MORGAN STANLEY — Capital/Financing Update 2016

Oct 28, 2016

October 2016

Pricing Sheet dated October 26, 2016 relating to

Preliminary Terms No. 1,122 dated October 24, 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

Auto-Callable Securities Based on the Performance of the Russell 2000 ® Index due October 29, 2021

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

PRICING TERMS – OCTOBER 26, 2016 — Issuer:	Morgan Stanley Finance LLC
Guarantor:	Morgan Stanley
Underlying index:	Russell 2000 ® Index
Aggregate principal amount:	$5,710,000
Stated principal amount:	$10 per security
Issue price:	$10 per security
Pricing date:	October 26, 2016
Original issue date:	October 31, 2016 (3 business days after the pricing date)
Maturity date:	October 29, 2021
Early redemption:	If, on any of the first four annual determination dates, the index closing value of the underlying index is greater than or equal to the initial index value, the securities will be automatically redeemed for the applicable early redemption payment on the related early redemption date.
Early redemption payment:	The early redemption payment will be an amount in cash per stated
principal amount corresponding to a return of approximately 8.70% per annum for each annual determination date, as follows: · 1 st determination date: $10.87 · 2 nd determination date: $11.74 · 3 rd determination date: $12.61 · 4 th determination date: $13.48 No further payments will be made on the securities once they
have been redeemed.
Determination dates:	1 st determination date: October 27, 2017 2 nd determination date: October 26, 2018 3 rd determination date: October 28, 2019 4 th determination date: October 26, 2020 Final determination date: October 26, 2021 The determination dates are subject to postponement for non-index
business days and certain market disruption events.
Early redemption dates:	The third business day after the relevant determination date
Initial index value:	1,204.749, which is the index closing value on the pricing date
Final index value:	The index closing value on the final determination date
Payment at maturity:	If the securities have not previously been redeemed, you will
receive at maturity a cash payment per security as follows: · If
the final index value is greater than or equal to the initial index value: $14.35 · If
the final index value is less than the initial index value but is greater than or equal to the downside threshold
level: $10 · If
the final index value is less than the downside threshold level: $10 × index performance factor. Under these circumstances, you will lose at least
20%, and possibly all, of your investment.
Downside threshold level:	963.799, which is equal to approximately 80% of the initial index value
Index performance factor:	Final index value divided by the initial index value
CUSIP:	61766F367
ISIN:	US61766F3670
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:	$9.557 per security. See “Investment Summary” in the accompanying preliminary terms.
Commissions and issue price:	Price to public	Agent’s commissions and fees	Proceeds to issuer (3)
Per security	$10.00	$0.25 (1)
		$0.05 (2)	$9.70
Total	$5,710,000	$171,300	$5,538,700

(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.

(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 “Russell 2000 ® Index” is a trademark of Russell Investments and has been licensed for use by Morgan Stanley. The securities are not sponsored, endorsed, sold or

promoted by Russell Investments Russell Investments and Russell Investments makes no representation regarding the advisability of investing in the securities.

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 the offering and the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information About the Securities” at the end of this document.

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. 1,122 dated October 24, 2016

Product Supplement for Auto-Callable Securities 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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