Obligation Morgan Stanley Financial 0% ( US61770FNQ53 ) en USD

Morgan Stanley Financial

100 % ▼

Etas-Unis

US61770FNQ53 ( en USD )

27/03/2024 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley Finance US61770FNQ53 en USD 0%, échue

1 000 USD

3 807 000 USD

61770FNQ5

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 Morgan Stanley Finance (ISIN : US61770FNQ53, CUSIP : 61770FNQ5), émise aux États-Unis pour un montant total de 3 807 000 USD, avec un prix de marché actuel de 100%, un taux d'intérêt de 0%, une taille minimale d'achat de 1 000 USD, une maturité le 27/03/2024 et une fréquence de paiement semestrielle, est arrivée à maturité et a été remboursée.

424B2 1 dp124460_424b2-ps3478.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Jump Securities with Auto-Callable Feature
$3,807,000

$494.15
due 2024

M a rc h 2 0 2 0
Pricing Supplement No. 3,478
Registration Statement Nos. 333-221595; 333-221595-01
Dated March 20, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Princ ipa l a t Risk Se c urit ie s
The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL"), fully and unconditionally guaranteed by Morgan
Stanley, and have the terms described in the accompanying product supplement, index supplement and prospectus, as
supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the
regular payment of interest. The securities will be automatically redeemed if the index closing value of e a c h of the Russell 2000®
Index and the S&P 500® Index, which we refer to as the underlying indices, on any of the annual call observation dates is greater
than or equal to 100% of its respective initial level, which we refer to as the respective call threshold level, for an autocall premium
that will increase over the term of the securities, as described below. No further payments will be made on the securities once they
have been redeemed. At maturity, if the securities have not previously been redeemed and the final level of each underlying index
is gre a t e r t ha n or e qua l t o its respective call threshold level, investors will receive a payment at maturity of $1,330.00 per
$1,000 security. If the securities have not previously been redeemed and the final level of e it he r unde rlying inde x is le ss
t ha n its respective call threshold level but the final level of e a c h unde rlying inde x is gre a t e r t ha n or e qua l t o 70% of its
respective initial level, which we refer to as the respective principal barrier, investors will receive the stated principal amount of their
investment. However, if the securities are not redeemed prior to maturity and the final level of e it he r unde rlying inde x is less
than its respective principal barrier, investors will be exposed to the decline in the worst performing underlying index on a 1-to-1
basis, and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities and could be
zero. Ac c ordingly, inve st ors in t he se c urit ie s m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l
inve st m e nt . The securities are for investors who are willing to forego current income and participation in the appreciation of
either underlying index in exchange for the possibility of receiving an autocall premium or payment at maturity greater than the
stated principal amount if each underlying index closes at or above the respective call threshold level on an annual call observation
date or the final call observation date, respectively. Because all payments on the securities are based on the worst performing of
the underlying indices, a decline beyond the respective principal barrier of either underlying index will result in a significant loss of
your investment, even if the other underlying index has appreciated or has not declined as much. Investors will not participate in
any appreciation of either underlying index. The securities are notes issued as part of MSFL's Series A Global Medium-Term Notes
program. See "Additional Terms of the Securities--Additional Terms--Certain defined terms" for additional information about certain
defined terms that are used in this document and the accompanying product supplement.
All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of
your inve st m e nt . T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st
in, or ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
U nde rlying indic e s:
Russell 2000® Index (the "RTY Index") and S&P 500® Index (the "SPX Index")
Aggre ga t e princ ipa l
$3,807,000
a m ount :
St a t e d princ ipa l a m ount : $1,000 per security
I ssue pric e :
$1,000 per security
T ra de da t e :
March 20, 2020
https://www.sec.gov/Archives/edgar/data/895421/000095010320005828/dp124460_424b2-ps3478.htm[3/24/2020 3:15:41 PM]

