MORGAN STANLEY — Capital/Financing Update 2016

May 4, 2016

Pricing Sheet dated May 3, 2016 relating to

Final Terms No. 861 dated March 31, 2016 Registration Statement No. 333-200365 Filed pursuant to Rule 433

STRUCTURED INVESTMENTS

Opportunities in U.S. Equities

Lookback Entry PLUS Based on the Value of the S&P 500 ® Index due October 3, 2018

Performance Leveraged Upside Securities SM

Principal at Risk Securities

PRICING TERMS — Issuer:	Morgan Stanley
Maturity date:	October 3, 2018
Underlying index:	S&P 500 ® Index
Aggregate principal amount:	$1,042,420
Payment at maturity:	If final index value is greater than initial index value,
	$10 + leveraged upside payment
	In no event will the payment at maturity exceed the maximum payment at maturity.
	If final index value is less than or equal to initial index value,
	$10 × index performance factor
	Under these circumstances, the payment at maturity will be less than or equal
to the stated principal amount of $10.
Leveraged upside payment:	$10 × leverage factor × index percent increase
Index percent increase:	(final index value – initial index value) / initial index value
Initial index value:	2,041.91, which was the index closing value on April
7, 2016. This value was the lowest index closing value during the initial observation period.
Initial observation period:	Each index business day on which there is no market disruption event with respect
to the underlying index during the approximately 1-month period from and including the pricing date to and including May 2,
2016.
Final index value:	The index closing value on the valuation date
Valuation date:	September 28, 2018, subject to adjustment for non-index business days and certain
market disruption events
Leverage factor:	200%
Index performance factor:	final index value / initial index value
Maximum payment at maturity:	$12.625 per PLUS (126.25% of the stated principal amount).
Stated principal amount:	$10 per PLUS
Issue price:	$10 per PLUS (see “Commissions and issue price” below)
Pricing date:	March 31, 2016
Original issue date:	April 5, 2016 (3 business days after the pricing date)
CUSIP / ISIN:	61766A236 / US61766A2362
Listing:	The PLUS will not be listed on any securities exchange.
Agent:	Morgan Stanley & Co. LLC (“MS & Co.”), a wholly-owned subsidiary
of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest”
in the accompanying final terms.
Estimated value on the pricing
date:	$9.610
per PLUS. See “Investment Summary” in the accompanying final terms.
Commissions and
issue price:	Price to public	Agent’s
commissions (1)(2)	Proceeds to issuer (3)
Per PLUS	$10	$0.25
		$0.05	$9.70
Total	$1,042,420	$31,272.60	$1,011,147.40

(1) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $0.25 for each PLUS they sell. For additional information, see “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying final terms and “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for PLUS.

(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each PLUS.

(3) See “Use of proceeds and hedging” in the accompanying final terms.

“Standard & Poor’s ® ”, “S&P ® ”, “S&P 500 ® ”, “Standard & Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC and have been licensed for use by S&P Dow Jones Indices LLC and Morgan Stanley. The PLUS are not sponsored, endorsed, sold or promoted by Standard and Poor’s Financial Services LLC, and Standard and Poor’s Financial Services LLC makes no representation regarding the advisability of investing in the PLUS.

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

You should read this document together with the final terms describing the offering and the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below.

Final Terms No. 861 dated March 31, 2016

Product Supplement for PLUS dated February 29, 2016 Index Supplement dated February 29, 2016

Prospectus dated February 16, 2016

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at.www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in this offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-584-6837.

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