MORGAN STANLEY — Capital/Financing Update 2020

Jul 29, 2020

CALCULATION OF REGISTRATION FEE

| Title
of Each Class of Securities Offered | Maximum
Aggregate Offering Price | Amount
of Registration Fee |
| --- | --- | --- |
| Worst of Fixed Coupon RevCons SM due
2022 | $11,000,000 | $1,427.80 |

July 2020

Pricing Supplement No. 4,606

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

Dated July 27, 2020

Filed pursuant to Rule 424(b)(2)

M organ S tanley F inance LLC

Structured Investments

Opportunities in U.S. and International Equities

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The Worst of Fixed Coupon RevCons SM due July 30, 2022 Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc., which we refer to as the securities, are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities do not guarantee the repayment of any principal. Instead, the securities offer the opportunity for investors to earn a fixed monthly coupon at an annual rate of 15.30%. The payment at maturity due on the securities will be, in addition to the final monthly coupon, either (i) if the final share price of each underlying stock is greater than or equal to its respective downside threshold level, the stated principal amount, or (ii) if the final share price of either underlying stock is less than its respective downside threshold level, investors will be exposed to the decline in the worst performing underlying stock on a 1-to-1 basis and will receive a payment at maturity that reflects the full depreciation in the price of the worst performing underlying stock and that is significantly less than the principal amount of the securities and could be zero. As a result, investors must be willing to accept the risk of receiving a payment at maturity that is significantly less than the stated principal amount of the securities and could be zero. Accordingly, investors could lose their entire initial investment in the securities. The securities are for investors who are willing to risk their principal based on the worst performing of two underlying stocks in exchange for the opportunity to earn interest at a potentially above-market rate. Investors will not participate in the appreciation of either of the underlying stocks. Because the payment at maturity on the securities is based on the worst performing underlying stock, a decline beyond the respective downside threshold level of either underlying stock will result in a significant loss of your investment even if the other underlying stock has appreciated or has not declined as much. Investors will therefore be exposed to the risks related to each underlying stock . The securities are 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 securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

FINAL TERMS
Issuer:	Morgan Stanley Finance LLC
Guarantor:	Morgan Stanley
Underlying
stocks:	Medtronic Public Limited Company ordinary shares (the “MDT
Stock”) and Roku, Inc. class A common stock (the “ROKU Stock”)
Aggregate
principal amount:	$11,000,000
Stated
principal amount:	$1,000 per security
Issue
price:	$1,000 per security
Pricing
date:	July 27, 2020
Original
issue date:	July 30, 2020 (3 business days after the pricing date)
Maturity
date:	July 30, 2022
Monthly
coupon:	A monthly coupon at an annual rate of 15.30% (corresponding
to approximately $12.75 per month per security) is paid on each coupon payment date.
Coupon
payment dates:	Monthly, on the 30 th day of each month (or, in the case of February, the last calendar day of such month), beginn ing
August 30, 2020 a nd ending on the maturity date; provided that if any such day is not a business day, that
coupon payment will be made on the next succeeding business day and no adjustment will be made to any coupon payment made
on that succeeding business day.

| Payment
at maturity: | (i) the stated principal amount plus (ii)
the monthly coupon for the final monthly interest period |
| --- | --- |
| · If
the final share price of either underlying stock is less than its respective downside threshold level: | (i) the monthly coupon
for the final interest period plus (ii) the product of (a) the stated principal amount and (b) the share
performance factor of the worst performing underlying stock. Under these circumstances,
investors will lose a significant portion, and may lose all, of their principal. |

| Share
performance factor: | With respect to each underlying stock, the final
share price divided by the initial share price |
| --- | --- |
| Adjustment
factor: | With respect to each underlying stock, 1.0, subject to adjustment
in the event of certain corporate events affecting such underlying stock |
| | Terms continued on the following page |
| 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.” |
| Estimated
value on the pricing date: | $974.40 per security. See “Investment Summary”
on page 3. |

| Commissions
and issue price: | Price
to public | Agent’s
commissions (1) | Proceeds
to us (2) |
| --- | --- | --- | --- |
| Per security | $1,000 | $3.20 | $996.80 |
| Total | $11,000,000 | $35,200 | $10,964,800 |

(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $3.20 for each security they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

(2) See “Use of proceeds and hedging” on page 23.

The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 7.

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

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

You should read this document together with the related product supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see “Additional Terms of the Securities” and “Additional Information About the Securities” at the end of this document.

As used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

Product Supplement for Reverse Convertible Securities dated November 16, 2017 Prospectus dated November 16, 2017

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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Terms continued from previous page:
Determination
date:	July 27,
2022, subject to postponement for non-trading days and certain market disruption events
Downside
threshold level:	With respect to the MDT
Stock, $57.81, which is equal to 60% of its initial share price With respect to the ROKU
Stock, $90.702, which is equal to 60% of its initial share price
Initial
share price:	With respect to the MDT
Stock, $96.35, which is its closing price on July 24, 2020 With respect to the ROKU
Stock, $151.17, which is its closing price on July 24, 2020
Final
share price:	With respect to each underlying stock, the closing price
of such underlying stock on the determination date times the adjustment factor for such underlying stock on such date
Worst
performing underlying stock:	The underlying stock with the largest percentage decrease
from the respective initial share price to the respective final share price
CUSIP
/ ISIN:	61771BA53 / US61771BA539
Listing:	The securities will not be listed on any securities exchange.

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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Investment Summary

Worst of Fixed Coupon RevCons

Principal at Risk Securities

The Worst of Fixed Coupon RevCons SM due July 30, 2022 Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc., which we refer to as the securities, provide an opportunity for investors to earn a fixed monthly coupon at an annual rate of 15.30%. The payment at maturity due on the securities will be, in addition to the final monthly coupon, either (i) if the final share price of each underlying stock is greater than or equal to its respective downside threshold level, the stated principal amount, or (ii) if the final share price of either underlying stock is less than its respective downside threshold level, investors will be exposed to the decline in the worst performing underlying stock on a 1-to-1 basis and will receive a payment at maturity that reflects the full depreciation in the price of the worst performing underlying stock and that is significantly less than the stated principal amount of the securities and could be zero. Accordingly, investors could lose their entire initial investment in the securities. In addition, investors will not participate in the appreciation of either of the underlying stocks.

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value of each security on the pricing date is $974.40.

What goes into the estimated value on the pricing date?

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

In determining the economic terms of the securities, including the monthly coupon rate and the downside threshold levels, 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 securities would be more favorable to you.

