Obligation Morgan Stanley Financial 0% ( US61770G3939 ) en USD

Morgan Stanley Financial

100 % ⇌

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US61770G3939 ( en USD )

03/09/2021 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley Finance US61770G3939 en USD 0%, échue

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8 962 000 USD

61770G393

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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 US61770G3939, paye un coupon de 0% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 03/09/2021

424B2 1 dp122947_424b2-ps3409.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Dual Directional Trigger Participation Securities
$8,962,450

$1,163.33
due 2021
Fe brua ry 2 0 2 0
Pricing Supplement No. 3,409
Registration Statement Nos. 333-221595; 333-221595-01
Dated February 28, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due
September 3, 2021
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 Dual Directional Trigger Participation Securities (the "securities") are unsecured obligations of Morgan Stanley Finance LLC
("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The securities will pay no interest, do not guarantee any
return of principal at maturity and have the terms described in the accompanying product supplement for Participation Securities,
index supplement and prospectus, as supplemented or modified by this document. At maturity, if the S&P 500® Index, which we
refer to as the underlying index, has a ppre c ia t e d in value, investors will receive the stated principal amount of their investment
plus unleveraged upside performance of the underlying index, subject to the maximum upside payment at maturity. If the underlying
index has de pre c ia t e d in value but by no more than 10%, investors will receive the stated principal amount of their investment
plus an unleveraged positive return equal to the absolute value of the percentage decline, which will effectively be limited to a
positive 10% return. However, if the underlying index has de pre c ia t e d in value by more than 10%, investors will be negatively
exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated principal amount for
every 1% of decline, without any buffer. The securities are for investors who seek an equity index-based return and who are willing
to risk their principal and forgo current income and upside above the maximum upside payment at maturity in exchange for the
absolute return feature that applies to a limited range of performance of the underlying index. 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 se c urit ie s. The securities are notes issued as part of MSFL's Series A Global Medium-Term Notes
program.
The securities differ from the Participation Securities described in the accompanying product supplement for Participation Securities
in that the securities offer the potential for a positive return at maturity if the underlying index depreciates by up to 10%. The
securities are not the Buffered Participation Securities described in the accompanying product supplement for Participation
Securities. Unlike the Buffered Participation Securities, the securities do not provide any protection if the underlying index
depreciates by more than 10%.
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
M a t urit y da t e :
September 3, 2021
August 31, 2021, subject to postponement for non-index business days and certain market
V a lua t ion da t e :
disruption events
U nde rlying inde x :
S&P 500® Index
Aggre ga t e princ ipa l a m ount :
$8,962,450
Pa ym e nt a t m a t urit y:
If the final index value is greater than the initial index value:
$10 + ($10 × index percent change), subject to the maximum upside payment at maturity
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:
$10 + ($10 × absolute index return)
In this scenario, you will receive a 1% positive return on the securities for each 1%
negative return on the underlying index. In no event will this amount exceed the stated
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principal amount plus $1.00.
If the final index value is less than the trigger level:
$10 × index performance factor
Under these circumstances, the payment at maturity will be less than the stated principal
amount of $10, and will represent a loss of more than 10%, and possibly all, of your
investment.
M a x im um upside pa ym e nt a t
$11.315 per security (113.15% of the stated principal amount)
m a t urit y:
I nde x pe rc e nt c ha nge :
(final index value initial index value) / initial index value
Absolut e inde x re t urn:
The absolute value of the index percent change. For example, a 5% index percent change
will result in a +5% absolute index return.
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 :
2,954.22, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
T rigge r le ve l:
2,658.798, which is 90% of the initial index value
St a t e d princ ipa l a m ount / I ssue $10 per security (see "Commissions and issue price" below)
pric e :
Pric ing da t e :
February 28, 2020
Origina l issue da t e :
March 4, 2020 (3 business days after the pricing date)
CU SI P / I SI N :
61770G393 / US61770G3939
List ing:
The securities will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley and
an affiliate of MSFL. See "Supplemental information regarding plan of distribution; conflicts of
interest."
Est im a t e d va lue on t he pric ing $9.528 per security. See "Investment Summary" on page 2.
da t e :
Com m issions a nd issue pric e :
Pric e t o public
Age nt 's c om m issions a nd
Proc e e ds t o us(3)
fe e s
Pe r se c urit y
$10
$0.20(1)

