August
2024
Preliminary
Pricing Supplement No. 3,239
Registration
Statement Nos. 333-275587; 333-275587-01
Dated
July 30, 2024
Filed
pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Market Linked Securities—Contingent
Fixed Return and Contingent Downside
Principal at Risk Securities
Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August
28, 2025
Fully and Unconditionally
Guaranteed by Morgan Stanley
|
§ |
Linked to the lowest
performing of the common stock of NVIDIA Corporation and the common stock of Advanced Micro Devices, Inc. (each referred to as an
“underlying stock”) |
|
§ |
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 or repay a fixed amount of principal at maturity. Instead, the securities provide for a maturity payment amount
that may be greater than, equal to or less than the face amount of the securities, depending on the performance of the lowest performing
underlying stock from its starting price to its ending price. The maturity payment amount will reflect the following terms: |
|
§ |
If the price of the lowest performing underlying
stock increases (regardless of the extent of that increase), stays the same or decreases but the decrease is to a price that is greater
than or equal to its threshold price, you will receive the face amount plus the contingent fixed return of at least 22.00%
of the face amount ($220 per face amount). The actual contingent fixed return will be determined on the pricing date. |
|
§ |
If the price of the lowest performing underlying
stock decreases to a price less than its threshold price, you will have full downside exposure to the decrease in the price of the
lowest performing underlying stock from its starting price, and you will lose more than 40%, and possibly all, of the face amount |
|
§ |
The lowest performing underlying stock
is the underlying stock that has the lowest underlying return |
|
§ |
The threshold price for each underlying
stock is equal to 60% of its starting price |
|
§ |
Investors may lose up to 100% of the face
amount |
|
§ |
The securities are for investors who are
willing to risk their investment and forgo current income in exchange for the contingent fixed return feature that applies only if
the ending price of each underlying stock is greater than or equal to its respective threshold price |
|
§ |
Any positive return on the securities at
maturity will be limited to the contingent fixed return, even if the ending price of the lowest performing underlying stock significantly
exceeds its starting price; you will not participate in any appreciation of the lowest performing underlying stock beyond the contingent
fixed return |
|
§ |
Your return on the securities will depend solely on
the performance of the underlying stock that is the lowest performing underlying stock. You will not benefit in any way from the
performance of the better performing underlying stock. Therefore, you will be adversely affected if either underlying stock
performs poorly, even if the other underlying stock performs favorably |
|
§ |
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, either of the underlying stocks |
The current estimated value of the securities
is approximately $970.60 per security, or within $35.00 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 underlying stocks, instruments based on the underlying
stocks, 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 11. 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 for principal
at risk securities 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 and prospectus, each of which can be accessed via the hyperlinks below. When you read the
accompanying product supplement, please note that all references in such supplement 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 Terms of the Securities” and “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 |
$23.25 |
$976.75 |
Total |
$ |
$ |
$ |
| (1) | Wells Fargo Securities, LLC, an agent for this offering, will receive a commission of up to $23.25 for each security it sells.
Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of up to $17.50 per security, and WFA will
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 for principal at risk securities. |
Morgan Stanley |
Wells Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity date: |
August 28, 2025†, subject to postponement if the calculation day is postponed* |
Underlying stocks: |
Common stock of NVIDIA Corporation (the “NVDA Stock”) and common stock of Advanced Micro Devices, Inc. (the “AMD Stock”) (each referred to as an “underlying stock,” and collectively as the “underlying stocks”) |
Aggregate face amount: |
$ |
Maturity payment amount: |
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
§
If
the ending price of the lowest performing underlying stock is greater than or equal to its threshold price:
$1,000 + contingent fixed return; or
§
If
the ending price of the lowest performing underlying stock is less than its threshold price:
$1,000 + ($1,000 × underlying return of lowest performing
underlying stock)
If the ending price of the lowest performing underlying stock is
less than its threshold price, you will lose more than 40%, and possibly all, of the face amount of your securities at maturity.
Notwithstanding anything to the contrary in the accompanying product
supplement for principal at risk securities, the amount you will receive at maturity will be the maturity payment amount, defined and
calculated as provided in this document.
|
Contingent fixed return: |
At least 22.00% per face amount ($220 per face amount, to be determined on the pricing date) |
Lowest performing underlying stock: |
The underlying stock with the lowest underlying return |
Underlying return: |
With respect to an underlying stock, the percentage change from
its starting price to its ending price, measured as follows:
ending price – starting price
starting price |
Starting price: |
With respect to the NVDA Stock: $ , its stock closing price on the
pricing date.
