Obligation Morgan Stanley Financial 8.8% ( US61770G4192 ) en USD

Morgan Stanley Financial

100 % ▲

Etas-Unis

US61770G4192 ( en USD )

8.8% par an ( paiement semestriel )

24/02/2023 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley Finance US61770G4192 en USD 8.8%, échue

1 000 USD

9 945 000 USD

61770G419

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.

Une analyse approfondie révèle les caractéristiques d'une obligation, identifiée par le code ISIN US61770G4192 et le code CUSIP 61770G419, émise aux États-Unis par Morgan Stanley Finance, une entité de financement clé au sein de Morgan Stanley, l'un des principaux acteurs mondiaux des services financiers et de l'investissement bancaire; cette émission, libellée en USD, représentait une taille totale de 9 945 000 unités, avec une taille minimale d'acquisition fixée à 1 000 unités; l'instrument offrait un taux d'intérêt notable de 8,8%, versé avec une fréquence de deux fois par an, et affichant un prix de marché de 100% au moment de son échéance, cette obligation a atteint sa maturité le 24 février 2023 et a été intégralement remboursée à cette date, confirmant sa résolution conforme aux termes initiaux.

424B2 1 dp121880_424b2-ps3411.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Contingent Income Auto-Callable Securities
$9,944,570

$1,290.81
due 2023

Fe brua ry 2 0 2 0
Pricing Supplement No. 3,411
Registration Statement Nos. 333-221595; 333-221595-01
Dated February 21, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Principal at Risk Securities
Contingent Income Auto-Callable Securities do not guarantee the payment of interest or the repayment of principal. Instead, the
securities offer the opportunity for investors to earn a contingent quarterly coupon at an annual rate of 8.80%, but only with respect
to each determination date on which the determination closing price of the underlying stock is greater than or equal to 75% of the
initial share price, which we refer to as the downside threshold price. In addition, if the determination closing price of the underlying
stock is greater than or equal to the initial share price on any determination date, the securities will be automatically redeemed for
an amount per security equal to the stated principal amount and the contingent quarterly coupon. However, if the securities are not
automatically redeemed prior to maturity, the payment at maturity due on the securities will be as follows: (i) if the final share price
is greater than or equal to the downside threshold price, the stated principal amount and the contingent quarterly coupon with
respect to the final determination date, or (ii) if the final share price is less than the downside threshold price, investors will be
exposed to the decline in the underlying stock on a 1-to-1 basis and will receive a payment at maturity that is less than 75% of the
principal amount of the securities and could be zero. Moreover, if on any determination date the determination closing price of the
underlying stock is less than the downside threshold price, you will not receive any contingent quarterly coupon for that quarterly
period. As a result, investors must be willing to accept the risk of not receiving any contingent quarterly coupons and also the risk
of receiving a payment at maturity that is significantly less than the stated principal amount of the securities and could be zero.
Ac c ordingly, inve st ors c ould 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 for investors
who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the
risk of receiving few or no contingent quarterly coupons over the 3-year term of the securities. Investors will not participate in any
appreciation of the underlying stock. The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are
fully and unconditionally guaranteed by Morgan Stanley. The securities are 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 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 st oc k :
UnitedHealth Group Incorporated common stock
Aggre ga t e princ ipa l
$9,944,570
a m ount :
St a t e d princ ipa l a m ount :
$10 per security
I ssue pric e :
$10 per security
Pric ing da t e :
February 21, 2020
Origina l issue da t e :
February 26, 2020 (3 business days after the pricing date)
M a t urit y da t e :
February 24, 2023
Ea rly re de m pt ion:
If, on any of the first eleven determination dates, the determination closing price of the underlying
stock is greater than or equal to the initial share price, the securities will be automatically
redeemed for an early redemption payment on the third business day following the related
determination date. No further payments will be made on the securities once they have been
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

