MORGAN STANLEY — Capital/Financing Update 2020

Apr 9, 2020

CALCULATION OF REGISTRATION FEE

| Title
of Each Class of Securities Offered | Maximum
Aggregate Offering Price | Amount
of Registration Fee |
| --- | --- | --- |
| Performance Leveraged Upside Securities due
2023 | $10,000,000 | $1,298 |

April 2020

Pricing Supplement No. 3,868

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

Dated April 7, 2020

Filed pursuant to Rule 424(b)(2)

M organ S tanley F inance LLC

Structured Investments

Opportunities in Commodities

PLUS Based on the Value of the S&P GSCI™ Crude Oil Index - Excess Return due April 5, 2023

Performance Leveraged Upside Securities SM

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The PLUS are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The 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, if the final average index value, calculated based on the official settlement prices of the underlying commodity index on each averaging date, is greater than the initial index value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying commodity index, subject to the maximum payment at maturity. However, if the final average index value of the underlying commodity index has declined from the initial index value, investors will lose 1% for every 1% decline in the final average index value of the underlying commodity index over the term of the PLUS. Under these circumstances, the payment at maturity will be less than the stated principal amount and could be zero. There is no minimum payment at maturity on the PLUS. Accordingly, you could lose your entire initial investment in the PLUS. The PLUS are for investors who seek exposure to the performance of crude oil, as measured by the underlying commodity index and the specific formula used to calculate the final average index value, and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the upside leverage feature, which applies to a limited range of performance of the underlying commodity index. The PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These 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
Stated
principal amount:	$1,000 per PLUS
Issue
price:	$1,000 per PLUS
Pricing
date:	April 7, 2020
Original
issue date:	April 13, 2020 (4 business days after the pricing
date)
Maturity
date:	April 5, 2023
Underlying
commodity index:	S&P GSCI™ Crude Oil Index - Excess Return
Aggregate
principal amount:	$10,000,000
Payment
at maturity:	· If
the final average index value is greater than the initial index value: $1,000 + the
leveraged upside payment In no event
will the payment at maturity exceed the maximum payment at maturity. · If
the final average index value is less than or equal to the initial index value $1,000 ×
the index performance factor Under these
circumstances, the payment at maturity will be less than or equal to the stated principal amount of $1,000.
Leveraged
upside payment:	$1,000 × leverage factor × index percent
change
Leverage
factor:	375%. Although the leverage factor
provides 375% exposure to any increase in the final average index value over the initial index value, because the payment
at maturity will be limited to 175% of the stated principal amount of the PLUS, any increase in the final average index value
over the initial index value by more than 20% will not further increase the return on the PLUS.
Maximum
payment at maturity:	$1,750 per PLUS (175% of the stated principal
amount). The amount payable at maturity is based on the arithmetic average of the official settlement prices
of the underlying commodity index on each of the averaging dates and, therefore, the payment at maturity may be less, and
you may be less likely to receive the maximum payment at maturity, than if the amount payable at maturity were based solely
on the official settlement price on the final averaging date.
Initial
index value:	83.2664, which is the official settlement price
of the underlying commodity index on April 3, 2020
Index
percent change:	(final average index value – initial index
value) / initial index value
Index
performance factor:	final average index value / initial index value
Final
average index value:	The arithmetic average of the official settlement
prices of the underlying commodity index on each averaging date. All references in this document to the final
average index value appreciating or declining are to the final average index value appreciating or declining against the initial
index value.
Averaging
dates:	April 30, 2020, May 29, 2020, June 30, 2020, July
31, 2020, August 31, 2020, September 30, 2020, October 30, 2020, November 30, 2020, December 31, 2020, January 29, 2021, February
26, 2021, March 31, 2021, April 30, 2021, May 28, 2021, June 30, 2021, July 30, 2021, August 31, 2021, September 30, 2021,
October 29, 2021, November 30, 2021, December 30, 2021, January 31, 2022, February 28, 2022, March 31, 2022, April 29, 2022,
May 31, 2022, June 30, 2022, July 29, 2022, August 31, 2022, September 30, 2022, October 31, 2022, November 30, 2022, December
30, 2022, January 31, 2023, February 28, 2023 and March 31, 2023, subject to adjustment for non-index business days and certain
market disruption events.
CUSIP/ ISIN:	61766YEX5 / US61766YEX58
Agent:	Morgan Stanley & Co. LLC (“MS &
Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information
regarding plan of distribution; conflicts of interest.”
Listing:	The PLUS will
not be listed on any securities exchange.
Estimated value on the pricing date:	$921.10 per PLUS. See “Investment
Summary” beginning on page 2.
Commissions
and issue price:	Price
to public	Agent’s
commissions and fees	Proceeds
to us (3)
Per
PLUS	$1,000	$5 (1)
		$1 (2)	$994
Total	$10,000,000	$60,000	$9,940,000

(1) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $5 for each PLUS they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement for PLUS.

