MORGAN STANLEY — Capital/Financing Update 2018

Feb 15, 2018

CALCULATION OF REGISTRATION FEE

	Maximum Aggregate	Amount of Registration
Title of Each Class of Securities Offered	Offering Price	Fee
Performance Leveraged Upside Securities SM	$1,000,000	$124.50
due 2022

February 2018

Pricing Supplement No. 262

Registration Statement Nos. 333-221595; 333-221595-01

Dated February 13, 2018

Filed pursuant to Rule 424(b)(2)

M organ S tanley F inance LLC

Structured Investments

Opportunities in Commodities

Buffered PLUS Based on the Performance of a Basket of Eight Commodity Indices due February 16, 2022

Buffered Performance Leveraged Upside Securities SM with Downside Factor

Principal at Risk Securities

The Buffered PLUS are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the Buffered PLUS will pay no interest, do not guarantee any return of principal at maturity and have the terms described in the accompanying prospectus supplement for PLUS and prospectus, as supplemented or modified by this document. At maturity, you will receive for each Buffered PLUS that you hold an amount in cash based on the performance of an unequally-weighted basket of eight commodity indices that will be calculated based on two measures of the performance of the basket: (i) the leveraged upside return and (ii) the buffered downside return. The leveraged upside return reflects leveraged participation in any appreciation of the basket from the initial basket value to the average basket closing value, which is the arithmetic average of the basket closing values on each of the quarterly averaging dates during the term of the Buffered PLUS. The buffered downside return reflects any depreciation in the basket return (determined based not on the average basket closing value but solely on the basket closing value on the final averaging date, as compared to the initial basket value) by more than the buffer amount of 20% times the downside factor of 1.25

Payment at maturity scenarios: (A) If the average basket closing value and the final basket closing value are both greater than or equal to the initial basket value, you will receive a return at maturity that reflects the leveraged upside return. (B) If the average basket closing value and the final basket closing value are both equal to or less than the initial basket value, you will receive a return at maturity that reflects the buffered downside return, and you may lose some or all of your investment. (C) If the average basket closing value is greater than or equal to the initial basket value, but the final basket closing value is equal to or less than the initial basket value, the leveraged upside return and buffered downside return will be set off against each other, and you will lose some or all of your investment at maturity to the extent of the decline in the buffered downside return, as offset by the positive leveraged upside return. This set-off of the two returns will also mean that if the positive leveraged upside return more than fully offsets the decline in the buffered downside return, you will not suffer a loss on your investment at maturity, but your gain on the Buffered PLUS will be less than the positive leveraged upside return, as this return will have been set off and reduced by the negative buffered downside return. (D) If the average basket closing value is equal to or less than the initial basket value, but the final basket closing value is greater than or equal to the initial basket value, the payment at maturity will equal the stated principal amount regardless of any appreciation of the final basket closing value above the initial basket value. Therefore, an investment in the Buffered PLUS will be exposed on the upside to any appreciation as reflected in the leveraged upside return, as reduced by any negative buffered downside return (which reduction can result in a loss even if the leveraged upside return is positive), and will be exposed on the downside to any negative buffered downside return subject to the set-off of the two returns described above.

There is no minimum payment at maturity on the Buffered PLUS. Accordingly, you could lose your entire initial investment in the Buffered PLUS. The Buffered PLUS are for investors who seek exposure to the performance of a basket of eight commodity indices and who are willing to lose some or all of their principal if the final basket closing value is below the initial basket value by more than the buffer amount of 20%, subject to the set-off of the two returns described above. The Buffered PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

The Buffered PLUS differ from the PLUS described in the accompanying prospectus supplement for PLUS in that the leveraged upside return, which reflects leveraged participation in any appreciation of the basket from the initial basket value to the average basket closing value, will be set off against against the buffered downside return.

All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These Buffered PLUS 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 Finance LLC
Guarantor:	Morgan Stanley
Issue price:	$1,000 per Buffered PLUS
Stated principal amount:	$1,000 per Buffered PLUS
Pricing date:	February 13, 2018
Original issue date:	February 16, 2018 (3 business days after the pricing date)
Maturity date:	February 16, 2022
Aggregate principal amount:	$1,000,000
Basket:	Basket component	Bloomberg ticker symbol*	Weighting	Initial basket component value
	S&P GSCI™ Gold Index - Excess Return (the “SPGCGCP Index”)	SPGCGCP	15%	107.5796
	S&P GSCI™ Silver Index - Excess Return (the “SPGCSIP Index”)	SPGCSIP	15%	62.603
	S&P GSCI™ Soybeans Index - Excess Return (the “SPGCSOP Index”)	SPGCSOP	12%	414.7741
	S&P GSCI™ Wheat Index - Excess Return (the “SPGCWHP Index”)	SPGCWHP	12%	7.12589
	S&P GSCI™ Sugar Index - Excess Return (the “SPGCSBP Index”)	SPGCSBP	12%	10.89406
	S&P GSCI™ Corn Index - Excess Return (the “SPGCCNP Index”)	SPGCCNP	12%	7.228241
	S&P GSCI™ Copper Index - Excess Return (the “SPGCICP Index”)	SPGCICP	11%	609.523
	S&P GSCI™ Aluminum Index - Excess Return (the “SPGCIAP Index”)	SPGCIAP	11%	29.53168
	We refer to each of the SPGCGCP Index, the SPGCSIP Index, the
SPGCSOP Index, the SPGCWHP Index, the SPGCSBP Index, the SPGCCNP Index, the SPGCICP Index and the SPGCIAP Index as an underlying
commodity index and, together, as the basket components. * Bloomberg ticker symbols are being provided for reference purposes
only. Each initial basket component value was determined and each basket component closing value will be determined based on the
official settlement price published by the applicable underlying commodity index publisher.
Payment at maturity:	$1,000 × (1 + leveraged upside return + buffered downside
return) You will lose some or all of your stated principal amount
at maturity if the leveraged upside return is not sufficient to fully offset any negative buffered downside return. Please see
the hypothetical examples illustrating the payment at maturity in “Hypothetical Payouts on the Buffered PLUS at Maturity”
beginning on page 5.
Leveraged upside return:	average basket return x leverage factor; provided that the leveraged upside return
will not be less than 0%.
Buffered downside return:	(basket return + buffer amount) × downside
factor; provided that the buffered downside
return will not be greater than 0%. Because the buffered downside return
is capped at 0%, the buffered downside return will not provide any positive contribution toward the return on the Buffered PLUS.
Leverage factor:	215%
Buffer amount:	20%
Downside factor:	1.25
Minimum payment at maturity:	None. You could lose your entire initial investment in the Buffered PLUS.
Agent:	Morgan Stanley & Co. LLC (“MS & Co.”) , an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information concerning plan of distribution; conflicts of interest.”
Estimated value on the pricing date:	$980.90 per Buffered PLUS. See “Investment Summary” on page 3.
	Terms continued on the following page
Commissions and issue price:	Price to public (1)	Agent’s commissions (2)	Proceeds to us (3)
Per Buffered PLUS	$1,000	$0	$1,000
Total	$1,000,000	$0	$1,000,000

(1) The Buffered PLUS will be sold only to investors purchasing the Buffered PLUS in fee-based advisory accounts.

(2) MS & Co. expects to sell all of the Buffered PLUS that it purchases from us to an unaffiliated dealer at a price of $1,000 per Buffered PLUS, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered PLUS. MS & Co. will not receive a sales commission with respect to the Buffered PLUS. See “Supplemental information concerning plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

(3) See “Use of proceeds and hedging” on page 31.

The Buffered PLUS involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 9.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense. The Buffered 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 related prospectus supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Information About the Buffered PLUS” 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.

Prospectus Supplement for PLUS dated November 16, 2017 Prospectus dated November 16, 2017

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Morgan Stanley Finance LLC

Buffered PLUS Based on the Performance of a Basket of Eight Commodity Indices due February 16, 2022

Buffered Performance Leveraged Upside Securities SM with Downside Factor

Principal at Risk Securities

Terms continued from previous page:
Initial basket component value:	With respect to each basket component, the official settlement price of such basket component on the pricing date, as set forth under “Basket—Initial Basket Component Value” above.
Basket component closing value:	With respect to each basket component, on any
averaging date, the official settlement price of such basket component on such date, subject to adjustment for each basket component
individually in the event of a market disruption event or a non-index business day. Reuters and various other third party sources
may report the official settlement price of the basket components. if any such reported price differs from that as determined by
the underlying commodity index publisher, the official settlement price published by the underlying commodity index publisher will
prevail.
Basket component return:	With respect to each basket component, on any averaging date, (basket component closing value – initial basket component value) / initial basket component value
Initial basket value:	Set equal to 100 on the pricing date
Basket closing value:	On each averaging date, the basket closing
value will be calculated as follows: 100 × [1 + (SPGCGCP
return × 15%) + (SPGCSIP return × 15%) + (SPGCSOP return × 12%) + (SPGCWHP return × 12%) + (SPGCSBP return
× 12%) + (SPGCCNP return × 12%) + (SPGCICP return × 11%) + (SPGCIAP return × 11%)] Each of the returns set forth in the formula
above refers to the basket component return with respect to the relevant basket component.
Final basket closing value:	The basket closing value on the final averaging date.
Average basket closing value:	The arithmetic average of the basket closing values on the averaging dates, as calculated by the calculation agent on the final averaging date.
Basket return:	(final basket closing value – initial basket value) / initial basket value
Average basket return:	(average basket closing value – initial basket value) / initial basket value
Averaging dates:	Quarterly, as set forth below. We also refer to February 14, 2022 as the final averaging date. The averaging dates are subject to postponement for non-index business days and certain market disruption events.

Averaging Date #	Averaging Date	Averaging Date #	Averaging Date
1	May 14, 2018	9	May 14, 2020
2	August 14, 2018	10	August 13, 2020
3	November 14, 2018	11	November 12, 2020
4	February 14, 2019	12	February 11, 2021
5	May 14, 2019	13	May 13, 2021
6	August 14, 2019	14	August 12, 2021
7	November 14, 2019	15	November 12, 2021
8	February 13, 2020	16	February 14, 2022 (final averaging date)

Interest:	None
CUSIP / ISIN:	61766YCG4 / US61766YCG44
Listing:	The Buffered PLUS will not be listed on any securities exchange.

