July 2024
Preliminary Pricing Supplement No.
3,141
Registration Statement Nos. 333-275587;
333-275587-01
Dated July 25, 2024
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities
in U.S. and International Equities
Market
Linked Securities—Auto-Callable with Contingent Downside
Principal at
Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and
the EURO STOXX 50® Index due August 5, 2027
Fully and
Unconditionally Guaranteed by Morgan Stanley
§ |
Linked to the lowest performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index (each referred to as an “underlying”) |
§ |
The securities offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the securities do not pay interest, do not guarantee the repayment of principal and are subject to potential automatic call prior to the maturity date upon the terms described below. The securities have the terms described in the accompanying product supplement for principal at risk securities, index supplement and prospectus, as supplemented or modified by this document. |
§ |
Automatic Call. The securities will be automatically called if the closing level of each underlying on any of the calculation days is greater than or equal to its respective starting level for a call payment equal to the face amount plus a call premium. The call premium applicable to each calculation day will be a percentage of the face amount that increases for each calculation day based on a simple (non-compounding) return of at least 14.85% per annum (to be determined on the pricing date). No further payments will be made on the securities once they have been called. |
§ |
Maturity Payment Amount. If the securities are not automatically called, you will receive at maturity a cash payment per security as follows: |
|
§ |
If the ending level of any underlying is less than its respective starting level but the ending level of each underlying is greater than or equal to 75% of its respective starting level, which we refer to as the respective threshold level, you will receive a maturity payment amount of $1,000 per $1,000 security. |
|
§ |
If the ending level of any underlying is less than its respective threshold level, investors will be exposed to the full decline in the lowest performing underlying on a 1-to-1 basis, and will receive a maturity payment amount that is less than 75% of the face amount of the securities and could be zero. |
§ |
Investors may lose a significant portion, or all, of the face amount of the securities |
§ |
The securities are for investors who are willing to forgo current income and participation in the appreciation of any underlying in exchange for the possibility of receiving a call payment or maturity payment amount greater than the face amount of the securities if each underlying closes at or above the respective starting level on a calculation day or the final calculation day, respectively. |
§ |
Because all payments on the securities are based on the lowest performing underlying, a decline beyond the respective threshold level of any underlying will result in a significant loss of your investment, even if the other underlyings have appreciated or have not declined as much. |
§ |
Investors will not participate in any appreciation of any underlying. |
§ |
The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program |
§ |
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment |
§ |
These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any securities included in any of the underlyings |
The current estimated value of the securities
is approximately $958.40 per security, or within $30.00 of that estimate. The estimated value of the securities is determined using our
own pricing and valuation models, market inputs and assumptions relating to the underlyings, instruments based on the underlyings, 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. See “Estimated Value
of the Securities” on page 4.
The securities have complex features and investing
in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning
on page 10. All payments on the securities are subject to our credit risk.
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, index 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 for principal at risk securities, index supplement and prospectus, each of which can be accessed via the hyperlinks below.
When you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus
dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the
corresponding sections of such prospectus, as applicable. Please also see “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.
Commissions and offering price: |
Price to public |
Agent’s commissions(1)(2) |
Proceeds to us(3) |
Per security |
$1,000 |
$25.75 |
$974.25 |
Total |
$ |
$ |
$ |
| (1) | Wells Fargo Securities, LLC, an agent for this offering,
will receive a commission of up to $25.75 for each security it sells. Dealers, including Wells Fargo Advisors (“WFA”), may
receive a selling concession of up to $20.00 per security, and WFA may receive a distribution expense fee of $0.75 for each security
sold by WFA. See “Supplemental information concerning plan of distribution; conflicts of interest.” |
| (2) | In respect of certain securities sold in this offering, we
may pay a fee of up to $2.50 per security to selected securities dealers in consideration for marketing and other services in connection
with the distribution of the securities to other securities dealers. |
| (3) | See “Use of Proceeds and Hedging” in the accompanying
product supplement. |
Prospectus
dated April 12, 2024
Morgan Stanley |
Wells Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity date: |
August 5, 2027†, subject to postponement if the final calculation day is postponed |
Underlyings: |
S&P 500® Index (the “SPX Index”), Russell 2000® Index (the “RTY Index”) and the EURO STOXX 50® Index (the “SX5E Index”) |
Aggregate face amount: |
$ |
Automatic call: |
If, on any calculation day, beginning on August
5, 2025, the closing level of each underlying is greater than or equal to its respective starting level, the securities will be automatically
called for the applicable call payment on the related call settlement date. The last calculation day is the final calculation day, and
any payment upon an automatic call on the final calculation day, if applicable, will be made on the maturity date.
