August 2024
Preliminary Pricing Supplement No. 3,537
Registration Statement Nos. 333-275587; 333-275587-01
Dated August 16, 2024
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Market
Linked Securities—Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities
Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26,
2027
Fully and Unconditionally
Guaranteed by Morgan Stanley
§ Linked
to the lowest performing of the common stock of Microsoft Corporation and the common stock of NVIDIA Corporation (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, do not guarantee the repayment of principal and
are subject to potential automatic call prior to the maturity date upon the terms described below. The securities have the terms described
in the accompanying product supplement for principal at risk securities and prospectus, as supplemented or modified by this document.
§ Automatic
Call. The securities will be automatically called if the stock closing price of the lowest performing underlying stock on the call
date is greater than or equal to its starting price for a call payment equal to the face amount plus the call premium of
at least 40.00% of the face amount (to be determined on the pricing date). No further payments will be made on the securities once they
have been called.
§ Maturity
Payment Amount. If the securities are not automatically called prior to maturity, you will receive at maturity a cash payment per
security as follows:
§ If
the ending price of the lowest performing underlying stock is greater than its starting price, you will receive a maturity payment
amount equal to the face amount plus a positive return equal to 200% of the percentage increase in the price of the lowest performing
underlying stock from its starting price.
§ If
the ending price of the lowest performing underlying stock is equal to or less than its starting price, but greater than or
equal to 50% of its starting price, which we refer to as the threshold price, you will receive a maturity payment amount of $1,000
per $1,000 security.
§ If
the ending price of the lowest performing underlying stock is 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 50%, and possibly
all, of your initial investment.
§ The
maturity payment amount may be significantly less than the face amount, and you could lose your entire investment.
§ The
securities are for investors who are willing to risk their principal and forgo current income in exchange for the possibility of receiving
a call payment greater than the face amount if the stock closing price of each underlying stock is greater than or equal to
its starting price on the call date or maturity payment amount greater than the face amount if the ending price of each underlying
stock is greater than its starting price on the calculation day.
§ Because
all payments on the securities are based on the lowest performing of the underlying stocks, a decline in price of more than 50% by either
underlying stock will result in a loss on your investment, even if the price of the other underlying stock has appreciated or has not
declined as much.
§ If
the securities are automatically called prior to maturity, investors will not participate in any appreciation of either underlying stock.
§ 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, the underlying
stocks.
|
The current estimated value of the securities
is approximately $965.70 per security, or within $30.00 of that estimate. The estimated value of the securities is determined using our
own pricing and valuation models, market inputs and assumptions relating to the 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 10. All payments on the securities are subject to our credit risk.
The Securities and Exchange Commission and state
securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement
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 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(2) |
Per
security |
$1,000 |
$25.75 |
$974.25 |
Total |
$ |
$ |
$ |
| (1) | Wells Fargo Securities, LLC, an agent for this offering, will receive a commission of up to $25.75 for each security it sells.
Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of up to $20.00 per security, and WFA may
receive a distribution expense fee of $0.75 for each security sold by WFA. See “Supplemental information concerning plan of distribution;
conflicts of interest.” |
| (2) | In respect of certain securities sold in this offering, we may pay a fee of up to $3.50 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. |
Morgan Stanley |
Wells Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity
date: |
August 26, 2027†, subject to postponement if the calculation day is postponed |
Underlying
stocks: |
The common stock of Microsoft Corporation (the “MSFT Stock”) and the common stock of NVIDIA Corporation (the “NVDA Stock”) (each referred to as an “underlying stock,” and collectively as the “underlying stocks”) |
Automatic
call: |
If, on the call date, the stock closing price of the lowest performing
underlying stock is greater than or equal to its starting price, the securities will be automatically called for the call payment
on the call settlement date.
The securities will not be automatically called on the call settlement
date if the stock closing price of either underlying stock is less than its starting price on the call date.
If the securities are automatically called, the positive return
on the securities will be limited to the call premium, even if the stock closing price of the lowest performing underlying stock on the
call date significantly exceeds its starting price. If the securities are automatically called, you will not participate in any appreciation
of either underlying stock.
|
Call
payment: |
The call payment will be an amount in cash per face amount of at least
$1,400, which corresponds to a call premium of at least 40.00% of the face amount. The actual call payment and call premium will be determined
on the pricing date.
