August
2024
Preliminary
Pricing Supplement No. 3,241
Registration
Statement Nos. 333-275587; 333-275587-01
Dated July
29, 2024
Filed pursuant
to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Market Linked Notes—Upside
Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P
500® Equal Weight Index due June 2, 2028
Fully and Unconditionally
Guaranteed by Morgan Stanley
|
§
Linked to the S&P 500® Equal Weight Index
§
The notes offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed
by Morgan Stanley. The notes will pay no interest and have the terms described in the accompanying product supplement, index supplement
and prospectus, as supplemented or modified by this document. At maturity:
§
If the level of the underlying index has increased, investors will receive the principal amount plus a positive return equal to
100% of the percentage increase in the level of the underlying index from the starting level, subject to a maximum return at maturity
of at least 31% (to be determined on the pricing date) of the principal amount. As a result of the maximum return, the maximum maturity
payment amount will be at least $1,310 per note.
§
If the level of the underlying index has decreased, investors will receive the principal amount but will not receive any positive return
on their investment.
§
Repayment of principal at maturity, subject to our creditworthiness
§
The notes are for investors who are concerned about principal risk but seek an equity index-based return, and who are willing to forgo
current income and upside above the maximum return in exchange for upside exposure to a limited range of performance of the underlying
index.
§
The notes are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
§
All payments, including the repayment of principal at maturity, are subject to our credit risk. If we default on our obligations, you
could lose some or all of your investment.
§
These notes are not secured obligations and you will not have any security interest in, or otherwise have any access to, any securities
included in the underlying index. |
The current estimated value of the notes is
approximately $947.10 per note, or within $45.00 of that estimate. The estimated value of the notes is determined using our own pricing
and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying index, 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 Notes” on page 3.
The notes have
complex features and investing in the notes involves risks not associated with an investment in ordinary debt securities. See “Risk
Factors” beginning on page 10. All payments on the notes are subject to our credit risk.
The Securities and Exchange Commission and state
securities regulators have not approved or disapproved these notes, 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 notes 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, 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 Notes” 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
note |
$1,000 |
$33.25 |
$966.75 |
| Total |
$ |
$ |
$ |
| (1) | Wells Fargo Securities, LLC, an
agent for this offering, will receive a commission of up to $33.25 for each note it sells.
Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession
of up to $22.50 per note, and WFA may receive a distribution expense fee of $0.75 for each
note sold by WFA. See “Supplemental information concerning plan of distribution; conflicts
of interest.” |
| (2) | In respect of certain notes sold
in this offering, we may pay a fee of up to $2.50 per note to selected securities dealers
in consideration for marketing and other services in connection with the distribution of
the notes to other securities dealers. |
| (3) | See “Use of Proceeds and
Hedging” in the accompanying product supplement. |
Product Supplement for Notes Linked To One Or More Indices, Exchange-Traded Funds or Equity Securities dated November 16, 2023
Index Supplement dated November 16, 2023
Prospectus dated April 12, 2024
| Morgan Stanley |
Wells
Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| Issuer: |
Morgan Stanley Finance LLC |
| Guarantor: |
Morgan Stanley |
| Maturity date: |
June 2, 2028†, subject to postponement if the calculation day is postponed* |
| Market measure: |
S&P 500® Equal Weight Index (the “underlying index”) |
| Underlying index publisher: |
S&P® Dow Jones Indices LLC, or any successor thereof |
| Maturity payment amount: |
At maturity, the maturity payment amount per $1,000 principal amount
of notes will be determined as follows:
· If
the ending level is greater than the starting level:
$1,000 plus the lesser of:
 ,
and
· If
the ending level is less than or equal to the starting level:
$1,000 |
| Participation rate: |
100% |
| Index return: |
The “index return” is the percentage change from the starting
level to the ending level, measured as follows:
ending level – starting level
starting level |
| Starting level: |
, which is the closing level of the underlying index on the pricing date |
| Ending level: |
The closing level of the underlying index on the calculation day |
| Calculation day: |
May 30, 2028**† |
| Maximum return: |
The “maximum return” will be determined on the pricing date and will be at least 31% of the principal amount per note (at least $310 per note). As a result of the maximum return, the maximum maturity payment amount will be at least $1,310 per note. |
| Principal amount: |
$1,000 per note. References in this document to a “note” are to a note with a principal amount of $1,000. |
| Pricing date: |
August 29, 2024† |
| Original issue date: |
September 4, 2024† (3 business days after the pricing date) |
| CUSIP / ISIN: |
61776M6C4 / US61776M6C49 |
| Listing: |
The notes 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 Notes—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 day and maturity date may also be changed in our discretion to
ensure that the term of the notes remains the same.