The securities will not be automatically called
on any call settlement date if the closing level of any underlying is below its respective starting level on the related calculation day.
Any positive return on the securities
will be limited to the applicable call premium, even if the closing level of any underlying on the applicable calculation day significantly
exceeds its starting level. You will not participate in any appreciation of any underlying. |
Call payment: |
The call payment will be an amount in cash per face amount corresponding
to a return at a per-annum rate that will be set on the pricing date, as follows:
· 1st
calculation day: at least $1,148.50, which corresponds to a call premium of at least 14.85%
· 2nd
calculation day: at least $1,297.00, which corresponds to a call premium of at least 29.70%
· Final
calculation day: at least $1,445.50, which corresponds to a call premium of at least 44.55%
The actual call payment and call premium applicable to each calculation
day will be determined on the pricing date.
No further payments will be made on the securities once they have
been called. |
Calculation days: |
Annually, as follows:
· 1st
calculation day: August 5, 2025†*
· 2nd
calculation day: August 5, 2026†*
· Final
calculation day: August 2, 2027†* |
Call settlement date: |
Three business days after the applicable calculation day.* |
Maturity payment amount: |
If the securities are not automatically called,
you will be entitled to receive on the maturity date a cash payment per security as follows:
§ if
the ending level of any underlying is less than its respective starting level but the ending level of each underlying
is greater than or equal to its respective threshold level:
$1,000; or
§ if
the ending level of any underlying is less than its respective threshold level:
$1,000 × performance factor of
the lowest performing underlying
Under these circumstances, you will lose more than 25%, and
possibly all, of your investment. |
Lowest performing underlying: |
The underlying with the lowest performance factor |
Performance factor: |
With respect to each underlying, the ending level divided by the starting level |
Starting level: |
With respect to the S&P 500®
Index: , its closing level on the pricing date.
With respect to the Russell 2000®
Index: , its closing level on the pricing date. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
|
With respect to the EURO STOXX 50® Index: , its closing level on the pricing date. |
Ending level: |
With respect to each underlying, its closing level on the final calculation day. |
Threshold level: |
With respect to the S&P 500® Index: , which is equal
to 75% of its starting level.
With respect to the Russell 2000® Index: , which is
equal to 75% of its starting level.
With respect to the EURO STOXX 50® Index: , which
is equal to 75% of its starting level. |
Face amount: |
$1,000 per security. References in this document to a “security” are to a security with a face amount of $1,000. |
Pricing date: |
July 31, 2024† |
Original issue date: |
August 5, 2024† (3 business days after the pricing date) |
CUSIP / ISIN: |
61776MW76 / US61776MW760 |
Listing: |
The securities will not be listed on any securities exchange. |
Agents: |
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and Wells Fargo Securities, LLC (“WFS”). See “Additional Information About the Securities—Supplemental information regarding plan of distribution; conflicts of interest.” |
†To the extent we make any change to the pricing date or
original issue date, the calculation days and maturity date may also be changed in our discretion to ensure that the term of the securities
remains the same.
* Subject to postponement pursuant to “General Terms of the Securities—Consequences
of a Market Disruption Event; Postponement of a Calculation Day” in the accompanying product supplement for principal at risk securities.
|
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Estimated Value of the Securities |
The face amount 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 will be less than $1,000 per security. We estimate that the value of each security on the pricing
date will be approximately $958.40, or within $30.00 of that estimate. Our estimate of the value of the securities as determined on the
pricing date will be set forth in the final pricing supplement.