$0.05(2)
$9.75
T ot a l
$8,962,450
$224,061.25
$8,738,388.75
(1) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively
receive from the agent, MS & Co., a fixed sales commission of $0.20 for each security 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 for Participation Securities.
(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each security.
(3) See "Use of proceeds and hedging" on page 14.
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 6 .
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 .
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 .
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 Pa rt ic ipa t ion 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
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
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Princ ipa l a t Risk Se c urit ie s
Investment Summary

Dua l Dire c t iona l T rigge r Pa rt ic ipa t ion Se c urit ie s

Princ ipa l a t Risk Se c urit ie s

The Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September 3, 2021
(the "securities") can be used:

To achieve similar levels of upside exposure to the underlying index as a direct investment, subject to the maximum upside
payment at maturity

To obtain an unleveraged positive return for a limited range of negative performance of the underlying index

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 18 months
M a x im um upside pa ym e nt
$11.315 per security (113.15% of the stated principal amount)
a t m a t urit y:
M inim um pa ym e nt a t
None. Investors may lose their entire initial investment in the securities.
m a t urit y:
T rigge r le ve l:
90% of the initial index value
Coupon:
None
List ing:
The securities will not be listed on any securities exchange

The original issue price of each security is $10. This price includes costs associated with issuing, selling, structuring and hedging
the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date is less than
$10. We estimate that the value of each security on the pricing date is $9.528.

What goes into the estimated value on the pricing date?

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

In determining the economic terms of the securities, including the trigger level and the maximum upside payment at maturity, 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 pricing 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 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 securities 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 securities 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
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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.

February 2020
Page 2
Morgan Stanley Finance LLC
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
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 offer the potential for a positive return at maturity based on the absolute value of a limited range of percentage
changes of the underlying index. 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 unleveraged upside performance of the underlying index, subject to the maximum upside
payment at maturity. If the underlying index has de pre c ia t e d in value but by no more than 10%, investors will receive the stated
principal amount of their investment plus an unleveraged positive return equal to the absolute value of the percentage decline,
which will effectively be limited to a positive 10% return. However, if the underlying index has de pre c ia t e d in value by more than
10%, investors will be negatively exposed to the full amount of the percentage decline in the underlying index and will lose 1% of
the stated principal amount for every 1% of decline, without any buffer. 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 se c urit ie s. All payments on the securities are subject to our credit risk.

Absolut e Re t urn
The securities enable investors to obtain an unleveraged positive return if the final index value is less
Fe a t ure
than the initial index value but is greater than or equal to the trigger level.
The final index value is greater than the initial index value, and, at maturity, you receive a full return of
U pside Sc e na rio
principal as well as 100% of the increase in the value of the underlying index, subject to the maximum
if t he U nde rlying
upside payment at maturity. For example, if the final index value is 5% greater than the initial index
I nde x
value, the securities will provide a total return of 5% at maturity. If the final index value is 40% greater
Appre c ia t e s
than the initial index value, the securities will provide a total return of only 13.15% at maturity, due to the
maximum upside payment at maturity.
The final index value is less than or equal to the initial index value but is greater than or equal to the
trigger level, which is 90% of the initial index value. In this case, you receive a 1% positive return on the
Absolut e Re t urn
securities for each 1% negative return on the underlying index. For example, if the final index value is
Sc e na rio
8% less than the initial index value, the securities will provide a total positive return of 8% at
maturity. The maximum return you may receive in this scenario is a positive 10% return at maturity.
The final index value is less than the trigger level. In this case, the securities redeem for at least 10%
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 securities. Under these circumstances,
Dow nside
the payment at maturity will be less than 90% of the stated principal amount per security. For example, if
Sc e na rio
the final index value is 70% less than the initial index value, the securities will be redeemed at maturity
for a loss of 70% of principal at $3.00, or 30% of the stated principal amount. T he re is no m inim um
pa ym e nt a t m a t urit y on t he se c urit ie s, a nd you c ould lose your e nt ire inve st m e nt .

