MORGAN STANLEY — Capital/Financing Update 2016

Feb 9, 2016

CALCULATION OF REGISTRATION FEE

	Maximum Aggregate	Amount of Registration
Title of Each Class of Securities Offered	Offering Price	Fee
Buffered Performance Leveraged Upside	$2,175,000	$219.02
Securities due 2018

February 2016 Pricing Supplement No. 800 Registration Statement No. 333-200365 Dated February 5, 2016 Filed pursuant to Rule 424(b)(2)

Structured Investments

Opportunities in U.S. Equities

Buffered Securities Based on the Value of the EURO STOXX 50 ® Index due February 8, 2018

Buffered Securities with Downside Factor

Principal at Risk Securities

The Buffered Securities are unsecured obligations of Morgan Stanley, will pay no interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying product supplement for PLUS, index supplement and prospectus, as supplemented or modified by this document. At maturity, if the underlying index has appreciated in value, investors will receive the stated principal amount of their investment plus upside performance of the underlying index, subject to the maximum payment at maturity. If the underlying index has depreciated in value, but the underlying index has not declined by more than the specified buffer amount, the Buffered Securities will redeem for par. However, if the underlying index has declined by more than the buffer amount, investors will lose 1.3333% for every 1% decline beyond the specified buffer amount. There is no minimum payment at maturity on the Buffered Securities. Accordingly, you could lose your entire initial investment in the Buffered Securities. These Buffered Securities are for investors who seek an equity index-based return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the buffer feature that in each case applies to a limited range of performance of the underlying index. The Buffered Securities are notes issued as part of Morgan Stanley’s Series F Global Medium-Term Notes program.

All payments are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations, you could lose some or all of your investment. These Buffered Securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

| FINAL
TERMS — Issuer: | Morgan Stanley | | |
| --- | --- | --- | --- |
| Maturity date: | February 8, 2018 | | |
| Underlying index: | EURO STOXX 50 ® Index | | |
| Aggregate principal amount: | $2,175,000 | | |
| Payment at maturity: | · If
the final index value is greater than the initial index value: $1,000 + the leveraged upside payment In no event will the payment at maturity
exceed the maximum payment at maturity. · If
the final index value is less than or equal to the initial index value but has decreased from the initial index value by
an amount less than or equal to the buffer amount of 25%: $1,000 · If
the final index value is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 25%: $1,000 + [$1,000 x (index return + 25%) x
downside factor] This amount will be less than the stated
principal amount of $1,000 and could be zero. | | |
| Leveraged upside payment: | $1,000 x leverage factor x index return | | |
| Leverage factor: | 101% | | |
| Downside factor: | 1.3333 | | |
| Index return: | (final index value – initial index value) / initial index value | | |
| Initial index value: | 2,905.30, which is the index closing value on February 4, 2016 | | |
| Final index value: | The index closing value on the valuation date | | |
| Valuation date: | February 5, 2018, subject to adjustment for non-index business days and certain market disruption events | | |
| Buffer amount: | 25%. As a result of the buffer amount of 25%, the value at or above which the underlying index must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered Securities is 2,178.975, which is 75% of the initial index value. | | |
| Minimum payment at maturity: | None | | |
| Maximum payment at maturity: | $1,363.60 per Buffered Security (136.36% of the stated principal amount) | | |
| Stated principal amount: | $1,000 per Buffered Security | | |
| Issue price: | $1,000 per Buffered Security (see “Commissions and issue price” below) | | |
| Pricing date: | February 5, 2016 | | |
| Original issue date: | February 10, 2016 (3 business days after the pricing date) | | |
| CUSIP / ISIN: | 61761JW96 / US61761JW966 | | |
| Listing: | The Buffered Securities 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.” | | |
| Estimated value on the pricing date: | $974.00 per Buffered Security. See “Investment Summary” page 2. | | |
| Commissions and issue price: | Price to public | Agent’s commissions (1) | Proceeds to issuer (2) |
| Per Buffered Security | $1,000 | $2.50 | $997.50 |
| Total | $2,175,000 | $5,437.50 | $2,169,562.50 |

(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $2.50 for each Buffered Security they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for PLUS.