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 underlyings. The estimated value of
the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlyings, instruments
based on the underlyings, 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
call payment amounts and the 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 underlyings, 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 3 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 underlyings, 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.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
The Principal at Risk Securities Linked to the Lowest Performing of
the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5,
2027 (the “securities”) may be appropriate for investors who:
| § | Seek the potential for a fixed return if each underlying has appreciated at all as of any of the calculation days in lieu of full
participation in any potential appreciation of any or all of the underlyings; |
| § | Understand that if the closing level of any underlying is less than its respective starting level on each calculation day, they will
not receive any positive return on their investment in the securities, and that if the closing level of any underlying on the final calculation
day has declined by more than 25% from its starting level, they will be fully exposed to the decline in the lowest performing underlying
from its starting level and will lose more than 25%, and possibly all, of the face amount of their securities at maturity; |
| § | Understand that the term of the securities may be as short as approximately one year, and that they will not receive a higher call
payment with respect to a later calculation day if the securities are called on an earlier calculation day; |
| § | Understand that the return on the securities will depend solely on the performance of the underlying that is the lowest performing
underlying on each calculation day and that they will not benefit in any way from the performance of the better performing underlyings; |
| § | Understand that the securities are riskier than alternative investments linked to only one of the underlyings or linked to a basket
composed of each underlying; |
| § | Understand and are willing to accept the full downside risks of each underlying; |
| § | Are willing to forgo interest payments on the securities and dividends on securities included in the underlyings; and |
| § | Are willing to hold the securities until maturity. |
The securities are not designed for, and may not be an appropriate
investment for, investors who:
| § | Seek a liquid investment or are unable or unwilling to hold the securities to maturity; |
| § | Require full payment of the face amount of the securities at maturity; |
| § | Seek a security with a fixed term; |
| § | Are unwilling to accept the risk that, if the closing level of any underlying is less than its respective starting level on each calculation
day, they will not receive any positive return on their investment in the securities; |
| § | Are unwilling to accept the risk that the closing level of any underlying on the final calculation day may decline by more than 25%
from its respective starting level to its ending level, in which case they will lose a significant portion or all of their investment; |
| § | Are unwilling to accept the risk of exposure to each of the underlyings; |
| § | Seek exposure to a basket composed of each underlying or a similar investment in which the overall return is based on a blend of the
performances of the underlyings, rather than solely on the lowest performing underlying; |
| § | Seek exposure to the upside performance of any or each underlying beyond the applicable call premiums; |
| § | Are unwilling to accept our credit risk; or |
| § | Prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Risk Factors” herein and in the accompanying product supplement for risks related to an investment in the securities. For
more information about the underlyings, please see the sections titled “S&P 500® Index Overview,” “Russell
2000® Index Overview” and “EURO STOXX 50® Index Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Determining Timing and Amount of Payment on the Securities |
The timing and amount of the payment you will receive will be determined
as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Hypothetical Payout Profile |
The hypothetical payout profile below illustrates the call payment or maturity payment amount on the securities, as applicable, for a
range of hypothetical performances of the lowest performing underlying from its respective starting level to its respective closing level
on the applicable calculation day.
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010734/image_001.jpg)
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Scenario Analysis and Examples of Hypothetical Payments on the Securities |
The following scenario analysis and examples are provided for illustrative
purposes only and are hypothetical. Whether the securities are called will be determined by reference to the closing level of each underlying
on the calculation days, and the maturity payment amount, if any, will be determined by reference to the closing level of each underlying
on the final calculation day. The actual call payment with respect to each applicable calculation day, starting levels and threshold levels
will be determined on the pricing date. Some numbers appearing in the examples below have been rounded for ease of analysis. All payments
on the securities are subject to our credit risk. The below examples are based on the following terms*:
Investment term: |
3 years |
|
|
Hypothetical call payments: |
The hypothetical call payment will be an amount in cash per face amount for each calculation day, as follows: |
|
Call Payment |
|
· 1st
calculation day: $1,148.50
· 2nd
calculation day: $1,297.00 |
|
· Final calculation day: $1,445.50 |
|
|
Hypothetical starting level: |
With respect to the SPX Index: 100 |
|
With respect to the RTY Index: 100 |
|
With respect to the SX5E Index: 100 |
|
|
Hypothetical threshold level: |
With respect to the SPX Index: 75, which is 75% of its hypothetical starting level |
|
With respect to the RTY Index: 75, which is 75% of its hypothetical starting level |
|
With respect to the SX5E Index: 75, which is 75% of its hypothetical starting level |
* The hypothetical starting level of 100 for the underlyings
has been chosen for illustrative purposes only and does not represent the actual starting level of any underlying. The actual starting
levels and threshold levels will be determined on the pricing date and will be set forth under “Terms” above. For historical
data regarding the actual closing levels of the underlyings, see the historical information set forth herein.