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

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

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

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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Key Investment Rationale

The securities offer investors an opportunity to earn a fixed monthly coupon at an annual rate of 15.30%. The payment at maturity will vary depending on the final share price of each underlying stock, as follows:

| Scenario
1 | The
final share price of each underlying stock is greater than or equal to its respective downside threshold
level. § The
payment due at maturity will be (i) the stated principal amount plus (ii) the monthly coupon for the final monthly
interest period. § Investors
will not participate in any appreciation of either underlying stock. |
| --- | --- |
| Scenario
2 | The
final share price of either underlying stock is less than its respective downside threshold level. § The
payment due at maturity will be (i) the monthly coupon for the final interest period plus (ii) the product of (a) the stated principal amount and (b) the share performance factor of the worst performing underlying stock. § Investors
will lose a significant portion, and may lose all, of their principal in this scenario. |

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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Hypothetical Examples

The following hypothetical examples illustrate how to determine the payment at maturity. The following examples are for illustrative purposes only. The payment at maturity will be determined by reference to the final share price of each underlying stock on the determination date. The actual initial share price and downside threshold level for each underlying stock are set forth on the cover of this document. All payments on the securities are subject to our credit risk. The below examples are based on the following terms:

| Monthly Coupon: | 15.30% per annum (corresponding to approximately
$12.75 per month per security) 1 |
| --- | --- |
| Payment at Maturity: | · If
the final share price of each underlying stock is greater than or equal to its respective downside threshold
level: (i) the stated principal amount plus (ii) the monthly coupon for the final monthly interest period. · If
the final share price of either underlying stock is less than its respective downside threshold level: (i)
the monthly coupon for the final interest period plus (ii) the product of (a) the stated principal amount and (b)
the share performance factor of the worst performing underlying stock. Under these circumstances, the payment at maturity
will be significantly less than the stated principal amount of the securities and could be zero |
| Stated Principal Amount: | $1,000 per security |
| Hypothetical Initial Share Price: | With respect to the MDT
Stock: $100.00 With respect to the ROKU
Stock: $150.00 |
| Hypothetical Downside Threshold Level: | With respect to the MDT
Stock: $60.00, which is 60% of its hypothetical initial share price With respect to the ROKU
Stock: $90.00, which is 60% of its hypothetical initial share price |
| Hypothetical Adjustment Factor: | With respect to each underlying stock, 1.0 |

1 The actual monthly coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 day-count basis. The monthly coupon of $12.75 is used in these examples for ease of analysis.

How to determine the payment at maturity:

| | Final
Share Price — MDT
Stock | ROKU
Stock | Payment
at Maturity (in
addition to the monthly coupon of $12.75 with respect to the final monthly interest period) |
| --- | --- | --- | --- |
| Example
1: | $125.00
( at or above its downside threshold level) | $175.00
( at or above its downside threshold level) | $1,000
(the stated principal amount) |
| Example
2: | $40.00
( below its downside threshold level) | $115.00
( at or above its downside threshold level) | $1,000
× share performance factor of the worst performing underlying stock= $1,000
× ($40.00 / $100.00) = $400.00 |
| Example
3: | $75.00
( at or above its downside threshold level) | $30.00
( below its downside threshold level) | $1,000
× share performance factor of the worst performing underlying stock= $1,000
× ($30.00 / $150.00) = $200.00 |
| Example
4: | $30.00
( below its downside threshold level) | $30.00
( below its downside threshold level) | $1,000
× share performance factor of the worst performing |

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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underlying stock= $1,000 × ($30.00 / $150.00) = $200.00

In example 1 , the final share prices of the MDT Stock and the ROKU Stock are both at or above their respective downside threshold levels. Therefore, investors receive the stated principal amount of the securities at maturity. Investors do not participate in the appreciation of either underlying stock.

In example 2 , the final share prices of the ROKU Stock is above its downside threshold level, but the final share price of the MDT Stock is below its downside threshold level. Therefore, even though the ROKU Stock has appreciated in value, investors are exposed to the downside performance of the MDT Stock, which is the worst performing underlying stock in this example, and receive a payment at maturity that is significantly less than the stated principal amount.

In example 3 , the ROKU Stock has declined 80% from its initial share price to its final share price. Therefore, investors are exposed to the downside performance of the ROKU Stock, which is the worst performing underlying stock in this example, and receive a payment at maturity that is significantly less than the stated principal amount.

In example 4 , the final share prices of the MDT Stock and the ROKU Stock are both below their respective downside threshold levels. In this example, the MDT Stock has declined 70% from its initial share price to its final share price while the ROKU Stock has declined 80% from its initial share price. Therefore, investors are exposed to the downside performance of the ROKU Stock, which is the worst performing underlying stock in this example, and receive a payment at maturity that is significantly less than the stated principal amount.

If the final share price of either underlying stock is below its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock at maturity. Under these circumstances, the payment at maturity will be significantly less than the principal amount of the securities and that could be zero.

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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Risk Factors

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

§ The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if the final share price of either underlying stock is less than its respective downside threshold level, you will be exposed to the decline in the closing price of the worst performing underlying stock, as compared to the initial share price, on a 1-to-1 basis and you will receive a payment at maturity that is less than 60% of the stated principal amount and could be zero.

§ You are exposed to the price risk of both underlying stocks. Your return on the securities is not linked to a basket consisting of the two underlying stocks. Rather, it will be contingent upon the independent performance of both underlying stocks. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to both underlying stocks. Poor performance by either underlying stock over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying stock. If either underlying stock has declined to below its respective downside threshold level as of the determination date, you will be fully exposed to the decline in the worst performing underlying stock over the term of the securities on a 1-to-1 basis, even if the other underlying stock has appreciated or has not declined as much. Under this scenario, the value of the payment at maturity will be less than 60% of the stated principal amount and could be zero. Accordingly, your investment is subject to the price risk of both underlying stocks.

§ Investors will not participate in any appreciation in the price of either underlying stock. Investors will not participate in any appreciation in the price of either underlying stock from its respective initial share price, and the return on the securities will be limited to the monthly coupon that is paid for each monthly interest period.

§ The market price will be influenced by many unpredictable factors. Several factors will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. Although we expect that generally the closing prices of the underlying stocks on any day, including in relation to the respective downside threshold levels, will affect the value of the securities more than any other single factor, other factors that may influence the value of the securities include:

o the trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks,

o dividend rates on the underlying stocks,

o interest and yield rates in the market,

o time remaining until the securities mature,

o geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks and which may affect the final share prices of the underlying stocks,

o the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment factor, and

o any actual or anticipated changes in our credit ratings or credit spreads.

The prices of the underlying stocks may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. The ROKU Stock began trading on September 28, 2017 and therefore has limited historical performance. See “Medtronic Public Limited Company Overview” and “Roku, Inc. Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell your securities prior to maturity.

§ The securities 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 securities. You are dependent on our ability to pay all amounts due on the securities on each coupon payment date or at maturity, and therefore you are subject to our credit risk. If we

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities 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 securities.

§ There are risks associated with investments in securities linked to the value of equity securities issued by a foreign company. The ordinary shares of Medtronic Public Limited Company are issued by a foreign company. Investments in securities linked to the value of any equity securities issued by a foreign company involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued by foreign companies may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws.

§ 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.