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Principal at Risk Securities

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Investment Summary

Buffered Performance Leveraged Upside Securities with Downside Factor

Principal at Risk Securities

The Buffered PLUS Based on the Performance of a Basket of Eight Commodity Indices due February 16, 2022 (the “Buffered PLUS”) can be used:

§ To gain access to the basket components and provide diversification of underlying asset class exposure

§ As an alternative to direct exposure to the basket components that may enhance returns for positive performance of the basket, as reflected in the average basket return, depending also on the basket closing value on the final averaging date

§ To enhance returns and potentially outperform the basket in the scenarios described in this document, while using fewer dollars by taking advantage of the leverage factor

§ To obtain a limited buffer against a specified level of negative performance of the basket as of the final averaging date

Maturity:	4 years
Leverage factor:	215% (applicable only if the average basket return is greater than 0.00%). The leverage factor is used to calculate the leveraged upside return, which will be set off against the buffered downside return.
Buffer amount:	20%
Downside factor:	1.25
Maximum payment at maturity:	None
Minimum payment at maturity:	None. You could lose your entire initial investment in the Buffered PLUS.
Interest:	None

The original issue price of each Buffered PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Buffered PLUS, which are borne by you, and, consequently, the estimated value of the Buffered PLUS on the pricing date is less than $1,000. We estimate that the value of each Buffered PLUS on the pricing date is $980.90.

What goes into the estimated value on the pricing date?

In valuing the Buffered PLUS on the pricing date, we take into account that the Buffered PLUS comprise both a debt component and a performance-based component linked to the basket components. The estimated value of the Buffered PLUS is determined using our own pricing and valuation models, market inputs and assumptions relating to the basket components, instruments based on the basket components, 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 PLUS?

In determining the economic terms of the Buffered PLUS, including the leverage factor, the buffer amount and the downside factor, 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 PLUS 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 PLUS?

The price at which MS & Co. purchases the Buffered PLUS in the secondary market, absent changes in market conditions, including those related to the basket components, 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.

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

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Buffered Performance Leveraged Upside Securities SM with Downside Factor

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Key Investment Rationale

The Buffered PLUS offer exposure to an unequally-weighted basket of eight commodity indices. An investment in the Buffered PLUS will be exposed on the upside to any appreciation as reflected in the leveraged upside return, as reduced by any negative buffered downside return (which reduction can result in a loss even if the leveraged upside return is positive), and will be exposed on the downside to any negative buffered downside return subject to the set-off of the two returns described below. There is no minimum payment at maturity on the Buffered PLUS. Accordingly, you could lose your entire initial investment in the Buffered PLUS. The Buffered PLUS are unsecured obligations of ours, and all payments on the Buffered PLUS are subject to our credit risk.

Access	The Buffered PLUS offer exposure to an unequally-weighted basket composed of eight commodity indices, allowing for diversification of underlying asset class exposure from traditional fixed income/U.S. equity investments.
Payment at maturity scenario A: The average basket closing value and the
final basket closing value are both greater than or equal to the initial basket value:	You will receive a return at maturity that reflects the leveraged upside return. There is no limitation on the appreciation potential.
Payment at maturity scenario
B: The average basket closing value
and the final basket closing value are both equal to or less than the initial basket value:	You will receive a return at maturity that reflects the negative buffered downside return, and you may lose some or all of your investment.
Payment at maturity scenario
C: The average basket closing value
is greater than or equal to the initial basket value, but the final basket closing value is equal to or less than the initial basket
value:	The leveraged upside return and buffered downside return will be set off against each other, and you will lose some or all of your investment at maturity to the extent of the decline in the buffered downside return, as offset by the positive leveraged upside return. This set-off of the two returns will also mean that if the positive leveraged upside return more than fully offsets the decline in the buffered downside return, you will not suffer a loss on your investment at maturity, but your gain on the Buffered PLUS will be less than the positive leveraged upside return, as this return will have been set off and reduced by the negative buffered downside return.
Payment at maturity scenario D: The average basket closing value is equal
to or less than the initial basket value, but the final basket closing value is greater than or equal to the initial basket value:	The payment at maturity will equal the stated principal amount regardless of any appreciation of the final basket closing value above the initial basket value.

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Hypothetical Payouts on the Buffered PLUS at Maturity

The following tables and examples illustrate the hypothetical payment at maturity on the Buffered PLUS, assuming a range of performances for the basket, as measured on each of the quarterly averaging dates (including the final averaging date). The hypothetical returns set forth below reflect the initial basket value of 100, the buffer amount of 20%, the downside factor of 1.25 and the leverage factor of 215%. The hypothetical total returns set forth below are for illustrative purposes only.

SCENARIO A : The average basket closing value and the final basket closing value are both greater than or equal to the initial basket value.

If each of the average basket closing value and the final basket closing value are greater than or equal to the initial basket value, the leveraged upside return will reflect the average basket return (which, in turn, will reflect the performance of the basket from the initial basket value to the average basket closing value based on the arithmetic average of the basket closing values on each of the averaging dates) times the leverage factor, and the buffered downside return will be equal to 0%, regardless of any appreciation of the final basket closing value above the initial basket value, because the buffered downside return is capped at 0%. In such a case, the return on the Buffered PLUS will reflect the leveraged upside return. The following table and example illustrate the hypothetical payment at maturity and total return at maturity on the Buffered PLUS under these circumstances.

Average Basket Closing Value	Average Basket Return	Leveraged Upside Return	Buffered Downside Return	Payment at Maturity	Return on the Buffered PLUS
180	80.00%	172.00%	0.00%	$2,720.00	172.00%
170	70.00%	150.50%	0.00%	$2,505.00	150.50%
160	60.00%	129.00%	0.00%	$2,290.00	129.00%
150	50.00%	107.50%	0.00%	$2,075.00	107.50%
140	40.00%	86.00%	0.00%	$1,860.00	86.00%
130	30.00%	64.50%	0.00%	$1,645.00	64.50%
120	20.00%	43.00%	0.00%	$1,430.00	43.00%
115	15.00%	32.25%	0.00%	$1,322.50	32.25%
110	10.00%	21.50%	0.00%	$1,215.00	21.50%
105	5.00%	10.75%	0.00%	$1,107.50	10.75%
100	0.00%	0.000%	0.00%	$1,000.00	0.000%

The following example illustrates how the payment at maturity is calculated.

Example 1 (indicated by the row highlighted gray in the table above): The value of the basket increases from the initial basket value of 100 to an average basket closing value of 105. Because the average basket closing value of 105 is greater than the initial basket value, the average basket return is 5%, resulting in a leveraged upside return of 10.75% when multiplied by the leverage factor of 215%. Because the final basket closing value is greater than or equal to the initial basket value, the buffered downside return is 0%. Accordingly, the investor receives a payment at maturity of $1,107.50 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 10.75% + 0%) = $1,107.50

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Principal at Risk Securities

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SCENARIO B : The average basket closing value and the final basket closing value are both equal to or less than the initial basket value.

If each of the average basket closing value and the final basket closing value are equal to or less than the initial basket value, the leveraged upside return will be equal to 0%, regardless of any depreciation of the average basket closing value below the initial basket value, because the leveraged upside return is floored at 0%, and the buffered downside return will reflect any depreciation of the final basket closing value below the initial basket value by more than the buffer amount, multiplied by the downside factor. In such a case, the return on the Buffered PLUS will reflect the buffered downside return, and investors will lose some or all of their investment if the buffered downside return is negative, meaning that the final basket closing value has declined from the initial basket value by an amount greater than the 20% buffer amount. The following table and examples illustrate the hypothetical payment at maturity and total return at maturity on the Buffered PLUS under these circumstances.

Final Basket Closing Value	Basket Return	Leveraged Upside Return	Buffered Downside Return	Payment at Maturity	Return on the Buffered PLUS
100	0.00%	0.00%	0.00%	$1,000.00	0.000%
95	-5.00%	0.00%	0.00%	$1,000.00	0.000%
90	-10.00%	0.00%	0.00%	$1,000.00	0.000%
85	-15.00%	0.00%	0.00%	$1,000.00	0.000%
80	-20.00%	0.00%	0.00%	$1,000.00	0.000%
70	-30.00%	0.00%	-12.50%	$875.00	-12.500%
60	-40.00%	0.00%	-25.00%	$750.00	-25.000%
50	-50.00%	0.00%	-37.50%	$625.00	-37.500%
40	-60.00%	0.00%	-50.00%	$500.00	-50.000%
30	-70.00%	0.00%	-62.50%	$375.00	-62.500%
20	-80.00%	0.00%	-75.00%	$250.00	-75.000%
10	-90.00%	0.00%	-87.50%	$125.00	-87.500%
0	-100.00%	0.00%	-100.00%	$0.00	-100.000%

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1: The value of the basket decreases from the initial basket value of 100 to a final basket closing value of 85. Because the average basket closing value is equal to or less than the initial basket value, the leveraged upside return is 0%. Because the final basket closing value of 85 is less than the initial basket value of 100 by an amount less than or equal to the buffer amount of 20%, the basket return and the buffered downside return are both equal to 0%. Accordingly, the investor receives a payment at maturity of $1,000 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 0% + 0%) = $1,000

Example 2: The value of the basket decreases from the initial basket value of 100 to a final basket closing value of 50. Because the average basket closing value is equal to or less than the initial basket value, the leveraged upside return is 0%. Because the final basket closing value of 50 is less than the initial basket value of 100 by an amount greater than the buffer amount of 20% and the basket return is -50%, the buffered downside return is equal to -37.50%. Accordingly, the investor receives a payment at maturity of $625.00 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 0% + -37.50%) = $625.00

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SCENARIO C : The average basket closing value is greater than or equal to the initial basket value, but the final basket closing value is equal to or less than the initial basket value.

If the average basket closing value is greater than or equal to the initial basket closing value, the leveraged upside return will reflect the average basket return (which, in turn, will reflect the performance of the bakset from the initial basket value to the average basket closing value based on the arithmetic average of the basket closing values on each of the averaging dates) times the leverage factor. If the final basket closing value is equal to or less than the initial basket value, the buffered downside return will reflect any depreciation of the final basket closing value below the initial basket value by more than the buffer amount, multiplied by the downside factor. Accordingly, under these circumstances, the leveraged upside return and the buffered downside return will be set off against each other. In this case, the investor will lose some or all of their principal amount at maturity if the leveraged upside return is not sufficient to fully offset any negative buffered downside return. Even if the positive leveraged upside return fully offsets the negative buffered downside return, the effect of the negative buffered downside return will be to partially or fully offset the upside return from the positive leveraged upside return. The following table and examples illustrate the hypothetical payment at maturity and total return at maturity on the Buffered PLUS under these circumstances.