Automatic Call:
Example 1 — the securities are called following the second
calculation day
Date |
SPX Index Closing Level |
RTY Index Closing Level |
SX5E Index Closing Level |
Payment (per Security) |
1st Calculation Day |
80 (below the starting level) |
120 (at or above the starting level) |
140 (at or above the starting level) |
-- |
2nd Calculation Day |
110 (at or above the starting level) |
125 (at or above the starting level) |
135 (at or above the starting level) |
$1,297.00 |
In this example, on the first calculation day, the closing levels of
two of the underlyings are at or above their respective starting levels, but the closing level of the other underlying is below its respective
starting level. Therefore, the securities are not called. On the second calculation day, the closing level of each underlying is at or
above the respective starting level. Therefore, the securities are automatically called on the second call settlement date. Investors
will receive a payment of $1,297.00 per security on the related call settlement date. No further payments will be made on the securities
once they have been called, and investors do not participate in the appreciation in any underlying.
How to calculate the payment investors will receive at maturity:
In the following examples, one or more of the underlyings close below
the respective starting level(s) on each of the calculation days prior to the final calculation day, and, consequently, the securities
are not automatically called prior to, and remain outstanding until, maturity.
|
SPX Index Ending Level |
RTY Index Ending Level |
SX5E Index Ending Level |
Maturity Payment Amount (per Security)
|
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Example 1: |
165 (at or above its starting level) |
160 (at or above its starting level) |
170 (at or above its starting level) |
$1,445.50 |
Example 2:
|
90 (below its starting level but at or above its threshold level) |
110 (at or above its starting level and threshold level) |
120 (at or above its starting level and threshold level) |
$1,000 |
Example 3: |
125 (at or above its starting level and threshold level) |
40 (below its threshold level) |
120 (at or above its starting level and threshold level) |
$1,000 × (40 / 100) = $400 |
Example 4: |
20 (below its threshold level) |
85 (below its starting level but at or above its threshold level) |
120 (at or above its starting level and threshold level) |
$1,000 × (20 / 100) = $200 |
Example 5: |
45 (below its threshold level) |
50 (below its threshold level) |
20 (below its threshold level) |
$1,000 × (20 / 100) = $200 |
In example 1, the ending level of each underlying is at or above its
respective starting level. Therefore, investors receive at maturity the call payment applicable to the final calculation day. Investors
do not participate in any appreciation in any underlying.
In example 2, the ending levels of two of the underlyings are at or
above their starting levels and threshold levels, but the ending level of the other underlying is below its starting level and at or above
its threshold level. Therefore, investors receive $1,000 per security at maturity. Investors do not participate in any appreciation in
any underlying.
In example 3, the ending levels of two of the underlyings are at or
above their starting levels and threshold levels, but the ending level of the other underlying is below its respective threshold level.
Therefore, investors are exposed to the downside performance of the lowest performing underlying at maturity. Therefore, investors receive
at maturity an amount equal to the face amount times the performance factor of the RTY Index, which is the lowest performing underlying
in this example.
In example 4, the ending level of one of the underlyings is at or above
its starting level and threshold level, the ending level of one of the underlyings is below its starting level and at or above its threshold
level, and the ending level of the other underlying is below its respective threshold level. Therefore, investors are exposed to the downside
performance of the lowest performing underlying at maturity. Therefore, investors receive at maturity an amount equal to the face amount
the performance factor of the SPX Index, which is the lowest performing underlying in this example.
In example 5, the ending level of each underlying is below its respective
threshold level, and investors receive at maturity an amount equal to the face amount times the performance factor of the lowest
performing underlying. Therefore, the maturity payment amount equals the face amount times the performance factor of the SX5E Index,
which is the lowest performing underlying in this example.
If the ending level of any underlying is below its respective threshold
level, you will be exposed to the downside performance of the lowest performing underlying at maturity, and your maturity payment amount
will be less than 75% of the face amount per security and could be zero.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
This section describes the material risks relating to the securities.
For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement for principal at risk securities, index supplement and prospectus. We also urge you to consult your investment, legal, tax,
accounting and other advisers in connection with your investment in the securities.
Risks Relating to an Investment in the Securities
| § | The securities do not pay interest or guarantee the return of the face amount of your securities
at maturity. The terms of the securities differ from those of ordinary debt securities in that they do not pay interest or guarantee
the return of the face amount of your securities at maturity. If the securities have not been automatically called and if the ending level
of any underlying is less than its respective threshold level of 75% of its starting level, you will be exposed to the decline
in the value of the lowest performing underlying, as compared to its starting level, on a 1-to-1 basis, and you will receive for each
security that you hold at maturity an amount equal to the face amount times the performance factor of the lowest performing underlying.