§ Investing in the securities is not equivalent to investing in the underlying stocks. Investors in the securities will not participate in any appreciation in the underlying stocks, and will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying stocks. As a result, any return on the securities will not reflect the return you would realize if you actually owned shares of the underlying stocks and received the dividends paid or distributions made on them.

§ No affiliation with the underlying stock issuers. The underlying stock issuers are not affiliates of ours, are not involved with this offering in any way, and have no obligation to consider your interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry with respect to the underlying stock issuers in connection with this offering.

§ We may engage in business with or involving the underlying stock issuers without regard to your interests. We or our affiliates may presently or from time to time engage in business with the underlying stock issuers without regard to your interests and thus may acquire non-public information about the underlying issuers. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with respect to the underlying stock issuers, which may or may not recommend that investors buy or hold the underlying stocks.

§ The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect the underlying stocks. MS & Co., as calculation agent, will adjust the adjustment factors for certain corporate events affecting the underlying stocks, such as stock splits, stock dividends and extraordinary dividends, and certain other corporate actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required to make any adjustments if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying stocks, nor will adjustments be made following the determination date. In addition, no adjustments will be made for regular cash dividends, which are expected to reduce the price of the underlying stocks by the amount of such dividends. If an event occurs that does not require the calculation agent to adjust an adjustment factor, such as a regular cash dividend, the market price of the securities and your return on the securities may be materially and adversely affected. For example, if the record date for a regular cash dividend were to occur on or shortly before the determination date, this may decrease the final share price of an underlying stock to be less than the

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Morgan Stanley Finance LLC

Worst of Fixed Coupon RevCons SM due July 30, 2022

Payments on the RevCons Based on the Worst Performing of the Ordinary Shares of Medtronic Public Limited Company and the Class A Common Stock of Roku, Inc.

Principal at Risk Securities

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downside threshold level (resulting in a loss of a significant portion of all of your investment in the securities), materially and adversely affecting your return.

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

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

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

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

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

§ Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities. One or more of our affiliates and/or third-party dealers will carry out hedging activities related to the securities (and to other instruments linked to the underlying stocks), including trading in the underlying stocks. 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 determination date approaches. Some of our affiliates also trade the underlying stocks and other financial instruments related to the underlying stocks on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to July 24, 2020 could increase the initial share price of either underlying stock, and, as a result, could potentially increase the downside threshold

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level for such underlying stock, which is the price at or above which the underlying stock must close in order for you to avoid being exposed to the negative price performance of the worst performing underlying stock at maturity (depending also on the performance of the other underlying stock). Additionally, such hedging or trading activities during the term of the securities could potentially affect the price of either underlying stock on the determination date, and, accordingly, the payout to you at maturity, if any.

§ The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities. As calculation agent, MS & Co. will determine the initial share prices, the downside threshold levels and the final share prices, whether a market disruption event has occurred, whether to make any adjustments to the adjustment factors and the payment that you will receive at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or nonoccurrence of market disruption events and certain adjustments to the adjustment factors. These potentially subjective determinations may affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description of RevCons—Antidilution Adjustments—For RevCons linked to the common stock of an underlying company,” —Alternate Exchange Calculation in Case of an Event of Default” and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date

§ The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects of the tax treatment of the securities are uncertain.

Please read the discussion under “Additional Information―Tax considerations” in this document concerning the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a unit consisting of (i) a Put Right (as defined below under “Additional Information―Tax considerations”) written by you to us that, if exercised, requires you to pay to us an amount equal to the Deposit (as defined below under “Additional Information―Tax considerations”), in exchange for a cash amount based on the performance of the worst performing underlying stock , and (ii) a Deposit with us of a fixed amount of cash to secure your obligation under the Put Right. Alternative U.S. federal income tax treatments of the securities are possible, and if the Internal Revenue Service (the “IRS”) were successful in asserting such an alternative tax treatment for the securities the timing and the character of income on the securities might differ significantly from the tax treatment described herein. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein.

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. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that any Treasury regulations or other guidance issued after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and timing of income or loss (including whether the entire coupon on the securities should be required to be included currently as ordinary income) and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax.

Non-U.S. Holders should note that we currently do not intend to withhold on any payments made with respect to the securities to Non-U.S. Holders (subject to compliance by such holders with certification necessary to establish an exemption from withholding and to the discussion under “Additional Information―Tax considerations—FATCA”). However, in the event of a change of law or any formal or informal guidance by the IRS, the U.S. Treasury Department or Congress, we may decide to withhold on payments made with respect to the securities to Non-U.S. Holders and will not be required to pay any additional amounts with respect to amounts withheld.

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 securities, including possible alternative treatments, the issues presented by the IRS notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

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Medtronic Public Limited Company Overview

Medtronic Public Limited Company, headquartered in Ireland, is a medical technology, services and solutions company. The MDT Stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the Securities and Exchange Commission by Medtronic Public Limited Company pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-36820 through the Securities and Exchange Commission’s website at.www.sec.gov. In addition, information regarding Medtronic Public Limited Company may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the MDT Stock is accurate or complete.

Information as of market close on July 27, 2020:

| Bloomberg
Ticker Symbol: | MDT |
| --- | --- |
| Exchange: | NYSE |
| Current
Stock Price: | $96.43 |
| 52
Weeks Ago: | $103.26 |
| 52
Week High (on 2/6/2020): | $121.30 |
| 52
Week Low (on 3/23/2020): | $72.92 |
| Current
Dividend Yield: | 2.41% |

The following table sets forth the published high and low closing prices of, as well as dividends on, the MDT Stock for each quarter from January 1, 2017 through July 27, 2020. The closing price of the MDT Stock on July 27, 2020 was $96.43. The associated graph shows the closing prices of the MDT Stock for each day from January 1, 2015 through July 27, 2020. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the MDT Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the MDT Stock at any time, including on the determination date.

| Ordinary
Shares of Medtronic Public Limited Company (CUSIP G5960L103) | High
($) | Low
($) | Dividends
($) |
| --- | --- | --- | --- |
| 2017 | | | |
| First Quarter | 83.30 | 70.61 | 0.43 |
| Second Quarter | 89.30 | 80.01 | 0.46 |
| Third Quarter | 88.90 | 77.71 | 0.46 |
| Fourth Quarter | 83.50 | 76.93 | 0.46 |
| 2018 | | | |
| First Quarter | 87.26 | 76.55 | 0.46 |
| Second Quarter | 87.83 | 77.48 | 0.50 |
| Third Quarter | 99.17 | 85.91 | 0.50 |
| Fourth Quarter | 99.49 | 85.80 | 0.50 |
| 2019 | | | |
| First Quarter | 93.79 | 82.45 | 0.50 |
| Second Quarter | 99.38 | 84.15 | 0.54 |
| Third Quarter | 111.18 | 98.02 | 0.54 |
| Fourth Quarter | 114.54 | 104.49 | 0.54 |
| 2020 | | | |
| First Quarter | 121.30 | 72.92 | 0.54 |
| Second Quarter | 103.33 | 84.11 | 0.58 |
| Third Quarter (through July 27, 2020) | 98.58 | 90.13 | - |

We make no representation as to the amount of dividends, if any, that Medtronic Public Limited Company may pay in the future. In any event, as an investor in the Worst of Fixed Coupon RevCons, you will not be entitled to receive dividends, if any, that may be payable on the ordinary shares of Medtronic Public Limited Company.

