FWP 1 formfwp.htm FORM FWP
September 2016
Pricing Sheet dated September 30, 2016 relating to
Preliminary Terms No. 1,038 dated dated August 29, 2016
Registration Statement Nos. 333-200365; 333-200365-12
Filed pursuant to Rule 433
Morgan Stanley Finance LLC

STRUCTURED INVESTMENTS
Opportunities in International Equities
Dual Directional Trigger PLUS Based on the Performance of the EURO STOXX 50® Index due
October 3, 2019
Trigger Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
PRICING TERMS – SEPTEMBER 30, 2016
Issuer:
Morgan Stanley Finance LLC
Guarantor:
Morgan Stanley
Maturity date:
October 3, 2019
Valuation date:
September 30, 2019, subject to postponement for non-index business days and certain market disruption events
Underlying index:
EURO STOXX 50® Index
Aggregate principal amount:
$4,108,390
Payment at maturity:
If the final index value is greater than the initial index value:
$10 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
If the final index value is less than or equal to the initial index value but is greater than or equal to the trigger level:
$10 + ($10 x absolute index return)
In this scenario, you will receive a 1% positive return on the Trigger PLUS for each 1% negative return on the underlying index.  In no event will this amount exceed the stated principal amount plus $2.00.
If the final index value is less than the trigger level:
$10 × index performance factor
Under these circumstances, the payment at maturity will be less than the stated principal amount of $10, and will represent a loss of more than 20%, and possibly all, of your investment.
Leveraged upside payment:
$10 x leverage factor x index percent change
Leverage factor:
200%
Maximum payment at maturity:
$14.80 per Trigger PLUS (148% of the stated principal amount)
Index percent change:
(final index value – initial index value) / initial index value
Absolute index return:
The absolute value of the index percent change.  For example, a –5% index percent change will result in a +5% absolute index return.
Index performance factor:
final index value / initial index value
Initial index value:
3,002.24, which is the index closing value on the pricing date
Final index value:
The index closing value on the valuation date
Trigger level:
2,401.792, which is 80% of the initial index value
Stated principal amount / Issue price:
$10 per Trigger PLUS (see “Commissions and issue price” below)
Pricing date:
September 30, 2016
Original issue date:
October 5, 2016 (3 business days after the pricing date)
CUSIP / ISIN:
61766F102 / US61766F1021
Listing:
The Trigger PLUS will not be listed on any securities exchange.
Agent:
Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL.  See “Supplemental information regarding plan of distribution; conflicts of interest” in the accompanying preliminary terms.
Estimated value on the pricing date:
$9.632 per Trigger PLUS.  See “Investment Summary” in the accompanying preliminary terms.
Commissions and issue price:
Price to public
Agent’s commissions and fees
Proceeds to us(3)
Per Trigger PLUS
$10.00
$0.25(1)
  
   
$0.05(2)
$9.70
Total
$4,108,390
$123,251.70
$3,985,138.30
(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 Trigger PLUS 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 for PLUS.
(2)
Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each Trigger PLUS.
(3)
See “Use of proceeds and hedging” in the accompanying preliminary terms.
License Agreement between STOXX Limited and Morgan Stanley
“EURO STOXX 50®” and “STOXX®” are registered trademarks of STOXX Limited and have been licensed for use for certain purposes by Morgan Stanley. For more information, see “EURO STOXX 50® Index” in the accompanying index supplement.
The Trigger PLUS are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the preliminary terms describing the offering and the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below.
References to “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
MSFL and Morgan Stanley have 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 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 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.