redeemed.
Ea rly re de m pt ion
The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii)
pa ym e nt :
the contingent quarterly coupon with respect to the related determination date.
De t e rm ina t ion c losing
The closing price of the underlying stock on any determination date other than the final
pric e :
determination date times the adjustment factor on such determination date.
Cont inge nt qua rt e rly
·If, on any determination date, the determination closing price or the final share price, as
c oupon:
applicable, is greater than or equal to the downside threshold price, we will pay a contingent
quarterly coupon at an annual rate of 8.80% (corresponding to approximately $0.22 per quarter
per security) on the related contingent payment date.
·If, on any determination date, the determination closing price or the final share price, as
applicable, is less than the downside threshold price, no contingent quarterly coupon will be
paid with respect to that determination date.
De t e rm ina t ion da t e s:
May 21, 2020, August 21, 2020, November 23, 2020, February 22, 2021, May 21, 2021, August
23, 2021, November 22, 2021, February 22, 2022, May 23, 2022, August 22, 2022, November 21,
2022 and February 21, 2023, subject to postponement for non-trading days and certain market
disruption events. We also refer to February 21, 2023 as the final determination date.
Cont inge nt pa ym e nt
With respect to each determination date other than the final determination date, the third business
da t e s:
day after the related determination date. The payment of the contingent quarterly coupon, if any,
with respect to the final determination date will be made on the maturity date.
Pa ym e nt a t m a t urit y:
·If the final share price is greater than or (i) the stated principal amount plus (ii) the
e qua l t o the downside threshold price:
contingent quarterly coupon with respect to the
·If the final share price is less than the
final determination date
downside threshold price:
(i) the stated principal amount multiplied by (ii) the
share performance factor
Sha re pe rform a nc e
Final share price divided by the initial share price
fa c t or:
Adjust m e nt fa c t or:
1.0, subject to adjustment in the event of certain corporate events affecting the underlying stock
Dow nside t hre shold
$226.073, which is equal to approximately 75% of the initial share price
pric e :
I nit ia l sha re pric e :
$301.43, which is equal to the closing price of the underlying stock on the pricing date
Fina l sha re pric e :
The closing price of the underlying stock on the final determination date times the adjustment
factor on such date
CU SI P:
61770G419
I SI N :
US61770G4192
List ing:
The securities 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
$9.696 per security. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue
Pric e t o public
Age nt 's c om m issions a nd
Proc e e ds t o us(3)
pric e :
fe e s
Pe r se c urit y
$10
$0.20(1)

$0.05(2)
$9.75
T ot a l
$9,944,570
$248,614.25
$9,695,955.75

(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.
(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 19.
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 7 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying produc t supple m e nt 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
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

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 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 Prospe c t us da t e d N ove m be r
1 6 , 2 0 1 7

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

Investment Summary

Cont inge nt I nc om e Aut o-Ca lla ble Se c urit ie s

Principal at Risk Securities

The Contingent Income Auto-Callable Securities due February 24, 2023 Based on the Performance of the Common Stock of
UnitedHealth Group Incorporated, which we refer to as the securities, provide an opportunity for investors to earn a contingent
quarterly coupon at an annual rate of 8.80% with respect to each quarterly determination date on which the determination closing
price or the final share price, as applicable, is greater than or equal to 75% of the initial share price, which we refer to as the
downside threshold price. It is possible that the closing price of the underlying stock could remain below the downside threshold
price for extended periods of time or even throughout the term of the securities so that you may receive few or no contingent
quarterly coupons. If the determination closing price is greater than or equal to the initial share price on any of the first eleven
determination dates, the securities will be automatically redeemed for an early redemption payment equal to the stated principal
amount plus the contingent quarterly coupon with respect to the related determination date. If the securities have not previously
been redeemed and the final share price is greater than or equal to the downside threshold price, the payment at maturity will also
be the sum of the stated principal amount and the contingent quarterly coupon with respect to the related determination date.
However, if the securities have not previously been redeemed and the final share price is less than the downside threshold price,
investors will be exposed to the decline in the closing price of the underlying stock, as compared to the initial share price, on a 1-
to-1 basis. In this case, the payment at maturity will be less than 75% of the stated principal amount of the securities and could be
zero. Investors in the securities must be willing to accept the risk of losing their entire principal and also the risk of not receiving
any contingent quarterly coupon. In addition, investors will not participate in any appreciation of the underlying stock.

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 $9.696.

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 stock. The estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying stock, instruments based on the underlying
stock, 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 contingent quarterly coupon rate and the downside threshold
price, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

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 stock, 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 stock, 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.

February 2020
Page 2
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

Key Investment Rationale

The securities offer investors an opportunity to earn a contingent quarterly coupon at an annual rate of 8.80% with respect to each
determination date on which the determination closing price or the final share price, as applicable, is greater than or equal to 75%
of the initial share price, which we refer to as the downside threshold price. The securities may be redeemed prior to maturity for
the stated principal amount per security plus the applicable contingent quarterly coupon, and the payment at maturity will vary
depending on the final share price, as follows:

Sc e na rio 1
On a ny of t he first e le ve n de t e rm ina t ion da t e s, t he de t e rm ina t ion c losing pric e is
greater than or equal to t he init ia l sha re pric e .

The securities will be automatically redeemed for (i) the stated principal amount plus (ii) the
contingent quarterly coupon with respect to the related determination date.