(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $1 for each PLUS.

(3) See “Use of proceeds and hedging” on page 16.

The PLUS involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 6.

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 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.

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. 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 PLUS” at the end of this document.

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

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Performance Leveraged Upside Securities SM

Principal at Risk Securities

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Investment Summary

Performance Leveraged Upside Securities

Principal at Risk Securities

The PLUS Based on the Value of the S&P GSCI™ Crude Oil Index - Excess Return due April 5, 2023 (the “PLUS”) can be used:

§ As an alternative to direct exposure to the underlying commodity index that enhances returns for a limited range of positive performance of the underlying commodity index, subject to the maximum payment at maturity

§ To enhance returns and potentially outperform the underlying commodity index in a moderately bullish scenario

§ To achieve similar levels of upside exposure to the underlying commodity index as a direct investment, subject to the maximum payment at maturity, while using fewer dollars by taking advantage of the leverage factor

Maturity:	Approximately 3 years
Leverage
factor:	375%
Maximum
payment at maturity:	$1,750 per PLUS (175% of the stated principal amount)
Minimum
payment at maturity:	None. You could lose your entire initial investment in the PLUS.
Interest:	None

The original issue price of each PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the PLUS, which are borne by you, and, consequently, the estimated value of the PLUS on the pricing date is less than $1,000. We estimate that the value of each PLUS on the pricing date is $921.10.

What goes into the estimated value on the pricing date?

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

What determines the economic terms of the PLUS?

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

The price at which MS & Co. purchases the PLUS in the secondary market, absent changes in market conditions, including those related to the underlying commodity index, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors. MS & Co. may, but is not obligated to, make a market in the PLUS and, if it once chooses to make a market, may cease doing so at any time.

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Key Investment Rationale

The PLUS offer leveraged exposure to a limited range of positive performance of the underlying commodity index. In exchange for the leverage feature, investors are exposed to the risk of loss of some or all of their investment and forgo returns above the maximum payment at maturity of $1,750 per PLUS. At maturity, an investor will receive an amount in cash, if any, depending on the official settlement prices of the underlying commodity index on each of the averaging dates, subject to the maximum payment at maturity. There is no minimum payment at maturity on the PLUS. Accordingly, you could lose your entire initial investment in the PLUS. The PLUS are unsecured obligations of ours, and all payments on the PLUS are subject to our credit risk.

| Leveraged
Performance Up to a Cap | The PLUS offer investors an opportunity to capture enhanced returns within a limited range of positive performance relative to a direct investment in the underlying commodity index. Although the leverage factor provides 375% exposure to any increase in the final average index value over the initial index value, because the payment at maturity will be limited to 175% of the stated principal amount of the PLUS, any increase in the final average index value over the initial index value by more than 20% will not further increase the return on the PLUS. |
| --- | --- |
| Upside
Scenario | The final average index value of the underlying commodity index increases in value, and, at maturity, the PLUS redeem for the stated principal amount of $1,000 plus 375% of the index percent change, subject to the maximum payment at maturity of $1,750 per PLUS (175% of the stated principal amount). For example, if the final average index value is 10% greater than the initial index value, the PLUS will provide a total return of 137.50% at maturity. |
| Par
Scenario | The final average index value of the underlying commodity index is equal to the initial index value. In this case, investors will receive the stated principal amount of $1,000 at maturity. |
| Downside
Scenario | The final average index value of the underlying commodity index
is less than the initial index value. In this case, investors will lose 1% for every 1% decline in the final average index value
of the underlying commodity index over the term of the PLUS. For example, if the final average index value of the underlying commodity
index decreases in value by 10%, the PLUS will redeem for $900, or 90% of the stated principal amount. There is no minimum payment at maturity on the PLUS. Accordingly,
you could lose your entire initial investment in the PLUS. |

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How the PLUS Work

Payoff Diagram

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

| Stated
principal amount: | $1,000 per PLUS |
| --- | --- |
| Leverage
factor: | 375% |
| Maximum
payment at maturity: | $1,750 per PLUS (175% of stated principal amount) |

PLUS Payoff Diagram

How it works

§ Upside Scenario. If the final average index value is greater than the initial index value, investors will receive the $1,000 stated principal amount plus 375% of the appreciation of the underlying commodity index over the term of the PLUS, subject to the maximum payment at maturity. Under the terms of the PLUS, an investor will realize the maximum payment at maturity at a final average index value of 120% of the initial index value.