Se t t le m e nt da t e :
March 27, 2020 (5 business days after the trade date)
M a t urit y da t e :
March 27, 2024
Ea rly re de m pt ion:
If, on any annual call observation date, beginning on March 23, 2021, the index closing value of
each underlying index is greater than or equal to its respective call threshold level, the securities will
be automatically redeemed for the applicable autocall premium on the related early redemption date.
T he se c urit ie s w ill not be re de e m e d e a rly on a ny e a rly re de m pt ion da t e if t he
inde x c losing va lue of e it he r unde rlying inde x is be low it s re spe c t ive c a ll t hre shold
le ve l on t he re la t e d c a ll obse rva t ion da t e .
Aut oc a ll pre m ium :
The autocall premium will be an amount in cash per stated principal amount (corresponding to a
return of approximately 8.25% per annum) for each annual call observation date, as set forth under
"Call Observation Dates, Early Redemption Dates and Autocall Premium" below.
No further payments will be made on the securities once they have been redeemed.
Ca ll obse rva t ion da t e s:
Annually. See "Call Observation Dates, Early Redemption Dates and Autocall Premium" below.
The call observation dates are subject to postponement for non-index business days and certain
market disruption events.
Ea rly re de m pt ion da t e s: See "Call Observation Dates, Early Redemption Dates and Autocall Premium" below. If any such
day is not a business day, the autocall premium, if payable, will be paid on the next business day,
and no adjustment will be made to the autocall premium.
Princ ipa l ba rrie r:
With respect to the RTY Index, 709.722, which is approximately 70% of its initial level
With respect to the SPX Index, 1,613.444, which is 70% of its initial level
Ca ll t hre shold le ve l:
With respect to the RTY Index, 1,013.889, which is 100% of its initial level
With respect to the SPX Index, 2,304.92, which is 100% of its initial level
Pa ym e nt a t m a t urit y:
If the securities have not previously been redeemed, you will receive at maturity a cash payment per
security as follows:
·If the final level of each underlying index is greater than or equal to its respective call
threshold level:
$1,330.00
·If the final level of either underlying index is less than its respective call threshold level but
the final level of e a c h unde rlying inde x is gre a t e r t ha n or e qua l t o its respective
principal barrier:
$1,000
·If the final level of either underlying index is less than its respective principal barrier:
$1,000 × index performance factor of the worst performing underlying index
U nde r t he se c irc um st a nc e s, you w ill lose m ore t ha n 3 0 % , a nd possibly a ll, of
your inve st m e nt .

Terms continued on the following page
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of
Morgan Stanley. See "Supplemental information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he
$959.20 per security. See "Investment Summary" beginning on page 3.
t ra de da t e :
Com m issions a nd issue
Pric e t o public
Age nt 's c om m issions (1)
Proc e e ds t o us(2)
pric e :
Pe r se c urit y
$1,000
$20
$980
T ot a l
$3,807,000
$76,140
$3,730,860
We also sold, pursuant to Pricing Supplement No. 3,479, a separate issuance of securities, being sold only to fee-based advisory
accounts, with terms similar to those of this issuance but with higher autocall premium amounts.

(1) Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales
commission of $20 for each security they sell. In addition, selected dealers and their financial advisors will receive a structuring
fee of $4 for each security. 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 21.
T he se c urit ie s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt
se c urit ie s. Se e "Risk Fa c t ors" be ginning on pa ge 9 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt , inde x
supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
T he se c urit ie s a re not de posit s or sa vings a c c ount s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e
Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y or inst rum e nt a lit y, nor a re t he y obliga t ions of, or gua ra nt e e d
by, a ba nk .
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Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d produc t supple m e nt , inde x supple m e nt a nd
prospe c t us, e a c h of w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l T e rm s of
t he Se c urit ie s" a nd "Addit iona l I nform a t ion About t he Se c urit ie s" a t t he e nd of t his doc um e nt .
As use d in t his doc um e nt , "w e ," "us" a nd "our" re fe r t o M orga n St a nle y or M SFL, or M orga n St a nle y a nd
M SFL c olle c t ive ly, a s t he c ont e x t re quire s.
Produc t Supple m e nt for Aut o -Ca lla ble Se c urit ie s da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt da t e d
N ove m be r 1 6 , 2 0 1 7 Prospe c t us da t e d N ove m be r 1 6 , 2 0 1 7

Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Terms continued from previous page:
I nit ia l le ve l:
With respect to the RTY Index, 1,013.889, which is its index closing value on the trade date
With respect to the SPX Index, 2,304.92, which is its index closing value on the trade date
Fina l le ve l:
With respect to each underlying index, the respective index closing value on the final call observation
date
Worst pe rform ing
The underlying index with the larger percentage decrease from the respective initial level to the
unde rlying inde x :
respective final level
I nde x pe rform a nc e
With respect to each underlying index, the final level divided by the initial level
fa c t or:
CU SI P / I SI N :
61770FNQ5 / US61770FNQ53
List ing:
The securities will not be listed on any securities exchange.