Investors will not participate in any appreciation of the underlying stock from the initial share
price.

Sc e na rio 2
T he se c urit ie s a re not a ut om a t ic a lly re de e m e d prior t o m a t urit y, a nd t he fina l
sha re pric e is greater than or equal to t he dow nside t hre shold pric e .

The payment due at maturity will be (i) the stated principal amount plus (ii) the contingent
quarterly coupon with respect to the final determination date.

Investors will not participate in any appreciation of the underlying stock from the initial share
price.

Sc e na rio 3
T he se c urit ie s a re not a ut om a t ic a lly re de e m e d prior t o m a t urit y, a nd t he fina l
sha re pric e is less than t he dow nside t hre shold pric e .

The payment due at maturity will be equal to (i) the stated principal amount multiplied by (ii) the
share performance factor. I nve st ors w ill lose a signific a nt port ion, a nd m a y lose a ll,
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

of t he ir princ ipa l in t his sc e na rio.

February 2020
Page 3
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the determination closing price and (2)
the final share price.

Dia gra m # 1 : First Ele ve n De t e rm ina t ion Da t e s

Dia gra m # 2 : Pa ym e nt a t M a t urit y if N o Aut om a t ic Ea rly Re de m pt ion Oc c urs

https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

February 2020
Page 4
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

Hypothetical Examples

The below examples are based on the following terms:

Hypothetical Initial Share Price:
$250.00
Hypothetical Downside Threshold Price:
$187.50, which is 75% of the hypothetical initial share price
Hypothetical Adjustment Factor:
1.0
Contingent Quarterly Coupon:
8.80% per annum (corresponding to approximately $0.22 per
quarter per security)1
Stated Principal Amount:
$10 per security
1 The actual contingent quarterly coupon will be an amount determined by the calculation agent based on the number of days in
the applicable payment period, calculated on a 30/360 day count basis. The hypothetical contingent quarterly coupon of $0.22 is
used in these examples for ease of analysis.

In Examples 1 and 2, the closing price of the underlying stock fluctuates over the term of the securities and the determination
closing price of the underlying stock is greater than or equal to the hypothetical initial share price of $250.00 on one of the first
eleven determination dates. Because the determination closing price is greater than or equal to the initial share price on one of the
first eleven determination dates, the securities are automatically redeemed following the relevant determination date. In Examples 3
and 4, the determination closing price on the first eleven determination dates is less than the initial share price, and, consequently,
the securities are not automatically redeemed prior to, and remain outstanding until, maturity.

Ex a m ple 1
Ex a m ple 2
De t e rm ina t ion
Hypothetical
Contingent
Early
Hypothetical
Contingent
Early
Da t e s
Determination
Quarterly
Redemption
Determination
Quarterly
Redemption
Closing Price
Coupon
Amount*
Closing Price
Coupon
Amount
# 1
$155.00
$0
N/A
$195.00
$0.22
N/A
# 2
$250.00
--*
$10.22
$110.50
$0
N/A
# 3
N/A
N/A
N/A
$190.25
$0.22
N/A
# 4
N/A
N/A
N/A
$102.55
$0
N/A
# 5
N/A
N/A
N/A
$200.05
$0.22
N/A
# 6
N/A
N/A
N/A
$246.85
$0.22
N/A
# 7
N/A
N/A
N/A
$184.10
$0
N/A
# 8
N/A
N/A
N/A
$198.15
$0.22
N/A
# 9
N/A
N/A
N/A
$209.55
$0.22
N/A
# 1 0
N/A
N/A
N/A
$300.00
--*
$10.22
# 1 1
N/A
N/A
N/A
N/A
N/A
N/A
Fina l
De t e rm ina t ion
N/A
N/A
N/A
N/A
N/A
N/A
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

Da t e
* The Early Redemption Amount includes the unpaid contingent quarterly coupon with respect to the determination date on which
the determination closing price is greater than or equal to the initial share price and the securities are redeemed as a result.

In Example 1, the securities are automatically redeemed following the second determination date, as the determination
closing price on the second determination date is equal to the initial share price. You receive the early redemption payment,
calculated as follows:

stated principal amount + contingent quarterly coupon = $10.00 + $0.22 = $10.22

In this example, the early redemption feature limits the term of your investment to approximately 6 months, and you may not be
able to reinvest at comparable terms or returns. If the securities are redeemed early, you will stop receiving contingent coupons.

In Example 2, the securities are automatically redeemed following the tenth determination date, as the determination closing
price on the tenth determination date is greater than the initial share price. As the determination closing prices on the first, third,
fifth, sixth, eighth, ninth and tenth determination dates are greater than or equal to the downside threshold price, you receive the
contingent

February 2020
Page 5
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

coupon of $0.22 with respect to each such determination date. Following the tenth determination date, you receive an early
redemption amount of $10.22, which includes the contingent quarterly coupon with respect to the tenth determination date.