No further payments will be made on the securities once they have been
called.
|
Call
date: |
August 27, 2025†* |
Call
settlement date: |
Three business days after the call date.* |
Maturity payment amount: |
If the securities are not automatically called prior to maturity, you
will be entitled to receive on the maturity date a cash payment per security as follows:
§ if
the ending price of the lowest performing underlying stock is greater than its starting price:
$1,000 + ($1,000 × stock return of the lowest performing
underlying stock × participation rate)
§ if
the ending price of the lowest performing underlying stock is equal to or less than its starting price but greater than or equal
to its threshold price:
$1,000
§ if
the ending price of the lowest performing underlying stock is less than its threshold price:
$1,000 + $1,000 ×
(stock return of the lowest performing underlying stock)
Under these circumstances, you will lose more than 50%,
and possibly all, of your investment.
|
Participation
rate: |
200% |
Stock
closing price: |
With respect to each underlying stock, stock closing price, closing price and adjustment factor have the meanings set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Underlying Stock—Certain Definitions” in the accompanying product supplement for principal at risk securities. |
Starting
price: |
With respect to the common stock of
Microsoft Corporation: $ , which is the stock closing price on the pricing date
With respect to the common stock of
NVIDIA Corporation: $ , which is the stock closing price on the pricing date
|
Ending
price: |
With respect to each underlying stock, the stock closing price on the calculation day |
Threshold
price: |
With respect to the common stock of Microsoft Corporation: $ , which
is equal to 50% of the starting price
With respect to the common stock of NVIDIA Corporation: $ , which is
equal to 50% of the starting price
|
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Calculation
day: |
August 23, 2027**†, subject to postponement for non-trading days and certain market disruption events. |
Lowest
performing underlying stock: |
The underlying stock with the lower stock return |
Stock
return: |
With respect to each underlying stock, (ending price – starting price) / (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 22, 2024*† |
Original
issue date: |
August 27, 2024*† (3 business days after the pricing date) |
CUSIP
/ ISIN: |
61776RKD5 / US61776RKD51 |
Listing: |
The securities will not be listed on any securities exchange. |
Agents: |
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and Wells Fargo Securities, LLC (“WFS”). See “Additional Information About the Securities—Supplemental information regarding plan of distribution; conflicts of interest.” |
†To the extent we make any change to the pricing date or original
issue date, the call date, 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—Consequences
of a Market Disruption Event; Postponement of a Calculation Day” in the accompanying product supplement for principal at risk securities.
|
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Estimated Value of the Securities |
The face amount of each security is $1,000. This price includes costs
associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value
of the securities on the pricing date will be less than $1,000 per security. We estimate that the value of each security on the pricing
date will be approximately $965.70, or within $30.00 of that estimate. Our estimate of the value of the securities as determined on the
pricing date will be set forth in the final pricing supplement.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the 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
call payment amount 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 — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
The Principal at Risk Securities Linked to the Lowest Performing of
the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027 (the “securities”)
may be appropriate for investors who:
| § | believe that the stock closing price of each underlying stock will
be greater than or equal to its starting price on the call date; |
| § | seek the potential for a fixed return if the stock closing price of each
underlying stock has appreciated at all as of the call date in lieu of 200% leveraged participation in any potential appreciation of either
underlying stock; |
| § | if the securities are not automatically called prior to maturity, seek exposure
to 200% of the positive performance of the lowest performing underlying stock if the ending price of the lowest performing underlying
stock is greater than its starting price; |
| § | understand that if the stock closing price of either underlying stock
is less than its starting price on the call date and the ending price of either underlying stock is less than its
starting price on the calculation day, they will not receive any positive return on their investment in the securities, and that if the
stock closing price of either underlying stock on the calculation day has declined by more than 50% from its starting price, they