Average Basket Closing Value	Average Basket Return	Leveraged Upside Return	Final Basket Closing Value	Basket Return	Buffered Downside Return	Payment at Maturity	Return on the Buffered PLUS
150	50.00%	107.50%	100	0.00%	0.00%	$2,075.00	107.50%
150	50.00%	107.50%	95	-5.00%	0.00%	$2,075.00	107.50%
150	50.00%	107.50%	90	-10.00%	0.00%	$2,075.00	107.50%
150	50.00%	107.50%	75	-25.00%	-6.25%	$2,012.50	101.25%
150	50.00%	107.50%	50	-50.00%	-37.50%	$1,700.00	70.00%
150	50.00%	107.50%	0	-100.00%	-100.00%	$1,075.00	7.50%
120	20.00%	43.00%	100	0.00%	0.00%	$1,430.00	43.00%
120	20.00%	43.00%	95	-5.00%	0.00%	$1,430.00	43.00%
120	20.00%	43.00%	90	-10.00%	0.00%	$1,430.00	43.00%
120	20.00%	43.00%	75	-25.00%	-6.25%	$1,367.50	36.75%
120	20.00%	43.00%	50	-50.00%	-37.50%	$1,055.00	5.50%
120	20.00%	43.00%	0	-100.00%	-100.00%	$430.00	-57.00%
110	10.00%	21.50%	100	0.00%	0.00%	$1,215.00	21.50%
110	10.00%	21.50%	95	-5.00%	0.00%	$1,215.00	21.50%
110	10.00%	21.50%	90	-10.00%	0.00%	$1,215.00	21.50%
110	10.00%	21.50%	75	-25.00%	-6.25%	$1,152.50	15.25%
110	10.00%	21.50%	50	-50.00%	-37.50%	$840.00	-16.00%
110	10.00%	21.50%	0	-100.00%	-100.00%	$215.00	-78.50%
105	5.00%	10.75%	100	0.00%	0.00%	$1,107.50	10.75%
105	5.00%	10.75%	95	-5.00%	0.00%	$1,107.50	10.75%
105	5.00%	10.75%	90	-10.00%	0.00%	$1,107.50	10.75%
105	5.00%	10.75%	75	-25.00%	-6.25%	$1,045.00	4.50%
105	5.00%	10.75%	50	-50.00%	-37.50%	$732.50	-26.75%
105	5.00%	10.75%	0	-100.00%	-100.00%	$107.50	-89.25%
100	0.00%	0.00%	100	0.00%	0.00%	$1,000.00	0.000%
100	0.00%	0.00%	95	-5.00%	0.00%	$1,000.00	0.000%
100	0.00%	0.00%	90	-10.00%	0.00%	$1,000.00	0.000%
100	0.00%	0.00%	75	-25.00%	-6.25%	$937.50	-6.250%
100	0.00%	0.00%	50	-50.00%	-37.50%	$625.00	-37.500%
100	0.00%	0.00%	0	-100.00%	-100.00%	$0.00	-100.000%

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1: The value of the basket increases from the initial basket value of 100 to an average basket closing value of 120, but ultimately decreases from the initial basket value of 100 to final basket closing value of 95. Because the average basket closing value of 120 is greater than the initial basket closing value of 100, the average basket return is equal to 20%, resulting in an leveraged upside return of 43.00% when multiplied by the leverage factor of 215%. Because the final basket closing value of 95 is less than the initial basket value of 100 by an amount less than or equal to the buffer amount of 20%, the basket return is -5.00% and the buffered downside return is 0%. Accordingly, the investor receives a payment at maturity of $1,430.00 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 43.00% + 0%) = $1,430.00

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Example 2: The value of the basket increases from the initial basket value of 100 to an average basket closing value of 110, but ultimately decreases from the initial basket value of 100 to a final basket closing value of 75. Because the average basket closing value of 110 is greater than the initial basket closing value of 100, the average basket return is equal to 10%, resulting in an leveraged upside return of 21.75% when multiplied by the leverage factor of 215%. Because the final basket closing value of 75 is less than the initial basket value of 100 by an amount greater than the buffer amount of 20% and the basket return is -25.00%, the buffered downside return is equal to -6.25%. Accordingly, the investor receives a payment at maturity of $1,155.00 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 21.75% + -6.25%) = $1,155.00

In this example, the negative buffered downside return partially offsets the positive leveraged upside return, reducing the upside return based on the leveraged upside return.

Example 3: The value of the basket increases from the initial basket value of 100 to an average basket closing value of 105, but ultimately decreases from the initial basket value of 100 to a final basket closing value of 50. Because the average basket closing value of 105 is greater than the initial basket closing value of 100, the average basket return is equal to 5%, resulting in an leveraged upside return of 10.75% when multiplied by the leverage factor of 215%. Because the final basket closing value of 50 is less than the initial basket value of 100 by an amount greater than the buffer amount of 20% and the share return is -50.00%, the buffered downside return is equal to -37.50%. Accordingly, the investor receives a payment at maturity of $732.50 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 10.75% + -37.50%) = $732.50

In this example, the negative buffered downside return more than fully offsets the positive leveraged upside return, resulting in a significant loss of principal.

SCENARIO D : The average basket closing value is equal to or less than the initial basket value, but the final basket closing value is greater than or equal to the initial basket value.

If the average basket closing value is equal to or less than the initial basket value, the upside leveraged return will be equal to 0%, regardless of any depreciation of the average basket closing value below the initial basket value, because the upside leveraged return is floored at 0%. If the final basket closing value is greater than or equal to the initial basket value, the buffered downside return will be equal to 0%, regardless of any appreciation of the final basket closing value above the initial basket value, because the buffered downside return is capped at 0%.

Accordingly, under these circumstances, the investor receives a payment at maturity of $1,000 per $1,000 principal amount of Buffered PLUS, and does not benefit in any appreciation in the final basket closing value as compared to the initial basket value. The payment at maturity is calculated as follows:

$1,000 × (1 + 0% + 0%) = $1,000

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Risk Factors

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

§ The Buffered PLUS do not pay interest or guarantee the return of any of your principal. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest and do not guarantee any return of principal at maturity. At maturity, you will receive for each $1,000 stated principal amount of Buffered PLUS that you hold an amount in cash based on two measures of the performance of the basket: (i) the leveraged upside return and (ii) the buffered downside return. The leveraged upside return reflects leveraged participation in any appreciation of the basket from the initial basket value to the average basket closing value, which is the arithmetic average of the basket closing values on each of the quarterly averaging dates during the term of the Buffered PLUS. The buffered downside return reflects any depreciation in the basket return (determined based not on the average basket closing value but solely on the basket closing value on the final averaging date) by more than the buffer amount, times the downside factor. If the final basket closing value is less than the initial basket value, you will be exposed to any depreciation of the basket in excess of the buffer amount times the downside factor, unless the leveraged upside return is sufficiently positive to fully offset the negative buffered downside return. In this circumstance, for every 1% that the final basket closing value is less than the initial basket value by more than 20%, the buffered downside return will decline by 1.25%, which will offset against any positive leveraged upside return (if the average basket return is positive) and will reduce the return on the Buffered PLUS in all cases. There is no minimum payment at maturity on the Buffered PLUS. If the final basket closing value is less than the initial basket value by an amount greater than the buffer amount of 20%, the buffered downside return will be negative. Under these circumstances, you will lose some or all of your entire initial investment in the Buffered PLUS if the leveraged upside return is not sufficient to fully offset the negative buffered downside return. See “Hypothetical Payouts on the Buffered PLUS at Maturity” beginning on page 5.

§ Any positive upside return from the leveraged upside return may be moderated or fully or more than fully offset by any negative buffered downside return. The payment at maturity on the Buffered PLUS will be reduced by any negative buffered downside return, which reflects any depreciation of the basket in excess of the buffer amount from the initial basket value to the final basket closing value, which is equal to the basket closing value on the final averaging date. This will be true even if the basket appreciates from the initial basket value to the average basket closing value, which will be the arithmetic average of the basket closing values on each of the quarterly averaging dates. Therefore, in calculating the payment at maturity, any positive leveraged upside return may be moderated, or fully or more than fully offset, by any negative buffered downside return. Even if the positive leveraged upside return fully offsets the negative buffered downside return, the effect of the negative buffered downside return will be to partially or fully offset the upside return from the positive leveraged upside return.

§ With respect to the calculation of the buffered downside return, you will not benefit from any appreciation in the basket, or any depreciation of the basket in an amount less than the buffer amount, based solely on the final basket closing value. Even if the final basket closing value is greater than the initial basket value or is less than the initial basket value by an amount less than or equal to the buffer amount, the buffered downside return will not be greater than 0%. Accordingly, the buffered downside return will not provide any positive contribution toward the return on the Buffered PLUS at maturity. The upside return on the Buffered PLUS will reflect only any positive leveraged upside return, as reduced by any negative buffered downside return.

§ 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 PLUS in the secondary market and the price at which we or certain of our affiliates, including Morgan Stanley & Co. LLC (“MS & Co.”), may be willing to purchase or sell the Buffered PLUS in the secondary market, including: the value of each of the basket components at any time and, in particular, on the averaging dates, the volatility (frequency and magnitude of changes in value) of each of the basket components, interest and yield rates in the market, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the basket components or commodities markets in general and which may affect the basket component closing values, trends of supply and demand for the basket components, as well as the effects of speculation or any government activity that could affect the commodities markets, the time remaining until the Buffered PLUS mature and any actual or anticipated changes in our credit ratings or credit spreads. In addition, the

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commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government intervention. As a result, the market value of the Buffered PLUS will vary and may be less than the original issue price at any time prior to maturity and sale of the Buffered PLUS prior to maturity may result in a loss.

§ The Buffered PLUS are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the Buffered PLUS. You are dependent on our ability to pay all amounts due on the Buffered PLUS at maturity and therefore you are subject to our credit risk. If we default on our obligations under the Buffered PLUS, your investment would be at risk and you could lose a significant portion of your investment. As a result, the market value of the Buffered PLUS prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the Buffered PLUS.

