Obligation Morgan Stanley Financial 0% ( US61770FK218 ) en USD

Morgan Stanley Financial

100 % ▼

Etas-Unis

US61770FK218 ( en USD )

0%

17/04/2025 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley Finance US61770FK218 en USD 0%, échue

1 000 USD

921 000 USD

61770FK21

N/A

NR

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'instrument financier analysé est une obligation émise par Morgan Stanley Finance, une entité souvent utilisée par le géant mondial des services financiers, Morgan Stanley, pour ses opérations de financement. Morgan Stanley est l'une des principales banques d'investissement au monde, offrant une vaste gamme de services incluant la banque d'investissement, le courtage de valeurs mobilières, la gestion de fortune et la gestion d'actifs. Cette obligation, identifiée par le code ISIN US61770FK218 et le code CUSIP 61770FK21, est notablement arrivée à maturité et a été entièrement remboursée à sa date d'échéance du 17 avril 2025. Émise depuis les États-Unis en dollars américains (USD), l'émission totale s'élevait à 921 000 USD, avec une taille minimale d'achat fixée à 1 000 USD, permettant ainsi une accessibilité pour différents investisseurs. Malgré une fréquence de paiement semestrielle habituellement associée à deux versements par an, cette obligation spécifique affichait un taux d'intérêt de 0%, ce qui est souvent caractéristique des obligations zéro-coupon ou des instruments dont le rendement est intégré au prix d'émission et de remboursement, en particulier lors de leur maturité. Au moment de son remboursement, son prix sur le marché était à 100% de sa valeur nominale, garantissant ainsi que les détenteurs aient reçu le principal investi. Concernant sa solvabilité, l'obligation n'avait pas de notation attribuée par l'agence Moody's (NR).

424B2 1 dp126125_424b2-ps3867.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered
Maximum Aggregate Offering Price

Amount of Registration Fee
Trigger Performance Leveraged Upside Securities due 2025

$921,000.00

$119.55

April 2 0 2 0
Pricing Supplement No. 3,867
Registration Statement Nos. 333-221595; 333-221595-01
Dated April 13, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC

STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
The Trigger PLUS are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed
by Morgan Stanley. The Trigger PLUS will pay no interest, do not guarantee any return of principal at maturity and have the terms
described in the accompanying product supplement for PLUS, index supplement and prospectus, as supplemented or modified by
this document. At maturity, if the underlying index has a ppre c ia t e d in value, investors will receive the stated principal amount of
their investment plus leveraged upside performance of the underlying index. If the underlying index de pre c ia t e s in value but the
final index value is greater than or equal to the trigger level, investors will receive the stated principal amount of their investment.
However, if the underlying index has de pre c ia t e d in value so that the final index value is less than the trigger level, investors will
lose a significant portion or all of their investment, resulting in a 1% loss for every 1% decline in the index value over the term of
the Trigger PLUS. Under these circumstances, the payment at maturity will be less than 75% of the stated principal amount and
could be zero. Accordingly, you may lose your entire investment. These long-dated Trigger PLUS are for investors who seek an
equity index-based return and who are willing to risk their principal and forgo current income in exchange for the upside leverage
feature and the limited protection against loss but only if the final index value is greater than or equal to the trigger level.
I nve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S . The Trigger PLUS are notes issued as part of
MSFL's Series A Global Medium-Term Notes program.

All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of
your inve st m e nt . T he se T rigge r PLU S a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y
int e re st in, or ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.

FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
M a t urit y da t e :
April 17, 2025
U nde rlying inde x :
S&P 500® Index
Aggre ga t e princ ipa l
$921,000
a m ount :
Pa ym e nt a t m a t urit y:
If the final index value is greater than the initial index value: $1,000 + leveraged upside payment

If the final index value is less than or equal to the initial index value but is greater than or equal to
the trigger level: $1,000

If the final index value is less than the trigger level: $1,000 × index performance factor