§ If the final average index value of the underlying commodity index appreciates 10%, the investor would receive a 37.50% return, or $1,375 per PLUS.

§ If the final average index value of the underlying commodity index appreciates 30%, the investor would receive only the maximum payment at maturity of $1,750 per PLUS, or 175% of the stated principal amount.

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§ Par Scenario. If the final average index value is equal to the initial index value, investors will receive the $1,000 stated principal amount.

§ Downside Scenario. If final average index value is less than the initial index value, investors will lose 1% for every 1% decline in the final average index value of the underlying commodity index over the term of the PLUS.

§ For example, if the final average index value of the underlying commodity index declines 10% from the initial index value, the PLUS will redeem for $900 at maturity, or 90% of the stated principal amount.

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Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the 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 PLUS.

§ The PLUS do not pay interest or guarantee return of any principal. The terms of the PLUS differ from those of ordinary debt securities in that the PLUS do not pay interest or guarantee payment of any principal at maturity. If the final average index value is less than the initial index value, investors will lose 1% for every 1% decline in the final average index value of the underlying commodity index over the term of the PLUS. Under these circumstances, the payment at maturity will be less than the stated principal amount and could be zero. There is no minimum payment at maturity on the PLUS. Accordingly, you could lose your entire initial investment in the PLUS.

§ The appreciation potential of the PLUS is limited by the maximum payment at maturity. The appreciation potential of the PLUS is limited by the maximum payment at maturity of $1,750 per PLUS (175% of the stated principal amount). Although the leverage factor provides 375% exposure to any increase in the final average index value over the initial index value, because the payment at maturity will be limited to 175% of the stated principal amount of the PLUS, any increase in the final average index value over the initial index value by more than 20% of the initial index value will not further increase the return on the PLUS.

§ 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 PLUS in the secondary market and the price at which MS & Co. may be willing to purchase or sell the PLUS in the secondary market, including the value of the underlying commodity index at any time, the volatility (frequency and magnitude of changes in value) of the underlying commodity index, the price and volatility of the commodity contracts that underlie the underlying commodity index, trends of supply and demand for the commodity contracts that underlie the underlying commodity index , interest and yield rates in the market, the time remaining until the PLUS mature, geo political conditions and economic, financial, political, regulatory or judicial events that affect the underlying commodity index or commodities markets generally and which may affect the final average index value of the underlying commodity index, and any actual or anticipated changes in our credit ratings or credit spreads. In addition, the commodities markets are subject to temporary distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government intervention. The level of the underlying commodity index may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. See “S&P GSCI™ Crude Oil Index - Excess Return Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per PLUS if you are able to sell your PLUS prior to maturity.

§ The 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 PLUS. You are dependent on our ability to pay all amounts due on the PLUS at maturity, and therefore you are subject to our credit risk. If we default on our obligations under the PLUS, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the 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 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

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claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

§ The amount payable at maturity is based on the arithmetic average of the official settlement prices of the underlying commodity index on each of the averaging dates and, therefore, the payment at maturity may be less than if it were based solely on the official settlement price on the final averaging date. The amount payable at maturity, if any, will be calculated by reference to the average of the official settlement prices of the underlying commodity index on the averaging dates. Therefore, in calculating the final average index value, positive performance of the underlying commodity index as of some averaging dates may be moderated, or wholly offset, by lesser or negative performance as of other averaging dates. Similarly, the final average index value, calculated based on the official settlement prices of the underlying commodity index on each of the averaging dates, may be less than the official settlement price of the underlying index 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 official settlement price of the underlying index on such final averaging date. Investing in the PLUS is not the same as investing in securities that offer 1-to-1 upside exposure to the performance of the underlying commodity index.