§ As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

§ The amount payable at maturity, if any, is based in part on the arithmetic average of the basket closing values on each of the quarterly averaging dates and, therefore, the payment at maturity may be less than if it were based solely on the basket closing value on the final averaging date. The amount payable at maturity, if any, will be calculated by reference to both the average basket return, which reflects any appreciation of the basket from the initial basket value to the average basket closing value, which is the arithmetic average of the basket closing values on each of the quarterly averaging dates during the term of the Buffered PLUS, and the buffered downside return, which reflects any depreciation in the basket return (determined based on the basket closing value on the final averaging date, as compared to the initial basket value) by more than the buffer amount of 20% times the downside factor of 1.25. Therefore, in calculating the average basket return, positive performance of the basket as of some averaging dates may be moderated, or wholly offset, by lesser or negative performance as of other averaging dates. Similarly, the average basket return, calculated based on the basket closing values on each of the quarterly averaging dates, may be less than the basket closing value on the final averaging date and, as a result, the payment at maturity you receive may be less than if it were based solely on the basket closing value on the final averaging date for both upside and downside exposure to the basket. Additionally, any declines in the basket closing values prior to or on the final averaging date will reduce the buffered downside return, which can partially, fully or more than fully offset any increases in the basket closing values as of the other averaging dates, potentially resulting in a loss even if the average basket return is positive.

§ Changes in the value of one or more of the basket components may offset each other. Movements in the value of the basket components may not correlate with each other. At a time when the values of one or more basket components increase, the values of the other basket components may not increase as much, or may even decline. Therefore, in calculating the basket closing value for each averaging date, increases in the values of one or more basket components may be moderated, or wholly offset, by lesser increases or declines in the values of other basket components.

§ The basket components are not equally weighted. The Buffered PLUS are linked to a basket of eight basket components, and the basket components have significantly different weights in determining the value of the basket. The same percentage change in two of the basket components as of an averaging date could therefore have different effects on the basket closing value for such averaging date because of the unequal weighting. For example, if the weighting of one basket component is greater than the weighting of another basket component, a 5% decrease in the value of the basket component with the greater weighting as of an averaging date will have a greater impact on the basket closing value for such averaging date than a 5% increase in the value of the basket component with the lesser weighting.

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§ Specific commodity prices are volatile and are affected by numerous factors specific to each market. Investments, such as the Buffered PLUS, linked to the prices of commodities are subject to sharp fluctuations in the prices of commodities over short periods of time for a variety of factors, including: changes in supply and demand relationships; weather; climatic events; the occurrence of natural disasters; wars; political and civil upheavals; acts of terrorism; trade, fiscal, monetary, and exchange control programs; domestic and foreign political and economic events and policies; disease; pestilence; technological developments; changes in interest rates; and trading activities in commodities and related contracts. For special risks related each basket component, please see below:

o The Buffered PLUS are linked to the S&P GSCI™ Gold Index - Excess Return and are subject to risks relating to gold. The S&P GSCI™ Gold Index - Excess Return is composed entirely of gold futures contracts included in the S&P GSCI™-ER. The commodity markets, including the gold markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. Gold prices are subject to volatile price movements over short periods of time and are affected by numerous factors. These include economic factors, including, among other things, the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events. Gold prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold, levels of gold production and production costs and short-term changes in supply and demand because of trading activities in the gold market.

o The Buffered PLUS are linked to the S&P GSCI™ Silver Index - Excess Return and are subject to risks relating to silver. The S&P GSCI™ Silver Index - Excess Return is composed entirely of silver futures contracts included in the S&P GSCI™-ER. The commodity markets, including the silver markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand, expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political or economic events, and production costs and disruptions in major silver producing countries such as the United Mexican States and the Republic of Peru, Australia and Canada. The supply of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments, public and private financial institutions, industrial organizations and private individuals. In addition, the price of silver has on occasion been subject to very rapid short-term changes due to speculative activities. From time-to-time, above-ground inventories of silver may also influence the market. The major end-uses for silver include industrial applications, jewelry, coins and medals, photography and silverware.

o The Buffered PLUS are linked to the S&P GSCI™ Soybeans Index - Excess Return and are subject to risks relating to soybeans. The S&P GSCI™ Soybeans Index–Excess Return is composed of CBOT soybean futures contracts included in the S&P GSCI™–ER. Factors relating to the value of the soybean futures contracts and the underlying price of soybeans will affect the level of the soybean index. Demand for soybeans is in part linked to the development of agricultural, industrial and energy uses for soybeans. In addition, prices for soybeans are affected by governmental programs and policies regarding agriculture and trade specifically, and trade, fiscal and monetary issues, more generally. Soybean prices are also affected by extrinsic factors such as weather, crop yields, natural disasters, pestilence, technological developments, wars and political and civil upheavals. Soy biodiesel, animal agriculture, vegetable oil, edible soybean oil and new industrial uses are examples of major areas that may impact worldwide soybean demand. In addition, substitution of other commodities for soybeans could also impact the price of soybeans. The supply of soybeans is particularly sensitive to weather patterns such as floods, drought and freezing conditions, planting decisions and the price of fuel, seeds and fertilizers. In addition, technological advances and scientific developments could lead to increases in worldwide production of soybeans and corresponding decreases in the price of soybeans. The United States, Argentina and Brazil are the three largest suppliers of soybean crops.

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o The Buffered PLUS are linked to the S&P GSCI™ Wheat Index - Excess Return and are subject to risks relating to wheat. The S&P GSCI™ Wheat Index–Excess Return is composed of CBOT wheat futures contracts included in the S&P GSCI™–ER. Factors relating to the value of the wheat futures contracts and the underlying price of wheat will affect the level of the wheat index. Wheat is a grain commodity and grain prices are primarily affected by weather and crop growing conditions generally and the global demand for and supply of grain, which are driven by global grain production, population growth and economic activity. In addition, prices for grain are affected by governmental and intergovernmental programs and policies regarding trade, agriculture, including grains, and energy specifically and fiscal and monetary issues, more generally. Alternative uses for grains such as energy sources or in manufacturing also drive the prices for grains. Such alternative uses may be dependent on governmental action, such as subsidies or tariffs and technological innovation. Extrinsic factors also affect grain prices such as natural disasters, pestilence, scientific developments, wars and political and civil upheavals. Substitution of other commodities for grain could also impact the price of grain. In addition, changes to the terms of the wheat futures contracts may affect the level of the wheat index and there have been recent reports that these futures contract may be modified in an attempt to narrow the observed divergence between the value of the futures contract nearing expiration and the then-current spot cash price for wheat at that time. Any changes to the terms of the wheat futures contract could have a negative effect on the value of the wheat index.

o The Buffered PLUS are linked to the S&P GSCI™ Sugar Index - Excess Return and are subject to risks relating to sugar. The S&P GSCI™ Sugar Index - Excess Return is composed entirely of sugar futures contracts included in the S&P GSCI™-ER. The commodity markets, including the sugar markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. Global prices for sugar are primarily affected by the global demand for and supply of sugar, but are also significantly influenced by governmental policy and international trade agreements, by speculative actions and by currency exchange rates. Sugar is used primarily as a human food sweetener, but is also used in the production of fuel ethanol. Global demand for sugar is influenced by level of human consumption of sweetened food-stuffs and beverages and to a lesser extent, by the level of demand for sugar as the basis for fuel ethanol. The world export supply of sugar is dominated by the European Union, Brazil, Guatemala, Cuba, Thailand and Australia, while other countries, including India, the United States, Canada and Russia produce significant amounts of sugar for domestic consumption. Governmental programs and policies regarding agriculture and energy, specifically, and trade, fiscal and monetary issues, more generally, in these countries and at a multinational level could affect the supply and price of sugar. Extrinsic factors also affect sugar prices such as weather, disease and natural disasters.

o The Buffered PLUS are linked to the S&P GSCI™ Corn Index - Excess Return and are subject to risks relating to corn. The S&P GSCI™ Corn Index - Excess Return is composed entirely of corn futures contracts included in the S&P GSCI™-ER. The commodity markets, including the corn markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. Global prices for corn are primarily affected by the global demand for and supply of corn, but are also significantly influenced by speculative actions and by currency exchange rates. Corn is primarily used as a livestock feed but is also processed into food and industrial products, including starches, sweeteners, corn oil, beverage and industrial alcohol and fuel ethanol. Demand for corn is influenced by a variety of factors including the level of global livestock production, the level of human consumption of corn and corn-derived products and, in the case of demand for production into ethanol, demand for corn as the basis for ethanol. The supply of corn is dominated by the United States, China, Central and South America and the European Union. Governmental programs and policies regarding agriculture and energy, specifically, and trade, fiscal and monetary issues, more generally, in these countries could affect the supply and price of corn. Extrinsic factors also affect corn prices such as weather, disease and natural disasters.

o The Buffered PLUS are linked to the S&P GSCI™ Copper Index - Excess Return and are subject to risks relating to copper. The S&P GSCI™ Copper Index - Excess Return is composed entirely of copper futures contracts included in the S&P GSCI™-ER. The commodity markets, including the copper markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. Demand for copper is significantly influenced by the level of global industrial economic activity. Industrial sectors which

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are particularly important to demand for copper include the electrical and construction sectors. In recent years, demand has been supported by strong consumption from newly industrializing countries due to their copper-intensive economic growth and infrastructure development. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. There are substitutes for copper in various applications. Their availability and price will also affect demand for copper. The main sources of copper are mines in Latin America and Eastern Europe and copper is refined mainly in Latin America, Australia and Asia. The supply of copper is also affected by current and previous price levels, which will influence investment decisions in new smelters. In previous years, copper supply has been affected by strikes, financial problems and terrorist activity. It is not possible to predict the aggregate effect of all or any combination of these factors.

o The Buffered PLUS are linked to the S&P GSCI™ Aluminum Index - Excess Return and are subject to risks relating to aluminum. The S&P GSCI™ Aluminum Index - Excess Return is composed entirely of aluminum futures contracts included in the S&P GSCI™-ER. The commodity markets, including the aluminum markets, are generally subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators, and government regulation and intervention. Demand for aluminum is significantly influenced by the level of global industrial economic activity. Industrial sectors which are particularly important to demand for aluminum include the automobile, packaging and construction sectors. An additional, but highly volatile, component of demand is adjustments to inventory in response to changes in economic activity and/or pricing levels. The supply of aluminum is widely spread around the world, with the main sources in North America, Europe and China, and the principal factor dictating the smelting of aluminum is the ready availability of inexpensive power. The supply of aluminum is also affected by current and previous price levels, which will influence investment decisions in new smelters. Other factors influencing supply include droughts, transportation problems, labor strikes and shortages of power and raw materials.

