MORGAN STANLEY — Capital/Financing Update 2016

Dec 8, 2016

December 2016

Pricing Sheet dated December 6, 2016 relating to

Preliminary Terms No. 1,202 dated December 1, 2016

Registration Statement Nos. 333-200365; 333-200365-12

Filed pursuant to Rule 433

M organ S tanley F inance LLC

Structured Investments

Opportunities in U.S. Equities

Trigger PLUS Based on the Value of the Russell 2000 ® Index due October 13, 2022

Trigger Performance Leveraged Upside Securities SM

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

| PRICING TERMS – December 6,
2016 — Issuer: | Morgan Stanley Finance LLC | | |
| --- | --- | --- | --- |
| Guarantor: | Morgan Stanley | | |
| Maturity date: | October 13, 2022 | | |
| Underlying index: | Russell 2000 ® Index | | |
| Aggregate principal amount: | $8,530,000 | | |
| Payment at maturity per Trigger
PLUS: | If the final
index value is greater than the initial index value: $10 + leveraged
upside payment 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 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 15%, and possibly
all, of your investment. | | |
| Leveraged upside payment: | $10 × leverage factor × index percent increase | | |
| Index percent increase: | (final index value – initial index value) / initial index value | | |
| Initial index value: | 1,352.668, which is the index closing value on the pricing date | | |
| Final index value: | The index closing value on the valuation date | | |
| Trigger level | 1,149.768, which is approximately 85% of the initial index value | | |
| Valuation date: | October 10, 2022, subject to postponement for non-index business days and certain
market disruption events | | |
| Leverage factor: | 142% | | |
| Index performance factor: | Final index value divided by the initial index value | | |
| Stated principal amount: | $10 per Trigger PLUS | | |
| Issue price: | $10 per Trigger PLUS (see “Commissions and issue price” below) | | |
| Pricing date: | December 6, 2016 | | |
| Original issue date: | December 9, 2016 (3 business days after the pricing date) | | |
| CUSIP: | 61766F672 | | |
| ISIN: | US61766F6723 | | |
| Listing: | The Trigger PLUS will not be listed on any securities exchange. | | |
| Agent: | 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.” in the accompanying preliminary terms. | | |
| Estimated value on the pricing
date: | $9.375 per Trigger PLUS. See “Investment Summary” in
the accompanying preliminary terms | | |
| Commissions and issue price: | Price
to public | Agent’s
commissions and fees | Proceeds
to us (3) |
| Per Trigger PLUS | $10 | $0.30 (1) | |
| | | $0.05 (2) | $9.65 |
| Total | $8,530,000 | $298,550 | $8,231,450 |

(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 $0.30 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.

“Russell 2000 ® Index” is a trademarks of Russell Investments and has been licensed for use by Morgan Stanley. The Trigger PLUS are not sponsored, endorsed, sold or promoted by Russell Investments makes no representation 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.

As used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

Preliminary Terms No. 1,202 dated December 1, 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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