MORGAN STANLEY — Capital/Financing Update 2016

Feb 19, 2016

CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered	Maximum Aggregate Offering Price	Amount of Registration Fee
Fixed Rate Step-Up Senior Notes Due 2026	$5,000,000	$503.50

PROSPECTUS Dated February 16, 2016 PROSPECTUS SUPPLEMENT Dated February 16, 2016 Pricing Supplement No. 815 to Registration Statement Nos. 333-200365 333-200365-12 Dated February 17, 2016 Rule 424(b)(2)

Morgan Stanley Finance LLC

GLOBAL MEDIUM-TERM NOTES, SERIES A

Fixed Rate Step-Up Senior Notes Due 2026 Fully and Unconditionally Guaranteed by Morgan Stanley

We, Morgan Stanley Finance LLC, a wholly-owned finance subsidiary of Morgan Stanley, are offering the Global Medium-Term Notes, Series A, Fixed Rate Step-Up Senior Notes Due 2026 (the “notes”) described below on a global basis. We may not redeem the notes prior to the maturity thereof.

We describe the basic features of the notes in the section of the accompanying prospectus supplement called “Description of Notes” and in the section of the accompanying prospectus called “Description of Debt Securities—Fixed Rate Debt Securities,” in each case subject to and as modified by the provisions described below.

We will issue the notes only in registered form, which form is further described under “Description of Notes—Forms of Notes” in the accompanying prospectus supplement.

Application will be made to the New York Stock Exchange (the “NYSE”) for the notes to be listed and admitted to trading on the NYSE after the original issue date. No assurance can be given that such application will be granted.

We describe how interest on the notes is calculated, accrued and paid, including where a scheduled interest payment date is not a business day (the following unadjusted business day convention), under “Description of Debt Securities—Fixed Rate Debt Securities” in the accompanying prospectus.

Terms not defined herein have the meanings given to such terms in the accompanying prospectus supplement and prospectus, as applicable.

________

Investing in the notes involves risks. See “Risk Factors” beginning on page 7 of the accompanying prospectus.

________

| Principal
Amount: | $5,000,000 |
| --- | --- |
| Maturity Date: | February 23, 2026 |
| Settlement Date (Original
Issue Date): | February 22, 2016 (T+3) |
| Interest Accrual Date: | February 22, 2016 |
| Issue Price: | 100% |
| Specified Currency: | U.S. dollars |
| Redemption Percentage at Maturity: | 100% |
| Interest Rate: | From and including the original issue date
to but excluding February 23, 2021: 3.50% per annum |
| | From and including February 23, 2021 to but
excluding February 23, 2023: 3.75% per annum |
| | From
and including February 23, 2023 to but excluding February 23, 2024: 4.00% per annum |

| Interest
Rate (continued): | From
and including February 23, 2024 to but excluding February 23, 2025: 4.25% per annum |
| --- | --- |
| | From and including February 23, 2025 to but
excluding the maturity date: 5.00% per annum |
| | Interest on the notes will be calculated on
a 30/360 day count basis. |
| Interest Payment Period: | Semi-annual |
| Interest Payment Dates: | Each February 23 and August 23, commencing
August 23, 2016 |
| Business Day: | New York |
| Business Day Convention: | Following unadjusted |
| Minimum Denominations: | $1,000 and integral multiples of $1,000 in
excess thereof |
| CUSIP: | 61767BAA8 |
| ISIN: | US61767BAA89 |
| Other Provisions: | None |

The notes 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.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this pricing supplement or the accompanying prospectus supplement or prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

MORGAN STANLEY

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United States Federal Taxation

In the opinion of our counsel, Davis Polk & Wardwell LLP, the notes will be treated as debt instruments issued with original issue discount (“OID”) for U.S. federal income tax purposes, as discussed under “United States Federal Taxation—Tax Consequences to U.S. Holders—Notes—Discount Notes” in the accompanying prospectus supplement.

For a description of the material U.S. federal income tax consequences and certain estate tax consequences of the purchase, ownership and disposition of the notes, please refer to “United States Federal Taxation” in the accompanying prospectus supplement. For the amount of OID on the notes, please contact Morgan Stanley at 212-761-4000.

Both U.S. investors and non-U.S. investors should consult their tax advisers regarding all aspects of the U.S. federal tax consequences of an investment in the notes, as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

The discussion in the preceding paragraphs under “United States Federal Taxation” and the discussion contained in the section entitled “United States Federal Taxation” in the accompanying prospectus supplement, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the notes.

Supplemental Information Concerning Plan of Distribution; Conflicts of Interest

On February 17, 2016, we agreed to sell to Morgan Stanley & Co. LLC, and it agreed to purchase, the principal amount of notes set forth on the cover of this pricing supplement at a net price of 99.50%, plus accrued interest, if any, which we refer to as the “purchase price” for the notes. The purchase price for the notes equals the stated issue price of 100%, plus accrued interest, if any, less a combined management and underwriting commission of 0.50% of the principal amount of the notes.

We refer to Morgan Stanley & Co. LLC as the “agent” as such term is used under “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

Morgan Stanley & Co. LLC is a wholly-owned subsidiary of Morgan Stanley and our affiliate. This offering will be conducted in compliance with the requirements of Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. In accordance with Rule 5121 of FINRA, Morgan Stanley & Co. LLC may not make sales in this offering to any discretionary accounts without the prior written approval of the customer.

Validity of the Notes

In the opinion of Davis Polk & Wardwell LLP, as special counsel to Morgan Stanley Finance LLC (“MSFL”) and Morgan Stanley, when the notes offered by this pricing supplement have been executed and issued by MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such notes will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the notes and the validity, binding nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated February 16, 2016, which is Exhibit 5-a to Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 filed by Morgan Stanley on February 16, 2016.

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