§ The S&P GSCI™ - ER may in the future include contracts that are not traded on regulated futures exchanges. The S&P GSCI™-ER, from which the underlying commodity indices are derived, was originally based solely on futures contracts traded on regulated futures exchanges (referred to in the United States as “designated contract markets”). At present, the S&P GSCI™-ER continues to be composed exclusively of regulated futures contracts. However, the S&P GSCI™-ER may in the future include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections afforded by, the Commodity Exchange Act of 1936, as amended, or other applicable statutes and related regulations, that govern trading on regulated futures exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities and the inclusion of such contracts in the indices may be subject to certain risks not presented by most exchange-traded futures contracts, including risks related to the liquidity and price histories of the relevant contracts.

§ Higher future prices of an index commodity relative to its current prices may adversely affect the value of the relevant underlying commodity index and the value of the Buffered PLUS. The S&P GSCI TM –ER, from which the underlying commodity indices are derived, is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity. As the futures contracts that compose the S&P GSCI™-ER approach expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in September may specify an October expiration. As time passes, the contract expiring in October is replaced by a contract for delivery in November. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a “roll yield.” While many of the contracts included in the S&P GSCI™-ER have historically exhibited consistent periods of backwardation, backwardation will most likely not exist at all times. Moreover certain of the commodities included in the index have historically traded in “contango” markets. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The presence of contango and absence of backwardation in the commodity markets generally results in negative “roll yields,” which could adversely affect the value of any of the underlying commodity indices, and, accordingly, the value of the Buffered PLUS.

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§ Suspensions or disruptions of market trading in commodity and related futures markets may adversely affect the price of the Buffered PLUS. The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect some of the basket components and, therefore, the value of the Buffered PLUS.

§ An investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities. The Buffered PLUS have returns based on the change in price of futures contracts included in the basket components, not the change in the spot prices of actual physical commodities to which such futures contracts relate. The price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the price of a physical commodity reflects the value of such commodity upon immediate delivery, which is referred to as the spot price. Several factors can result in differences between the price of a commodity futures contract and the spot price of a commodity, including the cost of storing such commodity for the length of the futures contract, interest costs related to financing the purchase of such commodity and expectations of supply and demand for such commodity. While the changes in the price of a futures contract are usually correlated with the changes in the spot price, such correlation is not exact. In some cases, the performance of a commodity futures contract can deviate significantly from the spot price performance of the related underlying commodity, especially over longer periods of time. Accordingly, investments linked to the return of commodities futures contracts may underperform similar investments that reflect the spot price return on physical commodities.

§ Adjustments to the underlying commodity indices could adversely affect the value of the Buffered PLUS. The publisher of each underlying commodity index may add, delete or substitute the commodity contracts constituting such underlying commodity index or make other methodological changes that could change the value of such underlying commodity index. An underlying commodity index publisher may discontinue or suspend calculation or publication of the relevant underlying commodity index at any time. Any of these actions could adversely affect the value of the Buffered PLUS. Where an underlying commodity index is discontinued, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.

§ Investing in the Buffered PLUS is not equivalent to investing directly in the basket components. Investing in the Buffered PLUS is not equivalent to investing directly in any of the basket components or in the futures contracts that underlie the basket components. By purchasing the Buffered PLUS, you do not purchase any entitlement to any futures contract that underlies any of the basket components. Further, by purchasing the Buffered PLUS, you are taking credit risk of Morgan Stanley and not to any counter-party to any futures contract that underlies any of the basket components.

§ 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 PLUS in the original issue price reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered PLUS 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 PLUS 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 PLUS in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the Buffered PLUS less favorable to you than they otherwise would be.

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§ The estimated value of the Buffered PLUS 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 PLUS than those generated by others, including other dealers in the market, if they attempted to value the Buffered PLUS. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your Buffered PLUS in the secondary market (if any exists) at any time. The value of your Buffered PLUS 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 PLUS will not be listed on any securities exchange and secondary trading may be limited. The Buffered PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Buffered PLUS. MS & Co. may, but is not obligated to, make a market in the Buffered PLUS 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 PLUS, 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 PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the Buffered PLUS easily. Since other broker-dealers may not participate significantly in the secondary market for the Buffered PLUS, the price at which you may be able to trade your Buffered PLUS 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 PLUS, it is likely that there would be no secondary market for the Buffered PLUS. Accordingly, you should be willing to hold your Buffered PLUS to maturity.

§ The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Buffered PLUS. As calculation agent, Morgan Stanley Capital Group Inc. (“MSCG”) has determined the initial basket component value for each basket component, will determine the basket component closing value and basket component return for each basket component on each averaging date, the basket closing value on each averaging date, the final basket closing value, the average basket closing value, the basket return, the average basket return, the leveraged upside return, the buffered downside return and will calculate the amount of cash you receive at maturity, if any. Moreover, certain determinations made by MSCG 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 basket component or the calculation of the final basket closing value and average basket closing value in the event of a discontinuance of any basket component. 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,” “—Discontinuance of Any Underlying Commodity Index; Alteration of Method of Calculation” and “—Calculation Agent and Calculations” and related definitions in the accompanying prospectus supplement and “Additional provisions— Alternate exchange calculation in case of an event of default” in this document. In addition, MS & Co. has determined the estimated value of the Buffered PLUS on the pricing date.

§ Legal and regulatory changes could adversely affect the return on and value of the Buffered PLUS. Futures contracts and options on futures contracts, including those related to the basket components, are subject to extensive statutes, regulations, and margin requirements. The Commodity Futures Trading Commission, commonly referred to as the “CFTC,” and the exchanges on which such futures contracts trade, are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely affect the market prices of relevant futures and options contracts and forward contracts. The regulation of commodity transactions in the U.S. is subject to ongoing modification by government and judicial action. In addition, various non-U.S. governments have expressed concern regarding the disruptive effects of speculative trading in the commodity markets and the need to regulate the derivative markets in general. The effect on the value of the Buffered PLUS of any future regulatory change is impossible to predict, but could be substantial and adverse to the interests of holders of the Buffered PLUS.

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For example, the Dodd-Frank Act, which was enacted on July 21, 2010, requires the CFTC to establish limits on the amount of positions that may be held by any person in certain commodity futures contracts and swaps, futures and options that are economically equivalent to such contracts. While the effects of these or other regulatory developments are difficult to predict, when adopted, such rules may have the effect of making the markets for commodities, commodity futures contracts, options on futures contracts and other related derivatives more volatile and over time potentially less liquid. Such restrictions may force market participants, including us and our affiliates, or such market participants may decide, to sell their positions in such futures contracts and other instruments subject to the limits. If this broad market selling were to occur, it would likely lead to declines, possibly significant declines, in commodity prices, in the price of such commodity futures contracts or instruments and potentially, the value of the Buffered PLUS.

§ Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the Buffered PLUS. One or more of our affiliates and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the Buffered PLUS (and possibly to other instruments linked to the basket components), including trading in swaps or futures contracts on the basket components and on the commodities that underlie the basket components. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the averaging dates approach. Some of our affiliates also trade in financial instruments related to the basket components, futures contracts on the basket components and other financial instruments related to the basket components or the prices of the commodities or contracts that underlie the basket components on a regular basis as part of their general commodity trading, proprietary trading and other businesses. Any of these hedging or trading activities on or prior to the pricing date could have increased the initial basket component values and, therefore, could have increased the levels at which the basket components must close on the averaging dates, including the final averaging date, so that you do not suffer a loss on your initial investment in the Buffered PLUS. Additionally, such hedging or trading activities during the term of the Buffered PLUS, including on the averaging dates, could adversely affect the prices of the basket components on the averaging dates, including the final averaging date, and, accordingly, the amount of cash you will receive at maturity, if any.

§ The U.S. federal income tax consequences of an investment in the Buffered PLUS 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 prospectus supplement for PLUS (together, the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the Buffered PLUS. As discussed in the Tax Disclosure Sections, there is significant uncertainty regarding the consequences to a holder of the Buffered PLUS if the payment at maturity becomes fixed, or is subject to a minimum level that equals or exceeds the issue price, prior to the final valuation date. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income on the Buffered PLUS 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 PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the Buffered PLUS every year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect of the Buffered PLUS as ordinary income. Additionally, as discussed under “United States Federal Taxation—FATCA” in the accompanying prospectus supplement for PLUS, the withholding rules commonly referred to as “FATCA” would apply to the Buffered PLUS if they were recharacterized as debt instruments. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the Buffered PLUS, 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 PLUS, 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

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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 PLUS, 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 PLUS, including possible alternative treatments, the consequences of an Early Fixing Event, 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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Basket Overview

The basket consists of the S&P GSCI™ Gold Index - Excess Return (the “SPGCGCP Index”), the S&P GSCI™ Silver Index - Excess Return (the “SPGCSIP Index”), the S&P GSCI™ Soybeans Index - Excess Return (the “SPGCSOP Index”), the S&P GSCI™ Wheat Index - Excess Return (the “SPGCWHP Index”), the S&P GSCI™ Sugar Index - Excess Return (the “SPGCSBP Index”), the S&P GSCI™ Corn Index - Excess Return (the “SPGCCNP Index”), the S&P GSCI™ Copper Index - Excess Return (the “SPGCICP Index”) and the S&P GSCI™ Aluminum Index - Excess Return (the “SPGCIAP Index”) and offers exposure to price movements in world commodities markets.

S&P GSCI™ Gold Index - Excess Return. The S&P GSCI™ Gold Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of gold futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Gold Index - Excess Return provides investors with a publicly available benchmark for investment performance in the gold markets. The S&P GSCI™ Gold Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Gold Index - Excess Return, are the designated gold futures contracts).