In this case, you will lose more than 25%, and possibly all, of the face amount of your securities at maturity. |
| § | The appreciation potential of the securities is limited by the call payment
specified for each calculation day. The appreciation potential of the securities is limited to the call payment specified for each
calculation day if each underlying closes at or above its respective starting level on any calculation day. In all cases, you will not
participate in any appreciation of any underlying, which could be significant. |
| § | The market price will be influenced by many unpredictable factors. Several factors, many of which
are beyond our control, will influence the value of the 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. We expect that generally the level of interest rates available in
the market and the value of each underlying on any day, including in relation to its respective starting level and threshold level, will
affect the value of the securities more than any other factors. Other factors that may influence the value of the securities include: |
| o | the volatility (frequency and magnitude of changes in value) of the underlyings, |
| o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the component stocks of the
underlyings or securities markets generally and which may affect the value of each underlying, |
| o | dividend rates on the securities underlying the underlyings, |
| o | the time remaining until the securities mature, |
| o | interest and yield rates in the market, |
| o | the availability of comparable instruments, |
| o | the composition of the underlyings and changes in the constituent stocks of such underlyings, and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
Generally, the longer the time remaining to maturity, the
more the market price of the securities will be affected by the other factors described above. Some or all of these factors will influence
the price that you will receive if you sell your securities prior to maturity. For example, you may have to sell your securities at a
substantial discount from the face amount of $1,000 per security if the level of any underlying at the time of sale is near or below its
threshold level or if market interest rates rise.
You cannot predict the future performance of any underlying
based on its historical performance. The value(s) of one or more of the underlyings may decrease so that you will receive no return on
your investment and receive a maturity
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
payment amount that is significantly less than the face
amount. See “S&P 500® Index Overview,” “Russell 2000® Index Overview” and “EURO
STOXX 50® Index Overview” below.
| § | 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 upon an automatic call or at maturity, and therefore you are subject to our credit risk. If we 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. |
| § | 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 underlyings. Investing in the
securities is not equivalent to investing in the underlyings or the component stocks or any underlying. Investors in the securities will
not participate in any positive performance of any underlying, and will not have voting rights or rights to receive dividends or other
distributions or any other rights with respect to the stocks that constitute any underlying. |
| § | Reinvestment risk. The term of your investment in the securities may be shortened due to the
automatic call feature of the securities. If the securities are called prior to maturity, you will receive no further payments on the
securities and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.
However, under no circumstances will the securities be called within the first year of the term of the securities. |
| § | 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 face amount reduce the economic terms of the
securities, cause the estimated value of the securities to be less than the face amount 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 face amount, because
secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the face amount
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 face amount 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 3 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 underlyings, 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.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
| § | 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. |
| § | 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. and WFS may, but are not obligated to, make a market in the securities and, if either of them once chooses to make a market,
may cease doing so at any time. When they do make a market, they will generally do so for transactions of routine secondary market size
at prices based on their respective estimates of the current value of the securities, taking into account their respective bid/offer spreads,
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 they 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. or WFS is willing to transact. If, at any time, MS & Co. and WFS 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 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 starting levels, the threshold
levels and the ending levels and will calculate the amount of cash you 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 non-occurrence of market disruption events and the selection of a successor index or calculation of the ending
level in the event of a market disruption event or discontinuance of any of the underlyings. These potentially subjective determinations
may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “General
Terms of the Securities—Market Disruption Events,” “—Adjustments to an Index,” “—Discontinuance
of an Index,” “—Consequences of a Market Disruption Event; Postponement of a Calculation Day” and “Alternate
Exchange Calculation in Case of an Event of Default” in the accompanying product supplement for principal at risk securities. In
addition, MS & Co. has determined the estimated value of the securities on the pricing date. |
| § | 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 expect to carry out hedging activities related to the securities
(and possibly to other instruments linked to the underlyings or the component stocks of the underlyings), including trading in the stocks
that constitute the underlyings as well as in other instruments related to the underlyings. 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 final calculation day approaches. Some of our affiliates also trade the stocks that constitute the underlyings
and other financial instruments related to the underlyings 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 the pricing date could potentially affect the starting level of an underlying,
and, therefore, could increase (i) the level at or above which such underlying must close on the calculation days so that the securities
are called for the call payment (depending also on the performance of the other underlyings) and (ii) the threshold level for such underlying,
which is the level at or above which such underlying must close on the final calculation day so that you do not suffer a significant loss
on your initial investment in the securities. Additionally, such hedging or trading activities during the term of the securities could
potentially affect the value of any underlying on the |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
calculation days, and, accordingly, whether we call the
securities prior to maturity and the amount of cash you will receive at maturity, if any.