With respect to the AMD Stock: $ , its stock closing price on the pricing
date.
|
Ending price: |
With respect to each underlying stock, its stock closing price on the calculation day. |
Calculation day: |
August 25, 2025**†, subject to postponement for non-trading days and certain market disruption events |
Threshold price: |
With respect to the NVDA Stock: $ , which is equal to 60% of its starting
price.
With respect to the AMD Stock: $ , which is equal to 60% of its starting
price.
|
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: |
August 16, 2024† |
Original issue date: |
August 21, 2024† (3 business days after the pricing date) |
CUSIP / ISIN: |
61776M5Z4 / US61776M5Z43 |
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— |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
|
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 securities remains
the same.
*Subject to postponement pursuant to “General Terms of the Securities—Payment
Dates” in the accompanying product supplement for principal at risk securities.
**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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
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 $970.60, or within $35.00 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 underlying stocks. The estimated value
of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying stocks,
instruments based on the underlying stocks, 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
contingent fixed return and the threshold prices, 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 underlying stocks, 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 underlying stocks, 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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
The Principal at Risk Securities Linked to the Lowest Performing of
the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025 (the “securities”)
may be appropriate for investors who:
| § | Seek a contingent fixed return if the ending price of the lowest performing underlying stock is greater
than or equal to its threshold price |
| § | Understand that if the ending price of the lowest performing underlying stock is less than its threshold
price, they will be fully exposed to the decline in the lowest performing underlying stock from its starting price and will receive significantly
less than the face amount, and possibly nothing, at maturity |
| § | Understand that any positive return they will receive at maturity will be limited to the contingent
fixed return, regardless of the extent to which the ending price of the lowest performing underlying stock exceeds its threshold price |
| § | Understand that the return on the securities will depend solely on the performance of the lowest performing
underlying stock and that they will not benefit in any way from the performance of any better performing underlying stock |
| § | Understand that the securities are riskier than alternative investments linked to only one of the underlying
stocks or linked to a basket composed of each underlying stock |
| § | Understand and are willing to accept the full downside risks of each underlying stock |
| § | Are willing to forgo interest payments on the securities and dividends on securities included in the
underlying stocks |
| § | Are willing to hold the securities to maturity |
The securities are not designed for, and may not be an appropriate
investment for, investors who:
| § | Seek a return that is not limited by a contingent fixed payment |
| § | Seek a liquid investment or are unable or unwilling to hold the securities to maturity |
| § | Are unwilling to accept the risk that the ending price of the lowest performing underlying stock may
decrease by more than 40% from its starting price, resulting in a loss of a significant portion or all of the initial investment |
| § | Seek full return of the face amount of the securities at maturity |
| § | Seek current income from their investments |
| § | Are unwilling to accept the risk of exposure to each of the underlying stocks |
| § | Seek exposure to the lowest performing underlying stock but are unwilling to accept the risk/return
trade-offs inherent in the maturity payment amount for the securities |
| § | Seek exposure to a basket composed of each underlying stock or a similar investment in which the overall
return is based on a blend of the performances of the underlying stocks, rather than solely on the lowest performing underlying stock |
| § | 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 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 principal at risk securities for risks related to an
investment in the securities. For more information about the underlying stocks, please see the sections titled “NVIDIA Corporation
Overview” and “Advanced Micro Devices, Inc. Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Determining Maturity Payment Amount |
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Payoff Diagram
The payoff diagram below illustrates the maturity payment amount on
the securities based on a range of hypothetical underlying returns of the lowest performing underlying stock and the following terms:
Face amount: |
$1,000 per security |
Hypothetical contingent fixed return: |
22.00% of the face amount. The actual contingent fixed return will be determined on the pricing date. |
Threshold price: |
60% of the starting price of the lowest performing underlying stock |
Securities Payoff Diagram |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324011120/image_006.jpg) |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
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 prices of the underlying stocks relative to their respective starting prices. We cannot predict the ending prices of the underlying
stocks 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 stocks. The numbers appearing in the examples below may have been rounded for ease of analysis. Notwithstanding
anything to the contrary in the accompanying product supplement for principal at risk securities, the amount you will receive per
$1,000 face amount of securities at maturity will be the maturity payment amount, defined and calculated as provided in this document.