§ Investments linked to commodities are subject to sharp fluctuations in commodity prices. Investments, such as the PLUS, linked to the prices of commodities are subject to sharp fluctuations in the prices of commodities and related contracts 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. These factors may affect the settlement price of the underlying commodity index and the value of your PLUS in varying and potentially inconsistent ways. As a result of these or other factors, the level of the underlying commodity index may be, and has recently been, volatile. See “S&P GSCI™ Crude Oil Index - Excess Return Overview” below.

§ The underlying commodity index may in the future include contracts that are not traded on regulated futures exchanges. The underlying commodity index 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 underlying commodity index continues to be composed exclusively of regulated futures contracts. However, the underlying commodity index 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.

§ An investment in the PLUS will expose you to concentrated risks relating to crude oil. The underlying commodity index is composed entirely of crude oil futures contracts included in the S&P GSCI TM –ER. An investment in the PLUS may therefore bear risks similar to a securities investment concentrated in a single underlying sector. The price of crude oil futures is primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of

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the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the Organization of the Petroleum Exporting Countries (OPEC) and other crude oil producers. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities. The price of crude oil futures has experienced very severe price fluctuations over the recent past and there can be no assurance that this extreme price volatility will not continue in the future.

§ Higher future prices of the index commodity relative to its current prices may adversely affect the value of the underlying commodity index and the value of the PLUS. The S&P GSCI TM –ER, on which the underlying commodity index is based, 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 underlying commodity index 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.” However, crude oil and certain other commodities included in the S&P GSCI TM –ER 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 crude oil markets generally results in negative “roll yields,” which would adversely affect the value of the underlying commodity index, and, accordingly, the value of the PLUS.

§ An investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities. The underlying commodity index has returns based on the change in price of futures contracts included in such underlying commodity index, not the change in the spot price of actual physical commodity 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.

§ Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the price of the 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 the value of the underlying commodity index and, therefore, the value of the PLUS.

§ Adjustments to the underlying commodity index could adversely affect the value of the PLUS. The publisher of the underlying commodity index may add, delete or substitute the commodity contracts constituting the underlying

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commodity index or make other methodological changes that could change the value of the underlying commodity index. The underlying commodity index publisher may discontinue or suspend calculation or publication of the underlying commodity index at any time. Any of these actions could adversely affect the value of the PLUS. Where the underlying commodity index is discontinued, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the underlying commodity 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 PLUS is not equivalent to investing in the underlying commodity index. Investing in the PLUS is not equivalent to investing in the underlying commodity index or the futures contracts that underlie the underlying commodity index.

§ Legal and regulatory changes could adversely affect the return on and value of your PLUS. Futures contracts and options on futures contracts, including those related to the index commodity, 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 PLUS of any future regulatory change is impossible to predict, but could be substantial and adverse to the interests of holders of the PLUS.

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 PLUS.

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

§ The estimated value of the 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

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these types of securities, our models may yield a higher estimated value of the PLUS than those generated by others, including other dealers in the market, if they attempted to value the 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 PLUS in the secondary market (if any exists) at any time. The value of your PLUS at any time after the date of this document 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 PLUS will not be listed on any securities exchange and secondary trading may be limited. The PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the PLUS. MS & Co. may, but is not obligated to, make a market in the 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 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 PLUS. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the PLUS easily. Since other broker-dealers may not participate significantly in the secondary market for the PLUS, the price at which you may be able to trade your 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 PLUS, it is likely that there would be no secondary market for the PLUS. Accordingly, you should be willing to hold your 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 PLUS. As calculation agent, Morgan Stanley Capital Group Inc. (“MSCG”) has determined the initial index value, will determine the official settlement price of the underlying commodity index on each averaging date and the final average index value 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 index or calculation of the final average index value in the event of a discontinuance of the underlying commodity index. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description of PLUS—Postponement of Valuation Date,” “—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 Information About the PLUS—Alternate exchange calculation in case of an event of default” in this pricing supplement. In addition, MS & Co. has determined the estimated value of the PLUS on the pricing date.

§ Hedging and trading activity by our affiliates could potentially adversely affect the value of the 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 PLUS (and possibly to other instruments linked to the underlying commodity index), including trading in swaps or futures contracts on the underlying commodity index and on commodities that underlie the underlying commodity index. 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 underlying commodity index or the prices of the commodities or contracts that underlie the underlying commodity index on a regular basis as part of their general commodity trading and other businesses. Any of these hedging or trading activities on or prior to April 3, 2020 could have affected the initial index value, and, therefore, could have increased the level at or above which the underlying commodity index must close on the averaging dates so that investors do not suffer a loss on their initial investment in the PLUS. Additionally, such hedging or trading activities during the term of the PLUS, including on the averaging dates, could adversely affect the value of the underlying commodity index on the averaging dates, and, accordingly, the amount of cash an investor will receive at maturity, if any.