February 2020
Page 3
Morgan Stanley Finance LLC
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
Princ ipa l a t Risk Se c urit ie s
How the Securities Work
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Pa yoff Dia gra m

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

St a t e d princ ipa l a m ount :
$10 per security
M a x im um upside pa ym e nt a t m a t urit y:
$11.315 per security (113.15% of the stated principal amount)
T rigge r le ve l:
90% of the initial index value
M inim um pa ym e nt a t m a t urit y:
None

Dua l Dire c t iona l T rigge r Pa rt ic ipa t ion Se c urit ie s Pa yoff Dia gra m

See the next page for a description of how the securities work.

February 2020
Page 4
Morgan Stanley Finance LLC
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
Princ ipa l a t Risk Se c urit ie s
H ow it w ork s

Upside Scenario if the Underlying Index Appreciates. If the final index value is greater than the initial index value,
the investor would receive the $10 stated principal amount plus 100% of the appreciation of the underlying index over the term
of the securities, subject to the maximum upside payment at maturity. Under the terms of the securities, an investor will realize
the maximum upside payment at maturity of $11.315 per security (113.15% of the stated principal amount) at a final index
value of 113.15% of the initial index value.
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If the underlying index appreciates 5%, investors will receive a 5% return, or $10.50 per security.

If the underlying index appreciates 70%, the investor would receive only the maximum upside payment at maturity of
$11.315 per security, or 113.15% of the stated principal amount.

Absolute Return Scenario. If the final index value is less than or equal to the initial index value and is greater than or
equal to the trigger level of 90% of the initial index value, the investor would receive a 1% positive return on the securities for
each 1% negative return on the underlying index.

If the underlying index depreciates 8%, the investor would receive an 8% return, or $10.80 per security.

The maximum return you may receive in this scenario is a positive 10% return at maturity.

Dow nside Scenario. If the final index value is less than the trigger level of 90% of the initial index value, the investor would
receive an amount less than the $10 stated principal amount, based on a 1% loss of principal for each 1% decline in the
underlying index. Under these circumstances, the payment at maturity will be less than 90% of the stated principal amount per
security. There is no minimum payment at maturity on the securities.

If the underlying index depreciates 70%, the investor would lose 70% of the investor's principal and receive only $3.00
per security at maturity, or 30% of the stated principal amount.

February 2020
Page 5
Morgan Stanley Finance LLC
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
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 securities. For further discussion of these and
other risks, you should read the section entitled "Risk Factors" in the accompanying product supplement for Participation Securities,
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 securities.

The securities do not pay interest or guarantee return of any principal. The terms of the securities differ from
those of ordinary debt securities in that the securities do not pay interest or guarantee the payment of any principal amount at
maturity. If the final index value is less than the trigger level (which is 90% of the initial index value), the absolute return
feature will no longer be available and the payout at maturity will be an amount in cash that is at least 10% less than the $10
stated principal amount of each security, and this decrease will be by an amount proportionate to the full amount of the decline
in the value of the underlying index over the term of the securities, without any buffer. There is no minimum payment at
maturity on the securities, and, accordingly, you could lose your entire initial investment in the securities.

The appreciation potential of the securities is limited by the maximum upside payment at maturity. The
appreciation potential of the securities is limited by the maximum upside payment at maturity of $11.315 per security, or
113.15% of the stated principal amount. Because, if the underlying index appreciates, the payment at maturity will be limited to
113.15% of the stated principal amount for the securities, any increase in the final index value over the initial index value by
more than 13.15% of the initial index value will not further increase the return on the securities. The maximum positive return
you can receive if the underlying index depreciates is also limited by the trigger level.

The market price of the securities 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, including the value (including whether the value
is below the trigger level), volatility (frequency and magnitude of changes in value) and dividend yield of the underlying index,
interest and yield rates in the market, time remaining until the securities 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 level
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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 security if you try to sell your securities prior to maturity.