The following scenario analysis and examples illustrate the maturity payment amount on a hypothetical offering of the securities, based
on the following terms*:
Investment term: |
Approximately 1 year |
Hypothetical starting price: |
With respect to the NVDA Stock: $100.00
With respect to the AMD Stock: $100.00
|
Hypothetical threshold price: |
With respect to the NVDA Stock, $60.00, which is 60% of its respective
hypothetical starting price
With respect to the AMD Stock, $60.00, which is 60% of its respective
hypothetical starting price
|
Hypothetical contingent fixed return: |
22.00% of the face amount ($220 per face amount). The actual contingent fixed return will be determined on the pricing date. |
*The hypothetical starting price of $100.00 for each underlying stock has been chosen for illustrative purposes only and does not represent the actual starting price of either underlying stock. The actual starting prices, threshold prices and contingent fixed return will be determined on the pricing date and will be set forth under “Terms” above. For historical data regarding the actual stock closing prices of the underlying stocks, see the historical information set forth herein. |
Example 1 — Each
underlying stock appreciates substantially over the term of the securities, and investors therefore receive the face amount plus the contingent
fixed return. Investors do not participate in the appreciation of either of the underlying stocks.
Ending price |
|
NVDA Stock: $200.00
AMD Stock: $250.00
|
Underlying return |
|
NVDA Stock: ($200.00 – $100.00) / $100.00 = 100%
AMD Stock: ($250.00 – $100.00) / $100.00 = 150%
|
Maturity payment amount |
= |
$1,000 + contingent fixed return |
|
= |
$1,000 + $220 |
|
= |
$1,220 |
In example 1, the ending price of each of the NVDA Stock and AMD Stock
is greater than its starting price. Therefore, investors receive at maturity the face amount plus the contingent fixed return of
$220 per face amount. Investors receive $1,220 per security at maturity. The actual contingent fixed return will be determined on the
pricing date.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Example 2 — One
underlying stock appreciates while the other declines over the term of the securities, but neither underlying stock declines below its
respective threshold price. Investors receive the face amount plus the contingent fixed return.
Ending price |
|
NVDA Stock: $110.00
AMD Stock: $80.00
|
Underlying return |
|
NVDA Stock: ($110.00 – $100.00) / $100.00 = 10%
AMD Stock: ($80.00 – $100.00) / $100.00 = -20%
|
Maturity payment amount |
= |
$1,000 + contingent fixed return |
|
= |
$1,000 + $220 |
|
= |
$1,220 |
In example 2, the ending price of the NVDA Stock is greater than its
starting price, while the ending price of the AMD Stock is less than its starting price, but is greater than or equal to its respective
threshold price. Therefore, investors receive at maturity the face amount plus the contingent fixed return of $220 per face amount.
The actual contingent fixed return will be determined on the pricing date.
Example 3 — Each
underlying stock declines below its respective threshold price. Investors are therefore exposed to the decline in the lowest performing
underlying stock from its starting price.
Ending price |
|
NVDA Stock: $30.00
AMD Stock: $40.00
|
Underlying return |
|
NVDA Stock: ($30.00 – $100.00) / $100.00 = -70%
AMD Stock: ($40.00 – $100.00) / $100.00 = -60%
|
Maturity payment amount |
= |
$1,000 + [$1,000 × underlying return of lowest performing underlying stock] |
|
= |
$1,000 + [$1,000 ×-70%] |
|
= |
$300 |
In example 3, the ending price of each underlying stock is less than
its respective threshold price. Therefore, investors are exposed to the negative performance of the NVDA Stock, which is the lowest performing
underlying stock in this example. Investors receive a maturity payment amount of $300.
Because the maturity payment amount of the securities is based on
the lowest performing underlying stock, a decline in either of the underlying stocks below its respective threshold price will result
in a significant loss of your investment, even if the other underlying stock has appreciated or has not declined as much.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Scenario Analysis
– Hypothetical Maturity Payment Amount for each $1,000 Face Amount of Securities.
