Obligation Morgan Stanley Financial 0% ( US61770FZW93 ) en USD

Morgan Stanley Financial

100 % ▼

Etas-Unis

US61770FZW93 ( en USD )

03/11/2022 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley Finance US61770FZW93 en USD 0%, échue

1 000 USD

250 000 USD

61770FZW9

N/A

A1 ( Qualité moyenne supérieure )

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 US61770FZW93, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 03/11/2022

L'Obligation émise par Morgan Stanley Financial ( Etas-Unis ) , en USD, avec le code ISIN US61770FZW93, a été notée A1 ( Qualité moyenne supérieure ) par l'agence de notation Moody's.

424B2 1 dp127548_424b2-ps3815.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Dual Directional Knock-Out Notes due 2022
$250,000

$32.45

April 2 0 2 0
Pricing Supplement No. 3,815
Registration Statement Nos. 333-221595; 333-221595-01
Dated April 30, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Ba se d on t he V a lue of 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
The notes are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by
Morgan Stanley. The notes will pay no interest and will have the terms described in the accompanying product supplement, index
supplement and prospectus, as supplemented and modified by this document. The payment at maturity on the notes will be
determined as follows: If the index closing value of the underlying index has remained less than or equal to the upside knock-out
level, which is 120% of the initial index value, a nd greater than or equal to the downside knock-out level, which is 80% of the
initial index value, on e a c h inde x busine ss da y during the term of the notes, we will pay per note at maturity: (i) if the final
index value is greater than or equal to the initial index value, the stated principal amount of $1,000 plus a return reflecting 100% of
the upside performance of the underlying index, which will effectively be limited to a return of 20%, or (ii) if the final index value is
less than the initial index value, the stated principal amount plus a positive return equal to the absolute value of the percentage
decline, which will also effectively be limited to a positive return of 20%. However, if the index closing value of the underlying index
is greater than the upside knock-out level or less than the downside knock-out level on a ny inde x busine ss da y during the
term of the notes, a trigger event will have occurred and, at maturity, we will pay per note only the stated principal amount of
$1,000 plus the upside payment of $17.50 per note. The notes are for investors who are concerned about principal risk but seek an
equity index-based return, determined as set forth herein, and who are willing to forgo current income and uncapped participation
in the appreciation of the underlying index in exchange for the repayment of principal at maturity plus the possibility of receiving a
return based on a limited range of performance of the underlying index but only if the index closing value of the underlying index
has remained less than or equal to the upside knock-out level a nd greater than or equal to the downside knock-out level on e a c h
inde x busine ss da y during the term of the notes. The notes 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 not e s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st in, or
ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
I ssue pric e :
$1,000 per note
St a t e d princ ipa l a m ount :
$1,000 per note
Aggre ga t e princ ipa l
$250,000
a m ount :
Pric ing da t e :
April 30, 2020
Origina l issue da t e :
May 5, 2020 (3 business days after the pricing date)
M a t urit y da t e :
November 3, 2022
I nt e re st :
None
U nde rlying inde x :
S&P 500® Index
T rigge r e ve nt :
A trigger event occurs if, on a ny inde x busine ss da y from but excluding the pricing date to
and including the valuation date, the index closing value of the underlying index is greater than
the upside knock-out level or less than the downside knock-out level. If a trigger event occurs on
any inde x busine ss da y during the term of the notes, you will receive at maturity only the
stated principal amount of $1,000 plus the upside payment.
Pa ym e nt a t m a t urit y:
The payment at maturity will depend on whether or not a trigger event has occurred and will be
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determined as follows:

· If a trigger event HAS NOT occurred on any index business day during the
t e rm of t he not e s up t o a nd inc luding t he va lua t ion da t e :

· If the final index value is greater than or equal to the initial index value:

$1,000 + ($1,000 x index return)

In this scenario, you will receive a 1% positive return on the notes for each 1% positive return
on the underlying index. In no event will this amount exceed the stated principal amount plus
$200.

· If the final index value is less than the initial index value:

$1,000 + ($1,000 x absolute index return)

In this scenario, you will receive a 1% positive return on the notes for each 1% negative
return on the underlying index. In no event will this amount exceed the stated principal
amount plus $200.