Under these circumstances, the payment at maturity will be less than the stated principal amount
of $1,000 and will represent a loss of more than 25%, and possibly all, of your investment.
Le ve ra ge d upside
$1,000 × leverage factor × index percent increase
pa ym e nt :
Le ve ra ge fa c t or:
121%
I nde x pe rc e nt inc re a se :
(final index value initial index value) / initial index value
I nde x pe rform a nc e fa c t or: final index value / initial index value
I nit ia l inde x va lue :
2,761.63, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
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T rigge r le ve l:
2,071.223, which is approximately 75% of the initial index value
V a lua t ion da t e :
April 14, 2025, subject to adjustment for non-index business days and certain market disruption
events
St a t e d princ ipa l a m ount :
$1,000 per Trigger PLUS
I ssue pric e :
$1,000 per Trigger PLUS (see "Commissions and issue price" below)
Pric ing da t e :
April 13, 2020
Origina l issue da t e :
April 16, 2020 (3 business days after the pricing date)
CU SI P / I SI N :
61770FK21 / US61770FK218
List ing:
The Trigger PLUS will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of
Morgan Stanley. See "Supplemental information regarding plan of distribution; conflicts of
interest."
Est im a t e d va lue on t he
$933.20 per Trigger PLUS. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue
pric e :
Pric e t o public
Age nt 's c om m issions (1)
Proc e e ds t o us(2)
Pe r T rigge r PLU S
$1,000
$35
$965
T ot a l
$921,000
$32,235
$888,765
(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $35 for each Trigger PLUS
they sell. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution
(Conflicts of Interest)" in the accompanying product supplement.
(2) See "Use of proceeds and hedging" on page 15.

T he T rigge r PLU S involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt
se c urit ie s. Se e "Risk Fa c t ors" be ginning on pa ge 7 .

T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt , inde x
supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .

T he T rigge r PLU S a re not de posit s or sa vings a c c ount s a nd a re not insure d by t he Fe de ra l De posit
I nsura nc e Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y or inst rum e nt a lit y, nor a re t he y obliga t ions of, or
gua ra nt e e d by, a ba nk .

Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d produc t supple m e nt , inde x supple m e nt a nd
prospe c t us, e a c h of w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l T e rm s of
t he T rigge r PLU S" a nd "Addit iona l I nform a t ion About t he T rigge r PLU S" a t t he e nd of t his doc um e nt .

Re fe re nc e s t o "w e ," "us" a nd "our" re fe r t o M orga n St a nle y or M SFL, or M orga n St a nle y a nd M SFL
c olle c t ive ly, a s t he c ont e x t re quire s.

Produc t Supple m e nt for PLU S da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt da t e d N ove m be r 1 6 , 2 0 1 7
Prospe c t us da t e d N ove m be r 1 6 , 2 0 1 7

Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Investment Summary

T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s

Princ ipa l a t Risk Se c urit ie s

The Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025 (the "Trigger PLUS") can be used:

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As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the
underlying index

To enhance returns and potentially outperform the underlying index in a bullish scenario, with no limitation on the appreciation
potential

To provide limited protection against a loss of principal in the event of a decline of the underlying index as of the valuation date
but only if the final index value is gre a t e r t ha n or e qua l t o the trigger level

M a t urit y:
Approximately 5 years
Le ve ra ge fa c t or:
121%
T rigge r le ve l:
75% of the initial index value
M inim um pa ym e nt a t m a t urit y:
None. You could lose your entire initial investment in the Trigger PLUS.
I nt e re st :
None

The original issue price of each Trigger PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and
hedging the Trigger PLUS, which are borne by you, and, consequently, the estimated value of the Trigger PLUS on the pricing
date is less than $1,000. We estimate that the value of each Trigger PLUS on the pricing date is $933.20.

What goes into the estimated value on the pricing date?

In valuing the Trigger PLUS on the pricing date, we take into account that the Trigger PLUS comprise both a debt component and
a performance-based component linked to the underlying index. The estimated value of the Trigger PLUS is determined using our
own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the
underlying index, 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 Trigger PLUS?

In determining the economic terms of the Trigger PLUS, including the leverage factor and the trigger level, 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 Trigger PLUS would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the Trigger PLUS?

The price at which MS & Co. purchases the Trigger PLUS in the secondary market, absent changes in market conditions, including
those related to the underlying index, may vary from, and be lower than, the estimated value on the pricing date, because the
secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would
charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing,
selling, structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 6 months following the
issue date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market
conditions, including those related to the underlying index, 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.