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Ordinary Shares of Medtronic Public Limited Company – Daily Closing Prices January 1, 2015 to July 27, 2020

This document relates only to the securities referenced hereby and does not relate to the MDT Stock or other securities of Medtronic Public Limited Company. We have derived all disclosures contained in this document regarding Medtronic Public Limited Company stock from the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Medtronic Public Limited Company. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Medtronic Public Limited Company is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the MDT Stock (and therefore the price of the MDT Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Medtronic Public Limited Company could affect the value received with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the MDT Stock.

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Roku, Inc. Overview

Roku, Inc. is a TV streaming platform for users, content publishers and advertisers. The ROKU Stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed with the Securities and Exchange Commission by Roku, Inc. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-38211 through the Securities and Exchange Commission’s website at .www.sec.gov. In addition, information regarding Roku, Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the ROKU Stock is accurate or complete.

Information as of market close on July 27, 2020:

| Bloomberg
Ticker Symbol: | ROKU |
| --- | --- |
| Exchange: | Nasdaq |
| Current
Stock Price: | $155.97 |
| 52
Weeks Ago: | $105.13 |
| 52
Week High (on 9/6/2019): | $169.86 |
| 52
Week Low (on 3/16/2020): | $63.84 |
| Current
Dividend Yield: | N/A |

The following table sets forth the published high and low closing prices of, as well as dividends on, the underlying stock for each quarter from September 28, 2017 through July 27, 2020. The closing price of the ROKU Stock on July 27, 2020 was $155.97. The associated graph shows the closing prices of the ROKU Stock for each day from September 28, 2017 through July 27, 2020. The ROKU Stock began trading on September 28, 2017 and therefore has limited historical performance. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the underlying stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the ROKU Stock at any time, including on the determination date.

| Class
A Common Stock of Roku, Inc. (CUSIP 77543R102) | High
($) | Low
($) | Dividends
($) |
| --- | --- | --- | --- |
| 2017 | | | |
| Third Quarter (from September 28, 2017) | 26.54 | 14.00 | - |
| Fourth Quarter | 56.58 | 18.57 | - |
| 2018 | | | |
| First Quarter | 55.44 | 31.10 | - |
| Second Quarter | 46.75 | 30.29 | - |
| Third Quarter | 74.74 | 43.29 | - |
| Fourth Quarter | 76.48 | 27.17 | - |
| 2019 | | | |
| First Quarter | 74.12 | 30.10 | - |
| Second Quarter | 106.49 | 56.50 | - |
| Third Quarter | 169.86 | 91.37 | - |
| Fourth Quarter | 164.28 | 102.40 | - |
| 2020 | | | |
| First Quarter | 143.37 | 63.84 | - |
| Second Quarter | 137.50 | 81.46 | - |
| Third Quarter (through July 27, 2020) | 155.97 | 128.39 | - |

We make no representation as to the amount of dividends, if any, that Roku, Inc. may pay in the future. In any event, as an investor in the Worst of Fixed Coupon RevCons, you will not be entitled to receive dividends, if any, that may be payable on the class A common stock of Roku, Inc.

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Class A Common Stock of Roku, Inc. – Daily Closing Prices September 28, 2017 to July 27, 2020

• The ROKU Stock began trading on September 28, 2017 and therefore has limited historical performance.

This document relates only to the securities referenced hereby and does not relate to the ROKU Stock or other securities of Roku, Inc. We have derived all disclosures contained in this document regarding Roku, Inc. stock from the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Roku, Inc. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Roku, Inc. is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the ROKU Stock (and therefore the price of the ROKU Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Roku, Inc. could affect the value received with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the ROKU Stock.

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Additional Terms of the Securities

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

| Additional
Terms: | |
| --- | --- |
| If the terms described herein
are inconsistent with those described in the accompanying product supplement or prospectus, the terms described herein shall
control. | |
| Day
count convention: | Interest will be computed on the basis of
a 360-day year of twelve 30-day months. |
| Interest
period: | The monthly period from and including the
original issue date (in the case of the first interest period) or the previously scheduled coupon payment date, as applicable,
to but excluding the following scheduled coupon payment date, with no adjustment for any postponement thereof. |
| Record
date: | The record date for each coupon payment
date shall be the date one business day prior to such scheduled coupon payment date; provided, however, that any monthly coupon
payable at maturity shall be payable to the person to whom the payment at maturity shall be payable. |
| Underlying
stock: | The accompanying product supplement refers
to each underlying stock as the “underlying shares.” |
| Underlying
stock issuer: | With respect to the MDT
Stock, Medtronic Public Limited Company With respect to the ROKU
Stock, Roku, Inc. The accompanying product
supplement refers to each underlying stock issuer as the “underlying company.” |
| Downside
threshold level: | The accompanying product supplement refers
to the downside threshold level as the “trigger level.” |
| Postponement
of maturity date: | If the scheduled determination date is not
a trading day or if a market disruption event with respect to either underlying stock occurs on that day so that the determination
date for either underlying stock is postponed and falls less than two business days prior to the scheduled maturity date,
the maturity date of the securities will be postponed to the second business day following that determination date as postponed. |
| Postponement
of coupon payment dates: | If a coupon payment date (including the
maturity date) is postponed, no adjustment shall be made to any monthly coupon paid on that postponed date. |
| Antidilution
adjustments: | The following replaces
in its entirety the portion of the section entitled “Antidilution Adjustments” in the accompanying product
supplement for reverse convertible securities from the start of paragraph 5 to the end of such section. 5. If, with respect to
either underlying stock, (i) there occurs any reclassification or change of such underlying stock, including, without
limitation, as a result of the issuance of any tracking stock by the underlying stock issuer for such underlying stock,
(ii) such underlying stock issuer or any surviving entity or subsequent surviving entity of such underlying stock issuer
(the “successor corporation”) has been subject to a merger, combination or consolidation and is not the surviving
entity, (iii) any statutory exchange of securities of such underlying stock issuer or any successor corporation with another
corporation occurs (other than pursuant to clause (ii) above), (iv) such underlying stock issuer is liquidated, (v) such
underlying stock issuer issues to all of its shareholders equity securities of an issuer other than such underlying stock
issuer (other than in a transaction described in clause (ii), (iii) or (iv) above) (a “spin-off event”) or
(vi) a tender or exchange offer or going-private transaction is consummated for all the outstanding shares of such underlying
stock (any such event in clauses (i) through (vi), a “reorganization event”), the method of determining the
amount payable at maturity for each security will be as follows: · Upon
the determination date: You will receive for each security that you hold a payment at maturity equal to: Ø If
the exchange property value on the determination date is greater than or equal to the respective downside threshold level,
and the final share price of the other underlying stock (or exchange property value, as applicable) is also greater than
its downside threshold level: (i) the stated principal amount plus (ii) the monthly coupon for the final monthly interest
period. Ø If
the exchange property value on the determination date is less than the respective downside threshold level, or if the
final share price (or exchange property value, if applicable) of the other underlying stock is less than its downside
threshold level: the monthly coupon for the final interest period plus: Ø If
the worst performing underlying stock has not undergone a reorganization event as described in paragraph 5 above: (i)
the stated principal amount multiplied by the (ii) share performance factor of the worst performing underlying stock. Ø If
the worst performing underlying stock has undergone a reorganization event as described in paragraph 5 above: (i) the
stated principal amount multiplied by (ii) the share performance factor of the worst performing underlying stock. For
purposes of determining the share performance factor of the worst performing underlying stock, the final share price of
such worst performing underlying stock will be deemed to equal the per-share cash value, determined as of the determination
date, of the securities, cash or any other assets distributed to holders of the worst performing underlying stock in or
as a result of any such reorganization event, including (A) |