* Subject to postponement pursuant
to “General Terms of the Notes—Payment Dates” in the accompanying product supplement.
** Subject to postponement pursuant
to “General Terms of the Notes—Consequences of a Market Disruption Event; Postponement of a Calculation Day” in
the accompanying product supplement.
|
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| Estimated
Value of the Notes |
The principal amount of each note is $1,000. This price includes costs
associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently, the estimated value of
the notes on the pricing date will be less than $1,000 per note. We estimate that the value of each note on the pricing date will be approximately
$947.10, or within $45.00 of that estimate. Our estimate of the value of the notes 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 notes on the pricing date, we take into account that
the notes comprise both a debt component and a performance-based component linked to the underlying index. The estimated value of the
notes is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments
based on the underlying index, 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 notes?
In determining the economic terms of the notes, including the participation
rate and the maximum return, 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 notes 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 notes?
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to the underlying index, 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 notes are not fully deducted upon issuance, for a period of up to 4 months following
the issue date, to the extent that MS & Co. may buy or sell the notes in the secondary market, absent changes in market conditions,
including those related to the underlying index, 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 notes
and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
The Notes Linked to the S&P 500® Equal Weight Index
due June 2, 2028 (the “notes”) can be used:
| § | As an alternative to direct exposure to the underlying index
that provides returns for any positive performance of the underlying index, subject to the maximum return |
| § | To achieve similar levels of upside exposure to the underlying
index as a direct investment, subject to the maximum return |
The notes 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 notes to maturity |
| § | Are unwilling to accept the risk that the ending level of
the underlying index may be less than or equal to the starting level, in which case investors will receive only the principal amount of
the notes at maturity |
| § | Seek uncapped exposure to the upside performance of the
underlying index |
| § | Seek current income from their investments |
| § | Seek exposure to the underlying index but are unwilling
to accept the risk/return trade-offs inherent in the payment at maturity for the notes |
| § | Are unwilling to accept our credit risk |
| § | 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 notes 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 notes 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 notes. For more information
about the underlying index, please see the section titled “S&P 500® Equal Weight Index” below.
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| Determining
Payment at Maturity |
At maturity, the maturity payment amount per $1,000 principal amount
of notes will be determined as follows:
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
Payoff Diagram
The payoff diagram below illustrates the maturity payment amount on
the notes based on the following terms:
| Principal amount: |
$1,000 per note |
| Participation rate: |
100% |
| Hypothetical maximum return: |
31% of the principal amount ($310 per note). The actual maximum return will be determined on the pricing date. |
| Notes Payoff Diagram |
 |
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| Scenario
Analysis and Examples of Maturity Payment Amount at Maturity |
The following scenario analysis
and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible
scenario concerning increases or decreases in the level of the underlying index relative to the starting level. We cannot predict the
ending level on the calculation day. You should not take the scenario analysis and these examples as an indication or assurance of the
expected performance of the underlying index. The numbers appearing in the examples below may have been rounded for ease of analysis.
The following scenario analysis and examples illustrate the payment at maturity on a hypothetical offering of the notes, based on the
following terms*:
| Investment term: |
Approximately 3.75 years |
| Hypothetical starting level: |
100.00 |
| Participation rate: |
100% |
| Hypothetical maximum return: |
31% of the principal amount ($310 per note) |
*The hypothetical starting
level of 100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting level
and maximum return 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 underlying index, see the historical information set forth herein.