· If a trigger event HAS occurred on any index business day during the term of
t he not e s up t o a nd inc luding t he va lua t ion da t e :

$1,000 + the upside payment
U pside pa ym e nt :
$17.50 per note (1.75% of the stated principal amount)
I nit ia l inde x va lue :
2,912.43, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
U pside k noc k -out le ve l:
3,494.916, which is 120% of the initial index value
Dow nside k noc k -out le ve l: 2,329.944, which is 80% of the initial index value
I nde x re t urn:
(final index value initial index value) / initial index value
Absolut e inde x re t urn:
The absolute value of the index return
October 31, 2022, subject to postponement for non-index business days and certain market
V a lua t ion da t e :
disruption events
CU SI P:
61770FZW9
I SI N :
US61770FZW93
List ing:
The notes 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
$984.70 per note. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue
Pric e t o public (1)
Age nt 's c om m issions a nd
Proc e e ds t o us(3)
pric e :
fe e s (2)
Pe r not e
$1,000
$5
$995
T ot a l
$250,000
$1,250
$248,750
(1) The notes will be sold only to investors purchasing the notes in fee-based advisory accounts.
(2) MS & Co. expects to sell all of the notes that it purchases from us to an unaffiliated dealer at a price of $995 per note, for
further sale to certain fee-based advisory accounts at the price to public of $1,000 per note. MS & Co. will not receive a sales
commission with respect to the notes See "Supplemental information regarding plan of distribution; conflicts of interest." For
additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement for equity-linked
notes.
(3) See "Use of proceeds and hedging" on page 12.
T he not e 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 5 .
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 not e 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 not e 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
https://www.sec.gov/Archives/edgar/data/895421/000095010320008929/dp127548_424b2-ps3815.htm[5/4/2020 2:26:30 PM]

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 N ot e s" a nd "Addit iona l I nform a t ion About t he N ot e 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 Equit y-Link e d N ot e s da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt da t e d
N ove m be r 1 6 , 2 0 1 7
Prospe c t us da t e d N ove m be r 1 6 , 2 0 1 7

Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
Investment Summary

Dua l Dire c t iona l K noc k -Out N ot e s Wit h Da ily T rigge r M onit oring

The Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022 Based on the Value of the S&P 500®
Index (the "notes") offer a positive return based on the performance of the underlying index but only if the index closing value of
the underlying index has remained less than or equal to the upside knock-out level a nd greater than or equal to the downside
knock-out level on e a c h inde x busine ss da y during the term of the notes. The notes provide investors:

an opportunity to gain 1-to-1 upside exposure to the performance of the S&P 500® Index

the repayment of principal at maturity, subject to our creditworthiness

If the index closing value of the underlying index has remained less than or equal to the upside knock-out level a nd greater than
or equal to the downside knock-out level on e a c h inde x busine ss da y during the term of the notes, we will pay per note at
maturity: (i) if the final index value is greater than or equal to the initial index value, the stated principal amount plus a return
reflecting 100% of the upside performance of the underlying index, which will effectively be limited to a return of 20%, or (ii) if the
final index value is less than the initial index value, the stated principal amount plus a positive return equal to the absolute value of
the percentage decline, which will effectively be limited to a positive return of 20%. However, if the index closing value of the
underlying index is greater than the upside knock-out level or less than the downside knock-out level on a ny inde x busine ss
da y during the term of the notes, a trigger event will have occurred and, at maturity, we will pay per note only the stated principal
amount of $1,000 plus the upside payment of $17.50 per note. All payments on the notes, including the repayment of principal at
maturity, are subject to our credit risk.

M a t urit y:
Approximately 2.5 years
U pside pa ym e nt :
$17.50 per note (1.75% of the stated principal amount)
U pside k noc k -out le ve l:
120% of the initial index value, monitored daily throughout the term of the notes
Dow nside k noc k -out
80% of the initial index value, monitored daily throughout the term of the notes
le ve l:
I nt e re st :
None

The original issue price of each note is $1,000. This price includes costs associated with issuing, selling, structuring and hedging
the notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date is less than $1,000. We
estimate that the value of each note on the pricing date is $984.70.

What goes into the estimated value on the pricing date?