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| | in the case
of the issuance of tracking stock, the reclassified share of such worst performing underlying stock, (B) in the case of
a spin-off event, the share of such worst performing underlying stock with respect to which the spun-off security was
issued, and (C) in the case of any other reorganization event where such worst performing underlying stock continues to
be held by the holders receiving such distribution, such worst performing underlying stock (collectively, the “exchange
property”). If exchange property includes
a cash component, investors will not receive any interest accrued on such cash component. In the event exchange property
consists of securities, those securities will, in turn, be subject to the antidilution adjustments set forth in paragraphs
1 through 5. For purposes of determining
whether or not the exchange property value is less than the downside threshold level, or for determining the worst performing
underlying stock, “exchange property value” means (x) for any cash received in any reorganization event, the
value, as determined by the calculation agent, as of the date of receipt, of such cash received for one share of such
underlying stock, as adjusted by the adjustment factor at the time of such reorganization event, (y) for any property
other than cash or securities received in any such reorganization event, the market value, as determined by the calculation
agent in its sole discretion, as of the date of receipt, of such exchange property received for one share of such underlying
stock, as adjusted by the adjustment factor at the time of such reorganization event and (z) for any security received
in any such reorganization event, an amount equal to the closing price, as of the day on which the exchange property value
is determined, per share of such security multiplied by the quantity of such security received for each share of such
underlying stock, as adjusted by the adjustment factor at the time of such reorganization event. For purposes of paragraph
5 above, in the case of a consummated tender or exchange offer or going-private transaction involving consideration of
particular types, exchange property shall be deemed to include the amount of cash or other property delivered by the offeror
in the tender or exchange offer (in an amount determined on the basis of the rate of exchange in such tender or exchange
offer or going-private transaction). In the event of a tender or exchange offer or a going-private transaction with respect
to exchange property in which an offeree may elect to receive cash or other property, exchange property shall be deemed
to include the kind and amount of cash and other property received by offerees who elect to receive cash. Following
the occurrence of any reorganization event referred to in paragraph 5 above, all references in this offering document
and in the related product supplement with respect to the securities to such “underlying stock” shall be deemed
to refer to the exchange property and references to a “share” or “shares” of such underlying stock
shall be deemed to refer to the applicable unit or units of such exchange property, unless the context otherwise requires. No adjustment
to an adjustment factor will be required unless such adjustment would require a change of at least 0.1% in the adjustment
factor then in effect. The adjustment factor resulting from any of the adjustments specified above will be rounded to
the nearest one hundred-thousandth, with five one-millionths rounded upward. Adjustments to an adjustment factor will
be made up to the close of business on the determination date. No adjustments
to an adjustment factor or method of calculating the adjustment factor will be required other than those specified above.
The adjustments specified above do not cover all events that could affect the final share price of an underlying stock,
including, without limitation, a partial tender or exchange offer for an underlying stock. The
calculation agent shall be solely responsible for the determination and calculation of any adjustments to an adjustment
factor or method of calculating an adjustment factor and of any related determinations and calculations with respect to
any distributions of stock, other securities or other property or assets (including cash) in connection with any corporate
event described in paragraphs 1 through 5 above, and its determinations and calculations with respect thereto shall be
conclusive in the absence of manifest error. The calculation agent
will provide information as to any adjustments to an adjustment factor or to the method of calculating the amount payable
at maturity of the securities made pursuant to paragraph 5 above upon written request by any investor in the securities. |
| --- | --- |
| Trustee: | The Bank of New York Mellon |
| Calculation
agent: | MS & Co. |
| Issuer
notices to registered security holders, the trustee and the depositary: | In the event that the
maturity date is postponed due to postponement of the determination date, the issuer shall give notice of such postponement
and, once it has been determined, of the date to which the maturity date has been rescheduled (i) to each registered holder
of the securities by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder’s
last address as it shall appear upon the registry books, (ii) to the trustee by facsimile, confirmed by mailing such notice
to the trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company
(the “depositary”) by telephone or facsimile confirmed by mailing such notice to the depositary by first class
mail, postage prepaid. Any notice that is mailed to a registered holder of the securities in the manner herein provided
shall be conclusively presumed to have been duly given to such registered holder, whether or not |

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such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately following the determination date as postponed. The issuer shall, or shall cause the calculation agent to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of cash to be delivered as monthly coupon with respect to each security on or prior to 10:30 a.m. (New York City time) on the business day preceding each coupon payment date, and (ii) deliver the aggregate cash amount due with respect to the monthly coupon to the trustee for delivery to the depositary, as holder of the securities, on the applicable coupon payment date. The issuer shall, or shall cause the calculation agent to, (i) provide written notice to the trustee, on which notice the trustee may conclusively rely, and to the depositary of the amount of cash to be delivered with respect to each stated principal amount of the securities, on or prior to 10:30 a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to the securities to the trustee for delivery to the depositary, as holder of the securities, on the maturity date.