Performance of
the Lowest Performing Underlying Stock
|
Performance of the Securities(1)
|
Ending Price
|
Underlying Return
|
Maturity Payment
Amount
|
Return on Securities(2)
|
$200 |
100.00% |
$1,220.00 |
22.00% |
$190 |
90.00% |
$1,220.00 |
22.00% |
$180 |
80.00% |
$1,220.00 |
22.00% |
$170 |
70.00% |
$1,220.00 |
22.00% |
$160 |
60.00% |
$1,220.00 |
22.00% |
$150 |
50.00% |
$1,220.00 |
22.00% |
$140 |
40.00% |
$1,220.00 |
22.00% |
$130 |
30.00% |
$1,220.00 |
22.00% |
$120 |
20.00% |
$1,220.00 |
22.00% |
$110 |
10.00% |
$1,220.00 |
22.00% |
$105 |
5.00% |
$1,220.00 |
22.00% |
$100(3) |
0.00% |
$1,220.00 |
22.00% |
$95 |
-5.00% |
$1,220.00 |
22.00% |
$90 |
-10.00% |
$1,220.00 |
22.00% |
$80 |
-20.00% |
$1,220.00 |
22.00% |
$70 |
-30.00% |
$1,220.00 |
22.00% |
$60 |
-40.00% |
$1,220.00 |
22.00% |
$59 |
-41.00% |
$590.00 |
-41.00% |
$50 |
-50.00% |
$500.00 |
-50.00% |
$40 |
-60.00% |
$400.00 |
-60.00% |
$30 |
-70.00% |
$300.00 |
-70.00% |
$20 |
-80.00% |
$200.00 |
-80.00% |
$10 |
-90.00% |
$100.00 |
-90.00% |
$0 |
-100.00% |
$0.00 |
-100.00% |
|
|
|
|
|
| (1) | Assumes a contingent fixed return of 22.00% of the face amount ($220 per face amount). The actual contingent fixed return will
be determined on the pricing date. |
| (2) | The “Return on Securities” is the number, expressed as a percentage, which results from comparing the maturity payment
amount per $1,000 face amount of securities to the purchase price of $1,000 per security. |
| (3) | The hypothetical starting price of the lowest performing underlying stock. |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
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 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, and you will lose more than 40%, and possibly all, of the face
amount of your securities at maturity if the ending price of the lowest performing underlying stock is less than its respective threshold
price. The terms of the securities differ from those of ordinary debt securities in that the securities do not pay interest or repay
a fixed amount of the face amount of the securities. If the ending price of the lowest performing underlying stock is less than its threshold
price, which is 60% of the starting price, you will lose more than 40%, and possibly all, of the face amount of your securities at maturity.
Investors may lose their entire investment in the securities. |
| § | Your potential return on the securities is fixed and limited. Your potential return on the securities
at maturity is limited to the contingent fixed return. Your return on the securities will not exceed the contingent fixed return, even
if the lowest performing underlying stock appreciates by significantly more than the return represented by the contingent fixed return.
If the lowest performing underlying stock appreciates by more than the return represented by the contingent fixed return, the securities
will underperform an alternative investment providing 1-to-1 exposure to the performance of the lowest performing underlying stock. |
| § | 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. or any
other dealer may be willing to purchase or sell the securities in the secondary market, including the price, volatility (frequency and
magnitude of changes in price) and dividend yield of the underlying stocks, 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 stocks
or equities markets generally and which may affect the ending prices of the underlying stocks 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 securities
will be affected by the other factors described above. The prices of the underlying stocks may be, and have recently been, volatile, and
we can give you no assurance that the volatility will lessen. See “NVIDIA Corporation Overview” and “Advanced Micro
Devices, Inc. Overview” below. You may receive less, and possibly significantly less, than the face amount per security if you try
to sell your securities prior to maturity. |
| § | 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 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. |
| § | The amount payable on the securities is not linked to the values of the underlying stocks at any
time other than the calculation day. The ending price of each underlying stock will be based on the stock closing price of such underlying
stock on the calculation day, subject to postponement for non-trading days and certain market disruption events. Even if both underlying
stocks appreciate prior to the calculation day but the price of either underlying stock decreases by the calculation day, the maturity
payment amount will be less, and may be significantly less, than it would have been had the maturity payment amount been linked to the
prices of the underlying stocks prior to such decrease. Although the actual prices of the underlying stocks on the maturity date or at
other times during the term of the securities may be higher than their respective ending prices, the maturity payment amount will be based
solely on the stock closing prices of the underlying stocks on the calculation day. |
| § | Investing in the securities is not equivalent to investing in the underlying stocks. Investing
in the securities is not equivalent to investing in the underlying stocks. Investors in the securities will not have voting rights or
rights to receive dividends |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
or other distributions or any other rights with respect
to the underlying stocks. As a result, any return on the securities will not reflect the return you would realize if you actually owned
shares of the underlying stocks and received the dividends paid or distributions made on them.