S&P GSCI™ Silver Index - Excess Return. The S&P GSCI™ Silver Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of silver futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Silver Index - Excess Return provides investors with a publicly available benchmark for investment performance in the silver markets. The S&P GSCI™ Silver Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Silver Index - Excess Return, are the designated silver futures contracts).

S&P GSCI™ Soybeans Index - Excess Return. The S&P GSCI™ Soybeans Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed of CBOT soybean futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Soybeans Index - Excess Return provides investors with a publicly available benchmark for investment performance in the soybean markets. The S&P GSCI™ Soybeans Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Soybeans Index - Excess Return, are the designated soybean futures contracts).

S&P GSCI™ Wheat Index - Excess Return. The S&P GSCI™ Wheat Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed of CBOT wheat futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Wheat Index - Excess Return provides investors with a publicly available benchmark for investment performance in the wheat markets. The S&P GSCI™ Wheat Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Wheat Index - Excess Return, are the designated wheat futures contracts).

S&P GSCI™ Sugar Index - Excess Return. The S&P GSCI™ Sugar Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of sugar futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Sugar Index - Excess Return provides investors with a publicly available benchmark for investment performance in the sugar markets. The S&P GSCI™ Sugar Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Sugar Index - Excess Return, are the designated sugar futures contracts).

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S&P GSCI™ Corn Index - Excess Return. The S&P GSCI™ Corn Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of corn futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Corn Index - Excess Return provides investors with a publicly available benchmark for investment performance in the corn markets. The S&P GSCI™ Corn Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Corn Index - Excess Return, are the designated corn futures contracts).

S&P GSCI™ Copper Index - Excess Return. The S&P GSCI™ Copper Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of copper futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Copper Index - Excess Return provides investors with a publicly available benchmark for investment performance in the copper markets. The S&P GSCI™ Copper Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Copper Index - Excess Return, are the designated copper futures contracts).

S&P GSCI™ Aluminum Index - Excess Return. The S&P GSCI™ Aluminum Index - Excess Return is a sub-index of the S&P GSCI TM -ER. It is composed entirely of aluminum futures contracts included in the S&P GSCI™-ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P Dow Jones Indices LLC (“S&P”). The S&P GSCI™ is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities ( i.e. , physical commodities) in the world economy. The S&P GSCI™ represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI™ Aluminum Index - Excess Return provides investors with a publicly available benchmark for investment performance in the aluminum markets. The S&P GSCI™ Aluminum Index - Excess Return is an excess return index and not a total return index. An excess return index reflects the returns that are potentially available through an unleveraged investment in the contracts composing the index (which, in the case of the S&P GSCI™ Aluminum Index - Excess Return, are the designated aluminum futures contracts).

The S&P GSCI™—Excess Return is calculated and maintained using the same methodology utilized by S&P in calculating the S&P GSCI™. See the information set forth under “—S&P GSCI TM -ER” and “—S&P GSCI™” in the accompanying prospectus supplement.

The underlying commodity indices described above are products of S&P or its affiliates (“SPDJI”), and have been licensed for use by Morgan Stanley. Standard & Poor’s ® and S&P ® are registered trademarks of Standard & Poor’s Financial Services LLC and Dow Jones ® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The Buffered PLUS are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, Standard & Poor’s Financial Services LLC, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices does not make any representation or warranty, express or implied, to the owners of the Buffered PLUS or any member of the public regarding the advisability of investing in securities generally or in securities issued by Morgan Stanley affiliates particularly or the ability of the relevant index to track general market performance. S&P Dow Jones Indices’ only relationship to Morgan Stanley with respect to the indices is the licensing of the underlying commodity indices and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The underlying commodity indices are determined, composed and calculated by S&P Dow Jones Indices without regard to Morgan Stanley or the Buffered PLUS. S&P Dow Jones Indices has no obligation to take the needs of Morgan Stanley or the owners of securities into consideration in determining, composing or calculating the underlying commodity indices. S&P Dow Jones Indices is not responsible for and has not participated in the determination of the prices, and amount of securities or the timing of the issuance or sale of securities or in the determination or calculation of the equation by which securities are to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of securities. There is no assurance that investment products based on the underlying commodity indices will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE UNDERLYING COMMODITY INDICES OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY MORGAN STANLEY, OWNERS OF THE BUFFERED PLUS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE

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UNDERLYING COMMODITY INDICES OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND MORGAN STANLEY, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

“Standard & Poor’s ® ,” “S&P ® ” and “S&P GSCI TM ” are trademarks of Standard and Poor’s Financial Services LLC.

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Information as of market close on February 13, 2018:

| Basket
Component | Bloomberg
Ticker Symbol* | Weighting | Current
Basket Component Level | 52
Weeks Ago | 52
Week High | Date
of 52 Week High | 52
Week Low | Date
of 52 Week Low |
| --- | --- | --- | --- | --- | --- | --- | --- | --- |
| SPGCGCP
Index | SPGCGCP | 15% | 107.5796 | 100.9706 | 110.6199 | 1/25/2018 | 98.8816 | 3/15/2017 |
| SPGCSIP
Index | SPGCSIP | 15% | 62.603 | 69.07868 | 71.49459 | 4/17/2017 | 59.06552 | 7/7/2017 |
| SPGCSOP
Index | SPGCSOP | 12% | 414.7741 | 455.4007 | 457.9646 | 2/15/2017 | 382.1821 | 6/23/2017 |
| SPGCWHP
Index | SPGCWHP | 12% | 7.12589 | 8.47349 | 9.55264 | 7/5/2017 | 6.34688 | 12/12/2017 |
| SPGCSBP
Index | SPGCSBP | 12% | 10.89406 | 16.98057 | 17.61766 | 2/21/2017 | 10.55723 | 1/18/2018 |
| SPGCCNP
Index | SPGCCNP | 12% | 7.228241 | 8.462137 | 8.54244 | 7/10/2017 | 6.826565 | 1/12/2018 |
| SPGCICP
Index | SPGCICP | 11% | 609.523 | 545.0391 | 638.5991 | 12/28/2017 | 487.3734 | 5/8/2017 |
| SPGCIAP
Index | SPGCIAP | 11% | 29.53168 | 26.7303 | 31.67071 | 12/28/2017 | 26.33203 | 6/26/2017 |

* Bloomberg ticker symbols are being provided for reference purposes only. Each initial basket component value was determined and each basket component closing value will be determined based on the official settlement price published by the applicable underlying commodity index publisher.

The following graph is calculated to show the performance of the basket during the period from January 1, 2013 through February 13, 2018, assuming the basket components are weighted as set out above, and illustrates the effect of the offset and/or correlation among the basket components during such period. The graph does not take into account any terms of the Buffered PLUS, nor does it attempt to show your expected return on an investment in the Buffered PLUS. You cannot predict the future performance of any basket component or of the basket as a whole, whether increases in the value of any basket component will be offset by decreases in the values of the other basket components as of any averaging date or whether the leveraged upside return will be sufficient to fully offset any negative buffered downside return. The historical performance of the basket and the degree of correlation between the basket components (or lack thereof) should not be taken as an indication of its future performance or future correlation.

Historical Basket Performance January 1, 2013 through February 13, 2018

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The following graphs set forth the daily basket component closing values of each of the basket components for each quarter in the period from January 1, 2013 through February 13, 2018. The related tables set forth the published high and low official settlement prices, as well as end-of-quarter official settlement prices, for each respective basket component for the same period. The official settlement prices on February 13, 2018 for each of the basket components are set out above. We obtained the information in the tables and graphs from Bloomberg Financial Markets, without independent verification. The historical values and historical performance of the basket components should not be taken as an indication of future performance. We cannot give you any assurance that the basket will appreciate or not depreciate over the term of the Buffered PLUS such that you do not suffer a loss on your initial investment in the Buffered PLUS.

S&P GSCI™ Gold Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Gold Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 143.4426 | 133.0275 | 134.8317 |
| Second Quarter | 135.2711 | 102.2747 | 103.2961 |
| Third Quarter | 119.6756 | 102.3675 | 111.8216 |
| Fourth Quarter | 113.9703 | 100.4956 | 101.2281 |
| 2014 | | | |
| First Quarter | 116.0439 | 103.1562 | 108.0170 |
| Second Quarter | 111.6939 | 104.6424 | 111.2036 |
| Third Quarter | 112.6514 | 101.8091 | 101.8091 |
| Fourth Quarter | 105.1786 | 102.1032 | 99.4247 |
| 2015 | | | |
| First Quarter | 109.2207 | 96.3218 | 99.1888 |
| Second Quarter | 102.9049 | 97.8375 | 98.1474 |
| Third Quarter | 98.2647 | 90.7488 | 93.2231 |
| Fourth Quarter | 99.2669 | 87.6748 | 88.5602 |
| 2016 | | | |
| First Quarter | 106.2887 | 89.6600 | 103.0832 |
| Second Quarter | 110.4870 | 100.9695 | 109.9624 |
| Third Quarter | 113.8343 | 108.4950 | 109.0663 |
| Fourth Quarter | 108.7019 | 93.2985 | 95.1070 |
| 2017 | | | |
| First Quarter | 103.6890 | 95.9576 | 102.7752 |
| Second Quarter | 106.2992 | 99.8932 | 101.7529 |
| Third Quarter | 110.0297 | 99.0828 | 104.6227 |
| Fourth Quarter | 106.2592 | 100.7729 | 106.2592 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 110.6199 | 106.3019 | 107.5796 |

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S&P GSCI™ Silver Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Silver Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 133.21040 | 116.07890 | 116.07890 |
| Second Quarter | 114.52560 | 75.68760 | 79.42853 |
| Third Quarter | 100.50940 | 76.43416 | 88.33435 |
| Fourth Quarter | 93.52260 | 77.36814 | 78.60588 |
| 2014 | | | |
| First Quarter | 89.47494 | 77.59135 | 80.00856 |
| Second Quarter | 85.42542 | 75.54336 | 84.96139 |
| Third Quarter | 86.78522 | 68.59844 | 68.59844 |
| Fourth Quarter | 70.57714 | 68.55823 | 62.53037 |
| 2015 | | | |
| First Quarter | 73.59814 | 61.43257 | 66.36239 |
| Second Quarter | 70.70713 | 61.96224 | 61.96224 |
| Third Quarter | 62.64625 | 55.79854 | 57.54250 |
| Fourth Quarter | 64.57776 | 54.11591 | 54.54267 |
| 2016 | | | |
| First Quarter | 63.26035 | 54.32535 | 61.01529 |
| Second Quarter | 73.08242 | 58.96356 | 73.08242 |
| Third Quarter | 81.23714 | 72.62046 | 74.95726 |
| Fourth Quarter | 73.60745 | 61.08833 | 61.97989 |
| 2017 | | | |
| First Quarter | 71.39958 | 63.60798 | 70.49981 |
| Second Quarter | 71.49459 | 61.79150 | 63.66823 |
| Third Quarter | 69.03996 | 59.06552 | 63.52759 |
| Fourth Quarter | 66.32759 | 59.35367 | 64.94884 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 66.72929 | 61.13602 | 62.603 |