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Additional Information About the Securities

| Additional
Information: | |
| --- | --- |
| Listing: | The securities will not be listed on any
securities exchange. |
| Minimum
ticketing size: | $1,000 / 1 security |
| Tax
considerations: | Prospective
investors should note that the discussion under the section called “United States Federal Taxation” in the
accompanying product supplement does not apply to the securities issued under this document and is superseded by the following
discussion. The
following is a general discussion of the material U.S. federal income tax consequences and certain estate tax consequences
of ownership and disposition of the securities. This discussion applies only to initial investors in the securities who: • purchase
the securities at their “issue price,” which will equal the first price at which a substantial amount of the
securities is sold to the public (not including bond houses, brokers, or similar persons or organizations acting in the
capacity of underwriters, placement agents or wholesalers); and • hold
the securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the
“Code”). This
discussion does not describe all of the tax consequences that may be relevant to a holder in light of the holder’s
particular circumstances or to holders subject to special rules, such as: • certain
financial institutions; • insurance
companies; • certain
dealers and traders in securities or commodities; • investors
holding the securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction
or constructive sale transaction; • U.S.
Holders (as defined below) whose functional currency is not the U.S. dollar; • partnerships
or other entities classified as partnerships for U.S. federal income tax purposes; • regulated
investment companies; • real
estate investment trusts; or • tax-exempt
entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408
or 408A of the Code, respectively. If an
entity that is classified as a partnership for U.S. federal income tax purposes holds the securities, the U.S. federal
income tax treatment of a partner will generally depend on the status of the partner and the activities of the partnership.
If you are a partnership holding the securities or a partner in such a partnership, you should consult your tax adviser
as to the particular U.S. federal tax consequences of holding and disposing of the securities to you. As the
law applicable to the U.S. federal income taxation of instruments such as the securities is technical and complex, the
discussion below necessarily represents only a general summary. The effect of any applicable state, local or non-U.S.
tax laws is not discussed, nor are any alternative minimum tax consequences or consequences resulting from the Medicare
tax on investment income. Moreover, the discussion below does not address the consequences to taxpayers subject to special
tax accounting rules under Section 451(b) of the Code. This
discussion is based on the Code, administrative pronouncements, judicial decisions and final, temporary and proposed Treasury
regulations, all as of the date hereof, changes to any of which subsequent to the date hereof may affect the tax consequences
described herein. Persons considering the purchase of the securities should consult their tax advisers with regard to
the application of the U.S. federal income tax laws to their particular situations as well as any tax consequences arising
under the laws of any state, local or non-U.S. taxing jurisdiction. General Due
to the lack of any controlling legal authority, there is substantial uncertainty regarding the U.S. federal income tax
consequences of an investment in the securities. We intend to treat a security, under current law, for U.S. federal income
tax purposes, as a unit consisting of the following: |

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(i) a put right (the “Put Right”) written by you to us that, if exercised, requires you to pay us an amount equal to the Deposit (as defined below) in exchange for a cash amount based on the performa nce of the worst performing underlying stock; and (ii) a deposit with us of a fixed amount of cash, equal to the issue price, to secure your obligation under the Put Right (the “Deposit”) that pays interest based on our cost of borrowing at the time of issuance (the “Yield on the Deposit”). Based on the treatment set forth above, we have determined that the Yield on the Deposit is 0.4394% per annum, paid monthly, and that the remaining portion of the coupon payments on the securities is attributable to the premium on the Put Right (the “Put Premium”) as set forth below:

| Underlying
Stock | Coupon
Rate | Yield
on the Deposit | Put
Premium |
| --- | --- | --- | --- |
| ROKU Stock MDT Stock | 15.30%
p.a. | 0.4394%
p.a. | 14.8606% p.a. |

We will allocate 100% of the issue price of the securities to the Deposit and none to the Put Right. Our allocation of the issue price between the Put Right and the Deposit will be binding on you, unless you timely and explicitly disclose to the Internal Revenue Service (the “IRS”) that your allocation is different from ours. This allocation is not, however, binding on the IRS or a court. No statutory, judicial or administrative authority directly addresses the treatment of the securities or instruments similar to the securities for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to the securities. Significant aspects of the U.S. federal income tax consequences of an investment in the securities are uncertain, and no assurance can be given that the IRS or a court will agree with the tax treatment described herein. In the opinion of our counsel, Davis Polk & Wardwell LLP, the treatment of the securities described above is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible. Accordingly, you should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities (including alternative treatments of the securities). Unless otherwise stated, the following discussion is based on the treatment and the allocation described above. Tax Consequences to U.S. Holders This section applies to you only if you are a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a security that is, for U.S. federal income tax purposes: • a citizen or individual resident of the United States; • a corporation, or other entity taxable as a corporation, created or organized in or under the laws of the United States, any state thereof or the District of Columbia; or • an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source. Tax Treatment of the Securities Assuming the treatment of the securities and allocation of the issue price as set forth above are respected, the following U.S. federal income tax consequences should result. Coupon Payments on the Securities. Under the characterization described above under “—General,” only a portion of the coupon payments on the securities will be attributable to the Yield on the Deposit. The remainder of the coupon payments will represent payments attributable to the Put Premium. To the extent attributable to the Yield on the Deposit, coupon payments on the securities should generally be taxable to a U.S. Holder as ordinary interest income at the time accrued or received, in accordance with the U.S. Holder’s method of accounting for U.S. federal income tax purposes. The Put Premium will not be taxable to a U.S. Holder upon receipt but will be accounted for as described below. Tax Basis. Based on our determination set forth above, the U.S. Holder’s initial tax basis in the Deposit will be 100% of the issue price. The determination of gain or loss with respect to the Put Right is described below.