April 2020
Page 2
Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

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

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April 2020
Page 3
Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

K e y I nve st m e nt Ra t iona le

Trigger PLUS offer leveraged exposure to any positive performance of the underlying index. In exchange for the leverage feature,
investors are exposed to the risk of loss of a significant portion or all of their investment due to the trigger feature. At maturity, an
investor will receive an amount in cash based upon the closing value of the underlying index on the valuation date. The Trigger
PLUS are unsecured obligations of ours, and all payments on the Trigger PLUS are subject to our credit risk. I nve st ors m a y
lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S.

Le ve ra ge d
The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct
Pe rform a nc e
investment in the underlying index.
T rigge r Fe a t ure
At maturity, even if the underlying index has declined over the term of the Trigger PLUS, you will receive
your stated principal amount but only if the final index value is gre a t e r t ha n or e qua l t o the trigger
level.
U pside Sc e na rio
The final index value is greater than the initial index value, and, at maturity, the Trigger PLUS redeem
for the stated principal amount of $1,000 plus 121% of the increase in the value of the underlying index.
Pa r Sc e na rio
The final index value is less than or equal to the initial index value but is greater than or equal to the
trigger level. In this case, you receive the stated principal amount of $1,000 at maturity even though the
underlying index has depreciated.
Dow nside Sc e na rio The final index value is less than the trigger level. In this case, the Trigger PLUS redeem for at least
25% less than the stated principal amount, and this decrease will be by an amount proportionate to the
full decline in the value of the underlying index over the term of the Trigger PLUS.

April 2020
Page 4
Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

How the Trigger PLUS Work

Pa yoff Dia gra m

The payoff diagram below illustrates the payment at maturity on the Trigger PLUS based on the following terms:

St a t e d princ ipa l a m ount :
$1,000 per Trigger PLUS
Le ve ra ge fa c t or:
121%
T rigge r le ve l:
75% of the initial index value
T rigge r PLU S Pa yoff Dia gra m
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H ow it w ork s

Upside Scenario: If the final index value is greater than the initial index value, investors will receive the $1,000 stated
principal amount plus 121% of the appreciation of the underlying index over the term of the Trigger PLUS.

If the underlying index appreciates 5%, investors will receive a 6.05% return, or $1,060.50 per Trigger PLUS.

Par Scenario: If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger
level, investors will receive the $1,000 stated principal amount.

If the underlying index depreciates 20%, investors will receive the $1,000 stated principal amount.

Dow nside Scenario: If the final index value is less than the trigger level, investors will receive an amount significantly less
than the $1,000 stated principal amount, based on a 1% loss of principal for each 1% decline in the underlying index.

April 2020
Page 5
Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

If the underlying index depreciates 80%, investors will lose 80% of their principal and receive only $200 per Trigger PLUS
at maturity, or 20% of the stated principal amount.

April 2020
Page 6
Morgan Stanley Finance LLC

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Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Risk Factors

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

The Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ
from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of any principal at
maturity. If the final index value is less than the trigger level (which is 75% of the initial index value), the payout at maturity will
be an amount in cash that is at least 25% less than the $1,000 stated principal amount of each Trigger PLUS, and this
decrease will be by an amount proportionate to the full decrease in the value of the underlying index. There is no minimum
payment at maturity on the Trigger PLUS, and you could lose your entire investment.

The market price w ill be influenced by many unpredictable factors. Several factors, many of which are beyond
our control, will influence the value of the Trigger PLUS in the secondary market and the price at which MS & Co. may be
willing to purchase or sell the Trigger PLUS in the secondary market, including: the value, volatility (frequency and magnitude
of changes in value) and dividend yield of the underlying index, interest and yield rates, time remaining to maturity, geopolitical
conditions and economic, financial, political and regulatory or judicial events that affect the underlying index or equities markets
generally and which may affect the final index value of the underlying index, and any actual or anticipated changes in our credit
ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price of the Trigger PLUS
will be affected by the other factors described above. The value of the underlying index may be, and has recently been,
volatile, and we can give you no assurance that the volatility will lessen. See "S&P 500® Index Overview" below. You may
receive less, and possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell your Trigger
PLUS prior to maturity.