Example 1 — The level of the underlying
index increases from a starting level of 100.00 to an ending level of 115.00.
| |
S&P 500® Equal Weight Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
115.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
15% |
Because the hypothetical ending level
is greater than the hypothetical starting level, the maturity payment amount would equal $1,000 plus a positive return equal
to the lesser of:
| (i) | $1,000 × index return × participation rate
$1,000 × 15% × 100%
= $150; and |
| (ii) | the maximum return of $310 |
On the maturity date, you would receive
the maturity payment amount equal to $1,150.00 per $1,000 principal amount of notes, resulting in a total return on the notes of
15%.
Example 2 — The level of the underlying index
increases from a starting level of 100.00 to an ending level of 200.00.
| |
S&P 500® Equal Weight Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
200.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
100% |
Because the hypothetical ending level is greater than
the hypothetical starting level, the maturity payment amount would equal $1,000 plus a positive return equal to the lesser of:
| (i) | $1,000 × index return × participation rate
$1,000 × 100% × 100%
= $1,000; and |
| (ii) | the maximum return of $310 |
On the maturity date, you would receive the maturity
payment amount equal to $1,310 per $1,000 principal amount of notes (which is the maximum maturity payment amount), resulting in a total
return on the notes of 31%. The appreciation potential of the notes is limited by the hypothetical maximum return. Although the participation
rate provides 100% exposure to any increase in the ending level over the starting level, because the maturity payment amount will be limited
to 131% of the principal amount for the notes
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
(assuming a maximum return of $310 per note), any increase
in the ending level over the starting level by more than 31% of the starting level will not further increase the return on the notes.
Example 3 — The level of the underlying
index decreases from a starting level of 100.00 to an ending level of 95.00.
| |
S&P 500® Equal Weight Index |
| Hypothetical starting level: |
100.00 |
| Hypothetical ending level: |
95.00 |
|
Hypothetical index return
(ending level – starting level)/starting level: |
-5% |
Because the hypothetical ending level is less than
or equal to the hypothetical starting level, the maturity payment amount would equal:
$1,000
Because the hypothetical ending level
is less than or equal to the hypothetical starting level, you would receive the maturity payment amount equal to $1,000 per $1,000 principal
amount of notes, resulting in a total return on the notes of 0%.
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
Scenario Analysis – Hypothetical Maturity
Payment Amount for each $1,000 Principal Amount of Notes.
|
Performance
of the Underlying Index* |
Performance
of the Notes(1) |
|
Ending Level |
Index Return |
Maturity
Payment Amount |
Return on
Notes(2) |
| 250.00 |
150.00% |
$1,310.00 |
31.00% |
| 200.00 |
100.00% |
$1,310.00 |
31.00% |
| 190.00 |
90.00% |
$1,310.00 |
31.00% |
| 180.00 |
80.00% |
$1,310.00 |
31.00% |
| 170.00 |
70.00% |
$1,310.00 |
31.00% |
| 160.00 |
60.00% |
$1,310.00 |
31.00% |
| 150.00 |
50.00% |
$1,310.00 |
31.00% |
| 140.00 |
40.00% |
$1,310.00 |
31.00% |
| 131.00 |
31.00% |
$1,310.00 |
31.00% |
| 130.00 |
30.00% |
$1,300.00 |
30.00% |
| 120.00 |
20.00% |
$1,200.00 |
20.00% |
| 110.00 |
10.00% |
$1,100.00 |
10.00% |
| 105.00 |
5.00% |
$1,050.00 |
5.00% |
| 100.00(3) |
0.00% |
$1,000.00 |
0.00% |
| 95.00 |
-5.00% |
$1,000.00 |
0.00% |
| 90.00 |
-10.00% |
$1,000.00 |
0.00% |
| 80.00 |
-20.00% |
$1,000.00 |
0.00% |
| 70.00 |
-30.00% |
$1,000.00 |
0.00% |
| 60.00 |
-40.00% |
$1,000.00 |
0.00% |
| 50.00 |
-50.00% |
$1,000.00 |
0.00% |
| 40.00 |
-60.00% |
$1,000.00 |
0.00% |
| 30.00 |
-70.00% |
$1,000.00 |
0.00% |
| 20.00 |
-80.00% |
$1,000.00 |
0.00% |
| 10.00 |
-90.00% |
$1,000.00 |
0.00% |
| 0.00 |
-100.00% |
$1,000.00 |
0.00% |
*The underlying index excludes cash dividend
payments on stocks included in the underlying index.