| § | The maturity date may be postponed if the final calculation day is postponed. If the scheduled
final calculation day is not a trading day or if a market disruption event occurs on that day so that the final calculation day is postponed
and falls less than three business days prior to the maturity date, the maturity date of the securities will be postponed to the third
business day following that final calculation day as postponed. |
| § | Potentially inconsistent research, opinions or recommendations by Morgan Stanley, MSFL, WFS or our
or their respective affiliates. Morgan Stanley, MSFL, WFS and our or their respective affiliates may publish research from time to
time on financial markets and other matters that may influence the value of the securities, or express opinions or provide recommendations
that are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by Morgan Stanley,
MSFL, WFS or our or their respective affiliates may not be consistent with each other and may be modified from time to time without notice.
Investors should make their own independent investigation of the merits of investing in the securities and the underlyings to which the
securities are linked. |
| § | The U.S. federal income tax consequences of an investment in the securities are uncertain. Please
read the discussion under “Additional Information About the Securities – Tax considerations” in this document and the
discussion under “United States Federal Taxation” in the accompanying product supplement for principal at risk securities
(together, the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the securities.
There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not plan to request a
ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment of the securities
are uncertain, and the IRS or a court might not agree with the tax treatment of a security as a single financial contract that is an “open
transaction” for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative treatment of the securities,
the tax consequences of the ownership and disposition of the securities, including the timing and character of income recognized by U.S.
Holders and the withholding tax consequences to Non-U.S. Holders, might be materially and adversely affected. Moreover, future legislation,
Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities, possibly retroactively.
|
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,
as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Risks Relating to the Underlyings
| § | You are exposed to the price risk of each underlying. Your return on the securities is not linked
to a basket consisting of each underlying. Rather, it will be contingent upon the independent performance of each underlying. 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 each underlying. Poor performance by any underlying 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 underlyings.
To receive the call premium, each underlying must close at or above its respective starting level on the applicable calculation
day. In addition, if the securities have not been called and any underlying has declined to below its respective threshold level
as of the final calculation day, you will be fully exposed to the decline in the lowest performing underlying over the term of
the securities on a 1-to-1 basis, even if the other underlyings have appreciated or have not declined as much. Under this scenario, the
value of any such maturity payment amount will be less than 75% of the face amount of your securities and could be zero. Accordingly,
your investment is subject to the price risk of each underlying. |
| § | The securities are linked to the Russell 2000® Index and are subject to risks associated
with small-capitalization companies. As the Russell 2000® Index is one of the underlyings, and the Russell 2000®
Index consists of stocks issued by companies with relatively small market capitalization, the securities are linked to the value of small-capitalization
companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization
companies and therefore the Russell 2000® Index may be more volatile than |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
underlyings that consist of stocks issued by large-capitalization
companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse
business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization
companies are typically less well-established and less stable financially than large-capitalization companies and may depend on a small
number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse
product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization
companies and are more susceptible to adverse developments related to their products.
| § | The securities are linked to the EURO STOXX 50® Index and are subject to risks associated
with investments in securities linked to the value of foreign equity securities. As the EURO STOXX 50® Index is one
of the underlyings, the securities are linked to the value of foreign equity securities. Investments in securities linked to the value
of foreign equity securities 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 United States 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 in foreign markets
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. Local securities markets may trade a small number of securities and may be unable
to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times.
Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as
growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions
between countries. |
| § | Adjustments to the underlyings could adversely affect the value of the securities. The publisher
of any underlying may add, delete or substitute the stocks constituting such underlying or make other methodological changes that could
change the value of such underlying. The publisher of such underlying may discontinue or suspend calculation or publication of such underlying
at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor underlying that is
comparable to the discontinued underlying and is permitted to consider underlyings that are calculated and published by the calculation
agent or any of its affiliates. If the calculation agent determines that there is no appropriate successor underlying on any calculation
day, the determination of whether the securities will be called or the amount payable at maturity, if any, will be based on the value
of such underlying, based on the closing prices of the stocks constituting such underlying at the time of such discontinuance, without
rebalancing or substitution, computed by MS & Co. as calculation agent in accordance with the formula for calculating such underlying
last in effect prior to such discontinuance, as compared to the relevant starting level or threshold level, as applicable (depending also
on the performance of the other underlyings). |
| § | Historical levels of the underlyings should not be taken as an indication of the future performance
of the underlyings during the term of the securities. No assurance can be given as to the level of the underlyings at any time, including
on the final calculation day, because historical levels of the underlyings do not provide an indication of future performance of the underlyings. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
The S&P 500® Index, which is calculated, maintained
and published by S&P® Dow Jones Indices LLC (“S&P®”), is intended to provide a
benchmark for performance measurement of the large capitalization segment of the U.S. equity markets by tracking the stock price movement
of 500 companies with large market capitalizations. Component stocks of the S&P 500® Index are required to have
a total company level market capitalization that reflects approximately the 85th percentile of the S&P® Total
Market Index. The S&P 500® Index measures the relative performance of the common stocks of 500 companies as of
a particular time as compared to the performance of the common stocks of 500 similar companies during the base period of the years 1941
through 1943. For additional information about the S&P 500® Index, see the information set forth under “S&P® U.S.
Indices—S&P 500® Index” in the accompanying index supplement.
The following graph sets forth the daily closing levels of the SPX
Index for the period from January 1, 2019 through July 23, 2024. The closing level of the SPX Index on July 23, 2024 was 5,555.74. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The SPX Index has at times
experienced periods of high volatility. You should not take the historical levels of the SPX Index as an indication of its future performance,
and no assurance can be given as to the closing level of the SPX Index at any time, including on the calculation days.
S&P 500®
Index Daily Closing Levels
January 1, 2019 to July
23, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010734/image_002.jpg) |
“Standard & Poor’s®,” “S&P®,”
“S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard
and Poor’s Financial Services LLC. For more information, see “S&P® U.S. Indices” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Russell 2000® Index Overview |
The Russell 2000® Index is an index calculated, published
and disseminated by FTSE International Limited (“FTSE Russell”), and measures the capitalization-weighted price performance
of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. The Russell 2000® Index is designed to track
the performance of the small-capitalization segment of the U.S. equity market. The companies included in the Russell 2000®
Index are the middle 2,000 (i.e., those ranked 1,001 through 3,000) of the companies that form the Russell 3000E™ Index. The Russell
2000® Index represents approximately 7% of the U.S. equity market. For additional information about the Russell 2000®
Index, see the information set forth under “Russell Indices—Russell 2000® Index” in the accompanying
index supplement.
The following graph sets forth the daily closing levels of the RTY
Index for the period from January 1, 2019 through July 23, 2024. The closing level of the RTY Index on July 23, 2024 was 2,243.265. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The RTY Index has at times
experienced periods of high volatility. You should not take the historical levels of the RTY Index as an indication of its future performance,
and no assurance can be given as to the closing level of the RTY Index at any time, including on the calculation days.
Russell 2000®
Index Daily Closing Levels
January 1, 2019 to July
23, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010734/image_003.jpg) |
“Russell 2000® Index” and “Russell
3000ETM Index” are trademarks of FTSE Russell. For more information, see “Russell Indices” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
EURO STOXX 50® Index Overview |
The EURO STOXX 50® Index was created by STOXX®
Limited, a part of Qontigo, which is a wholly owned subsidiary of Deutsche Börse AG. Publication of the EURO STOXX 50®
Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50® Index
is composed of 50 component stocks of market sector leaders among the 20 STOXX® supersectors, which includes stocks selected
from the Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across all market sectors.
For additional information about the EURO STOXX 50® Index, see the information set forth under “EURO STOXX 50®
Index” in the accompanying index supplement.
The following graph sets forth the daily closing levels of the SX5E
Index for the period from January 1, 2019 through July 23, 2024. The closing level of the SX5E Index on July 23, 2024 was 4,916.80. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The SX5E Index has at times
experienced periods of high volatility. You should not take the historical levels of the SX5E Index as an indication of its future performance,
and no assurance can be given as to the closing level of the SX5E Index at any time, including on the calculation days.