(2) See “Use of proceeds and hedging” on page 11.

The Buffered Securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 5.

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

The Buffered Securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or guaranteed by, a bank.

You should read this document together with 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 Buffered Securities” at the end of this document.

Product Supplement for PLUS dated November 19, 2014 Index Supplement dated November 19, 2014

Prospectus dated November 19, 2014

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Buffered Securities Based on the Value of the EURO STOXX 50 ® Index due February 8, 2018

Buffered Securities with Downside Factor Principal at Risk Securities

Investment Summary

Buffered Securities with Downside Factor

Principal at Risk Securities

The Buffered Securities Based on the Value of the EURO STOXX 50 ® Index due February 8, 2018 (the “Buffered Securities”) can be used:

§ As an alternative to direct exposure to the underlying index that provides a return based on the performance of the underlying index, subject to the maximum payment at maturity

§ To obtain a buffer against a specified level of negative performance in the underlying index

Maturity:	Approximately 2 years
Leverage factor:	101%
Buffer amount:	25%
Downside factor:	1.3333
Maximum payment at maturity:	$1,363.60 per Buffered Security (136.36% of the stated principal amount)
Minimum payment at maturity:	None. You may lose your entire initial investment in the Buffered Securities.
Interest:	None

The original issue price of each Buffered Security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Buffered Securities, which are borne by you, and, consequently, the estimated value of the Buffered Securities on the pricing date is less than $1,000. We estimate that the value of each Buffered Security on the pricing date is $974.00.

What goes into the estimated value on the pricing date?

In valuing the Buffered Securities on the pricing date, we take into account that the Buffered Securities comprise both a debt component and a performance-based component linked to the underlying index. The estimated value of the Buffered Securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying index, volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.

What determines the economic terms of the Buffered Securities?

In determining the economic terms of the Buffered Securities, including the leverage factor, the buffer amount, the downside factor and the maximum payment at maturity, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the Buffered Securities would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the Buffered Securities?

The price at which MS & Co. purchases the Buffered Securities in the secondary market, absent changes in market conditions, including those related to the underlying index, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the Buffered Securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the Buffered Securities in the secondary market, absent changes in market conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account statements.

MS & Co. may, but is not obligated to, make a market in the Buffered Securities, and, if it once chooses to make a market, may cease doing so at any time.

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Key Investment Rationale

The Buffered Securities provide limited protection against negative performance of the underlying index. Once the underlying index has decreased in value by more than the specified buffer amount, investors are exposed to the negative performance of the underlying index on a leveraged basis. At maturity, if the underlying index has appreciated, investors will receive the stated principal amount of their investment plus 101% upside performance of the underlying index, subject to the maximum payment at maturity. At maturity, if the underlying index has depreciated and (i) if the final index value of the underlying index has not declined from the initial index value by more than the specified buffer amount, the Buffered Securities will redeem for par, or (ii) if the final index value of the underlying index has declined by more than the buffer amount, the investor will lose 1.3333% for every 1% decline beyond the specified buffer amount. There is no minimum payment at maturity on the Buffered Securities. Accordingly, you could lose your entire initial investment in the Buffered Securities.

Upside Scenario	The underlying index increases in value, and, at maturity, the Buffered Securities redeem for the stated principal amount of $1,000 plus 101% of the index return, subject to the maximum payment at maturity of $1,363.60 per Buffered Security (136.36% of the stated principal amount).
Par Scenario	The underlying index declines in value by no more than 25%, and, at maturity, the Buffered Securities redeem for the stated principal amount of $1,000.
Downside Scenario	The underlying index declines in value by more than 25%, and, at maturity, the Buffered Securities redeem for less than the stated principal amount by an amount that is proportionate to the percentage decrease beyond the buffer amount of 25% times the downside factor of 1.3333. (Example: if the underlying index decreases in value by 40%, the Buffered Securities will redeem for $800, or 80% of the stated principal amount.) There is no minimum payment at maturity on the Buffered Securities, and you could lose your entire investment.