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 at maturity and therefore you are subject to our credit risk. If we default on its 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.

February 2020
Page 6
Morgan Stanley Finance LLC
Dual Directional Trigger Participation Securities Based on the Performance of the S&P 500® Index due September
3, 2021
Princ ipa l a t Risk Se c urit ie s
The amount payable on the securities is not linked to the value of the underlying index at any time other
t ha n t he 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. 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 may 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 securities 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.

Investing in the securities is not equivalent to investing in the underlying index. Investing in the securities is
not equivalent to investing in the underlying index or its component stocks. Investors in the securities will not have voting rights
or rights to receive dividends or other distributions or any other rights with respect to the stocks that constitute the underlying
index.

Adjustments to the underlying index could adversely affect the value of the securities. 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 will be permitted to consider indices
that are calculated and published by the calculation agent or any of its affiliates.

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 se c urit ie 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 se c urit ie s, c a use t he e st im a t e d va lue of t he
se c urit ie s t o be le ss t ha n t he 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 securities 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
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market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as
well as other factors.

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

However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon
issuance, for a period of up to 6 months following the issue 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 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 securities 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 securities than those generated by others,
including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing
date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your
securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this
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 securities will be influenced by many unpredictable factors" above.

The securities w ill not be listed on any securities exchange and secondary trading may be limited. The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities.
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. When it does make a market, it will generally do so for

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transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into
account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding
any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other
broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able
to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS &
Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities.
Accordingly, you should be willing to hold your securities to maturity.

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 se c urit ie s. As calculation agent, MS & Co. will determine the initial index value,
the trigger level and the final index value, including whether the value of the underlying index has decreased to below the
trigger level, and will calculate the amount of cash you receive at maturity, if any. Moreover, certain determinations made by
MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as
with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor 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 Participation Securities--Postponement of Valuation Date(s)," "--Alternate
Exchange Calculation in case of an Event of Default" and "--Calculation Agent and Calculations" in the accompanying product
supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

Hedging and trading activity by our affiliates could potentially adversely affect the value of the
se c urit ie s. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the
securities (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
https://www.sec.gov/Archives/edgar/data/895421/000095010320004262/dp122947_424b2-ps3409.htm[3/3/2020 3:10:35 PM]

be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and
more frequent dynamic adjustments to the hedge as the 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 increase the initial index value, and, therefore, could increase the trigger level, which is the value 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 securities. Additionally, such hedging or trading activities during the term of the securities, including on the valuation
date, could adversely affect the value of the underlying index on the valuation date, and, accordingly, the amount of cash an
investor will receive at maturity, if any.

The U.S. federal income tax consequences of an investment in the securities 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 Participation Securities (together, the "Tax Disclosure Sections")
concerning the U.S. federal income tax consequences of an investment in the securities. If the Internal Revenue Service (the
"IRS") were successful in asserting an alternative treatment, the timing and character of income on the securities 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 securities as debt instruments. In that event, U.S. Holders would be required to accrue
into income original issue discount on the securities every year at a "comparable yield" determined at the time of issuance and
recognize all income and gain in respect of the securities as ordinary income. Additionally, as discussed under "United States
Federal Taxation--FATCA" in the accompanying product supplement for Participation Securities, the withholding rules
commonly referred to as "FATCA" would apply to the securities 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 Participation Securities). The risk that financial
instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be
recharacterized as debt is greater than the risk of

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recharacterization for comparable financial instruments that do not have such features. We do not plan to request a ruling from
the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described in
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 securities, 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 securities, 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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Princ ipa l a t Risk Se c urit ie s
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 February 28, 2020:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,954.22
5 2 We e k s Ago:
2,784.49
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
2,743.07
3 /8 /2 0 1 9 ):

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 February 28, 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
February 28, 2020 was 2,954.22. 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 value of the underlying index on 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 Fe brua ry 2 8 , 2 0 2 0
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Document Outline

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