EURO STOXX 50®
Index Daily Closing Levels
January 1, 2019 to July
23, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010734/image_004.jpg) |
“EURO STOXX 50®” and “STOXX®”
are registered trademarks of STOXX® Limited. For more information, see “EURO STOXX 50® Index”
in the accompanying index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Additional Information About the Securities |
Minimum ticketing size
$1,000 / 1 security
Tax considerations
Although there is uncertainty regarding the U.S. federal income tax
consequences of an investment in the securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk &
Wardwell LLP, under current law, and based on current market conditions, it is reasonable to treat a security as a single financial contract
that is an “open transaction” for U.S. federal income tax purposes. However, because our counsel’s opinion is based
in part on market conditions as of the date of this document, it is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Taxation” in the accompanying product supplement for principal at risk securities,
the following U.S. federal income tax consequences should result based on current law:
| § | A U.S. Holder should not be required to recognize taxable income over the term of the securities prior to settlement, other than pursuant
to a sale or exchange. |
| § | Upon sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the difference between the
amount realized and the U.S. Holder’s tax basis in the securities. Such gain or loss should be long-term capital gain or loss if
the investor has held the securities for more than one year, and short-term capital gain or loss otherwise. |
We do not plan to request a ruling from the Internal Revenue Service
(the “IRS”) regarding the treatment of the securities. An alternative characterization of the securities could materially
and adversely affect the tax consequences of ownership and disposition of the securities, including the timing and character of income
recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions
may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the
tax treatment of derivative contracts. Any legislation, 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.
As discussed in the accompanying product supplement for principal at
risk securities, Section 871(m) of the Internal Revenue Code of 1986, as amended, 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, 2027 that do not have a delta of one with respect to any Underlying Security. Based on the terms of the securities and
current market conditions, we expect that the securities will not have a delta of one with respect to any Underlying Security on the pricing
date. However, we will provide an updated determination in the pricing supplement. Assuming 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 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.
Both U.S. and non-U.S. investors considering an investment in the
securities should read the discussion under “Risk Factors” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for principal at risk securities and consult their tax advisers regarding
all aspects of the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments,
and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs
under “Tax considerations” and the discussion contained in
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
the section entitled “United
States Federal Taxation” in the accompanying product supplement for principal at risk securities, insofar as they purport to describe
provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk &
Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the securities.
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
MS & Co. and WFS will act as the agents for
this offering. WFS will receive a commission of up to $25.75 for each security it sells. WFS proposes to offer the securities in part
directly to the public at the price to public set forth on the cover page of this document and in part to Wells Fargo Advisors (“WFA”)
(the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors
Financial Network, LLC), an affiliate of WFS, or other securities dealers at such price less a selling concession of up to $20.00 per
security. In addition to the selling concession allowed to WFA, WFS may pay $0.75 per security of the commission to WFA as a distribution
expense fee for each security sold by WFA.
In addition, in respect of certain securities sold
in this offering, we may pay a fee of up to $2.50 per security to selected securities dealers in consideration for marketing and other
services in connection with the distribution of the securities to other securities dealers.
See "Plan of Distribution (Conflicts of Interest)"
in the accompanying product supplement for principal at risk securities for information about the distribution arrangements for the securities.
References therein to "agent" refer to each of MS & Co. and WFS, as agents for this offering, except that references to
"agent" in the context of offers to certain Morgan Stanley dealers and compliance with FINRA Rule 5121 do not apply to WFS.
MS & Co., WFS or their affiliates may enter into hedging transactions with us in connection with this offering.
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. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities such
that for each security the estimated value on the pricing date will be no lower than the minimum level described in “Estimated Value
of the Securities” beginning on page 4.
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.
Where you can find more information
Morgan Stanley and MSFL have filed a registration
statement (including a prospectus, as supplemented by the product supplement for principal at risk securities and the index supplement)
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 principal at risk securities, the index supplement and any other documents
relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL
and this offering. When you read the accompanying product supplement and index supplement, please note that all references in such supplements
to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April
12, 2024 or to the corresponding sections of such prospectus, as applicable. You may get these documents without cost by visiting EDGAR
on the SEC web site at.www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer
participating in the offering will arrange to send you the product supplement for principal at risk securities, index supplement and prospectus
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 Principal at Risk Securities dated November 16, 2023
Index
Supplement dated November 16, 2023
Prospectus
dated April 12, 2024
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the S&P 500® Index, the Russell 2000® Index and the EURO STOXX 50® Index due August 5, 2027
Terms used but not defined in this document are
defined in the product supplement for principal at risk securities, in the index supplement or in the prospectus.
Morgan Stanley (NYSE:MS-P)
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