Call Observation Dates, Early Redemption Dates and Autocall Premium

Ca ll Obse rva t ion Da t e s
Ea rly Re de m pt ion Da t e s
Aut oc a ll Pre m ium (pe r $ 1 ,0 0 0
Se c urit y)
1st call observation date: 3/23/2021
1st early redemption date: 3/30/2021
$1,082.50
2nd call observation date: 3/21/2022 2nd early redemption date: 3/28/2022
$1,165.00
3rd call observation date: 3/20/2023
3rd early redemption date: 3/27/2023
$1,247.50
Final call observation date: 3/20/2024
See "Maturity date" above.
See "Payment at maturity" above.
March 2020
Page 2
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Investment Summary

J um p Se c urit ie s w it h Aut o -Ca lla ble Fe a t ure

Princ ipa l a t Risk Se c urit ie s
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The Jump Securities with Auto-Callable Feature due March 27, 2024 All Payments on the Securities Based on the Worst
Performing of the Russell 2000® Index and the S&P 500® Index (the "securities") do not provide for the regular payment of
interest. Instead the securities will be automatically redeemed if the index closing value of e a c h of the Russell 2000® Index and
the S&P 500® Index on any annual call observation date is greater than or equal to its respective call threshold level, for an
autocall premium that will increase over the term of the securities, as described below. No further payments will be made on the
securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the final level of
each underlying index is gre a t e r t ha n or e qua l t o its respective call threshold level, investors will receive a payment at maturity
of $1,330.00 per $1,000 security. If the securities have not previously been redeemed and the final level of e it he r underlying index
is le ss t ha n its respective call threshold level but the final level of e a c h underlying index is gre a t e r t ha n or e qua l t o its
respective principal barrier, investors will receive the stated principal amount of their investment. However, if the securities are not
redeemed prior to maturity and the final level of e it he r unde rlying inde x is less than its respective principal barrier, investors
will be exposed to the decline in the worst performing underlying index on a 1-to-1 basis, and will receive a payment at maturity
that is less than 70% of the stated principal amount of the securities and could be zero. Ac c ordingly, inve st ors in t he
se c urit ie s m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt . Investors will not participate
in any appreciation in either underlying index.

M a t urit y:
4 years
Aut om a t ic
If, on any annual call observation date, the index closing value of each underlying index is greater
e a rly
than or equal to its respective call threshold level, the securities will be automatically redeemed for the
re de m pt ion:
applicable autocall premium on the related early redemption date.
Aut oc a ll
The autocall premium will be an amount in cash per stated principal amount (corresponding to a
pre m ium :
return of approximately 8.25% per annum) for each annual call observation date, as follows:
·1st call observation date:
$1,082.50
·2nd call observation date:
$1,165.00
·3rd call observation date:
$1,247.50

No further payments will be made on the securities once they have been redeemed.
Pa ym e nt a t
If the securities have not previously been redeemed, you will receive at maturity a cash payment per
m a t urit y:
security as follows:

·If the final level of each underlying index is greater than or equal to its respective call
threshold level:

$1,330.00

·If the final level of either underlying index is less than its respective call threshold level but the
final level of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective principal barrier:

$1,000

·If the final level of either underlying index is less than its respective principal barrier:

$1,000 × index performance factor of the worst performing underlying index

U nde r t he se c irc um st a nc e s, inve st ors w ill lose a signific a nt port ion or a ll of t he ir
inve st m e nt . Ac c ordingly, inve st ors in t he se c urit ie s m ust be w illing t o a c c e pt

March 2020
Page 3
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
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Princ ipa l a t Risk Se c urit ie s

t he risk of losing t he ir e nt ire init ia l inve st m e nt .

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and
hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the trade date is less
than $1,000. We estimate that the value of each security on the trade date is $959.20.

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 indices. The estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying indices, instruments based on the
underlying indices, volatility and other factors including current and expected interest rates, as well as an interest rate related to our
secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary
market.

What determines the economic terms of the securities?