The Trigger PLUS are subject to our credit risk, and any actual or anticipated changes to our credit
ra t ings or c re dit spre a ds m a y a dve rse ly a ffe c t t he m a rk e t va lue of t he T rigge r PLU S. You are dependent on
our ability to pay all amounts due on the Trigger PLUS at maturity and therefore you are subject to our credit risk. If we default
on our obligations under the Trigger PLUS, your investment would be at risk and you could lose some or all of your investment.
As a result, the market value of the Trigger PLUS prior to maturity will be affected by changes in the market's view of our
creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market
for taking our credit risk is likely to adversely affect the market value of the Trigger PLUS.

As a finance subsidiary, MSFL has no independent operations and w ill have no independent assets. As a
finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have
no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities
in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available
under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured,
unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its
assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings
they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated
creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

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

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April 2020
Page 7
Morgan Stanley Finance LLC

Trigger PLUS Based on the Value of the S&P 500® Index due April 17, 2025
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing in the Trigger
PLUS is not equivalent to investing in the underlying index or its component stocks. As an investor in the Trigger PLUS, you
will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that
constitute the underlying index.

Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The underlying
index publisher may add, delete or substitute the stocks constituting the underlying index or make other methodological
changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend
calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole
discretion to substitute a successor index that is comparable to the discontinued underlying index and is not precluded from
considering indices that are calculated and published by the calculation agent or any of its affiliates. If the calculation agent
determines that there is no appropriate successor index, the payment at maturity on the Trigger PLUS will be an amount based
on the closing prices at maturity of the securities composing the underlying index at the time of such discontinuance, without
rebalancing or substitution, computed by the calculation agent in accordance with the formula for calculating the underlying
index last in effect prior to discontinuance of the underlying index.

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

The inclusion of the costs of issuing, selling, structuring and hedging the Trigger PLUS in the original issue price and the lower
rate we are willing to pay as issuer make the economic terms of the Trigger PLUS less favorable to you than they otherwise
would be.

However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted
upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the Trigger
PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index, and to our
secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those
higher values will also be reflected in your brokerage account statements.

The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models,
w hic h m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry m a rk e t pric e .
These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain
assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to
value these types of securities, our models may yield a higher estimated value of the Trigger PLUS than those generated by
others, including other dealers in the market, if they attempted to value the Trigger PLUS. In addition, the estimated value on
the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to
purchase your Trigger PLUS in the secondary market (if any exists) at any time. The value of your Trigger PLUS at any time
after the date of this document will vary based on many factors that cannot be predicted with accuracy, including our
creditworthiness and changes in market conditions. See also "The market price will be influenced by many unpredictable
factors" above.

T he T rigge r PLU 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.
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The Trigger PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the
Trigger PLUS. MS & Co. may, but is not obligated to, make a market in the Trigger PLUS 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 Trigger PLUS, taking into account its bid/offer
spread, our credit spreads, market volatility, the

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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 Trigger PLUS. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate significantly in the
secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS 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
Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing to
hold your Trigger PLUS to maturity.

The calculation agent, w hich is a subsidiary of Morgan Stanley and an affiliate of MSFL, w ill make
de t e rm ina t ions w it h re spe c t t o t he T rigge r PLU S. As calculation agent, MS & Co. will determine the initial index
value, the trigger level and the final index value, including whether the underlying index has decreased to below the trigger
level, and will calculate the amount of cash, if any, you will receive at maturity. 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 index or calculation
of the final index value in the event of a market disruption event or discontinuance of the underlying index. These potentially
subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these
types of determinations, see "Description of PLUS--Postponement of Valuation Date(s)" and "--Calculation Agent and
Calculations" and related definitions in the accompanying product supplement. In addition, MS & Co. has determined the
estimated value of the Trigger PLUS on the pricing date.

Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger
PLU S. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the Trigger PLUS
(and to other instruments linked to the underlying index or its component stocks), including trading in the stocks that constitute
the underlying index as well as in other instruments related to the underlying index. As a result, these entities may be
unwinding or adjusting hedge positions during the term of the Trigger PLUS, and the hedging strategy may involve greater and
more frequent dynamic adjustments to the hedge as the valuation date approaches. MS & Co. and some of our other affiliates
also trade the stocks that constitute the underlying index and other financial instruments related to the underlying index 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 pricing date could potentially increase the initial index value, and, therefore, could increase the trigger level, which is the
level at or above which the underlying index must close on the valuation date so that investors do not suffer a significant loss
on their initial investment in the Trigger PLUS. Additionally, such hedging or trading activities during the term of the Trigger
PLUS, including on the valuation date, could potentially affect whether the value of the underlying index on the valuation date
is at or below the trigger level, and, therefore, whether an investor would receive significantly less than the stated principal
amount of the Trigger PLUS at maturity.

The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please
read the discussion under "Additional Information--Tax considerations" in this document and the discussion under "United
States Federal Taxation" in the accompanying product supplement for PLUS (together, the "Tax Disclosure Sections")
concerning the U.S. federal income tax consequences of an investment in the Trigger PLUS. If the Internal Revenue Service
(the "IRS") were successful in asserting an alternative treatment, the timing and character of income on the Trigger PLUS might
differ significantly from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment,
the IRS could seek to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders would be required to
accrue into income original issue discount on the Trigger PLUS every year at a "comparable yield" determined at the time of
https://www.sec.gov/Archives/edgar/data/895421/000095010320007505/dp126125_424b2-ps3867.htm[4/15/2020 1:05:58 PM]

issuance and recognize all income and gain in respect of the Trigger PLUS as ordinary income. Additionally, as discussed
under "United States Federal Taxation--FATCA" in the accompanying product supplement for PLUS, the withholding rules
commonly referred to as "FATCA" would apply to the Trigger PLUS if they were recharacterized as debt instruments. However,
recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization)
eliminate the withholding requirement on payments of gross proceeds of a taxable disposition (other than amounts treated as
"FDAP income," as defined in the accompanying product supplement for PLUS). The risk that financial instruments providing for
buffers, triggers or similar downside protection features, such as the Trigger PLUS, would be recharacterized as debt is greater
than the risk of recharacterization for comparable financial instruments that

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do not have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Trigger PLUS,
and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.

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 Trigger PLUS, possibly with retroactive effect.
Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the Trigger PLUS, including possible alternative treatments, the issues presented by this notice and any tax
consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

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S&P 500® Index Overview

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

Information as of market close on April 13, 2020:

https://www.sec.gov/Archives/edgar/data/895421/000095010320007505/dp126125_424b2-ps3867.htm[4/15/2020 1:05:58 PM]

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,761.63
5 2 We e k s Ago:
2,905.58
5 2 We e k H igh (on 2 /1 9 /2 0 2 0 ):
3,386.15
5 2 We e k Low (on 3 /2 3 /2 0 2 0 ):
2,237.40

The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2015 through April 13,
2020. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the
underlying index for each quarter in the same period. The closing value of the underlying index on April 13, 2020 was 2,761.63.
We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The
underlying index has at times experienced periods of high volatility, and you should not take the historical values of the underlying
index as an indication of its future performance.

U nde rlying I nde x H ist oric a l Pe rform a nc e Da ily I nde x Closing V a lue s
J a nua ry 1 , 2 0 1 5 t o April 1 3 , 2 0 2 0

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S& P 5 0 0 ® I nde x
H igh
Low
Pe riod End
2 0 1 5

First Quarter
2,117.39
1,992.67
2,067.89
Second Quarter
2,130.82
2,057.64
2,063.11
Third Quarter
2,128.28
1,867.61
1,920.03
Fourth Quarter
2,109.79
1,923.82
2,043.94
2 0 1 6

First Quarter
2,063.95
1,829.08
2,059.74
Second Quarter
2,119.12
2,000.54
2,098.86
Third Quarter
2,190.15
2,088.55
2,168.27
Fourth Quarter
2,271.72
2,085.18
2,238.83
2 0 1 7

First Quarter
2,395.96
2,257.83
2,362.72
Second Quarter
2,453.46
2,328.95
2,423.41
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Document Outline

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