In valuing the notes on the pricing date, we take into account that the notes comprise both a debt component and a performance-
based component linked to the underlying index. The estimated value of the notes 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
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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 notes?

In determining the economic terms of the notes, including the upside payment, the upside knock-out level and the downside knock-
out 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 notes 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 notes?

The price at which MS & Co. purchases the notes 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 notes 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 notes 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.

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

April 2020
Page 2
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
Key Investment Rationale

Dual Directional Knock-Out Notes With Daily Trigger Monitoring offer investors potential upside exposure to the performance of the
underlying index but only if a trigger event does not occur. They are for investors who are concerned about principal risk but
seek an equity index-based return, determined as set forth herein, and who are willing to forgo current income and uncapped
participation in the appreciation of the underlying index in exchange for the repayment of principal at maturity plus the possibility of
receiving a return based on a limited range of performance of the underlying index but only if the index closing value of the
underlying index has remained less than or equal to the upside knock-out level a nd greater than or equal to the downside knock-
out level on e a c h inde x busine ss da y during the term of the notes. If the index closing value of the underlying index has
remained less than or equal to the upside knock-out level a nd greater than or equal to the downside knock-out level on e a c h
inde x busine ss da y during the term of the notes, we will pay per note at maturity: (i) if the final index value is greater than or
equal to the initial index value, the stated principal amount plus a return reflecting 100% of the upside performance of the
underlying index, which will effectively be limited to a return of 20%, or (ii) if the final index value is less than the initial index value,
the stated principal amount plus a positive return equal to the absolute value of the percentage decline, which will effectively be
limited to a positive return of 20%. However, if the index closing value of the underlying index is greater than the upside knock-out
level or less than the downside knock-out level on a ny inde x busine ss da y during the term of the notes, a trigger event will
have occurred and, at maturity, we will pay per note only the stated principal amount of $1,000 plus the upside payment of $17.50
per note.

T rigge r Eve nt
A trigger event occurs if, on a ny inde x busine ss da y from but excluding the pricing date to
and including the valuation date, the index closing value of the underlying index is greater than
the upside knock-out level or less than the downside knock-out level. If a trigger event occurs
on a ny inde x busine ss da y during the term of the notes, you will receive at maturity only
the stated principal amount of $1,000 plus the upside payment.
Sc e na rio 1 A T rigge r
If a trigger event has not occurred (meaning that the index closing value of the underlying index
Eve nt Doe s N ot Oc c ur a nd
has remained less than or equal to the upside knock-out level a nd greater than or equal to the
t he U nde rlying I nde x
downside knock-out level on e a c h inde x busine ss da y during the term of the notes) and
Appre c ia t e s
the final index value is greater than or equal to the initial index value, you will receive for each
security that you hold $1,000 plus a return reflecting 100% of the index return. The maximum
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return you may receive in this scenario is a positive 20% return at maturity.
Sc e na rio 2 A T rigge r
If a trigger event has not occurred (meaning that the index closing value of the underlying index
Eve nt Doe s N ot Oc c ur a nd
has remained less than or equal to the upside knock-out level a nd greater than or equal to the
t he U nde rlying I nde x
downside knock-out level on e a c h inde x busine ss da y during the term of the notes) and
De pre c ia t e s
the final index value is less than the initial index value, the notes pay a 1% positive return for
each 1% negative return on the underlying index. The maximum return you may receive in this
scenario is a positive 20% return at maturity.
Sc e na rio 3 A T rigge r
If a trigger event has occurred (meaning that the index closing value of the underlying index is
Eve nt Oc c urs
greater than the upside knock-out level or less than the downside knock-out level on a ny
inde x busine ss da y during the term of the notes), you will receive at maturity only the stated
principal amount of $1,000 plus the upside payment of $17.50 per note.

April 2020
Page 3
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
Hypothetical Payout on the Notes

The following hypothetical examples illustrate how to calculate the payment at maturity on the notes. The following examples are
for illustrative purposes only. The payment at maturity on the notes is subject to our credit risk. The below examples are based on
the following terms. The actual initial index value, upside knock-out level and downside knock-out level are set forth on the cover of
this document.