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How the Buffered Securities Work

Payoff Diagram

The payoff diagram below illustrates the payment at maturity on the Buffered Securities based on the following terms:

Stated principal amount:	$1,000 per Buffered Security
Leverage factor:	101%
Buffer amount:	25%
Downside factor:	1.3333
Maximum payment at maturity:	$1,363.60 per Buffered Security (136.36% of the stated principal amount)
Minimum payment at maturity:	None

Buffered Securities Payoff Diagram

How it works

§ Upside Scenario. If the final index value is greater than the initial index value, investors will receive the $1,000 stated principal amount plus 101% of the appreciation of the underlying index over the term of the Buffered Securities, subject to the maximum payment at maturity. Under the terms of the Buffered Securities, an investor will realize the maximum payment at maturity of $1,363.60 per Buffered Security (136.36% of the stated principal amount) at a final index value of 136% of the initial index value.

§ Par Scenario. If the final index value is less than or equal to the initial index value but has decreased from the initial index value by an amount less than or equal to the buffer amount of 25%, investors will receive the stated principal amount of $1,000 per Buffered Security.

§ Downside Scenario. If the final index value is less than the initial index value and has decreased from the initial index value by an amount greater than the buffer amount of 25%, investors will receive an amount that is less than the stated principal amount by an amount that is proportionate to the percentage decrease beyond the buffer amount of 25% times the downside factor of 1.3333.

o For example, if the underlying index depreciates 40%, investors will lose 20% of their principal and receive only $800 per Buffered Security at maturity, or 80% of the stated principal amount.

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Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the Buffered Securities. For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product supplement for PLUS, index supplement and prospectus. You should also consult with your investment, legal, tax, accounting and other advisers in connection with your investment in the Buffered Securities.

§ The Buffered Securities do not pay interest or guarantee the return of any of your principal. The terms of the Buffered Securities differ from those of ordinary debt securities in that the Buffered Securities do not pay interest and do not guarantee any return of principal at maturity. If the final index value has declined by an amount greater than the buffer amount of 25% from the initial index value, you will receive for each Buffered Security that you hold a payment at maturity that is less than the stated principal amount of each Buffered Security by an amount proportionate to the decline in the value of the underlying index below 75% of the initial index value times the downside factor of 1.3333. As there is no minimum payment at maturity on the Buffered Securities, you could lose your entire initial investment.

§ The appreciation potential of the Buffered Securities is limited by the maximum payment at maturity. The appreciation potential of the Buffered Securities is limited by the maximum payment at maturity of $1,363.60 per Buffered Security, or 136.36% of the stated principal amount. Although the leverage factor provides 101% exposure to any increase in the final index value over the initial index value, because the payment at maturity will be limited to 136.36% of the stated principal amount for the Buffered Securities, any increase in the final index value over the initial index value by more than 36% of the initial index value will not further increase the return on the Buffered Securities.

§ The market price will be influenced by many unpredictable factors. Several factors, many of which are beyond our control, will influence the value of the Buffered Securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the Buffered Securities in the secondary market, including: the value, volatility (frequency and magnitude of changes in value) and dividend yield of the underlying index, interest and yield rates, time remaining to maturity, geopolitical conditions and economic, financial, political and regulatory or judicial events that affect the underlying index or equities markets generally and which may affect the final index value of the underlying index and any actual or anticipated changes in our credit ratings or credit spreads. The value of the underlying index may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See “EURO STOXX 50 ® Index Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per Buffered Security if you try to sell your Buffered Securities prior to maturity.

§ There are risks associated with investments in securities linked to the value of foreign equity securities. The Buffered Securities are linked to the value of foreign equity securities. Investments in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions.

§ The Buffered Securities are subject to the credit risk of Morgan Stanley, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the Buffered Securities. You are dependent on Morgan Stanley’s ability to pay all amounts due on the Buffered Securities at maturity, and therefore you are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations under the Buffered Securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the Buffered Securities prior to maturity will be affected by changes in the market’s view of Morgan Stanley’s creditworthiness. Any actual or anticipated decline in Morgan Stanley’s credit ratings or increase in the credit spreads

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charged by the market for taking Morgan Stanley credit risk is likely to adversely affect the market value of the Buffered Securities.