§ The U.S. federal income tax consequences of an investment in the 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”)

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concerning the U.S. federal income tax consequences of an investment in the PLUS. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment, the timing and character of income on the 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 PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the PLUS every year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect of the PLUS as ordinary income.

There is significant uncertainty regarding the consequences to a holder of the PLUS if the payment at maturity becomes fixed, or subject to a minimum level that equals or exceeds the issue price, prior to the final valuation date (an “Early Fixing Event”). If an Early Fixing Event occurs, the PLUS could be treated as exchanged for debt instruments and the timing and character of income inclusions after the Early Fixing Event could be materially affected. For example, if the Early Fixing Event occurs more than a year prior to maturity, the PLUS may become subject to Treasury regulations governing contingent payment debt instruments following the Early Fixing Event.

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 PLUS if they were recharacterized as debt instruments. However, recently proposed regulations (the preamble to which specifies that taxpayers are permitted to rely on them pending finalization) eliminate the withholding requirement on payments of gross proceeds of a taxable disposition (other than amounts treated as “FDAP income,” as defined in the accompanying prospectus supplement for PLUS). We do not plan to request a ruling from the IRS regarding the tax treatment of the 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 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 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 PLUS, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

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S&P GSCI™ Crude Oil Index - Excess Return Overview

The S&P GSCI™ Crude Oil Index —Excess Return is a sub-index of the S&P GSCI TM -ER. It represents only the crude oil component of the S&P GSCI TM -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™ Crude Oil Index Excess Return references the front-month West Texas Intermediate (“WTI”) crude oil futures contract ( i.e. , the WTI crude futures contract generally closest to expiration) traded on the New York Mercantile Exchange. The S&P GSCI™ Crude Oil Index Excess Return provides investors with a publicly available benchmark for investment performance in the crude oil commodity markets. The S&P GSCI™ Crude Oil 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 underlying commodity index, are the designated crude oil 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.

Information as of market close on April 7, 2020:

| Bloomberg
Ticker Symbol: | SPGCCLP |
| --- | --- |
| Current
Index Value: | 69.4279 |
| 52
Weeks Ago: | 188.9104 |
| 52
Week High (on 4/23/2019): | 198.4844 |
| 52
Week Low (on 3/30/2020): | 59.0269 |

The following graph sets forth the daily closing values of the underlying commodity index for the period from January 1, 2015 through April 7, 2020. The related table presents the published high and low official settlement prices, as well as end-of-quarter official settlement prices, of the underlying commodity index for each quarter in the same period. The official settlement price of the underlying commodity index on April 7, 2020 was 69.4279. We obtained the official settlement prices and other information below from Bloomberg Financial Markets, without independent verification. The underlying commodity index has at times experienced periods of high volatility. You should not take the historical values of the underlying commodity index as an indication of its future performance, and no assurance can be given as to the official settlement prices of the underlying commodity index on any of the averaging dates. Furthermore, in light of current market conditions, the trends reflected in the historical performance of the underlying commodity index may be less likely to indicate the performance of the PLUS over its life than would otherwise have been the case. The actual performance of the underlying commodity index over the term of the PLUS and the amount payable at maturity may bear little relation to the historical levels shown below.

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S&P GSCI™ Crude Oil Index - Excess Return Historical Performance Daily Official Settlement Prices January 1, 2015 to April 7, 2020