St a t e d Princ ipa l Am ount :
$1,000 per note
H ypot he t ic a l I nit ia l I nde x V a lue :
2,200
H ypot he t ic a l U pside K noc k -Out
2,640 (120% of the hypothetical initial index value)
Le ve l:
H ypot he t ic a l Dow nside K noc k -Out
1,760 (80% of the hypothetical initial index value)
Le ve l:
U pside Pa ym e nt :
$17.50 (1.75% of the stated principal amount)
I nt e re st :
None

EX AM PLE 1 : A T rigge r Eve nt H AS oc c urre d.

In this example, the index closing value of the underlying index is greater than the upside knock-out level or less than the
downside knock-out level on a ny inde x busine ss da y during the term of the notes. Therefore, a trigger event has occurred and
investors receive at maturity only the stated principal amount of $1,000 plus the upside payment, regardless of the performance of
the underlying index. Given the upside payment of $17.50, the investor would receive a payment at maturity of $1,017.50 per note,
or a return of 1.75%, but would not participate in any performance of the underlying index because a trigger event has occurred.

EX AM PLE 2 : A T rigge r Eve nt H AS N OT oc c urre d a nd t he unde rlying inde x inc re a se s by 5 % from t he init ia l
inde x va lue t o t he fina l inde x va lue .

Final index value
2,310
Index return
= (2,310 2,200) / 2,200 = 5%
Payment at maturity
= $1,000 + ($1,000 x index return)

= $1,000 + ($1,000 x 5%)

= $1,000 + $50

= $1,050

In this example, the index closing value of the underlying index has remained less than or equal to the upside knock-out level a nd
greater than or equal to the downside knock-out level on e a c h inde x busine ss da y during the term of the notes. Therefore, a
trigger event has not occurred, and investors receive a return at maturity equal to the index return. The payment at maturity is
$1,050 per note, resulting in a return of 5%.
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EX AM PLE 3 : A T rigge r Eve nt H AS N OT oc c urre d a nd t he unde rlying inde x de c re a se s by 8 % from t he init ia l
inde x va lue t o t he fina l inde x va lue .

Final index value

2,024
Index return
= (2,024 2,200) / 2,200 = - 8%
Payment at maturity
= $1,000 + ($1,000 x absolute index
return)

= $1,000 + ($1,000 x 8%)

= $1,000 + $80

= $1,080

In this example, the index closing value of the underlying index has remained less than or equal to the upside knock-out level a nd
greater than or equal to the downside knock-out level on e a c h inde x busine ss da y during the term of the notes. Therefore, a
trigger event has not occurred, and investors receive a return at maturity equal to the absolute index return. The payment at
maturity is $1,080 per note, resulting in a return of 8%.

If a trigger event does not occur on a ny inde x busine ss da y during the term of the notes, the return on the notes will equal the
index return or the absolute index return, as applicable. If a trigger event occurs on a ny inde x busine ss da y during the term of
the notes, the return on the notes will equal only the upside payment, without any participation in the performance of the underlying
index.

April 2020
Page 4
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
Risk Factors

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

The notes do not pay interest and may not pay more than the stated principal amount at maturity. If a
trigger event does not occur and the final index value is equal to the initial index value, you will receive a payment at maturity
of only the stated principal amount of $1,000 for each note you hold, without any positive return on your investment. If a trigger
event occurs, the return on the notes will equal only the upside payment, without any participation in the performance of the
underlying index. As the notes do not pay any interest, the overall return on the notes (the effective yield to maturity) may be
less than the amount that would be paid on a conventional debt security of ours of comparable maturity. The notes are for
investors who are concerned about principal risk but seek an equity index-based return, determined as set forth herein, and
who are willing to forgo current income in exchange for the repayment of principal at maturity plus the possibility of receiving a
return based on a limited range of performance of the underlying index, but only if a trigger event does not occur.