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S&P GSCI™ Soybeans Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Soybeans Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 451.1375 | 412.4492 | 427.5630 |
| Second Quarter | 475.2063 | 414.4751 | 449.3154 |
| Third Quarter | 500.9938 | 418.3621 | 460.3509 |
| Fourth Quarter | 485.0715 | 449.1939 | 469.7171 |
| 2014 | | | |
| First Quarter | 537.5723 | 461.2676 | 537.5723 |
| Second Quarter | 564.2991 | 509.2912 | 509.2912 |
| Third Quarter | 505.0003 | 400.5894 | 401.9097 |
| Fourth Quarter | 464.1903 | 403.4500 | 443.8559 |
| 2015 | | | |
| First Quarter | 458.0584 | 411.8842 | 419.9750 |
| Second Quarter | 458.4783 | 396.2538 | 458.4783 |
| Third Quarter | 455.3842 | 380.9053 | 394.2762 |
| Fourth Quarter | 403.7948 | 376.0909 | 378.7100 |
| 2016 | | | |
| First Quarter | 399.4718 | 374.1778 | 397.1823 |
| Second Quarter | 511.7960 | 394.4566 | 507.1386 |
| Third Quarter | 500.2126 | 414.5720 | 419.5192 |
| Fourth Quarter | 460.7740 | 416.0845 | 433.4543 |
| 2017 | | | |
| First Quarter | 464.1069 | 404.2311 | 404.2311 |
| Second Quarter | 412.2705 | 382.1821 | 400.5362 |
| Third Quarter | 437.6637 | 387.7409 | 406.1998 |
| Fourth Quarter | 419.2704 | 392.4199 | 394.4707 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 414.7741 | 389.6513 | 414.7741 |

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S&P GSCI™ Wheat Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Wheat Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 19.97619 | 17.09442 | 17.19441 |
| Second Quarter | 18.13505 | 16.12047 | 16.12047 |
| Third Quarter | 16.73930 | 15.37151 | 16.28984 |
| Fourth Quarter | 16.94407 | 14.18077 | 14.29294 |
| 2014 | | | |
| First Quarter | 16.91073 | 13.02363 | 16.47363 |
| Second Quarter | 17.25652 | 13.22142 | 13.22142 |
| Third Quarter | 13.26721 | 10.53748 | 10.62085 |
| Fourth Quarter | 14.37559 | 10.64864 | 12.93859 |
| 2015 | | | |
| First Quarter | 12.98247 | 10.54386 | 11.22959 |
| Second Quarter | 13.39239 | 10.27137 | 13.39239 |
| Third Quarter | 12.95196 | 10.02021 | 11.04323 |
| Fourth Quarter | 11.33398 | 9.98418 | 10.05909 |
| 2016 | | | |
| First Quarter | 10.37477 | 9.45710 | 10.04021 |
| Second Quarter | 10.85925 | 9.08798 | 9.10843 |
| Third Quarter | 8.99087 | 7.56094 | 7.82872 |
| Fourth Quarter | 8.25229 | 7.34377 | 7.61438 |
| 2017 | | | |
| First Quarter | 8.49617 | 7.58638 | 7.73863 |
| Second Quarter | 8.97266 | 7.38219 | 8.97266 |
| Third Quarter | 9.55264 | 6.88230 | 7.20792 |
| Fourth Quarter | 7.20390 | 6.34688 | 6.59797 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 7.16295 | 6.43573 | 7.12589 |

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S&P GSCI™ Sugar Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Sugar Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 25.93220 | 23.23825 | 23.23825 |
| Second Quarter | 23.54355 | 21.31108 | 21.81388 |
| Third Quarter | 22.77666 | 20.62777 | 22.71405 |
| Fourth Quarter | 24.41699 | 19.89671 | 20.54783 |
| 2014 | | | |
| First Quarter | 22.50035 | 18.45672 | 21.82482 |
| Second Quarter | 21.64104 | 19.82628 | 20.39241 |
| Third Quarter | 20.23389 | 15.28997 | 16.08185 |
| Fourth Quarter | 16.64888 | 15.68103 | 14.19503 |
| 2015 | | | |
| First Quarter | 15.56371 | 11.69436 | 11.69436 |
| Second Quarter | 13.41300 | 11.06982 | 11.95158 |
| Third Quarter | 12.11451 | 9.95802 | 11.42620 |
| Fourth Quarter | 13.82143 | 11.76331 | 13.51979 |
| 2016 | | | |
| First Quarter | 14.90665 | 11.30265 | 13.69342 |
| Second Quarter | 18.37425 | 12.54365 | 17.77956 |
| Third Quarter | 20.17652 | 16.44151 | 19.51472 |
| Fourth Quarter | 20.20199 | 15.29786 | 16.55359 |
| 2017 | | | |
| First Quarter | 17.97056 | 14.23684 | 14.23684 |
| Second Quarter | 14.29464 | 10.68628 | 11.56564 |
| Third Quarter | 12.48687 | 10.83705 | 11.38047 |
| Fourth Quarter | 12.47011 | 11.02536 | 12.23605 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 12.37326 | 10.55723 | 10.89406 |

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S&P GSCI™ Corn Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Corn Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 19.202300 | 17.639930 | 18.041990 |
| Second Quarter | 18.299780 | 16.321630 | 16.417290 |
| Third Quarter | 16.822290 | 13.547340 | 13.547340 |
| Fourth Quarter | 13.785150 | 12.585130 | 12.615020 |
| 2014 | | | |
| First Quarter | 14.810430 | 12.316090 | 14.810430 |
| Second Quarter | 15.205410 | 12.308610 | 12.308610 |
| Third Quarter | 12.227780 | 9.134842 | 9.134842 |
| Fourth Quarter | 11.423050 | 9.149082 | 10.934180 |
| 2015 | | | |
| First Quarter | 11.182060 | 10.007200 | 10.148810 |
| Second Quarter | 10.939030 | 9.143933 | 10.939030 |
| Third Quarter | 11.425060 | 9.101529 | 9.762429 |
| Fourth Quarter | 10.026790 | 8.827606 | 8.827606 |
| 2016 | | | |
| First Quarter | 9.165947 | 8.533667 | 8.533667 |
| Second Quarter | 10.564130 | 8.594362 | 8.720928 |
| Third Quarter | 8.637418 | 7.297617 | 7.789136 |
| Fourth Quarter | 8.269088 | 7.726107 | 7.940407 |
| 2017 | | | |
| First Quarter | 8.533990 | 7.865199 | 8.053124 |
| Second Quarter | 8.407948 | 7.766821 | 8.096193 |
| Third Quarter | 8.542440 | 7.070712 | 7.270246 |
| Fourth Quarter | 7.219083 | 6.841352 | 6.915286 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 7.236967 | 6.826565 | 7.228241 |

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S&P GSCI™ Copper Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Copper Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 733.2442 | 663.4630 | 664.1910 |
| Second Quarter | 671.9854 | 585.8306 | 593.3483 |
| Third Quarter | 649.7925 | 592.0277 | 640.0169 |
| Fourth Quarter | 647.7214 | 609.7532 | 646.0119 |
| 2014 | | | |
| First Quarter | 648.8829 | 564.9805 | 585.4803 |
| Second Quarter | 620.2320 | 575.8595 | 620.2320 |
| Third Quarter | 633.9081 | 591.2552 | 591.2552 |
| Fourth Quarter | 607.0768 | 585.3780 | 563.8451 |
| 2015 | | | |
| First Quarter | 559.7457 | 484.2096 | 542.7630 |
| Second Quarter | 581.5243 | 506.7701 | 516.7262 |
| Third Quarter | 519.0582 | 443.4925 | 463.8397 |
| Fourth Quarter | 477.6143 | 404.3140 | 423.3312 |
| 2016 | | | |
| First Quarter | 456.7764 | 389.0565 | 437.0319 |
| Second Quarter | 455.3627 | 405.9563 | 436.4320 |
| Third Quarter | 447.9582 | 413.3961 | 436.2797 |
| Fourth Quarter | 532.3357 | 414.9959 | 494.9915 |
| 2017 | | | |
| First Quarter | 545.0391 | 491.6798 | 520.3733 |
| Second Quarter | 526.6173 | 487.3734 | 526.4176 |
| Third Quarter | 608.8594 | 515.4128 | 570.3877 |
| Fourth Quarter | 638.5991 | 571.4688 | 634.6296 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 630.6163 | 589.3260 | 609.523 |

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S&P GSCI™ Aluminum Index - Excess Return Daily Official Settlement Prices January 1, 2013 through February 13, 2018

| S&P
GSCI™ Aluminum Index - Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2013 | | | |
| First Quarter | 38.88142 | 33.72397 | 33.72397 |
| Second Quarter | 34.33445 | 30.50012 | 30.63979 |
| Third Quarter | 33.15477 | 29.99531 | 31.04135 |
| Fourth Quarter | 31.63982 | 28.70048 | 29.50077 |
| 2014 | | | |
| First Quarter | 29.72720 | 27.20076 | 28.56211 |
| Second Quarter | 30.33308 | 27.89328 | 29.81009 |
| Third Quarter | 33.05785 | 29.76647 | 30.48954 |
| Fourth Quarter | 32.43977 | 29.37073 | 28.60219 |
| 2015 | | | |
| First Quarter | 29.14891 | 26.84376 | 27.44771 |
| Second Quarter | 30.27838 | 25.37639 | 25.37639 |
| Third Quarter | 25.94813 | 22.71497 | 23.38215 |
| Fourth Quarter | 23.77283 | 21.23305 | 22.21695 |
| 2016 | | | |
| First Quarter | 23.46289 | 21.33865 | 22.21779 |
| Second Quarter | 24.59741 | 21.93134 | 24.01956 |
| Third Quarter | 24.49789 | 22.51834 | 24.09606 |
| Fourth Quarter | 25.54097 | 23.18043 | 24.28527 |
| 2017 | | | |
| First Quarter | 28.13252 | 24.15596 | 27.98966 |
| Second Quarter | 27.94679 | 26.33203 | 27.14383 |
| Third Quarter | 30.39335 | 26.65199 | 29.29597 |
| Fourth Quarter | 31.67071 | 27.80850 | 31.43496 |
| 2018 | | | |
| First Quarter (through February 13, 2018) | 31.37255 | 29.34495 | 29.53168 |