In determining the economic terms of the securities, including the autocall premium amounts, the call threshold levels and the
principal barriers, 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 indices, 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 6 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 indices, and to our secondary market credit spreads, it would do so based on
values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account
statements.

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

March 2020
Page 4
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

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

The securities do not provide for the regular payment of interest. Instead, the securities will be automatically redeemed if the index
closing value of e a c h of the Russell 2000® Index and the S&P 500® Index on any annual call observation date is greater than or
equal to its respective call threshold level.

The following scenarios are for illustrative purposes only to demonstrate how an automatic autocall premium or the payment at
maturity (if the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation
that may occur. Accordingly, the securities may or may not be redeemed prior to maturity and the payment at maturity may be less
than 70% of the stated principal amount of the securities and may be zero.
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Sc e na rio 1 : T he se c urit ie s
When each underlying index closes at or above its respective call threshold level on any
a re re de e m e d prior t o
annual call observation date, the securities will be automatically redeemed for the applicable
m a t urit y
autocall premium on the related early redemption date. Investors do not participate in any
appreciation in either underlying index.
Sc e na rio 2 : T he se c urit ie s
This scenario assumes that at least one underlying index closes below its respective call
a re not re de e m e d prior t o
threshold level on each of the annual call observation dates. Consequently, the securities are
m a t urit y, a nd inve st ors
not redeemed prior to maturity. On the final call observation date, each underlying index
re c e ive a fix e d posit ive
closes at or above its respective call threshold level. At maturity, investors will receive a cash
re t urn a t m a t urit y
payment equal to $1,330.00 per stated principal amount. Investors do not participate in any
appreciation in either underlying index.
Sc e na rio 3 : T he se c urit ie s
This scenario assumes that at least one underlying index closes below its respective call
a re not re de e m e d prior t o
threshold level on each of the annual call observation dates. Consequently, the securities are
m a t urit y, a nd inve st ors
not redeemed prior to maturity. On the final call observation date, at least one underlying
re c e ive t he st a t e d princ ipa l index closes below its respective call threshold level, but the final level of each underlying
a m ount a t m a t urit y
index is greater than or equal to its respective principal barrier. At maturity, investors will
receive a cash payment equal to the stated principal amount of $1,000 per security.
Sc e na rio 4 : T he se c urit ie s
This scenario assumes that at least one underlying index closes below its respective call
a re not re de e m e d prior t o
threshold level on each of the annual call observation dates. Consequently, the securities are
m a t urit y, a nd inve st ors
not redeemed prior to maturity. On the final call observation date, at least one underlying
suffe r a subst a nt ia l loss of
index closes below its respective principal barrier. At maturity, investors will receive an
princ ipa l a t m a t urit y
amount equal to the stated principal amount multiplied by the index performance factor of the
worst performing underlying index. Under these circumstances, the payment at maturity will
be significantly less than the stated principal amount and could be zero.
March 2020
Page 5
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Hypothetical Examples

The following hypothetical examples are for illustrative purposes only. Whether the securities are redeemed prior to maturity will be
determined by reference to the index closing value of each underlying index on each of the annual call observation dates, and the
payment at maturity, if any, will be determined by reference to the index closing value of each underlying index on the final call
observation date. The actual initial levels, call threshold levels and principal barriers are set forth on the cover of this document.
Some numbers appearing in the examples below have been rounded for ease of analysis. All payments on the securities are
subject to our credit risk. The below examples are based on the following terms:

Autocall Premium:
The autocall premium will be an amount in cash per stated principal amount (corresponding to a
return of approximately 8.25% per annum) for each annual call observation date, as follows:

·1st call observation date:
$1,082.50

·2nd call observation date:
$1,165.00

·3rd call observation date:
$1,247.50

No further payments will be made on the securities once they have been redeemed.
Payment at Maturity
If the securities have not previously been redeemed, you will receive at maturity a cash payment
per security as follows:

·If the final level of each underlying index is greater than or equal to its respective call
threshold level:

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$1,330.00

·If the final level of either underlying index is less than its respective call threshold level but
the final level of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective
principal barrier:

$1,000

·If the final level of either underlying index is less than its respective principal barrier:

$1,000 × index performance factor of the worst performing underlying index.