(1) Assumes a maximum
return of 31% of the principal amount ($310 per note).
(2) The “Return
on Notes” is the number, expressed as a percentage, which results from comparing the maturity payment amount per $1,000 principal
amount of notes to the purchase price of $1,000 per note.
(3) The hypothetical starting level
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
This section describes the material risks relating to the notes.
For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement, 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 notes.
Risks Relating to an Investment in the Notes
| § | You may not receive any positive return on the notes.
The notes provide for a maturity payment amount that may be greater than or equal to the principal amount of the notes, depending on the
performance of the underlying index. As the notes do not pay any interest, if the underlying index does not appreciate, you will not receive
any positive return on your investment in the notes. Although the notes provide for the repayment of the principal amount at maturity
(subject to our credit risk), regardless of the performance of the underlying index, you may nevertheless suffer a loss on your investment
in the notes, in real value terms, if you do not receive a positive return on the notes. This is because inflation may cause the real
value of the principal amount to be less at maturity than it is at the time you invest, and because an investment in the notes represents
a forgone opportunity to invest in an alternative asset that does generate a positive return. The potential loss in real value terms will
be greater the longer the term of the notes. |
Even if you do receive a positive return
on your investment in the notes, there can be no assurance that your total return at maturity on the notes will compensate you for the
effects of inflation, and your yield on the notes may be less than the yield you would earn if you bought a traditional interest-bearing
debt security from us or another issuer with a similar credit rating with the same stated maturity date. You should carefully consider
whether an investment that may not provide for any positive return, or may provide a return that is lower than the return on conventional
debt securities, is appropriate for you.
| § | The appreciation potential of the notes is limited by
the maximum return. The appreciation potential of the notes is limited by the maximum return. Although the participation rate provides
100% exposure to any increase in the ending level over the starting level, because any positive return on the notes will be limited to
the maximum return of at least 31% of the principal amount for the notes, any increase in the ending level over the starting level by
more than at least 31% of the starting level, depending on the actual maximum return, will not further increase the return on the notes. |
| § | 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 notes in the secondary market and
the price at which MS & Co. or any other dealer may be willing to purchase or sell the notes in the secondary market, including the
level, volatility (frequency and magnitude of changes in level) and dividend yield of the underlying index, interest and yield rates in
the market, time remaining to maturity, geopolitical conditions and economic, financial, political, regulatory or judicial events that
affect the underlying index or equities markets generally and which may affect the ending level of the underlying index and 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 notes will be affected by the other factors described above. The level of the underlying index may be, and has recently been,
volatile, and we can give you no assurance that the volatility will lessen. See “S&P 500® Equal Weight Index
Overview” below. You may receive less, and possibly significantly less, than the principal amount per note if you try to sell your
notes prior to maturity. |
| § | The notes 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 notes. You are dependent
on our ability to pay all amounts due on the notes at maturity, and therefore you are subject to our credit risk. If we default on our
obligations under the notes, your investment would be at risk and you could lose some or all of your investment. As a result, the market
value of the notes 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 notes. |
| § | 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, including the notes,
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. |
| § | The amount payable on the notes is not linked to the
value of the underlying index at any time other than the calculation day. The ending level will be based on the closing level of the
underlying index on the calculation day, subject to postponement for non-trading days and certain market disruption events. Even if the
level of the underlying index increases prior to the calculation day but then decreases by the calculation day, the maturity payment amount
will be less, and may be significantly |
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
less, than it would have been had the
maturity payment amount been linked to the level of the underlying index prior to such decrease. Although the actual level of the underlying
index on the maturity date or at other times during the term of the notes may be higher than the ending level, the maturity payment amount
will be based solely on the closing level of the underlying index on the calculation day.
| § | Investing in the notes is not equivalent to investing
in the underlying index. Investing in the notes is not equivalent to investing in the underlying index or its component stocks. Investors
in the notes will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the
stocks that constitute the underlying index. |
| § | 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 notes in the principal
amount reduce the economic terms of the notes, cause the estimated value of the notes to be less than the principal 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 notes in secondary market transactions will likely be significantly lower
than the principal amount, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that
are included in the principal 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 notes in the principal amount and the lower rate we are willing to pay as issuer make the economic
terms of the notes less favorable to you than they otherwise would be.
