Form FWP MORGAN STANLEY Filed by: MORGAN STANLEY
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E-mailMay 2016
Pricing Sheet dated May 31, 2016 relating to
Preliminary Terms No. 939 dated May 23, 2016
Registration Statement Nos. 333-200365; 333-200365-12
Filed pursuant to Rule 433
Morgan Stanley Finance LLC
Structured Investments
Opportunities in U.S. Equities
Buffered Auto-Callable Securities with Upside Participation Feature at Maturity Based on the Performance of the Russell 2000® Index due June 3, 2021
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
| PRICING TERMS – MAY 31, 2016 | |||
| Issuer: | Morgan Stanley Finance LLC | ||
| Guarantor: | Morgan Stanley | ||
| Underlying index: | Russell 2000® Index | ||
| Aggregate principal amount: | $3,501,000 | ||
| Stated principal amount: | $10 per security | ||
| Issue price: | $10 per security | ||
| Pricing date: | May 31, 2016 | ||
| Original issue date: | June 3, 2016 (3 business days after the pricing date) | ||
| Maturity date: | June 3, 2021 | ||
| Early redemption: | If, on any of the first four annual determination dates, the index closing value of the underlying index is greater than or equal to the initial index value, the securities will be automatically redeemed for the applicable early redemption payment on the related early redemption date. | ||
| Early redemption payment: |
The early redemption payment will be an amount in cash per stated principal amount corresponding to a return of approximately 7.00% per annum for each annual determination date, as follows: · 1st determination date: $10.70 · 2nd determination date: $11.40 · 3rd determination date: $12.10 · 4th determination date: $12.80 No further payments will be made on the securities once they have been redeemed. | ||
| Determination dates: |
1st determination date: June 1, 2017 2nd determination date: May 31, 2018 3rd determination date: May 31, 2019 4th determination date: May 29, 2020 Final determination date: May 28, 2021 The determination dates are subject to postponement for non-index business days and certain market disruption events. | ||
| Early redemption dates: | The third business day after the relevant determination date | ||
| Initial index value: | 1,154.792, which is the index closing value on the pricing date | ||
| Final index value: | The index closing value on the final determination date | ||
| Payment at maturity: |
If the securities have not previously been redeemed, you will receive at maturity a cash payment per security as follows: · If the final index value is greater than or equal to the initial index value: the greater of (i) $13.50 and (ii) $10 x index performance factor · If the final index value is less than the initial index value but is greater than or equal to the threshold level: $10 · If the final index value is less than the threshold level: $10 x (index performance factor + buffer amount) In this scenario, the payment at maturity will be less than the stated principal amount, subject to the minimum payment at maturity of $1.50 per security. | ||
| Buffer amount: | 15% | ||
| Minimum payment at maturity: | $1.50 per security | ||
| Threshold level: | 981.573, which is equal to approximately 85% of the initial index value | ||
| Index performance factor: | Final index value divided by the initial index value | ||
| CUSIP: | 61766B499 | ||
| ISIN: | US61766B4995 | ||
| Listing: | The securities will not be listed on any securities exchange. | ||
| 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” in the accompanying preliminary terms. | ||
| Estimated value on the pricing date: | $9.642 per security. See “Investment Summary” in the accompanying preliminary terms. | ||
| Commissions and issue price: | Price to public | Agent’s commissions and fees | Proceeds to issuer(3) |
| Per security | $10.00 | $0.25(1) | |
| $0.05(2) | $9.70 | ||
| Total | $3,501,000 | $105,030 | $3,395,970 |
| (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 security they sell. For additional information, see “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms and “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement. |
| (2) | Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each security. |
| (3) | See “Use of proceeds and hedging” in the accompanying preliminary terms. |
The “Russell 2000® Index” is a trademark of Russell Investments and has been licensed for use by Morgan Stanley. The securities are not sponsored, endorsed, sold or promoted by Russell Investments Russell Investments and Russell Investments makes no representation regarding the advisability of investing in the securities.
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 preliminary terms describing the offering and the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below.
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.
Preliminary Terms No. 939 dated May 23, 2016 Product Supplement for Auto-Callable Securities 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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