Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
12 Agosto 2024 - 3:58PM
Edgar (US Regulatory)
|
Morgan Stanley Finance LLC
Structured Investments |
Free Writing Prospectus to Preliminary Pricing Supplement
No. 3,499
Filed pursuant to Rule 433
Registration Statement Nos. 333-275587; 333-275587-01
August 12, 2024 |
|
Market Linked Securities—Callable
with Contingent Coupon and Contingent Downside
Principal at Risk Securities
Linked to the Lowest Performing of the Nasdaq-100® Technology Sector IndexSM, the S&P 500®
Index and the iShares® Russell 2000 Value ETF due May 26, 2028
Fully and Unconditionally Guaranteed by Morgan Stanley
|
Summary
of terms
| Issuer and guarantor |
Morgan Stanley Finance LLC (issuer) and Morgan Stanley (guarantor) |
| Underlyings |
Nasdaq-100® Technology Sector IndexSM (the
“NDXT Index”), S&P 500® Index (the “SPX Index”) and iShares® Russell 2000 Value
ETF (the “IWN Shares”) |
| Pricing date* |
August 23, 2024 |
| Original issue date* |
August 28, 2024 |
| Face amount |
$1,000 per security |
| Contingent coupon payments |
On each contingent coupon payment date, you will receive a contingent coupon payment at a per annum rate equal to the contingent coupon rate if, and only if, the closing level of the lowest performing underlying on the related calculation day is greater than or equal to its coupon threshold level. Each “contingent coupon payment”, if any, will be calculated per security as follows: ($1,000 × contingent coupon rate) / 4. |
| Contingent coupon rate |
At least 10.40% per annum, to be determined on the pricing date |
| Call Feature |
On any redemption date, we will redeem the securities for a redemption price per security equal to the face amount plus a final contingent coupon payment, if any, if and only if the output of a risk neutral valuation model on a business day, as selected by the calculation agent, that is no earlier than three business days before the calculation day preceding such redemption date and no later than such calculation day (the “determination date”), taking as input: (i) prevailing reference market levels, volatilities and correlations, as applicable and in each case as of the determination date and (ii) Morgan Stanley’s credit spreads as of the pricing date, indicates that redeeming on such redemption date is economically rational for us as compared to not redeeming on such redemption date. If we call the securities, we will give you notice no later than the calculation day preceding the redemption date specified in the notice. No further payments will be made on the securities once they have been redeemed. |
| Calculation days |
Quarterly, on the 23rd of each February, May, August and November, commencing November 2024 and ending on the final calculation day. We refer to May 23, 2028 as the “final calculation day.” |
| Contingent coupon payment dates |
Three business days after the applicable calculation day; provided that the coupon payment date for the final calculation day is the maturity date. |
| Redemption dates |
Quarterly, beginning approximately six months after the issue date, on the contingent coupon payment date following each calculation day scheduled to occur from February 2025 to February 2028, inclusive. |
| Maturity payment amount (per security) |
·
if the ending level of each underlying is greater
than or equal to its respective downside threshold level:
$1,000; or
·
if the ending level of any underlying is less
than its respective downside threshold level:
$1,000 × performance factor of the lowest performing
underlying on the final calculation day |
| Maturity date* |
May 26, 2028 |
| Starting level |
For each underlying, its closing level or closing price on the pricing date |
| Ending level |
For each underlying, its closing level on the final calculation day |
| Adjustment factor: |
The “adjustment factor” means, 1.0, subject to adjustment in the event of certain events affecting the Fund. |
| Lowest performing underlying |
On any calculation day, the underlying with the lowest performance factor on that calculation day |
| Performance factor |
With respect to each underlying, on any calculation day, its closing level on such calculation day divided by its starting level |
| Coupon threshold level |
70% of the starting level for each underlying |
| Downside threshold level |
70% of the starting level for each underlying |
| Calculation agent |
Morgan Stanley & Co. LLC, an affiliate of the issuer |
| Denominations |
$1,000 and any integral multiple of $1,000 |
| Agent discount** |
Morgan Stanley & Co. LLC and Wells Fargo Securities, LLC will act as the agents for this offering. Wells Fargo Securities, LLC 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 may receive a distribution expense fee of $0.75 for each security sold by WFA. |
| CUSIP |
61776RHP2 |
| Tax considerations |
See preliminary pricing supplement |
*Subject
to change
** In addition,
selected dealers may receive a fee of up to 0.35% for marketing and other services
Hypothetical
payout profile (excluding contingent coupon payments)
If the securities are not called prior to the maturity date and the
ending level of any underlying is less than its downside threshold level, you will lose more than 30%, and possibly all, of the face amount
of your securities at the maturity date.