will lose more than 50%, and possibly all, of the face amount of their securities at maturity; |
| § | understand that the term of the securities may be as short as approximately
one year, and that if the securities are automatically called, no further payments will be made on the securities once they have been
called; |
| § | understand that the return on the securities will depend solely on the performance
of the underlying stock that is the lowest performing underlying stock on the call date or, if the securities are not automatically called
prior to maturity, on the calculation day, and that they will not benefit in any way from the performance of the better performing underlying
stock on either date; |
| § | 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
the underlying stocks; and |
| § | are willing to hold the securities until maturity. |
The securities are not designed for, and may not be an appropriate
investment for, investors who:
| § | seek a liquid investment or are unable or unwilling to hold the securities
to maturity; |
| § | require full payment of the face amount of the securities at maturity; |
| § | believe that the stock closing price of each underlying stock will be less
than its starting price on the call date or the calculation day; |
| § | seek a security with a fixed term; |
| § | are unwilling to accept the risk that, if the stock closing price of either
underlying stock is less than its starting price on the call date and, if the securities are not automatically called prior to maturity,
the calculation day, they will not receive any positive return on their investment in the securities; |
| § | are unwilling to accept the risk that, if the securities are not automatically
called prior to maturity, the stock closing price of the lowest performing underlying stock on the calculation day may decline by more
than 50% from its starting price to its ending price, in which case they will lose more than 50%, and possibly all, of the face amount
of their securities at maturity; |
| § | are unwilling to accept the risk of exposure to the underlying stocks; |
| § | are unwilling to accept our credit risk; or |
| § | prefer the lower risk of fixed income investments with comparable maturities
issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Risk Factors” herein and in the accompanying product supplement for risks related to an investment in the securities. For
more information about the underlying stocks, please see the sections titled “Microsoft Corporation Overview” and “NVIDIA
Corporation Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Determining Timing and Amount of Payment on the Securities |
The timing and amount of the payment you will receive will be determined
as follows:
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Hypothetical Payout Profile |
The hypothetical payout profile
below illustrates the call payment or maturity payment amount on the securities, as applicable, for a range of hypothetical performances
of the lowest performing underlying stock from its starting price to its closing price on the call date or the calculation day, as applicable.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Scenario Analysis and Examples of Hypothetical Payments on the Securities |
The following scenario analysis
and examples are provided for illustrative purposes only and are hypothetical. Whether the securities are automatically called prior to
maturity will be determined by reference to the stock closing price of each underlying stock on the call date, and the maturity payment
amount will be determined by reference to the stock closing price of each underlying stock on the calculation day. The actual call payment,
starting prices and threshold prices will be determined on the pricing date. Some numbers appearing in the examples below have been rounded
for ease of analysis. All payments on the securities are subject to our credit risk. The below examples are based on the following terms*:
Investment term: |
Approximately 3 years |
Hypothetical call payment: |
The hypothetical call payment will
be an amount in cash per face amount (corresponding to a return of approximately 40.00% of the face amount), as follows:
· Call
date: $1,400
No further payments will be made
on the securities once they have been called.
|
Hypothetical starting price: |
With respect to the MSFT Stock:
$100.00
With respect to the NVDA Stock:
$100.00
|
Hypothetical threshold price: |
With respect to the MSFT Stock:
$50.00, which is 50% of the hypothetical starting price
With respect to the NVDA Stock:
$50.00, which is 50% of the hypothetical starting price
|
Participation rate: |
200% |
* The hypothetical starting price of $100.00 for the underlying
stocks has been chosen for illustrative purposes only and does not represent the actual starting price of either underlying stock. The
actual starting prices and threshold prices will be determined on the pricing date and will be set forth under “Terms” above.
For historical data regarding the actual closing prices of the underlying stocks, see the historical information set forth herein.
Automatic Call:
Example 1 — The securities are automatically
called following the call date.