§ The amount payable on the Buffered Securities is not linked to the value of the underlying index at any time other than the valuation date. The final index value will be the index closing value on the valuation date, subject to adjustment for non-index business days and certain market disruption events. Even if the value of the underlying index appreciates prior to the valuation date but then drops by the valuation date, the payment at maturity may be less, and may be significantly less, than it would have been had the payment at maturity been linked to the value of the underlying index prior to such drop. Although the actual value of the underlying index on the stated maturity date or at other times during the term of the Buffered Securities may be higher than the final index value, the payment at maturity will be based solely on the index closing value on the valuation date.

§ Investing in the Buffered Securities is not equivalent to investing in the underlying index. Investing in the Buffered Securities is not equivalent to investing in the underlying index or its component stocks. Investors in the Buffered Securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute the underlying index.

§ Adjustments to the underlying index could adversely affect the value of the Buffered Securities. The underlying index publisher may add, delete or substitute the stocks constituting the underlying index or make other methodological changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued underlying index and is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. If the calculation agent determines that there is no appropriate successor index, the payment at maturity on the Buffered Securities will be an amount based on the closing prices at maturity of the securities composing the underlying index at the time of such discontinuance, without rebalancing or substitution, computed by the calculation agent in accordance with the formula for calculating the underlying index last in effect prior to discontinuance of the underlying index.

§ The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the Buffered Securities in the original issue price reduce the economic terms of the Buffered Securities, cause the estimated value of the Buffered Securities to be less than the original issue price and will adversely affect secondary market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the Buffered Securities in secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the Buffered Securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the Buffered Securities less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the Buffered Securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the Buffered Securities in the secondary market, absent changes in market conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.

§ The estimated value of the Buffered Securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the Buffered Securities than those generated by others, including other dealers in the market, if they attempted to value the Buffered Securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers,

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including MS & Co., would be willing to purchase your Buffered Securities in the secondary market (if any exists) at any time. The value of your Buffered Securities at any time after the date of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable factors” above.

§ The Buffered Securities will not be listed on any securities exchange and secondary trading may be limited. The Buffered Securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Buffered Securities. MS & Co. may, but is not obligated to, make a market in the Buffered Securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the Buffered Securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the Buffered Securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered Securities easily. Since other broker-dealers may not participate significantly in the secondary market for the Buffered Securities, the price at which you may be able to trade your Buffered Securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the Buffered Securities, it is likely that there would be no secondary market for the Buffered Securities. Accordingly, you should be willing to hold your Buffered Securities to maturity.

§ The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the Buffered Securities. As calculation agent, MS & Co. has determined the initial index value, will determine the final index value and will calculate the amount of cash you receive at maturity, if any. Moreover, certain determinations made by MS & Co. in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the final index value in the event of a market disruption event or discontinuance of the underlying index. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description of PLUS—Postponement of Valuation Date(s)” and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the Buffered Securities on the pricing date.

§ Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the Buffered Securities. One or more of our subsidiaries and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the Buffered Securities (and possibly to other instruments linked to the underlying index or its component stocks), including trading in the stocks that constitute the underlying index as well as in other instruments related to the underlying index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Buffered Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our subsidiaries also trade the stocks that constitute the underlying index and other financial instruments related to the underlying index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to February 4, 2016 could have increased the initial index value, and, therefore, could have increased the value at or above which the underlying index must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered Securities. Additionally, such hedging or trading activities during the term of the Buffered Securities, including on the valuation date, could adversely affect the value of the underlying index on the valuation date, and, accordingly, the amount of cash an investor will receive at maturity, if any.