| § | 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 underlying stocks, 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 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 prices, the threshold
prices and the ending prices 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 certain adjustments to the adjustment factors. 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— Certain Terms for Securities Linked to an Underlying Stock— Market
Disruption Events,” “—Adjustment Events,” “—Consequences of a Market Disruption Event; Postponement
of a Calculation Day,” “—Alternate Exchange Calculation in Case of an Event of Default” and related definitions
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 |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
instruments linked to the underlying stocks), including
trading in the underlying stocks. 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 calculation day approaches. Some
of our affiliates also trade the underlying stocks and other financial instruments related to the underlying stocks 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 price of an underlying stock, and, therefore, could increase the price at or above which such underlying
stock must close on the calculation day so that investors do not suffer a significant loss on their initial investment in the securities
(depending also on the performance of the other underlying stocks). Additionally, such hedging or trading activities during the term of
the securities, including on the calculation day, could adversely affect the price of an underlying stock on the calculation day, and,
accordingly, the amount of cash an investor will receive at maturity, if any (depending also on the performance of the other underlying
stocks).
| § | 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 securities 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 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 underlying stocks 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 Underlying Stocks
| § | You are exposed to the price risk of each underlying stock. Your return on the securities is
not linked to a basket consisting of each underlying stock. Rather, it will be based upon the independent performance of each underlying
stock. 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 stock. Poor performance by either underlying
stock over the term of the securities will negatively affect your return and will not be offset or mitigated by any positive performance
by the other underlying stock. If either underlying stock declines to below its respective threshold price as of the calculation day,
you will be exposed to the negative performance of the lowest performing underlying stock at maturity, even if the other underlying stock
has appreciated or has not declined as much, and you will lose a significant portion or all of your investment. Accordingly, your investment
is subject to the price risk of each underlying stock. |
| § | Because the securities are linked to the performance of the lowest performing underlying stock, you
are exposed to greater risk of sustaining a significant loss on your investment than if the securities were linked to just one underlying
stock. The risk that you will suffer a significant loss on your investment is greater if you invest in the securities as opposed to
substantially similar securities that are linked to just the performance of one underlying stock. With two underlying stocks, it is more
likely that either underlying stock will decline to below its threshold price as of the calculation day, than if the securities were linked
to only one underlying stock. Therefore it is more likely that you will suffer a significant loss on your investment. |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
| § | No affiliation with NVIDIA Corporation or Advanced Micro Devices, Inc. NVIDIA Corporation aor
Advanced Micro Devices, Inc. are not affiliates of ours, are not involved with this offering in any way, and have no obligation to consider
your interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry
with respect to NVIDIA Corporation or Advanced Micro Devices, Inc. in connection with this offering. |
| § | We may engage in business with or involving NVIDIA Corporation or Advanced Micro Devices, Inc. without
regard to your interests. We or our affiliates may presently or from time to time engage in business with NVIDIA Corporation, or Advanced
Micro Devices, Inc. without regard to your interests and thus may acquire non-public information about NVIDIA Corporation or Advanced
Micro Devices, Inc. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates
from time to time have published and in the future may publish research reports with respect to NVIDIA Corporation or Advanced Micro Devices,
Inc. which may or may not recommend that investors buy or hold the underlying stock. |
| § | The antidilution adjustments the calculation agent is required to make do not cover every corporate
event that could affect the underlying stocks. MS & Co., as calculation agent, will adjust the adjustment factors for certain
corporate events affecting the underlying stocks, such as stock splits, stock dividends and extraordinary dividends, and certain other
corporate actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment
for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required to make any adjustments
if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying stocks, nor
will adjustments be made following the final calculation day. In addition, no adjustments will be made for regular cash dividends, which
are expected to reduce the price of the underlying stocks by the amount of such dividends. If an event occurs that does not require the
calculation agent to adjust an adjustment factor, such as a regular cash dividend, the market price of the securities and your return
on the securities may be materially and adversely affected. For example, if the record date for a regular cash dividend were to occur
on or shortly before a calculation day, this may decrease the stock closing price of an underlying stock to be less than its downside
threshold price (resulting in a loss of a significant portion of all of your investment in the securities), materially and adversely affecting
your return. |
| § | Historical stock closing prices of the underlying stocks should not be taken as an indication of
the future performance of the underlying stocks during the term of the securities. No assurance can be given as to the price of the
underlying stocks at any time, including on the calculation day, because historical prices of the underlying stocks do not provide an
indication of future performance of the underlying stocks. |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
NVIDIA Corporation Overview |
NVIDIA Corporation is a visual computing company. The underlying stock
is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or filed
with the Securities and Exchange Commission by NVIDIA Corporation pursuant to the Exchange Act can be located by reference to the Securities
and Exchange Commission file number 000-23985 through the Securities and Exchange Commission’s website at www.sec.gov. In addition,
information regarding NVIDIA Corporation may be obtained from other sources including, but not limited to, press releases, newspaper articles
and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding the issuer of the underlying stock is accurate or complete.