In this example, the early redemption feature limits the term of your investment to approximately 30 months, and you may not be
able to reinvest at comparable terms or returns. If the securities are redeemed early, you will stop receiving contingent coupons.
Further, although the underlying stock has appreciated by 20% from its initial share price as of the tenth determination date, you
receive only $10.22 per security and do not benefit from such appreciation.

Ex a m ple 3
Ex a m ple 4
De t e rm ina t ion
Hypothetical
Contingent
Early
Hypothetical
Contingent
Early
Da t e s
Determination
Quarterly
Redemption
Determination
Quarterly
Redemption
Closing Price /
Coupon
Amount*
Closing Price /
Coupon
Amount
Final Share
Final Share
Price
Price
# 1
$111.55
$0
N/A
$110.20
$0
N/A
# 2
$130.50
$0
N/A
$110.75
$0
N/A
# 3
$102.55
$0
N/A
$172.30
$0
N/A
# 4
$145.60
$0
N/A
$164.10
$0
N/A
# 5
$179.40
$0
N/A
$139.55
$0
N/A
# 6
$162.00
$0
N/A
$113.00
$0
N/A
# 7
$110.30
$0
N/A
$108.15
$0
N/A
# 8
$145.10
$0
N/A
$120.10
$0
N/A
# 9
$98.60
$0
N/A
$111.85
$0
N/A
# 1 0
$110.75
$0
N/A
$109.30
$0
N/A
# 1 1
$100.60
$0
N/A
$110.10
$0
N/A
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

Fina l
De t e rm ina t ion
$150.00
$0
N/A
$212.50
--*
N/A
Da t e
Pa ym e nt a t
$ 6 .0 0
$ 1 0 .2 2
M a t urit y
*The final contingent quarterly coupon, if any, will be paid at maturity.

Examples 3 and 4 illustrate the payment at maturity per security based on the final share price.

In Example 3, the closing price of the underlying stock remains below the downside threshold price on every determination
date. As a result, you do not receive any contingent coupons during the term of the securities and, at maturity, you are fully
exposed to the decline in the closing price of the underlying stock. As the final share price is less than the downside threshold
price, investors will receive a payment at maturity equal to the stated principal amount multiplied by the share performance factor,
calculated as follows:

stated principal amount × share performance factor = $10.00 × ($150.00 / $250.00) = $6.00

In this example, the payment at maturity is significantly less than the stated principal amount.

In Example 4, the closing price of the underlying stock decreases to a final share price of $212.50. Although the final share
price is less than the initial share price, because the final share price is still not less than the downside threshold price, you receive
the stated principal amount plus a contingent quarterly coupon with respect to the final determination date. Your payment at
maturity is calculated as follows:

$10.00 + $0.22 = $10.22

In this example, although the final share price represents a 15% decline from the initial share price, you receive the stated principal
amount per security plus the final contingent quarterly coupon, equal to a total payment of $10.22 per security at maturity, because
the final share price is not less than the downside threshold price.

February 2020
Page 6
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

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 and prospectus. You
should also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary
debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the principal
amount at maturity. Instead, if the securities have not been automatically redeemed prior to maturity and if the final share price
is less than the downside threshold price, you will be exposed to the decline in the closing price of the underlying stock, as
compared to the initial share price, on a 1-to-1 basis and you will receive a payment that will be less than 75% of the stated
principal amount and could be zero.

You w ill not receive any contingent quarterly coupon for any quarterly period w here the determination
c losing pric e is le ss t ha n t he dow nside t hre shold pric e . A contingent quarterly coupon will be paid with respect to a
quarterly period only if the determination closing price is greater than or equal to the downside threshold price. If the
determination closing price remains below the downside threshold price on each determination date over the term of the
securities, you will not receive any contingent quarterly coupons.

https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

The contingent quarterly coupon, if any, is based solely on the determination closing price or the final
sha re pric e , a s a pplic a ble . Whether the contingent quarterly coupon will be paid with respect to a determination date will
be based on the determination closing price or the final share price, as applicable. As a result, you will not know whether you
will receive the contingent quarterly coupon until the related determination date. Moreover, because the contingent quarterly
coupon is based solely on the determination closing price on a specific determination date or the final share price, as
applicable, if such determination closing price or final share price is less than the downside threshold price, you will not receive
any contingent quarterly coupon with respect to such determination date, even if the closing price of the underlying stock was
higher on other days during the term of the securities.