§ The U.S. federal income tax consequences of an investment in the Buffered Securities are uncertain. Please read the discussion under “Additional provisions ― Tax considerations” in this document and the discussion under “United States Federal Taxation” in the accompanying product supplement for PLUS (together the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the Buffered Securities. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income on the Buffered Securities might differ significantly from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek to recharacterize the Buffered Securities as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the Buffered Securities every year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect of the Buffered Securities as ordinary income. Additionally, as discussed under “United States Federal Taxation—FATCA Legislation” in the accompanying product supplement for PLUS, the withholding rules commonly

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referred to as “FATCA” would apply to the Buffered Securities if they were recharacterized as debt instruments except that, under a recent IRS notice, withholding under FATCA will not apply to payments of gross proceeds (other than any amount treated as interest) of any disposition of financial instruments before January 1, 2019. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the Buffered Securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the Buffered Securities, and the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Buffered Securities, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Buffered Securities, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

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EURO STOXX 50 ® Index Overview

The EURO STOXX 50 ® Index was created by STOXX ® Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO STOXX 50 ® Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50 ® Index is composed of 50 component stocks of market sector leaders from within the STOXX 600 Supersector Indices, which includes stocks selected from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all market sectors. For additional information about the EURO STOXX 50 ® Index, see the information set forth under “EURO STOXX 50 ® Index” in the accompanying index supplement.

Information as of market close on February 5, 2016:

Bloomberg Ticker Symbol:	SX5E
Current Index Value:	2,879.39
52 Weeks Ago:	3,408.96
52 Week High (on 4/13/2015):	3,828.78
52 Week Low (on 2/5/2016):	2,879.39

The following graph sets forth the daily index closing values of the underlying index for each quarter in the period from January 1, 2011 through February 5, 2016. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the underlying index for each quarter in the same period. The index closing value of the underlying index on February 5, 2016 was 2,879.39. We obtained the information in the table and graph below from Bloomberg Financial Markets without independent verification. The underlying index has at times experienced periods of high volatility. You should not take the historical values of the underlying index as an indication of its future performance, and no assurance can be given as to the closing level of the index on the valuation date.

EURO STOXX 50 ® Index Daily Index Closing Values January 1, 2011 to February 5, 2016

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| EURO
STOXX 50 ® Index | High | Low | Period
End |
| --- | --- | --- | --- |
| 2011 | | | |
| First
Quarter | 3,068.00 | 2,721.24 | 2,910.91 |
| Second
Quarter | 3,011.25 | 2,715.88 | 2,848.53 |
| Third
Quarter | 2,875.67 | 1,995.01 | 2,179.66 |
| Fourth
Quarter | 2,476.92 | 2,090.25 | 2,316.55 |
| 2012 | | | |
| First Quarter | 2,608.42 | 2,286.45 | 2,477.28 |
| Second Quarter | 2,501.18 | 2,068.66 | 2,264.72 |
| Third Quarter | 2,594.56 | 2,151.54 | 2,454.26 |
| Fourth Quarter | 2,659.95 | 2,427.32 | 2,635.93 |
| 2013 | | | |
| First
Quarter | 2,749.27 | 2,570.52 | 2,624.02 |
| Second
Quarter | 2,835.87 | 2,511.83 | 2,602.59 |
| Third
Quarter | 2,936.20 | 2,570.76 | 2,893.15 |
| Fourth
Quarter | 3,111.37 | 2,902.12 | 3,109.00 |
| 2014 | | | |
| First
Quarter | 3,172.43 | 2,962.49 | 3,161.60 |
| Second
Quarter | 3,314.80 | 3,091.52 | 3,228.24 |
| Third
Quarter | 3,289.75 | 3,006.83 | 3,225.93 |
| Fourth
Quarter | 3,277.38 | 2,874.65 | 3,146.43 |
| 2015 | | | |
| First
Quarter | 3,731.35 | 3,007.91 | 3,697.38 |
| Second
Quarter | 3,828.78 | 3,424.30 | 3,424.30 |
| Third
Quarter | 3,686.58 | 3,019.34 | 3,100.67 |
| Fourth
Quarter | 3,506.45 | 3,069.05 | 3,267.52 |
| 2016 | | | |
| First
Quarter (through February 5, 2016) | 3,178.01 | 2,879.39 | 2,879.39 |

License Agreement between STOXX Limited and Morgan Stanley

“EURO STOXX 50 ® ” and “STOXX ® ” are registered trademarks of STOXX Limited and have been licensed for use for certain purposes by Morgan Stanley. For more information, see “EURO STOXX 50 ® Index” in the accompanying index supplement.