You may not participate in any performance of the underlying index, and your maximum gain on the
not e s is lim it e d by t he upside k noc k -out le ve l a nd dow nside k noc k -out le ve l. If the index closing value of the
underlying index is greater than the upside knock-out level or less than the downside knock-out level on a ny inde x
busine ss da y during the term of the notes, the payment at maturity will equal only the stated principal amount plus the
upside payment, without any participation in the performance of the underlying index, and you will not benefit from the dual-
directional feature of the notes. If the index closing value of the underlying index has remained less than or equal to the upside
knock-out level a nd greater than or equal to the downside knock-out level on e a c h inde x busine ss da y during the term of
the notes, we will pay per note at maturity: (i) if the final index value is greater than or equal to the initial index value, the
stated principal amount plus a return reflecting 100% of the upside performance of the underlying index, which will effectively
be limited to a return of 20%, or (ii) if the final index value is less than the initial index value, the stated principal amount plus a
positive return equal to the absolute value of the percentage decline, which will also effectively be limited to a positive return of
20%. Accordingly, the maximum gain on the notes is limited by the upside knock-out level and the downside knock-out level,
and the maximum payment at maturity is $1,200 per $1,000 principal amount of notes, which would be payable only if a trigger
event has not occurred a nd the final index value represents an appreciation of exactly 20% from the initial index value, or a
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decline of exactly 20% from the initial index value, as applicable. Any further appreciation of the underlying index beyond the
upside knock-out level, or any further depreciation of the underlying index beyond the downside knock-out level, each
measured as of the close of trading on e a c h inde x busine ss da y during the term of the notes, will result in a payment at
maturity of only the stated principal amount plus the upside payment, without any participation in the performance of the
underlying index.

The market price of the notes w ill be influenced by many unpredictable factors. Several factors will influence
the value of the notes in the secondary market and the price at which MS & Co. may be willing to purchase or sell the notes in
the secondary market, including whether or not a trigger event has occurred, the value of the underlying index at any time and,
in particular, on the valuation date, the volatility (frequency and magnitude of changes in value) of the underlying index,
dividend rate on the stocks underlying the index, interest and yield rates in the market, time remaining until the notes mature,
geopolitical conditions and economic, financial, political, 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. 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 note if you try to sell your notes prior to maturity.

The notes 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 not e s. You are dependent on our ability to pay all
amounts due on the notes at maturity and therefore you are subject to our credit risk. The notes are not guaranteed by any
other entity. If we default on our obligations under the notes, your investment would be at risk and you could lose some or all of
your investment. As a result, the market value of the notes 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 notes.

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

April 2020
Page 5
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
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 final index value is not based on the value of the underlying index at any time other than the
va lua t ion da t e . The final index value will be based on the index closing value on the valuation date, subject to
postponement for non-index business days and certain market disruption events. Assuming a trigger event does not occur,
even if the value of the underlying index moves in a favorable manner prior to the valuation date but then moves in an
unfavorable manner by the valuation date, the payment at maturity may be significantly less than it would have been had the
payment at maturity been linked to the value of the underlying index prior to such appreciation. Although the actual value of the
underlying index on the stated maturity date or at other times during the term of the notes may be different than the final index
value, as determined on the valuation date, the final index value will be based solely on the index closing value of the
underlying index on the valuation date.

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 not e 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 not e s, c a use t he e st im a t e d va lue of t he not e 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
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purchase the notes 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 notes in the original issue price and the lower rate we
are willing to pay as issuer make the economic terms of the notes less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the notes 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 notes 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 notes is determined by reference to our pricing and valuation models, w hich
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 notes than those generated by others,
including other dealers in the market, if they attempted to value the notes. In addition, the estimated value on the pricing date
does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your
notes in the secondary market (if any exists) at any time. The value of your notes at any time after the date of this document
will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market
conditions. See also "The market price of the notes will be influenced by many unpredictable factors" above.

Adjustments to the underlying index could adversely affect the value of the notes. The publisher of the
underlying index can add, delete or substitute the stocks underlying the index, and can make other methodological changes
required by certain events relating to the underlying stocks, such as stock dividends, stock splits, spin-offs, rights offerings and
extraordinary dividends, that could change the value of the underlying index. Any of these actions could adversely affect the
value of the notes. The publisher of the underlying index may also discontinue or suspend calculation or publication of the
underlying index at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to
substitute a successor index that is comparable to the discontinued index. MS & Co. could have an economic interest that is
different than that of investors in the notes insofar as, for example, MS & Co. is permitted to consider indices that are
calculated and published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor
index, the index closing value will be an amount based on the values of the stocks underlying the discontinued index at the
time of such discontinuance, without rebalancing or substitution, computed by MS & Co, as calculation agent, in accordance
with the formula for calculating the index closing value last in effect prior to discontinuance of the underlying index.