The following graph sets forth the daily stock closing prices of the
NVDA Stock for the period from January 1, 2019 through July 26, 2024. The stock closing price of the NVDA Stock on July 26, 2024 was $113.06.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical stock
closing prices of the NVDA Stock may have been adjusted for stock splits and other corporate events. The historical performance of the
NVDA Stock should not be taken as an indication of its future performance, and no assurance can be given as to the stock closing price
of the NVDA Stock at any time, including on the calculation day.
Common Stock of NVIDIA
Corporation
Daily Stock Closing Prices
January 1, 2019 to July
26, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324011120/image_005.jpg) |
This document relates only to the securities offered hereby and
does not relate to the NVDA Stock or other securities of NVIDIA Corporation. We have derived all disclosures contained in this document
regarding the NVDA Stock from the publicly available documents described above. In connection with the offering of the securities, neither
we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to NVIDIA Corporation.
Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
NVIDIA Corporation is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof
(including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect
the trading price of the NVDA Stock (and therefore the price of the NVDA Stock at the time we price the securities) have been publicly
disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning NVIDIA
Corporation. could affect the value received with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the NVDA Stock.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
Advanced Micro Devices, Inc. Overview |
Advanced Micro Devices, Inc. manufactures semiconductor products. The
AMD Stock is registered under the Exchange Act. Information provided to or filed with the Securities and Exchange Commission by Advanced
Micro Devices, Inc. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-07882
through the Securities and Exchange Commission’s website at www.sec.gov. In addition, information regarding Advanced Micro Devices,
Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available
information regarding the issuer of the AMD Stock is accurate or complete.
The following graph sets forth the daily stock closing prices of the
AMD Stock for the period from January 1, 2019 through July 26, 2024. The stock closing price of the AMD Stock on July 26, 2024 was $139.99.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical stock
closing prices of the AMD Stock may have been adjusted for stock splits and other corporate events. The historical performance of the
AMD Stock should not be taken as an indication of its future performance, and no assurance can be given as to the stock closing price
of the AMD Stock at any time, including on the calculation day.
Common Stock of Advanced
Micro Devices, Inc.
Daily Stock Closing Prices
January 1, 2019 to July
26, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324011120/image_004.jpg) |
This document relates only to the securities offered hereby and
does not relate to the AMD Stock or other securities of Advanced Micro Devices, Inc. We have derived all disclosures contained
in this document regarding AMD Stock from the publicly available documents described above. In connection with the offering
of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with
respect to Advanced Micro Devices, Inc. Neither we nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding Advanced Micro Devices, Inc. is accurate or complete. Furthermore, we
cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness
of the publicly available documents described above) that would affect the trading price of the AMD Stock (and therefore the price of
the AMD Stock at the time we price the securities) have been publicly disclosed. Subsequent disclosure of any such events or
the disclosure of or failure to disclose material future events concerning Advanced Micro Devices, Inc. could affect the value received
with respect to the securities and therefore the value of the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the AMD Stock.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
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 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.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due August 28, 2025
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 $23.25 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 $17.50 per
security. In addition to the selling concession allowed to WFA, WFS will 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,
including the contingent fixed return, 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 for principal at risk securities.
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) 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 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, please note that all references in such supplement 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
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
Prospectus dated April 12, 2024
Terms used but not defined in this document are
defined in the product supplement for principal at risk securities or in the prospectus.
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