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Additional Information About the Buffered Securities

Please read this information in conjunction with the summary terms on the front cover of this document.

Additional provisions:
Buffered PLUS:	All
references to “Buffered PLUS” or related terms in the accompanying product supplement for PLUS shall be deemed
to refer to Buffered Securities when read in conjunction with this document.
Denominations:	$1,000
and integral multiples thereof
Underlying index publisher:	STOXX
Limited
Postponement
of maturity date:	If
the scheduled valuation date is not an index business day or if a market disruption event occurs on that day so that the valuation
date as postponed falls less than two business days prior to the scheduled maturity date, the maturity date of the Buffered
Securities will be postponed to the second business day following that valuation date as postponed.
Minimum ticketing size:	$1,000
/ 1 Buffered Security
Tax considerations:	Although
there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Buffered Securities due to
the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based
on current market conditions, a Buffered Security should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes.
	Assuming this treatment of the Buffered Securities is respected and subject to the discussion in “United States Federal Taxation” in the accompanying product supplement for PLUS, the following U.S. federal income tax consequences should result based on current law:
	§ A
U.S. Holder should not be required to recognize taxable income over the term of the Buffered Securities prior to settlement,
other than pursuant to a sale or exchange.
	§ Upon
sale, exchange or settlement of the Buffered Securities, a U.S. Holder should recognize gain or loss equal to the difference
between the amount realized and the U.S. Holder’s tax basis in the Buffered Securities. Such gain or loss
should be long-term capital gain or loss if the investor has held the Buffered Securities for more than one year, and short-term
capital gain or loss otherwise.
	In
2007, the U.S. Treasury Department and the Internal Revenue Service (the “IRS”) released a notice requesting
comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of
their investment. It also asks for comments on a number of related topics, including the character of income or loss with
respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance
of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the
instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors
should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive
ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates,
any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Buffered Securities, possibly with retroactive effect. Both
U.S. and non-U.S. investors considering an investment in the Buffered Securities should read the discussion under “Risk
Factors” in this document and the discussion under “United States Federal Taxation” in the accompanying
product supplement for PLUS and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences
of an investment in the Buffered Securities, including possible alternative treatments, the issues presented by the aforementioned
notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. The
discussion in the preceding paragraphs under “Tax considerations” and the discussion contained in the section
entitled “United States Federal Taxation” in the accompanying product supplement for PLUS, 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 Buffered Securities.
Trustee:	The
Bank of New York Mellon
Calculation
agent:	Morgan
Stanley & Co. LLC (“MS & Co.”)
Use
of proceeds and hedging:	The proceeds we receive
from the sale of the Buffered Securities will be used for general corporate purposes. We will receive, in aggregate, $1,000
per Buffered Security issued, because, when we enter into hedging transactions in order to meet our obligations under
the Buffered Securities, our hedging