Date |
MSFT Stock Closing Price |
NVDA Stock Closing Price |
Payment (per Security) |
Call date |
$150.00 (greater than or equal to the starting price) |
$125.00 (greater than or equal to the starting price) |
$1,400 |
In this example, on the call date, the stock closing price of each
underlying stock is greater than or equal to its starting price. Therefore, the securities are automatically called on the call
settlement date. Investors will receive a payment of $1,400 per security on the call settlement date. No further payments will be made
on the securities once they have been called, and investors do not participate in the appreciation in either underlying stock.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
How to calculate the payment investors will receive at maturity:
In the following examples, the stock closing price
of one or both underlying stocks is less than its starting price on the call date, and, consequently, the securities are not automatically
called prior to maturity.
|
MSFT Stock Closing Price |
NVDA Stock Closing Price |
Maturity Payment Amount (per Security) |
Example 1 |
$120.00 (greater than the starting price) |
$110.00 (greater than the starting price) |
$1,000 + ($1,000 × stock return of the lowest performing underlying stock × participation rate) = $1,000 + ($1,000 × 10% × 200%) = $1,200 |
Example 2 |
$150.00 (greater than the starting price) |
$90.00 (less than the starting price but greater than or equal to the threshold price) |
$1,000 |
Example 3 |
$40.00 (less than the threshold price) |
$105.00 (greater than the starting price) |
$1,000 × $1,000 × (stock return of the lowest performing underlying stock) = $1,000 + ($1,000 × -60%) = $400 |
Example 4 |
$35.00 (less than the threshold price) |
$20.00 (less than the threshold price) |
$1,000 + ($1,000 × -80%) = $200 |
In example 1, the ending price of each underlying
stock is greater than its starting price. Therefore, investors receive at maturity the face amount plus a return reflecting
200% of the appreciation of the lowest performing underlying stock. Investors receive $1,200 per security at maturity.
In example 2, the ending price of one underlying
stock is greater than its starting price, but the ending price of the other underlying stock is less than the starting price.
Because the ending price of the lowest performing underlying stock is less than its starting price but greater than or equal
to its threshold price, investors receive a maturity payment amount equal to the face amount of $1,000 per security, representing
a 0% return over the 3-year term of the securities.
In example 3, the ending price of one underlying
stock is greater than its starting price, but the ending price of the other underlying stock is less than its threshold
price. Therefore, investors are fully exposed to the negative performance of the lowest performing underlying stock and will receive a
maturity payment amount that is less than the face amount of the securities, even though the value of one underlying stock has increased
from its starting price. The maturity payment amount is $400 per security, representing a loss of 60% on your investment over the 3-year
term of the securities.
In example 4, the ending price of each underlying
stock is less than its threshold price. Therefore, investors are fully exposed to the negative performance of the lowest performing
underlying stock and will receive a maturity payment amount that is less than the face amount of the securities. The maturity payment
amount is $200 per security, representing a loss of 80% on your investment over the 3-year term of the securities.
If the securities are not automatically called
prior to maturity and the ending price of EITHER underlying stock is less than its threshold price on the calculation day, you will be
fully exposed to the decline in the stock closing price of the lowest performing underlying stock. You may lose more than 50%, and possibly
all, of your investment.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
This section describes the material risks relating to the securities.
For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement for principal at risk securities and prospectus. We also urge you to consult your investment, legal, tax, accounting and other
advisers in connection with your investment in the securities.
Risks Relating to an Investment in the Securities
| § | The securities do not pay interest or guarantee the return
of the face amount of your securities at maturity. The terms of the securities differ from those of ordinary debt securities in that
they do not pay interest or guarantee the return of the face amount of your securities at maturity. If the securities have not been automatically
called and if the ending price of either underlying stock is less than its threshold price, you will lose more than 50%, and possibly
all, of your investment. |
| § | If the securities are automatically
called prior to maturity, the appreciation potential of the securities is limited by the fixed call payment specified for the call date.
If the stock closing price of each underlying stock is greater than or equal to its starting price on the call date, the
securities will be automatically called. In this scenario, the appreciation potential of the securities is limited to the fixed call payment
specified on the call date, and no further payments will be made on the securities once they have been called. In addition, if the securities
are automatically called prior to maturity, you will not participate in any appreciation of either underlying stock, which could be significant.
