MORGAN STANLEY — Capital/Financing Update 2016

Nov 2, 2016

October 2016 Pricing Sheet dated October 31, 2016 relating to Preliminary Terms No. 1,116 dated October 14, 2016 Registration Statement No. 333-200365 Filed pursuant to Rule 433

Structured Investments Opportunities in U.S. Equities

Dual Directional Trigger PLUS Based on the VanEck Vectors Gold Miners ETF due November 5, 2018

Trigger Performance Leveraged Upside Securities SM

Principal at Risk Securities

| PRICING TERMS – OCTOBER
31, 2016 — Issuer: | Morgan Stanley | | |
| --- | --- | --- | --- |
| Maturity
date: | November 5, 2018 | | |
| Valuation
date: | October 31, 2018, subject to postponement for
non-trading days and certain market disruption events | | |
| Underlying
shares: | Shares of the VanEck Vectors Gold
Miners ETF (the “Fund”) | | |
| Aggregate
principal amount: | $4,600,000 | | |
| Payment at maturity: | If the
final share price is greater than the initial share price: $10
+ leveraged upside payment In
no event will the payment at maturity exceed the maximum payment at maturity. If the final share price
is less than or equal to the initial share price but is greater than or equal to the trigger level: $10
+ ($10 x absolute share return) In this scenario,
you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the underlying shares. In no event will
this amount exceed the stated principal amount plus $2.00 per Trigger PLUS. If the final share price
is less than the trigger level: $10
× share 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 20%, and possibly all, of your investment. | | |
| Leveraged
upside payment: | $10 x leverage factor x share percent change | | |
| Leverage
factor: | 200% | | |
| Maximum
payment at maturity: | $15.525 per security (155.25%
of the stated principal amount) | | |
| Share
percent change: | (final share price –
initial share price) / initial share price | | |
| Absolute
share return: | The absolute value of the share percent change. For
example, a –5% share percent change will result in a +5% absolute share return. | | |
| Share
performance factor: | final share price / initial
share price | | |
| Initial
share price: | $24.52, which is the closing price of one underlying
share on the pricing date. | | |
| Final
share price: | The closing price of one underlying share on the
valuation date times the adjustment factor on such date | | |
| Adjustment
factor: | 1.0, subject to adjustment in the event of certain
events affecting the underlying shares | | |
| Trigger
level: | $19.616, which is 80% of the initial share price | | |
| Stated
principal amount / Issue price: | $10 per Trigger PLUS (see “Commissions and
issue price” below) | | |
| Pricing
date: | October 31, 2016 | | |
| Original
issue date: | November 3, 2016 (3 business days after the pricing
date) | | |
| CUSIP
/ ISIN: | 61766A558 / US61766A5589 | | |
| Listing: | The Trigger PLUS will not be listed on any securities
exchange. | | |
| Agent: | Morgan Stanley & Co. LLC (“MS &
Co.”), a wholly-owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of
distribution; conflicts of interest” in the accompanying preliminary terms. | | |
| Estimated
value on the pricing date: | $9.659 per Trigger PLUS. See “Investment
Summary” in the accompanying preliminary terms. | | |
| Commissions
and issue price: | Price
to public | Agent’s
commissions | Proceeds
to issuer (3) |
| Per Trigger
PLUS | $10 | $0.20 (1) | |
| | | $0.05 (2) | $9.75 |
| Total | $4,600,000 | $115,000 | $4,485,000 |

(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 Trigger PLUS they sell. For additional information, see “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms and “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for PLUS.

(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the Agent or its affiliates of $0.05 for each Trigger PLUS.

(3) See “Use of proceeds and hedging” in the accompanying preliminary terms.

VanEck Vectors SM is a service mark of Van Eck Associates Corporation (“Van Eck”). The Trigger PLUS are not sponsored, endorsed, sold, or promoted by Van Eck. Van Eck makes no representations or warranties to the owners of the Trigger PLUS or any member of the public regarding the advisability of investing in the Trigger PLUS.

The Trigger PLUS are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.

You should read this document together with the preliminary terms describing the offering and the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below.

Preliminary Terms No. 1,116 dated October 14, 2016

Product Supplement for PLUS dated February 29, 2016 Index Supplement dated February 29, 2016

Prospectus dated February 16, 2016

MSFL and Morgan Stanley have filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents MSFL and Morgan Stanley have filed with the SEC for more complete information about MSFL, Morgan Stanley and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-584-6837.

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