Investing in the notes is not equivalent to investing in the underlying index. Investing in the notes is not
equivalent to investing in the underlying index or its component stocks. As an investor in the notes, 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. See "Hypothetical Payout on the Notes" above.

April 2020
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Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
The notes w ill not be listed on any securities exchange and secondary trading may be limited.
Ac c ordingly, you should be w illing t o hold your not e s for t he e nt ire 2 .5 -ye a r t e rm of t he not e s. The notes
will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. MS & Co.
may, but is not obligated to, make a market in the notes 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 notes, 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 notes. Even if there is a secondary market, it may not provide enough liquidity to allow
you to trade or sell the notes easily. Since other broker-dealers may not participate significantly in the secondary market for the
notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which MS & Co. is
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willing to transact. If, at any time, MS & Co. were to cease making a market in the notes, it is likely that there would be no
secondary market for the notes. Accordingly, you should be willing to hold your notes 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 not e s. As calculation agent, MS & Co. will determine the initial index value,
whether a trigger event occurs and the final index value, if applicable, and will calculate the amount of cash 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 index closing value in the event of a discontinuance of the
underlying index. These potentially subjective determinations may adversely affect the payout to you at maturity. For further
information regarding these types of determinations, see "Description of Equity-Linked Notes--Calculation Agent and
Calculations," "--Alternate Exchange Calculation in the Case of an Event of Default" and "--Discontinuance of Any Underlying
Index; Alteration of Method of Calculation" in the accompanying product supplement for equity-linked notes. In addition, MS &
Co. has determined the estimated value of the notes on the pricing date.

Hedging and trading activity by our affiliates could potentially adversely affect the value of the notes.
One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the notes (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 notes, and the hedging strategy may involve greater and more frequent dynamic
adjustments to the hedge as the valuation date approaches. Some of our 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
affect the initial index value, and, therefore, could affect the value that will be used to determine the payment at maturity.
Additionally, such hedging or trading activities during the term of the notes, including on the valuation date, could affect the
closing value of the underlying index, and, accordingly, the amount of cash an investor will receive at maturity.

April 2020
Page 7
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
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 30, 2020:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,912.43
5 2 We e k s Ago:
2,945.83
5 2 We e k H igh (on
3,386.15
2 /1 9 /2 0 2 0 ):
5 2 We e k Low (on
2,237.40
3 /2 3 /2 0 2 0 ):

The following graph sets forth the daily index closing values of the underlying index for each quarter in the period from January 1,
2015 through April 30, 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 index closing value of the underlying index on
April 30, 2020 was 2,912.43. 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. You should not take the historical
values of the underlying index as an indication of its future performance, and no assurance can be given as to the index closing
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value of the underlying index on any day, including the valuation date.

S& P 5 0 0 ® I nde x Da ily I nde x Closing V a lue s
J a nua ry 1 , 2 0 1 5 t o April 3 0 , 2 0 2 0
April 2020
Page 8
Morgan Stanley Finance LLC
Dual Directional Knock-Out Notes With Daily Trigger Monitoring due November 3, 2022
Based on the Value of the S&P 500® Index
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
Third Quarter
2,519.36
2,409.75
2,519.36
Fourth Quarter
2,690.16
2,529.12
2,673.61
2 0 1 8

First Quarter
2,872.87
2,581.00
2,640.87
Second Quarter
2,786.85
2,581.88
2,718.37
Third Quarter
2,930.75
2,713.22
2,913.98
Fourth Quarter
2,925.51
2,351.10
2,506.85
2 0 1 9

First Quarter
2,854.88
2,447.89
2,834.40
Second Quarter
2,954.18
2,744.45
2,941.76
Third Quarter
3,025.86
2,840.60
2,976.74
Fourth Quarter
3,240.02
2,887.61
3,230.78
2 0 2 0

First Quarter
3,386.15
2,237.40
2,584.59
Second Quarter (through April 30, 2020)
2,939.51
2,470.50
2,912.43
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Document Outline

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