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Additional Information About the Buffered PLUS

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

| Additional
provisions: | |
| --- | --- |
| Bull market or bear market PLUS: | Bull market PLUS |
| Postponement
of maturity
date: | If, due to a market disruption event or
otherwise, the final averaging date for any basket component is postponed so that it falls less than two business days prior
to the scheduled maturity date, the maturity date will be postponed to the second business day following that final averaging
date as postponed, by which date the basket return and the average basket return will have been determined. |
| Valuation
dates: | All references to “valuation
dates” or related terms in the accompanying prospectus supplement for PLUS shall be deemed to refer to averaging dates
when read in conjunction with this document. |
| Denominations: | $1,000 per Buffered PLUS and integral multiples thereof |
| Minimum
ticketing size: | $1,000 / 1 Buffered PLUS |
| Tax
considerations: | Although there is uncertainty regarding
the U.S. federal income tax consequences of an investment in the Buffered
PLUS 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 PLUS 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 PLUS is
respected and subject to the discussion in “United States Federal Taxation” in the accompanying prospectus supplement
for PLUS and the discussion below regarding an Early Fixing Event, 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
PLUS prior to settlement, other than pursuant to a sale or exchange. |
| | § Upon
sale, exchange or settlement of the Buffered
PLUS , 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 PLUS . Such gain or loss
should be long-term capital gain or loss if the investor has held the Buffered PLUS for more than one year, and short-term
capital gain or loss otherwise. |
| | Because the payment at
maturity is determined by reference to the value of the underlying commodity indices on the valuation dates, it is possible
that the payment at maturity could become fixed, or subject to a minimum level that equals or exceeds the issue price,
prior to the final valuation date (an “Early Fixing
Event”). Upon an Early Fixing Event, it is possible that a holder
would be treated as exchanging each of its Buffered PLUS for instruments treated as debt for U.S. federal
income tax purposes. If this treatment applied, a U.S. Holder might be required to recognize any gain on the
Buffered PLUS, and the U.S. Holder’s tax consequences of
holding the Buffered PLUS after the Early Fixing Event would likely be
significantly affected. In particular, a U.S. Holder would likely be required to recognize ordinary
interest income on the Buffered PLUS in advance of their retirement or earlier disposition even though there is no
payment on the Buffered PLUS prior to the maturity, and any gain upon disposition thereafter would likely be treated
as ordinary income. Furthermore, if the Buffered PLUS were treated as debt instruments after an Early Fixing Event,
a Non-U.S. Holder would generally be required to fulfill
certain certification requirements in order to avoid being subject to
U.S. federal withholding tax in respect of the Buffered PLUS. See “United States Federal Income
Taxation – Tax Consequences to Non-U.S. Holders” in the accompanying prospectus supplement for PLUS for
information regarding the certification requirement if a Buffered PLUS were treated as debt instruments. Due to the
lack of governing authority, our tax counsel is unable to opine as to the consequences to a holder of Buffered PLUS
upon an Early Fixing Event. You should consult your tax advisor regarding the consequences of an Early Fixing
Event. 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 PLUS, possibly with retroactive effect. Both
U.S. and non-U.S. investors considering an investment in the Buffered PLUS should read the |

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| | discussion
under “Risk Factors” in this document and the discussion under “United States Federal Taxation”
in the accompanying prospectus 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 PLUS, 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 prospectus 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 PLUS. |
| --- | --- |
| Trustee: | The Bank of New York Mellon |
| Calculation
agent: | MSCG and its successors |
| Alternate
exchange calculation in case of an event of default: | The
following section replaces the section entitled “Description of PLUS—Alternate Exchange Calculation in Case
of an Event of Default” in the accompanying prospectus supplement for PLUS: In
case an event of default with respect to the Buffered PLUS shall have occurred and be continuing, the amount declared
due and payable per Buffered PLUS upon any acceleration of the Buffered PLUS shall be an amount in cash equal to the value
of such Buffered PLUS on the day that is two business days prior to the date of such acceleration, as determined by the
calculation agent (acting in good faith and in a commercially reasonable manner) by reference to factors that the calculation
agent considers relevant, including, without limitation: (i) then-current market interest rates; (ii) our credit spreads
as of the pricing date, without adjusting for any subsequent changes to our creditworthiness; and (iii) the then-current
value of the performance-based component of such Buffered PLUS. Because the calculation agent will take into account movements
in market interest rates, any increase in market interest rates since the pricing date will lower the value of your claim
in comparison to if such movements were not taken into account. Notwithstanding
the foregoing, if a voluntary or involuntary liquidation, bankruptcy or insolvency of, or any analogous proceeding is
filed with respect to the issuer, then depending on applicable bankruptcy law, your claim may be limited to an amount
that could be less than the default amount. |
| Use
of proceeds and hedging: | The proceeds we receive
from the sale of the Buffered PLUS will be used for general corporate purposes. We will receive, in aggregate, $1,000
per Buffered PLUS issued. The costs of the Buffered PLUS borne by you and described on page 3 above comprise the cost
of issuing, structuring and hedging the Buffered PLUS. On or prior to the pricing
date, we hedged our anticipated exposure in connection with the Buffered PLUS, by entering into hedging transactions with
our affiliates and/or third party dealers. We expect our hedging counterparties to have taken positions in the basket
components and in futures and/or options contracts on the basket components or the commodities that underlie the basket
components listed on major securities markets. Such purchase activity could have increased the initial basket component
values of the basket components and, therefore, could have increased the levels at which the basket components must close
on the averaging dates, including the final averaging date, so that investors do not suffer a loss on their initial investment
in the Buffered PLUS. In addition, through our affiliates, we are likely to modify our hedge position throughout the life
of the Buffered PLUS, including on the averaging dates, by purchasing and selling swaps, futures or options contracts
on the commodities that underlie the basket components or positions in any other available instruments that we may wish
to use in connection with such hedging activities, including by selling any such instruments during the term of the Buffered
PLUS. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Buffered PLUS,
and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the averaging dates
approach. We cannot give any assurance that our hedging activities will not affect the value of the basket, including
on the averaging dates and the final averaging date, and, therefore, adversely affect the value of the Buffered PLUS 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 prospectus supplement for PLUS. |
| Benefit
plan investor considerations: | Each fiduciary of a pension,
profit-sharing or other employee benefit plan subject to Title I of 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 PLUS. 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 affiliates, including MS & Co., may each 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 (such
accounts and plans, together with other plans, accounts and |

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arrangements subject to Section 4975 of the Code, also “Plans”). ERISA Section 406 and Section 4975 of the Code 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 PLUS 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 PLUS 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 those 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 PLUS. 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 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 PLUS. Because we may be considered a party in interest with respect to many Plans, the Buffered PLUS 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 PLUS will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the Buffered PLUS that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such Buffered PLUS 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 of these Buffered PLUS will not constitute or result in a non-exempt prohibited transaction under Section 406 of ERISA or Section 4975 of the Code or violate any 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 PLUS on behalf of or with “plan assets” of any Plan consult with their counsel regarding the availability of exemptive relief. The Buffered PLUS are contractual financial instruments. The financial exposure provided by the Buffered PLUS 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 PLUS. The Buffered PLUS 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 PLUS. Each purchaser or holder of any Buffered PLUS 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 PLUS, (B) the purchaser or holder’s investment in the Buffered PLUS, or (C) the exercise of or failure to exercise any rights we have under or with respect to the Buffered PLUS; (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 PLUS and (B) all hedging transactions in connection with our obligations under the Buffered PLUS; (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

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| | may
provide is not intended to be impartial investment advice. Each purchaser and holder
of the Buffered PLUS has exclusive responsibility for ensuring that its purchase, holding and disposition of the Buffered
PLUS do not violate the prohibited transaction rules of ERISA or the Code or any Similar Law. The sale of any Buffered
PLUS 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. In this regard, neither this
discussion nor anything provided in this document is or is intended to be investment advice directed at any potential
Plan purchaser or at Plan purchasers generally and such purchasers of these Buffered PLUS should consult and rely on their
own counsel and advisers as to whether an investment in these Buffered PLUS is suitable. 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 PLUS 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
PLUS 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 PLUS, either directly or indirectly. |
| Supplemental
information concerning plan of distribution; conflicts of interest: | MS & Co. expects to
sell all of the Buffered PLUS that it purchases from us to an unaffiliated dealer at a price of $1,000 per Buffered PLUS,
for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered PLUS. MS & Co.
will not receive a sales commission with respect to the Buffered PLUS. 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 PLUS. 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 prospectus supplement for PLUS. |
| Validity
of the Buffered PLUS: | In the opinion of Davis Polk & Wardwell LLP, as special counsel
to MSFL and Morgan Stanley, when the Buffered PLUS 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 Buffered PLUS 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
Buffered PLUS 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 November 16, 2017, which is Exhibit 5-a to the Registration Statement on
Form S-3 filed by Morgan Stanley on November 16, 2017. |
| Contact: | Morgan Stanley Wealth Management 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 and MSFL
have filed a registration statement (including a prospectus, as supplemented by the prospectus supplement for PLUS) with
the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. Before you invest,
you should read the prospectus in that registration statement, the prospectus supplement for PLUS and any other documents
relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan
Stanley, MSFL 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, MSFL, any underwriter or any dealer |

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participating in the offering will arrange to send you the prospectus supplement for PLUS 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: Prospectus Supplement for PLUS dated November 16, 2017 Prospectus dated November 16, 2017 Terms used in this document are defined in the prospectus supplement for PLUS or in the prospectus. “Performance Leveraged Upside Securities SM ” and “PLUS SM ” are our service marks.

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