized as debt instruments, this legislation would apply to any payment of amounts treated as interest and, for
dispositions after December 31, 2018, to payments of gross proceeds of the disposition (including upon retirement) of the Securities. If withholding applies to the Securities, we will not be
required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the potential application of FATCA to the
Securities.

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

14

T he EU RO ST OX X 5 0 ® I nde x
The EURO STOXX 50® Index was created by STOXX Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50® Index began on February 26,
1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50® Index is composed of 50 component stocks of market sector leaders from within the STOXX 600
Supersector Indices, which includes stocks selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all market sectors. For
additional information about the EURO STOXX 50® Index, see the information set forth under "EURO STOXX 50® Index" in the accompanying index supplement.

"EURO STOXX 50®" and "STOXX®" are registered trademarks of STOXX Limited and have been licensed for use for certain purposes by Morgan Stanley. For more information, see "EURO
STOXX 50® Index" in the accompanying index supplement.

H ist oric a l I nform a t ion
The following table sets forth the published high and low Closing Levels, as well as the end-of-quarter Closing Levels, of the EURO STOXX 50® Index for each quarter in the period from
January 1, 2011 through July 27, 2016. The Closing Level of the EURO STOXX 50® Index on July 27, 2016 was 2,999.48. We obtained the information in the table below from Bloomberg
Financial Markets, without independent verification. The historical Closing Levels of the EURO STOXX 50® Index should not be taken as an indication of future performance, and no assurance
can be given as to the level of the EURO STOXX 50® Index on the Final Valuation Date.

Qua rt e r Be gin
Qua rt e r End
Qua rt e rly H igh
Qua rt e rly Low
Qua rt e rly Close
1/1/2011
3/31/2011
3,068.00
2,721.24
2,910.91
4/1/2011
6/30/2011
3,011.25
2,715.88
2,848.53
7/1/2011
9/30/2011
2,875.67
1,995.01
2,179.66
10/1/2011
12/31/2011
2,476.92
2,090.25
2,316.55
1/1/2012
3/30/2012
2,608.42
2,286.45
2,477.28
4/1/2012
6/30/2012
2,501.18
2,068.66
2,264.72
7/1/2012
9/30/2012
2,594.56
2,151.54
2,454.26
10/1/2012
12/31/2012
2,659.95
2,427.32
2,635.93
1/1/2013
3/31/2013
2,749.27
2,570.52
2,624.02
4/1/2013
6/30/2013
2,835.87
2,511.83
2,602.59
7/1/2013
9/30/2013
2,936.20
2,570.76
2,893.15
10/1/2013
12/31/2013
3,111.37
2,902.12
3,109.00
1/1/2014
3/31/2014
3,172.43
2,962.49
3,161.60
4/1/2014
6/30/2014
3,314.80
3,091.52
3,228.24
7/1/2014
9/30/2014
3,289.75
3,006.83
3,225.93
10/1/2014
12/31/2014
3,277.38
2,874.65
3,146.43
1/1/2015
3/31/2015
3,731.35
3,007.91
3,697.38
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

4/1/2015
6/30/2015
3,828.78
3,424.30
3,424.30
7/1/2015
9/30/2015
3,686.58
3,019.34
3,100.67
10/1/2015
12/31/2015
3,506.45
3,069.05
3,267.52
1/1/2016
3/31/2016
3,178.01
2,680.35
3,004.93
4/1/2016
6/30/2016
3,151.69
2,697.44
2,864.74
7/1/2016
7/27/2016*
2,999.48
2,761.37
2,999.48

* Available information for the indicated period includes data for less than the entire calendar quarter, and, accordingly, the "Quarterly High," "Quarterly Low" and "Quarterly Close" data indicated are for this shortened period only.
15

The graph below illustrates the performance of the EURO STOXX 50® Index from January 1, 2008 through July 27, 2016, based on information from Bloomberg. Past performance of the
EURO STOXX 50® Index is not indicative of the future performance of the EURO STOXX 50® Index.

16

Addit iona l T e rm s of t he Se c urit ie s

Som e De finit ions

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

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

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

"Market Disruption Event" means:

(i) the occurrence or existence of any of:

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

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

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

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

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

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

For the purpose of determining whether a Market Disruption Event has occurred: (1) a limitation on the hours or number of days of trading will not constitute a Market Disruption Event if it
results from an announced change in the regular business hours of the Relevant Exchange or market, (2) a decision to permanently discontinue trading in the relevant futures or options
https://www.sec.gov/Archives/edgar/data/895421/000095010316015140/dp67510_424b2-ps988.htm[7/29/2016 11:02:16 AM]

Document Outline

#1">
- #1">