Investors w ill not participate in any appreciation in the price of the underlying stock. Investors will not
participate in any appreciation in the price of the underlying stock from the initial share price, and the return on the securities
will be limited to the contingent quarterly coupon, if any, that is paid with respect to each determination date on which the
determination closing price or the final share price, as applicable, is greater than or equal to the downside threshold price. It is
possible that the closing price of the underlying stock could be below the downside threshold price on most or all of the
determination dates so that you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent
quarterly coupons over the term of the securities, the overall return on the securities may be less than the amount that would
be paid on a conventional debt security of ours of comparable maturity.

The automatic early redemption feature may limit the term of your investment to approximately three
m ont hs. I f t he se c urit ie s a re re de e m e d e a rly, you m a y not be a ble t o re inve st a t c om pa ra ble t e rm s or
re t urns. The term of your investment in the securities may be limited to as short as approximately three months by the
automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more
contingent quarterly coupons and may be forced to invest in a lower interest rate environment and may not be able to reinvest
at comparable terms or returns.

The market price w ill be influenced by many unpredictable factors. Several factors 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. Although we expect that generally the closing price of the underlying stock on any day will affect the value
of the securities more than any other single factor, other factors that may influence the value of the securities include:

o
the trading price and volatility (frequency and magnitude of changes in value) of the underlying stock,

o
whether the determination closing price has been below the downside threshold price on any determination date,

o
dividend rates on the underlying stock,

o
interest and yield rates in the market,

o
time remaining until the securities mature,

o
geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stock
and which may affect the final share price of the underlying stock,

o
the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the
adjustment factor, and

February 2020
Page 7
Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due February 24, 2023
Ba se d on t he Pe rform a nc e of t he Com m on St oc k of U nit e dH e a lt h Group I nc orpora t e d
Principal at Risk Securities

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

The price of the underlying stock may be, and has recently been, volatile, and we can give you no assurance that the volatility
will lessen. See "UnitedHealth Group Incorporated Overview" below. You may receive less, and possibly significantly less, than
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

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 on each contingent payment date, upon automatic 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.

Investing in the securities is not equivalent to investing in the common stock of UnitedHealth Group
I nc orpora t e d. 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 underlying stock. As a result, any return on the securities will not reflect the return you would
realize if you actually owned shares of the underlying stock and received the dividends paid or distributions made on them.

No affiliation w ith UnitedHealth Group Incorporated. UnitedHealth Group Incorporated is not an affiliate of ours, is
not involved with this offering in any way, and has no obligation to consider your interests in taking any corporate actions that
might affect the value of the securities. We have not made any due diligence inquiry with respect to UnitedHealth Group
Incorporated in connection with this offering.

We may engage in business w ith or involving UnitedHealth Group Incorporated w ithout regard to your
int e re st s. We or our affiliates may presently or from time to time engage in business with UnitedHealth Group Incorporated
without regard to your interests and thus may acquire non-public information about UnitedHealth Group Incorporated. Neither
we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time
have published and in the future may publish research reports with respect to UnitedHealth Group Incorporated, which may or
may not recommend that investors buy or hold the underlying stock.

The antidilution adjustments the calculation agent is required to make do not cover every corporate
e ve nt t ha t c ould a ffe c t t he unde rlying st oc k . MS & Co., as calculation agent, will adjust the adjustment factor for
certain corporate events affecting the underlying stock, such as stock splits, stock dividends and extraordinary dividends, and
certain other corporate actions involving the issuer of the underlying stock, such as mergers. However, the calculation agent will
not make an adjustment for every corporate event that can affect the underlying stock. For example, the calculation agent is not
required to make any adjustments if the issuer of the underlying stock or anyone else makes a partial tender or partial
exchange offer for the underlying stock, nor will adjustments be made following the final determination date. In addition, no
adjustments will be made for regular cash dividends, which are expected to reduce the price of the underlying stock by the
amount of such dividends. If an event occurs that does not require the calculation agent to adjust the adjustment factor, such
as a regular cash dividend, the market price of the securities and your return on the securities may be materially and adversely
affected. For example, if the record date for a regular cash dividend were to occur on or shortly before a determination date,
this may decrease the determination closing price to be less than the downside threshold price (resulting in no contingent
quarterly coupon being paid with respect to such date) or the final share price to be less than the downside threshold price
(resulting in a loss of a significant portion of all of your investment in the securities), materially and adversely affecting your
return.

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 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
https://www.sec.gov/Archives/edgar/data/895421/000095010320003267/dp121880_424b2-ps3411.htm[2/25/2020 3:06:29 PM]

Document Outline

#1">
- #1">