Any return on the securities will be limited to the sum of your contingent
coupon payments, if any. You will not participate in any appreciation of any underlying, but you will have full downside exposure to the
lowest performing underlying on the final calculation day if the ending level of that underlying is less than its downside threshold level.
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 $965.60, or within $45.00 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. See “Investment
Summary” and “Risk Factors” in the accompanying preliminary pricing supplement for further information.
This document provides a summary of the terms
of the securities. Investors should carefully review the accompanying preliminary pricing supplement, product supplement for principal
at risk securities, index supplement and prospectus before making a decision to invest in the securities.
Preliminary Pricing Supplement:
https://www.sec.gov/Archives/edgar/data/895421/000095010324012067/dp216561_424b2-ps3499.htm
| |
| The securities have complex features and investing in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors” in the accompanying preliminary pricing supplement. All payments on the securities are subject to our credit risk. |
| This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision. |
| 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. |
Selected risk considerations
The risks set forth below are discussed in more detail in
the “Risk Factors” section in the accompanying preliminary pricing supplement, product supplement for principal at risk securities,
index supplement and prospectus. Please review those risk factors carefully.
Risks Relating to an Investment in the Securities
| · | The securities do not guarantee the return of the face amount of your securities at maturity. |
| · | The securities do not provide for the regular payment of interest. |
| · | The securities have early redemption risk. |
| · | The contingent coupon payment, if any, is based on the value of each underlying on only the related quarterly calculation day. |
| · | Investors will not participate in any appreciation in any underlying. |
| · | The market price will be influenced by many unpredictable factors. |
| · | 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. |
| · | As a finance subsidiary, MSFL has no independent operations and will have no independent assets. |
| · | Investing in the securities is not equivalent to investing in the underlyings or the stocks composing the Indices or the fund 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 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. |
| · | 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. |
| · | The securities will not be listed on any securities exchange and secondary trading may be limited. |
| · | The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect
to the securities. |
| · | Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities. |
| · | The maturity date may be postponed if the final calculation day is postponed. |
| · | Potentially inconsistent research, opinions or recommendations by Morgan Stanley, MSFL, WFS or our or their respective affiliates. |
| · | The U.S. federal income tax consequences of an investment in the securities are uncertain. |
Risks
Relating to the Underlyings
| · | You are exposed to the price risk of each underlying. |
| · | Because the securities are linked to the performance of the lowest performing
underlying, you are exposed to greater risks of receiving no contingent coupon payments and sustaining a significant loss on your investment
than if the securities were linked to just one underlying. |
| · | Investing in the securities exposes investors to risks associated with
investments in securities with a concentration in the technology sector. |
| · | The investment strategy represented by the iShares® Russell
2000 Value ETF may not be successful. |
| · | The securities are linked to the iShares® Russell 2000 Value
ETF and are subject to risks associated with small-capitalization companies. |
| · | The performance and market price of the Fund, particularly during periods of market volatility, may not correlate with the performance
of the fund underlying index, the performance of the component stocks of the fund underlying index or the net asset value per share of
the Fund. |
| · | The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the Fund. |
| · | Adjustments to the Indices could adversely affect the value of the securities. |
| · | Adjustments to the Fund or to the fund underlying index could adversely affect the value of the securities. |
| · | Historical levels of the underlyings should not be taken as an indication of the future performance
of the underlyings during the term of the securities. |
| |
| For more information about the underlyings, including historical performance information, see the accompanying preliminary pricing supplement. |
Morgan Stanley and MSFL have
filed a registration statement (including a prospectus, as supplemented by the applicable 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 applicable 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. 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 applicable product supplement,
index supplement and prospectus if you so request by calling toll-free 1-(800)-584-6837.
Wells Fargo Advisors is a trade name used
by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo Finance LLC and Wells Fargo & Company.
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