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| | counterparty will reimburse
the cost of the agent’s commissions. The costs of the Buffered Securities borne by you and described on page 2 above
comprise the agent’s commissions and the cost of issuing, structuring and hedging the Buffered Securities. On or prior to February
4, 2016, we hedged our anticipated exposure in connection with the Buffered Securities, by entering into hedging transactions
with our subsidiaries and/or third party dealers. We expect our hedging counterparties to have taken positions in stocks
of the underlying index and in futures and options contracts on the underlying index. Such purchase activity could have
increased the value of the underlying index on February 4, 2016, and therefore could have increased the value at or above
which the underlying index must close on the valuation date so that investors do not suffer a loss on their initial investment
in the Buffered Securities. In addition, through our subsidiaries, we are likely to modify our hedge position throughout
the term of the Buffered Securities, including on the valuation date, by purchasing and selling the stocks constituting
the underlying index, futures or options contracts on the underlying index or its component stocks listed on major securities
markets or positions in any other available securities or instruments that we may wish to use in connection with such
hedging activities. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Buffered
Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation
date approaches. We cannot give any assurance that our hedging activities will not affect the value of the underlying
index, and, therefore, adversely affect the value of the Buffered Securities or the payment you will receive at maturity,
if any. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the
accompanying product supplement for PLUS. |
| --- | --- |
| Benefit
plan investor considerations: | Each fiduciary of a pension,
profit-sharing or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended
(“ERISA”) (a “Plan”), should consider the fiduciary standards of ERISA in the context of the Plan’s
particular circumstances before authorizing an investment in the Buffered Securities. Accordingly, among other factors,
the fiduciary should consider whether the investment would satisfy the prudence and diversification requirements of ERISA
and would be consistent with the documents and instruments governing the Plan. In addition, we and certain
of our subsidiaries and affiliates, including MS & Co., may be considered a “party in interest” within
the meaning of ERISA, or a “disqualified person” within the meaning of the Internal Revenue Code of 1986,
as amended (the “Code”), with respect to many Plans, as well as many individual retirement accounts and Keogh
plans (also “Plans”). ERISA Section 406 and Code Section 4975 generally prohibit transactions between Plans
and parties in interest or disqualified persons. Prohibited transactions within the meaning of ERISA or the Code would
likely arise, for example, if the Buffered Securities are acquired by or with the assets of a Plan with respect to which
MS & Co. or any of its affiliates is a service provider or other party in interest, unless the Buffered Securities
are acquired pursuant to an exemption from the “prohibited transaction” rules. A violation of these “prohibited
transaction” rules could result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code
for such persons, unless exemptive relief is available under an applicable statutory or administrative exemption. The U.S. Department of Labor
has issued five prohibited transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct
or indirect prohibited transactions resulting from the purchase or holding of the Buffered Securities. Those class exemptions
are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions
involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment
funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain
transactions determined by independent qualified professional asset managers). In addition, ERISA Section 408(b)(17) and
Section 4975(d)(20) of the Code may provide an exemption for the purchase and sale of securities and the related lending
transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises any discretionary
authority or control or renders any investment advice with respect to the assets of the Plan involved in the transaction
and provided further that the Plan pays no more, and receives no less, than “adequate consideration” in connection
with the transaction (the so-called “service provider” exemption). There can be no assurance that any of these
class or statutory exemptions will be available with respect to transactions involving the Buffered Securities. Because we may be considered
a party in interest with respect to many Plans, the Buffered Securities may not be purchased, held or disposed of by any
Plan, any entity whose underlying assets include “plan assets” by reason of any Plan’s investment in
the entity (a “Plan Asset Entity”) or any person investing “plan assets” of any Plan, unless such
purchase, holding or disposition is eligible for exemptive relief, including relief available under PTCEs 96-23, 95-60,
91-38, 90-1, 84-14 or the service provider exemption or such purchase, holding or disposition is otherwise not prohibited.
Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee or holder of the Buffered Securities
will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the Buffered
Securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such Buffered Securities on behalf
of or with “plan assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is
subject to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of
ERISA or Section 4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition are eligible
for exemptive relief or such purchase, holding and disposition are not prohibited by ERISA or Section 4975 of the Code
or any |