However, because the costs associated
with issuing, selling, structuring and hedging the notes are not fully deducted upon issuance, for a period of up to 4 months following
the issue date, to the extent that MS & Co. may buy or sell the notes in the secondary market, absent changes in market conditions,
including those related to the underlying index, 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 notes 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 notes than those generated by others, including other dealers in the market, if they
attempted to value the notes. 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 notes in the secondary market (if any exists) at any time. The value
of your notes 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 notes will not be listed on any securities exchange
and secondary trading may be limited. The notes will not be listed on any securities exchange. Therefore, there may be little or no
secondary market for the notes. MS & Co. and WFS may, but are not obligated to, make a market in the notes 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 notes, 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 notes. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Since other broker-dealers
may not participate significantly in the secondary market for the notes, the price at which you may be able to trade your notes 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 notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to
hold your notes to maturity. |
| § | The calculation agent, which is a subsidiary of Morgan
Stanley and an affiliate of MSFL, will make determinations with respect to the notes. As calculation agent, MS & Co. will determine
the starting level and the ending level and will calculate the amount of cash you receive at maturity. 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 the underlying index. These potentially subjective
determinations may adversely affect the payout to you at maturity. For further information regarding these types of determinations, see
“General Terms of the Notes—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. In addition, MS & Co. has determined
the estimated value of the notes on the pricing date. |
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| § | Hedging and trading activity by our affiliates could
potentially adversely affect the value of the notes. One or more of our affiliates and/or third-party dealers expect to carry out
hedging activities related to the notes (and possibly to other instruments linked to the underlying index or its component stocks), including
trading in the stocks that constitute the underlying index as well as in other instruments related to the underlying index. As a result,
these entities may be unwinding or adjusting hedge positions during the term of the notes, and the hedging strategy may involve greater
and more frequent dynamic adjustments to the hedge as the calculation day approaches. Some of our affiliates also trade the stocks that
constitute the underlying index and other financial instruments related to the underlying index 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, and, therefore, could increase the level at or above which the underlying index must close on the calculation day
so that investors receive a maturity payment amount that exceeds the principal amount of the notes. Additionally, such hedging or trading
activities during the term of the notes, including on the calculation day, could adversely affect the level of the underlying index on
the calculation day, and, accordingly, the amount of cash an investor will receive at maturity. |
| § | The maturity date may be postponed if the calculation
day is postponed. If the scheduled calculation day is not a trading day or if a market disruption event occurs on that day so that
the calculation day is postponed and falls less than three business days prior to the maturity date, the maturity date of the notes will
be postponed to the third business day following that 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 notes, or express opinions
or provide recommendations that are inconsistent with purchasing or holding the notes. 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 notes and the underlying
index to which the notes are linked. |
Risks Relating to the Underlying Index
| § | Adjustments to the underlying index could adversely affect
the value of the notes. The underlying index publisher may add, delete or substitute the stocks constituting the underlying index
or make other methodological changes that could change the value of the underlying index. The underlying index publisher may discontinue
or suspend calculation or publication of the underlying index at any time. In these circumstances, the calculation agent will have the
sole discretion to substitute a successor index that is comparable to the discontinued underlying index and is permitted to consider indices
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 index, the maturity payment amount on the notes will be an amount based on the
closing prices at maturity of the securities composing the underlying index at the time of such discontinuance, without rebalancing or
substitution, computed by the calculation agent in accordance with the formula for calculating the underlying index last in effect prior
to discontinuance of the underlying index. |
| § | Historical levels of the underlying index should not
be taken as an indication of the future performance of the underlying index during the term of the notes. No assurance can be given
as to the level of the underlying index at any time, including on the calculation day, because historical levels of the underlying index
do not provide an indication of future performance of the underlying index. |
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| S&P
500® Equal Weight Index Overview |
The S&P 500® Equal Weight Index is the equal-weight
version of the S&P 500® Index. The S&P 500® Equal Weight Index includes the same constituents as
the capitalization-weighted S&P 500® Index, but each company in the S&P 500® Equal Weight Index
is allocated a fixed weight of 0.2% of the index total at each quarterly rebalancing. Therefore, the performance of the S&P 500®
Equal Weight Index will differ, perhaps materially, from the performance of the S&P 500® Index, which is weighted unevenly
based on market capitalization.
