MORGAN STANLEY — Capital/Financing Update 2016

Oct 18, 2016

October 2016

Pricing Sheet dated October 14, 2016 relating to

Preliminary Terms No. 1,105 dated October 5, 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 International Equities

Trigger Jump Securities Based on the Value of the FTSE TM 250 Index due October 19, 2020

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

| PRICING
TERMS – OCTOBER 14, 2016 — Issuer: | Morgan Stanley Finance LLC | | |
| --- | --- | --- | --- |
| Guarantor: | Morgan Stanley | | |
| Issue price: | $10 per security (see “Commissions and issue price” below) | | |
| Stated principal amount: | $10 per security | | |
| Pricing date: | October 14, 2016 | | |
| Original issue date: | October 19, 2016 (3 business days after the pricing date) | | |
| Maturity date: | October 19, 2020 | | |
| Aggregate principal amount: | $2,476,500 | | |
| Interest: | None | | |
| Underlying index: | FTSE TM 250 Index | | |
| Payment at maturity: | · If
the final index value is greater than or equal to the initial index value: $10 + the greater of (i) $10 × the index percent change and (ii) the upside payment · If
the final index value is less than the initial index value but greater than or equal to the downside threshold level, meaning
the value of the underlying index has declined by no more than 30% from its initial value: $10 · If
the final index value is less than the downside threshold level, meaning the value of the underlying index has declined by more
than 30% from its initial value: $10
× index performance factor Under these
circumstances, the payment at maturity will be significantly less than the stated principal amount of $10, and will represent
a loss of more than 30%, and possibly all, of your investment. | | |
| Upside payment: | $3.60 per security (36.00% of the stated
principal amount) | | |
| Index percent change: | (final index value – initial
index value) / initial index value | | |
| Downside threshold level: | 12,586.126, which is 70% of the initial
index value | | |
| Index performance factor: | final index value / initial index value | | |
| Initial index value: | 17,980.18, which is the index closing value on the pricing date | | |
| Final index value: | The index closing value on the valuation date | | |
| Valuation date: | October 14, 2020, subject to postponement for non-index business days and certain
market disruption events | | |
| CUSIP: | 61766F334 | | |
| ISIN: | US61766F3340 | | |
| Listing: | The securities 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: | $9.588 per
security. 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
security | $10 | $0.25 (1) | |
| | | $0.05 (2) | $9.70 |
| Total | $2,476,500 | $74,295 | $2,402,205 |

(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 $0.25 for each security 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 Jump 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” in the accompanying preliminary terms.

The securities 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 this offering and the related product 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.

“FTSE TM ” and “Footsie TM ” are trademarks of London Stock Exchange plc and The Financial Times Limited and are used by FTSE International Limited and Morgan Stanley under license.

Preliminary Terms No. 1,105 dated October 5, 2016

Product Supplement for Jump Securities 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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