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Receipt of Stated Principal Amount in Cash upon Settlement of the Securities. If a U.S. Holder receives the stated principal amount of a security in cash (excluding cash attributable to coupon payments on the security, which would be taxed as described above under “—Coupon Payments on the Securities”), the Put Right will be deemed to have expired unexercised. In such case, the U.S. Holder will not recognize any gain upon the return of the Deposit, but will recognize the total amount of Put Premium received by the U.S. Holder over the term of the securities (including Put Premium received upon settlement) as short-term capital gain at such time. Receipt of a Cash Amount Based on the Performance of the Worst Performing Underlying Stock upon Maturity of the Securities. If a U.S. Holder receives an amount of cash (excluding cash attributable to coupon payments on the securities, which would be taxed as described above under “—Coupon Payments on the Securities”) that is less than the stated principal amount of the securities, the Put Right will be deemed to have been exercised and the U.S. Holder will be deemed to have applied the Deposit toward the cash settlement of the Put Right. In such case, the U.S. Holder will not recognize any gain or loss in respect of the Deposit, but will recognize short-term capital gain or loss in an amount equal to the difference between (i) the amount of cash received by the U.S. Holder at maturity (excluding cash attributable to coupon payments on the securities), plus the total Put Premium received by the U.S. Holder over the term of the securities (including the Put Premium received at maturity) and (ii) the Deposit. Sale or Exchange of the Securities Prior to Settlement. Upon the sale or exchange of a security, a U.S. Holder will generally recognize long-term capital gain or loss with respect to the Deposit if the U.S. Holder has held the securities for more than one year at the time of such sale or exchange and short-term capital gain or loss otherwise. The U.S. Holder will also generally recognize short-term capital gain or loss with respect to the Put Right. For the purpose of determining such gain or loss, a U.S. Holder should apportion the amount realized on the sale or exchange of a security (excluding any amount attributable to accrued but unpaid Yield on the Deposit, which would be taxed as described under “—Coupon Payments on the Securities”) between the Deposit and the Put Right based on their respective values on the date of such sale or exchange. The amount of capital gain or loss on the Deposit will equal the amount realized that is attributable to the Deposit, less the U.S. Holder’s adjusted tax basis in the Deposit. The amount realized that is attributable to the Put Right, together with the total Put Premium received by the U.S. Holder over the term of the security, will be treated as short-term capital gain. If the value of the Deposit on the date of such sale or exchange exceeds the total amount realized on the sale or exchange of the security, the U.S. Holder will be treated as having (i) sold or exchanged the Deposit for an amount equal to its value on that date and (ii) made a payment (the “Put Right Assumption Payment”) to the purchaser of the security equal to the amount of such excess, in exchange for the purchaser’s assumption of the U.S. Holder’s rights and obligations under the Put Right. In such a case, the U.S. Holder will recognize short-term capital gain or loss in respect of the Put Right in an amount equal to the total Put Premium received by the U.S. Holder over the term of the security, less the amount of the Put Right Assumption Payment deemed to be made by the U.S. Holder. Possible Alternative Tax Treatments of an Investment in the Securities Due to the absence of authorities that directly address the proper characterization of the securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment described above. In particular, the IRS could seek to treat a security or the Deposit as a debt instrument subject to Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the IRS were successful in asserting that the Contingent Debt Regulations applied to the securities or to the Deposit, the timing and character of income thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue interest income as original issue discount, subject to adjustments, at a “comparable yield” based on our cost of borrowing. Furthermore, if the securities or Deposit were treated as contingent payment debt instruments, any gain realized with respect to the securities or the Deposit would generally be treated as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. Even if the Contingent Debt Regulations do not apply to the securities, other alternative U.S. federal income tax characterizations or treatments of the securities are also possible, which if applied could significantly affect the timing and character of the income or loss with respect to the securities. It is possible, for example, that a security could be treated as constituting an “open transaction” with the result that the coupon payments on the securities might not be accounted for separately as giving rise to income to U.S. Holders until the sale, exchange or settlement of the securities. Alternatively, the entire coupon on the securities could be required to be included in income by a U.S. Holder at the time received or accrued. Other alternative characterizations are also possible. Accordingly, prospective purchasers should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S.

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federal income tax treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that 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 securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for U.S. Holders of the securities is the character and timing of income or loss realized with respect to these instruments (including whether the Put Premium might be required to be included currently as ordinary income). Accordingly, prospective investors should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the securities, including the possible implications of this notice. Backup Withholding and Information Reporting Backup withholding may apply in respect of payments on the securities and the payment of proceeds from a sale, exchange or other disposition of the securities, unless a U.S. Holder provides proof of an applicable exemption or a correct taxpayer identification number, and otherwise complies with applicable requirements of the backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded, or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely furnished to the IRS. In addition, information returns will be filed with the IRS in connection with payments on the securities and the payment of proceeds from a sale, exchange or other disposition of the securities, unless the U.S. Holder provides proof of an applicable exemption from the information reporting rules. Tax Consequences to Non-U.S. Holders This section applies to you only if you are a Non-U.S. Holder. As used herein, the term “Non-U.S. Holder” means a beneficial owner of a security that is, for U.S. federal income tax purposes: • an individual who is classified as a nonresident alien; • a foreign corporation; or • a foreign trust or estate. The term “Non-U.S. Holder” does not include any of the following holders: • a holder who is an individual present in the United States for 183 days or more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S. federal income tax purposes; • certain former citizens or residents of the United States; or • a holder for whom income or gain in respect of the securities is effectively connected with the conduct of a trade or business in the United States. Such holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities. General Assuming the treatment of the securities as set forth above is respected and subject to the discussions below regarding the potential application of Section 871(m) of the Code and FATCA, payments with respect to a security, and gain realized on the sale, exchange or other disposition of such security, should not be subject to U.S. federal income or withholding tax under current law, provided that: • the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes of our stock entitled to vote; • the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to us through stock ownership; • the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code; and • the certification requirement described below has been fulfilled with respect to the beneficial owner. Certification Requirement. The certification requirement referred to in the preceding paragraph will be fulfilled if the beneficial owner of a security (or a financial institution holding a security on behalf of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate form), on which the beneficial owner certifies under penalties of perjury that it is not a U.S. person.

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Possible Alternative Tax Treatments of an Investment in the Securities As described above under “—Tax Consequences to U.S. Holders—Possible Alternative Tax Treatments of an Investment in the Securities,” the IRS may seek to apply a different characterization and tax treatment from the treatment described herein. While the U.S. federal income and withholding tax consequences to a Non-U.S. Holder of ownership and disposition of a security under current law should generally be the same as those described immediately above, it is possible that a Non-U.S. Holder could be subject to withholding tax under certain recharacterizations of the securities. Moreover, among the issues addressed in the IRS notice described in “—Tax Consequences to U.S. Holders” is the degree, if any, to which income realized by Non-U.S. Holders should be subject to withholding tax. It is possible that any Treasury regulations or other guidance issued after consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the securities, possibly with retroactive effect. Accordingly, prospective investors should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the securities, including the possible implications of the notice discussed above. Prospective investors should note that we currently do not intend to withhold on any of the payments made with respect to the securities to Non-U.S. Holders (subject to compliance by such holders with the certification requirement described above and to the discussion below regarding FATCA). However, in the event of a change of law or any formal or informal guidance by the IRS, the U.S. Treasury Department or Congress, we (or any financial intermediary) may decide to withhold on payments made with respect to the securities to Non-U.S. Holders and we will not be required to pay any additional amounts with respect to amounts withheld. Section 871(m) Withholding Tax on Dividend Equivalents Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2023 that do not have a delta of one with respect to any Underlying Security. Based on our determination that the securities do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject to Section 871(m). Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If Section 871(m) withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential application of Section 871(m) to the securities. U.S. Federal Estate Tax Individual Non-U.S. Holders and entities the property of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for example, a trust funded by such an individual and with respect to which the individual has retained certain interests or powers), should note that, absent an applicable treaty exemption, the securities may be treated as U.S. situs property subject to U.S. federal estate tax. Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the U.S. federal estate tax consequences of an investment in the securities. Backup Withholding and Information Reporting Information returns will be filed with the IRS in connection with any coupon payment and may be filed with the IRS in connection with the payment at maturity on the securities and the payment of proceeds from a sale, exchange or other disposition of the securities. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish that it is not a U.S. person for U.S. federal income tax purposes or otherwise establishes an exemption. Compliance with the certification procedures described under “—General—Certification Requirement” will satisfy the certification requirements necessary to avoid backup withholding as well. The amount of any backup withholding from a payment to a Non-U.S. Holder will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided that the required information is timely furnished to the IRS. FATCA Legislation commonly referred to as “FATCA” generally imposes a withholding tax of 30% on payments to