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” in the accompanying index supplement.
The following graph sets forth the daily closing levels of the underlying
index for each quarter in the period from January 1, 2019 through July 26, 2024. The closing level of the underlying index on July 26,
2024 was 6,880.46. We obtained the information in the graph and table below from Bloomberg Financial Markets without independent verification.
The underlying index has at times experienced periods of high volatility. You should not take the historical levels of the underlying
index as an indication of its future performance, and no assurance can be given as to the closing level of the index on the calculation
day.
|
S&P 500®
Equal Weight Index
Daily Closing Levels
January 1, 2019 to July
26, 2024 |
 |
“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 Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
| Additional
Information About the Notes |
Minimum ticketing size
$1,000 / 1 note
Tax considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP, the notes
should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section
of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to U.S. Holders.” Under
this treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based on the “comparable
yield” (as defined in the accompanying product supplement) of the notes, adjusted upward or downward to reflect the difference,
if any, between the actual and projected amount of the payments on the notes. The comparable yield will be determined on the pricing date
and may be significantly higher or lower than the comparable yield if the notes were priced on the date hereof. The comparable yield and
the projected payment schedule (or information about how to obtain them) will be provided in the final pricing supplement. In addition,
any gain recognized by U.S. taxable investors on the sale or exchange, or at maturity, of the notes generally will be treated as ordinary
income.
You should read the discussion under “United States Federal Taxation”
in the accompanying product supplement concerning the U.S. federal income tax consequences of an investment in the notes.
The comparable yield and the projected payment schedule will not
be provided for any purpose other than the determination of U.S. Holders’ accruals of interest income and adjustments thereto in
respect of the notes for U.S. federal income tax purposes, and we make no representation regarding the actual amount of the payments that
will be made on the notes.
If you are a non-U.S. investor, please also read the section of the
accompanying product supplement called “United States Federal Taxation—Tax Consequences to Non-U.S. Holders.”
As discussed in the accompanying product supplement, Section 871(m)
of the Internal Revenue Code of 1986, as amended (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 Internal Revenue Service (“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 notes and current market conditions, we expect that the notes 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 final pricing supplement. Assuming that
the notes do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the notes 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 notes.
You should consult your tax adviser regarding all aspects of the
U.S. federal income tax consequences of an investment in the notes, as well as 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 the section entitled “United States Federal Taxation” in the accompanying product supplement,
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 notes.
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 notes,
either directly or indirectly.
Morgan Stanley Finance LLC
Market Linked Notes—Upside Participation to a Cap and Principal Return at Maturity
Notes Linked to the S&P 500® Equal Weight Index due June 2, 2028
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 $33.25 for each note it sells. WFS proposes to offer the notes 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 $22.50 per
note. In addition to the selling concession allowed to WFA, WFS may pay $0.75 per note of the commission to WFA as a distribution expense
fee for each note sold by WFA.
In addition, in respect of certain notes sold in
this offering, we may pay a fee of up to $2.50 per note to selected securities dealers in consideration for marketing and other services
in connection with the distribution of the notes to other securities dealers.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement for information about the distribution arrangements for the notes. 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 notes. When MS & Co. prices this offering of notes, it will determine the economic terms of the notes, including the maximum
return, such that for each note the estimated value on the pricing date will be no lower than the minimum level described in “Estimated
Value of the Notes” beginning on page 3.
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 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, 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, 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 Notes Linked To One Or More Indices, Exchange-Traded Funds or Equity Securities dated November 16, 2023
Index Supplement dated November 16, 2023
Prospectus dated April 12, 2024
Terms used but not defined in this document are
defined in the product supplement, in the index supplement or in the prospectus.
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