| S&P GSCI TM Crude Oil Index—Excess Return | High | Low | Period
End |
| --- | --- | --- | --- |
| 2015 | | | |
| First Quarter | 290.1691 | 232.6960 | 245.1058 |
| Second Quarter | 303.8245 | 253.0357 | 289.5632 |
| Third Quarter | 277.3419 | 181.6858 | 211.6122 |
| Fourth Quarter | 232.7650 | 154.8750 | 160.1947 |
| 2016 | | | |
| First Quarter | 158.9837 | 112.4611 | 142.9055 |
| Second Quarter | 182.2283 | 133.0654 | 169.7675 |
| Third Quarter | 172.0859 | 136.5816 | 161.8157 |
| Fourth Quarter | 173.5926 | 143.8574 | 172.5008 |
| 2017 | | | |
| First Quarter | 173.3679 | 147.6658 | 156.6433 |
| Second Quarter | 165.2919 | 128.9252 | 139.5654 |
| Third Quarter | 155.4742 | 134.0785 | 153.8367 |
| Fourth Quarter | 177.8719 | 146.7508 | 177.8719 |
| 2018 | | | |
| First Quarter | 195.0721 | 174.5298 | 192.2888 |
| Second Quarter | 220.1936 | 183.7611 | 220.1936 |
| Third Quarter | 224.7538 | 197.2390 | 224.7538 |
| Fourth Quarter | 234.4496 | 129.8465 | 138.6393 |
| 2019 | | | |
| First Quarter | 180.3754 | 142.0893 | 180.1058 |
| Second Quarter | 198.4844 | 152.8331 | 173.9402 |
| Third Quarter | 186.6465 | 151.7445 | 161.0336 |
| Fourth Quarter | 183.9850 | 156.2088 | 182.0176 |
| 2020 | | | |
| First Quarter | 188.6055 | 59.0269 | 60.1728 |
| Second Quarter (through April 7, 2020) | 83.2664 | 59.6733 | 69.4279 |

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License Agreement between S&P and Morgan Stanley. S&P and Morgan Stanley have entered into a non-exclusive license agreement providing for the license to Morgan Stanley, and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the S&P GSCI TM Crude Oil Index–Excess Return, which is owned and published by S&P, in connection with securities, including the PLUS.

The license agreement between S&P and Morgan Stanley provides that the following language must be set forth in this document:

The PLUS are not sponsored, endorsed, sold or promoted by The McGraw-Hill Companies, Inc. (including its affiliates) (S&P, with its affiliates, are referred to as the “Corporations”). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the PLUS. The Corporations make no representation or warranty, express or implied, to the holders of the PLUS or any member of the public regarding the advisability of investing in securities generally or in the PLUS particularly, or the ability of the underlying commodity to track general agricultural commodity market performance. The Corporations’ only relationship to us (the “Licensee”) is in the licensing of the underlying commodity index and S&P ® trademarks or service marks and certain trade names of the Corporations and the use of the underlying commodity index which is determined, composed and calculated by S&P without regard to the Licensee or the PLUS. S&P has no obligation to take the needs of the Licensee or the owners of the PLUS into consideration in determining, composing or calculating the underlying commodity index. The Corporations are not responsible for and have not participated in the determination of the timing, prices, or quantities of the PLUS to be issued or in the determination or calculation of the equation by which the PLUS are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the PLUS.

THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE UNDERLYING COMMODITY INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE PLUS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE UNDERLYING COMMODITY INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE UNDERLYING COMMODITY INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

“Standard & Poor’s ® ,” “S&P ® ” and “S&P GSCI TM ” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Morgan Stanley. The PLUS have not been passed on by the Corporations as to their legality or suitability. The PLUS are not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE PLUS.

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Additional Information About the PLUS

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

Additional provisions:
Denominations:	$1,000 and integral multiples thereof
Postponement
of maturity date:	If the final scheduled averaging date 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.
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. In addition, in the section entitled “Description of PLUS—Postponement
of Valuation Date” in the accompanying prospectus supplement for PLUS, the references to “three consecutive trading
days” and “third succeeding trading day” shall be replaced with “five consecutive trading days” and
“fifth succeeding trading day” respectively.
Minimum
ticketing size:	$1,000 / 1 PLUS
Tax
considerations:	Although there is uncertainty
regarding the U.S. federal income tax consequences of an investment in the PLUS due to the lack of governing authority, in the
opinion of our counsel, Davis Polk & Wardwell LLP, under current law, based on current market conditions, and subject to the
discussion below concerning an Early Fixing Event, a PLUS should be treated as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes. Unless an Early Fixing
Event occurs, assuming this treatment of the PLUS is respected and subject to the discussion in “United States Federal Taxation”
in the accompanying prospectus supplement for PLUS, the following U.S. federal income tax consequences should result based on current
law: § A
U.S. Holder should not be required to recognize taxable income over the term of the PLUS prior to settlement, other than pursuant
to a sale or exchange. § Upon
sale, exchange or settlement of the 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 PLUS. Such gain or loss should be long-term capital gain or loss if the investor
has held the 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 index on the averaging dates, it is possible that
an Early Fixing Event may occur. Upon an Early Fixing Event, it is possible that a holder would be treated as exchanging
each of its 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 PLUS, and the U.S. Holder’s tax consequences of holding the PLUS after the
Early Fixing Event would likely be significantly affected. For example, if an Early Fixing Event occurs more than one year prior
to maturity and results in recognition of gain, a U.S. Holder would likely be required to recognize ordinary interest income on
the PLUS in advance of their retirement or earlier disposition, and any gain upon disposition thereafter would likely be treated
as ordinary income. 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 PLUS. Although our counsel is of the opinion that it is reasonable
to take the position that the occurrence of an Early Fixing Event will not result in a taxable exchange under current law, it has
advised us that it is unable to conclude affirmatively that this position is more likely than not to be upheld. 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