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| | Similar Law. Due to the complexity of
these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly
important that fiduciaries or other persons considering purchasing the Buffered Securities on behalf of or with “plan
assets” of any Plan consult with their counsel regarding the availability of exemptive relief. The Buffered
Securities are contractual financial instruments. The financial exposure provided by the Buffered Securities is not a
substitute or proxy for, and is not intended as a substitute or proxy for, individualized investment management or advice
for the benefit of any purchaser or holder of the Buffered Securities. The Buffered Securities have not been designed
and will not be administered in a manner intended to reflect the individualized needs and objectives of any purchaser
or holder of the Buffered Securities. Each purchaser
or holder of any Buffered Securities acknowledges and agrees that: (i) the
purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and
the purchaser or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or
adviser of the purchaser or holder with respect to (A) the design and terms of the Buffered Securities, (B) the purchaser
or holder’s investment in the Buffered Securities, or (C) the exercise of or failure to exercise any rights we have
under or with respect to the Buffered Securities; (ii) we
and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating
to the Buffered Securities and (B) all hedging transactions in connection with our obligations under the Buffered Securities; (iii) any
and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those
entities and are not assets and positions held for the benefit of the purchaser or holder; (iv) our
interests are adverse to the interests of the purchaser or holder; and (v) neither
we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets,
positions or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial
investment advice. Each purchaser and holder
of the Buffered Securities has exclusive responsibility for ensuring that its purchase, holding and disposition of the
Buffered Securities do not violate the prohibited transaction rules of ERISA or the Code or any Similar Law. The sale
of any Buffered Securities to any Plan or plan subject to Similar Law is in no respect a representation by us or any of
our affiliates or representatives that such an investment meets all relevant legal requirements with respect to investments
by plans generally or any particular plan, or that such an investment is appropriate for plans generally or any particular
plan. However, individual retirement
accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants
to direct the investment of their accounts, will not be permitted to purchase or hold the Buffered Securities if the account,
plan or annuity is for the benefit of an employee of Morgan Stanley or Morgan Stanley Wealth Management or a family member
and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of the Buffered
Securities by the account, plan or annuity. |
| --- | --- |
| Additional
considerations: | Client accounts over which Morgan Stanley,
Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted
to purchase the Buffered Securities, either directly or indirectly. |
| Supplemental information regarding plan of distribution ; conflicts of interest: | Selected dealers, which
may include our affiliates, and their financial advisors will collectively receive from the agent a fixed sales commission
of $2.50 for each Buffered Security they sell. MS & Co. is our wholly-owned
subsidiary and it and other subsidiaries of ours expect to make a profit by selling, structuring and, when applicable,
hedging the Buffered Securities. MS & Co. will conduct
this offering in compliance with the requirements of FINRA 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. MS & Co. or any of our other affiliates may not make sales in this offering to
any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use of Proceeds and
Hedging” in the accompanying product supplement for PLUS. |
| Validity
of the Buffered Securities: | In the opinion of
Davis Polk & Wardwell LLP, as special counsel to Morgan Stanley, when the Buffered Securities offered by this pricing
supplement have been executed and issued by Morgan Stanley, authenticated by the trustee pursuant to the Senior Debt Indenture
and delivered against payment as contemplated herein, such Buffered Securities will be valid and binding obligations 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 the effect of fraudulent conveyance, |

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| | fraudulent
transfer or similar provision of applicable law on the conclusions expressed above. This opinion is given as of
the date hereof and is limited to the laws of the State of New York and the General Corporation Law of the State of Delaware. In
addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery
of the Senior Debt Indenture and its authentication of the Buffered Securities and the validity, binding nature and enforceability
of the Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated November 19, 2014,
which is Exhibit 5-a to the Registration Statement on Form S-3 filed by Morgan Stanley on November 19, 2014. |
| --- | --- |
| Contact: | Morgan Stanley clients may contact their
local Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone
number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party
distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087. |
| Where
you can find more information: | Morgan Stanley has filed
a registration statement (including a prospectus, as supplemented by the product supplement for PLUS and the index supplement)
with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. You should
read the prospectus in that registration statement, the product supplement for PLUS, the index supplement and any other
documents relating to this offering that Morgan Stanley has filed with the SEC for more complete information about Morgan
Stanley and this offering. You may get these documents without cost by visiting EDGAR on the SEC web site at . www.sec.gov.
Alternatively, Morgan Stanley will arrange to send you the product supplement for PLUS, index supplement and prospectus
if you so request by calling toll-free 800-584-6837. You may access these documents
on the SEC web site at . www.sec.gov . as follows: Product
Supplement for PLUS dated November 19, 2014 Index
Supplement dated November 19, 2014 Prospectus
dated November 19, 2014 Terms used but not defined
in this document are defined in the product supplement for PLUS, in the index supplement or in the prospectus. As used
in this document, the “Company,” “we,” “us” and “our” refer to Morgan
Stanley. “Performance Leveraged
Upside Securities SM ” and “PLUS SM ” are our service marks. |

February 2016 Page 14