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| | certain
non-U.S. entities (including financial intermediaries) with respect to certain financial instruments, unless various U.S.
information reporting and due diligence requirements have been satisfied. An intergovernmental agreement between the United
States and the non-U.S. entity’s jurisdiction may modify these requirements. FATCA generally applies to certain
financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable
annual or periodical” income (“FDAP income”). Withholding (if applicable) applies to payments of U.S.-source
FDAP income and to payments of gross proceeds of the disposition (including upon retirement) of certain financial instruments
treated as providing for U.S.-source interest or dividends. Under recently proposed regulations (the preamble to which
specifies that taxpayers are permitted to rely on them pending finalization), no withholding will apply on payments of
gross proceeds (other than amounts treated as interest or other FDAP income). While the treatment of the securities is
unclear, you should assume that the yield on the Deposit will be subject to the FATCA rules. It is also possible in light
of this uncertainty that an applicable withholding agent will treat the entire amount of the coupon payments as being
subject to the FATCA rules. If withholding applies to the securities, we will not be required to pay any additional amounts
with respect to amounts withheld. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the potential
application of FATCA to the securities. The
discussion in the preceding paragraphs, insofar as it purports to describe provisions of U.S. federal income tax laws
or legal conclusions with respect thereto, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the
material U.S. federal tax consequences of an investment in the securities. |
| --- | --- |
| Use
of proceeds and hedging: | The proceeds from the
sale of the securities will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per security
issued, because, when we enter into hedging transactions in order to meet our obligations under the securities, our hedging
counterparty will reimburse the cost of the agent’s commissions. The costs of the securities borne by you and described
on page 3 above comprise the agent’s commissions and the cost of issuing, structuring and hedging the securities. On or prior to July 24,
2020, we expect to hedge our anticipated exposure in connection with the securities by entering into hedging transactions
with our affiliates and/or third-party dealers. We expect our hedging counterparties to take positions in the underlying
stocks, in futures and/or options contracts on the underlying stocks, or positions in any other available securities or
instruments that they may wish to use in connection with such hedging. Such purchase activity could increase the initial
share price of either underlying stock, and, as a result, could potentially increase the downside threshold level for
such underlying stock, which is the price at or above which the underlying stock must close on the determination date
in order for you to avoid being exposed to the negative price performance of the worst performing underlying stock at
maturity (depending also on the performance of the other underlying stock). In addition, through our affiliates, we are
likely to modify our hedge position throughout the term of the securities, including on the determination date, by purchasing
and selling the underlying stocks, options contracts relating to the underlying stocks or any other available securities
or instruments that we may wish to use in connection with such hedging activities. 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 determination date approaches. We cannot give any assurance that our hedging activities
will not affect the value of either underlying stock, and, therefore, adversely affect the value of the securities or
the payment you will receive at maturity, if any. |
| 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 securities. Accordingly, among other
factors, the fiduciary should consider whether the investment would satisfy the prudence and diversification requirements
of ERISA and would be consistent with the documents and instruments governing the Plan. In addition, we and certain
of our 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 Code Section 4975 generally prohibit transactions between Plans and parties in interest or disqualified
persons. Prohibited transactions within the meaning of ERISA or the Code would likely arise, for example, if the securities
are acquired by or with the assets of a Plan with respect to which MS & Co. or any of its affiliates is a service
provider or other party in interest, unless the securities are acquired pursuant to an exemption from the “prohibited
transaction” rules. A violation of these “prohibited transaction” rules could result in an excise tax
or other liabilities under ERISA and/or Section 4975 of the Code for 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 securities. Those class exemptions
are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions
involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment
funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain
transactions |

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determined by independent qualified professional asset managers). In addition, ERISA Section 408(b)(17) and Code Section 4975(d)(20) 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 securities. Because we may be considered a party in interest with respect to many Plans, the securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets include “plan assets” by reason of any Plan’s investment in the entity (a “Plan Asset Entity”) or any person investing “plan assets” of any Plan, unless such purchase, holding or disposition is eligible for exemptive relief, including relief available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase, holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee or holder of the securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding of the securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such securities on behalf of or with “plan assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section 4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition of these securities 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 securities on behalf of or with “plan assets” of any Plan consult with their counsel regarding the availability of exemptive relief. The securities are contractual financial instruments. The financial exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy for, individualized investment management or advice for the benefit of any purchaser or holder of the securities. The securities have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of any purchaser or holder of the securities. Each purchaser or holder of any securities acknowledges and agrees that: (i) the purchaser or holder or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities, or (C) the exercise of or failure to exercise any rights we have under or with respect to the securities; (ii) we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the securities and (B) all hedging transactions in connection with our obligations under the securities; (iii) any and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder; (iv) our interests are adverse to the interests of the purchaser or holder; and (v) neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that we or any of our affiliates may provide is not intended to be impartial investment advice. Each purchaser and holder of the securities has exclusive responsibility for ensuring that its purchase, holding and disposition of the securities do not violate the prohibited transaction rules of ERISA or the Code or any Similar Law. The sale of any securities to any Plan or plan subject to Similar Law is in no respect a representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements with respect to investments by plans generally or any particular plan, or that such an investment is appropriate for plans generally or any particular plan. 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 securities should consult and rely on their own counsel and advisers as to whether an investment in these securities 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 securities if the account, plan or annuity is for the benefit of an employee of Morgan Stanley or Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of the securities by the account, plan or annuity.

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| 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 securities,
either directly or indirectly. |
| --- | --- |
| Supplemental
information regarding plan of distribution; conflicts of interest: | Selected dealers
and their financial advisors will collectively receive from the Agent, Morgan Stanley & Co. LLC, a fixed sales commission
of $3.20 for each security they sell. 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, hedging the securities. MS & Co. will conduct
this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc.,
which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate
and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to
any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use of Proceeds and
Hedging” in the accompanying product supplement for reverse convertible securities. |
| Validity
of the securities: | In the opinion of Davis Polk & Wardwell LLP, as special counsel
to MSFL and Morgan Stanley, when the securities 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 securities 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
securities 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: | MSFL and Morgan Stanley
have filed a registration statement (including a prospectus, as supplemented by the product supplement for reverse convertible
securities) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates.
You should read the prospectus in that registration statement, the product supplement for reverse convertible securities
and any other documents relating to this offering that MSFL and Morgan Stanley have filed with the SEC for more complete
information about MSFL, Morgan Stanley and this offering. You may get these documents without cost by visiting EDGAR on
the SEC web site at www.sec.gov. Alternatively, MSFL, Morgan Stanley, any underwriter or any dealer participating in the
offering will arrange to send you the prospectus and the product supplement for reverse convertible securities if you
so request by calling toll-free 1-(800)-584-6837. You may access these documents
on the SEC web site at . www.sec.gov as follows: Product
Supplement for Reverse Convertible Securities dated November 16, 2017 Prospectus
dated November 16, 2017 Terms used but not defined
in this document are defined in the product supplement for reverse convertible securities or in the prospectus. |

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