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| | 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 PLUS, possibly with retroactive effect. Both U.S.
and non-U.S. investors considering an investment in the PLUS should read the 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 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 PLUS. |
| --- | --- |
| 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 PLUS shall have occurred and be continuing, the amount declared due and payable per PLUS upon any acceleration of
the PLUS shall be an amount in cash equal to the value of such 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 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. |
| Trustee: | The Bank of New York Mellon |
| Calculation
agent: | Morgan Stanley Capital Group Inc. (“MSCG”) |
| Use
of proceeds and hedging: | The proceeds from the sale of the PLUS will
be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per PLUS issued, because, when we enter into
hedging transactions in order to meet our obligations under the PLUS, our hedging counterparty will reimburse the cost of the agent’s
commissions. The costs of the PLUS borne by you and described beginning on page 2 above comprise the agent’s commissions
and the cost of issuing, structuring and hedging the PLUS. On or prior to April 3, 2020, we hedged
our anticipated exposure in connection with the 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 underlying commodity index or in swaps and in futures
or options contracts on the commodities that underlie the underlying commodity index. Such purchase activity could have increased
the value of the underlying commodity index on April 3, 2020 and, therefore, could have increased the level at or above which the
underlying commodity index must close on the averaging dates so that investors do not suffer a loss on their initial investment
in the PLUS. In addition, through our affiliates, we are likely to modify our hedge position throughout the life of the PLUS, including
on the averaging dates, by purchasing and selling swaps, futures or options contracts on the commodities that underlie the underlying
commodity index 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 PLUS. These entities may be unwinding or adjusting hedge positions
during the term of |

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	the securities, 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 underlying commodity index, and, therefore, adversely affect the value of the 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 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 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 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 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 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 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 PLUS. Because we may be considered a party in interest with respect
to many Plans, the 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
PLUS will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the PLUS that
either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such 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 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 PLUS on behalf of or with “plan assets” of any Plan consult

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| | with their counsel regarding the availability of exemptive relief. The PLUS are contractual financial instruments.
The financial exposure provided by the 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 PLUS. The 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 PLUS. Each purchaser or holder of any 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 PLUS, (B) the purchaser or holder’s investment in the PLUS, or
(C) the exercise of or failure to exercise any rights we have under or with respect to the 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 PLUS
and (B) all hedging transactions in connection with our obligations under the 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 may provide is not intended to be impartial investment advice. Each purchaser and holder of the PLUS has exclusive responsibility
for ensuring that its purchase, holding and disposition of the PLUS do not violate the prohibited transaction rules of ERISA or
the Code or any Similar Law. The sale of any 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 PLUS should consult and rely
on their own counsel and advisers as to whether an investment in these 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 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 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 PLUS, either directly or indirectly. |
| Supplemental
information regarding plan of distribution ; conflicts of interest: | The agent may distribute the PLUS through Morgan Stanley Smith
Barney LLC (“Morgan Stanley Wealth Management”), as selected dealer, or other dealers, which may include Morgan Stanley
& Co. International plc (“MSIP”) and Bank Morgan Stanley AG. Morgan Stanley Wealth Management, MSIP and Bank Morgan
Stanley AG are affiliates of Morgan Stanley. Selected dealers, including Morgan Stanley Wealth Management, and their financial
advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $5 for each PLUS they
sell. In addition, Morgan Stanley Wealth Management will receive a structuring fee of $1 for each PLUS. MS & Co. is an affiliate of MSFL and
a wholly owned subsidiary of Morgan Stanley and it and other affiliates of ours expect to make a profit by selling, structuring
and, when applicable, |

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| | hedging the 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 PLUS: | In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the 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 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 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. |
| 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. 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 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 but not defined 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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