U nde r t he se c irc um st a nc e s, you w ill lose a signific a nt port ion or a ll of your
inve st m e nt .

Stated Principal Amount:
$1,000
Hypothetical Initial Level:
With respect to the RTY Index: 1,700

With respect to the SPX Index: 3,000

Hypothetical Principal Barrier:
With respect to the RTY Index: 1,190, which is 70% of its hypothetical initial level

With respect to the SPX Index: 2,100, which is 70% of its hypothetical initial level

Hypothetical Call Threshold Level: With respect to the RTY Index: 1,700, which is 100% of its hypothetical initial level

With respect to the SPX Index: 3,000, which is 100% of its hypothetical initial level

March 2020
Page 6
Morgan Stanley Finance LLC
Jump Securities with Auto-Callable Feature due March 27, 2024
All Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P
5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Aut om a t ic Ca ll:

Ex a m ple 1 -- t he se c urit ie s a re re de e m e d follow ing t he se c ond c a ll obse rva t ion da t e

Date
RTY Index Closing Value
SPX Index Closing Value
Payment (per Security)
1,900 (a t or a bove the call
2,800 (be low the call
1st Determination Date
--
threshold level)
threshold level)
1,850 (a t or a bove the call
3,100 (a t or a bove the call
2nd Determination Date
$1,165.00
threshold level)
threshold level)

In this example, on the first call observation date, the index closing value of one of the underlying indices is at or above its
respective call threshold level, but the index closing value of the other underlying index is below its respective call threshold level.
Therefore, the securities are not redeemed. On the second call observation date, the index closing value of each underlying index
is at or above the respective call threshold level. Therefore, the securities are automatically redeemed on the second early
redemption date. Investors will receive a payment of $1,165.00 per security on the related early redemption date. No further
payments will be made on the securities once they have been redeemed, and investors do not participate in the appreciation in
either underlying index.

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How to calculate the payment at maturity:

In the following examples, one or both of the underlying indices close below the respective call threshold level(s) on each of the
annual call observation dates, and, consequently, the securities are not automatically redeemed prior to, and remain outstanding
until, maturity.

RTY Index Final Level
SPX Index Final Level
Payment at Maturity (per
Security)
Example 1:
2,000 (a t or a bove its call
3,200 (a t or a bove its call
$1,330.00
threshold level)
threshold level)
Example 2:
1,360 (be low its call threshold
3,600 (a t or a bove its call
$1,000
level but a t or a bove its
threshold level and principal
principal barrier)
barrier)
Example 3:
2,125 (a t or a bove its call
1,500 (be low its principal
$1,000 × (1,500 / 3,000) =
threshold level and principal
barrier)
$500
barrier)
Example 4:
340 (be low its principal
2,250 (be low its call threshold
$1,000 × (340 / 1,700) = $200
barrier)
level but a t or a bove its
principal barrier)
Example 5:
340 (be low its principal
1,200 (be low its principal
$1,000 × (340 / 1,700) = $200
barrier)
barrier)

In example 1, the final level of each underlying index is at or above its respective call threshold level. Therefore, investors receive
$1,330.00 per security at maturity. Investors do not participate in any appreciation in either underlying index.

In example 2, the final level of one of the underlying indices is at or above its call threshold level and principal barrier, but the final
level of the other underlying index is below its call threshold level and at or above its principal barrier. The SPX Index has
increased 20% from its initial level to its final level and the RTY Index has declined 20% from its initial level to its final level.
Therefore, investors receive a payment at maturity equal to the stated principal amount of $1,000 per security. Investors do not
participate in any appreciation in either underlying index.

In example 3, the final level of one of the underlying indices is at or above its call threshold level and principal barrier, but the final
level of the other underlying index is below its respective principal barrier. Therefore, investors are exposed to the downside
performance of the worst performing underlying index at maturity. The RTY Index has increased 25% from its initial level to its final
level and the SPX Index has declined 50% from its initial level to its final level. Therefore, investors receive at maturity an amount

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equal to the stated principal amount times the index performance factor of the SPX Index, which is the worst performing underlying
index in this example.

In example 4, the final level of one of the underlying indices is below its call threshold level but at or above its principal barrier,
while the final level of the other underlying index is below its respective principal barrier. Therefore, investors are exposed to the
downside performance of the worst performing underlying index at maturity. The SPX Index has declined 25% from its initial level to
its final level and the RTY Index has declined 80% from its initial level to its final level. Therefore, investors receive at maturity an
amount equal to the stated principal amount times the index performance factor of the RTY Index, which is the worst performing
underlying index in this example.

In example 5, the final level of each underlying index is below its respective principal barrier, and investors receive at maturity an
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amount equal to the stated principal amount times the index performance factor of the worst performing underlying index. The RTY
Index has declined 80% from its initial level to its final level and the SPX Index has declined 60% from its initial level to its final
level. Therefore, the payment at maturity equals the stated principal amount times the index performance factor of the RTY Index,
which is the worst performing underlying index in this example.

I f t he se c urit ie s a re not re de e m e d prior t o m a t urit y a nd t he fina l le ve l of e it he r unde rlying inde x is be low it s
re spe c t ive princ ipa l ba rrie r, you w ill be e x pose d t o t he dow nside pe rform a nc e of t he w orst pe rform ing
unde rlying inde x a t m a t urit y, a nd your pa ym e nt a t m a t urit y w ill be le ss t ha n 7 0 % of t he st a t e d princ ipa l
a m ount pe r se c urit y a nd c ould be ze ro.

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Risk Factors

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

The securities do not pay interest or guarantee the return of any principal. The terms of the securities differ
from those of ordinary debt securities in that they do not pay interest or guarantee the return of any of the principal amount at
maturity. If the securities have not been automatically redeemed prior to maturity and the final level of e it he r unde rlying
inde x is less than its respective principal barrier of 70% of its initial level, you will be exposed to the decline in the value of
the worst performing underlying index, as compared to its initial level, on a 1-to-1 basis, and you will receive for each security
that you hold at maturity an amount equal to the stated principal amount times the index performance factor of the worst
performing underlying index. In this case, the payment at maturity will be less than 70% of the stated principal amount and
could be zero.

The appreciation potential of the securities is limited by the fixed autocall premium or payment at
m a t urit y spe c ifie d for e a c h c a ll obse rva t ion da t e . The appreciation potential of the securities is limited to the fixed
autocall premium specified for each call observation date if each underlying index closes at or above its respective call
threshold level on any annual call observation date, or to the fixed upside payment at maturity if the securities have not been
redeemed and the final level of each underlying index is at or above its call threshold level. In all cases, you will not participate
in any appreciation of either underlying index, which could be significant.

You are exposed to the price risk of each underlying index. Your return on the securities is not linked to a basket
consisting of each underlying index. Rather, it will be contingent upon the independent performance of each underlying index.
Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all
the components of the basket, you will be exposed to the risks related to each underlying index. Poor performance by e it he r
unde rlying inde x over the term of the securities may negatively affect your return and will not be offset or mitigated by any
positive performance by the other underlying index. To receive an autocall premium, e a c h unde rlying inde x must close at
or above its respective call threshold level on the applicable call observation date. In addition, if the securities have not been
redeemed and a t le a st one unde rlying inde x has declined to below its respective principal barrier as of the final call
observation date, you will be fully e x pose d to the decline in the worst performing underlying index over the term of the
securities on a 1-to-1 basis, even if the other underlying index has appreciated or has not declined as much. Under this
scenario, the value of any such payment at maturity will be less than 70% of the stated principal amount and could be zero.
Accordingly, your investment is subject to the price risk of each underlying index.

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 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. We expect that generally the level of interest rates available in the
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market and the value of each underlying index on any day, including in relation to its respective initial level, call threshold level
and principal barrier, will affect the value of the securities more than any other factors. Other factors that may influence the
value of the securities include:

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

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

o
dividend rates on the securities underlying the underlying indices,

o
the time remaining until the securities mature,

o
interest and yield rates in the market,

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o
the availability of comparable instruments,

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

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

Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For
example, you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security
if the price of either underlying index at the time of sale is near or below its principal barrier or if market interest rates rise.

You cannot predict the future performance of either underlying index based on its historical performance. The value(s) of one
or both of the underlying indices may decrease so that you will receive no return on your investment and receive a payment at
maturity that is less than 70% of the stated principal amount. See "Russell 2000® Index Overview" and "S&P 500® Index
Overview" below.

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

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

The securities are linked to the Russell 2000® Index and are subject to risks associated w ith small-
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