Moreover, the fixed call payment may be less than the maturity payment amount you would receive for the same level of appreciation of
the lowest performing underlying stock had the securities not been automatically called and instead remained outstanding until maturity. |
| § | The
market price will be influenced by many unpredictable factors. Several factors, many
of which are beyond our control, will influence the value of the securities in the secondary
market and the price at which MS & Co. may be willing to purchase or sell the securities
in the secondary market. We expect that generally the level of interest rates available in
the market and the value of each underlying stock on any day, including in relation to its
starting price and threshold price, will affect the value of the securities more than any
other factors. Other factors that may influence the value of the securities include: |
| o | the trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks, |
| o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks or securities
markets generally and which may affect the price of each underlying stock, |
| o | dividend rates on the underlying stocks, |
| o | the time remaining until the securities mature, |
| o | interest and yield rates in the market, |
| o | the availability of comparable instruments, |
| o | the occurrence of certain events affecting the underlying stocks that may or may not require an adjustment to the adjustment factors,
and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
Generally, the longer the time remaining
to maturity, the more the market price of the securities will be affected by the other factors described above. Some or all of these
factors will influence the price that you will receive if you sell your securities prior to maturity. For example, you may have to sell
your securities at a substantial discount from the face amount of $1,000 per security if the stock closing price of either underlying
stock at the time of sale is near or below its threshold price or if market interest rates rise.
You cannot predict the future performance
of either underlying stock based on historical performance. If the securities are not automatically called prior to maturity and the
ending price of either underlying stock is less than its threshold price, you will be exposed to any decline in the stock closing price
of the lowest performing underlying stock in excess of 50%. See “Microsoft Corporation Overview” and “NVIDIA Corporation
Overview” below.
| § | The securities are subject to our credit risk, and any
actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. You
are dependent on our ability to pay all amounts due on the securities upon an automatic call or at maturity, and therefore you are subject
to our credit risk. If we default on our obligations under the securities, your investment would be at risk and you could lose some or
all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s
view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the
market for taking our credit risk is likely to adversely affect the market value of the securities. |
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
| § | As a finance subsidiary, MSFL has no independent operations
and will have no independent assets. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration
of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in
respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited
to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured,
unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets
under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any
priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley,
including holders of Morgan Stanley-issued securities. |
| § | Investing in the securities is not equivalent to investing
in the 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 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. |
| § | Reinvestment
risk. The term of your investment in the securities may be shortened due to the automatic
call feature of the securities. If the securities are automatically called prior to maturity,
you will receive no further payments on the securities and may be forced to invest in a lower
interest rate environment and may not be able to reinvest at comparable terms or returns.
However, under no circumstances will the securities be called at any point other than the
specified call settlement date. |
| § | 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 |
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
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, the ending prices, whether the securities will be called on the call settlement date
and will calculate the amount of cash you receive at maturity if the securities are not automatically called prior to 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 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 instruments linked to the underlying stocks), including trading
in the underlying stocks as well as in other instruments related to 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 (i) the price at or above which such underlying stock must close on the call date so that the securities are
automatically called for the call payment (depending also on the performance of the other underlying stock) and (ii) the threshold price
for such underlying stock, which is the price at or above which such underlying stock must close on the calculation day so that you do
not suffer a loss on your initial investment in the securities (depending also on the performance of the other underlying stock). Additionally,
such hedging or trading activities during the term of the securities could potentially affect the value of either underlying stock on
the call date, and, accordingly, whether we call the securities prior to maturity and the amount of cash you will receive at maturity,
if any. |
| § | The maturity date may be postponed if the 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.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
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 contingent
upon the independent performance of each underlying stock. Unlike an instrument with a return linked to a basket of underlying stock 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 may negatively affect your return
and will not be offset or mitigated by any positive performance by the other underlying stock. To receive the call payment, the stock
closing price of each underlying stock must be greater than or equal to its starting price on the call date. In
addition, if the securities have not been called prior to maturity and the value of either underlying stock has declined
to below its threshold price as of the calculation day, you will be fully exposed to the decline in the lowest performing underlying
stock from its starting price, even if the other underlying stock has appreciated or has not declined as much. Under this scenario, the
value of any such maturity payment amount will be less than 50% of the face amount of your securities and could be zero. 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 loss on your investment than if the securities
were linked to just one underlying stock. The risk that you will suffer a loss on your investment is greater if you invest in
the securities as opposed to substantially similar securities that are linked to the performance of just one underlying stock. With two
underlying stocks, it is more likely that the ending price of either underlying stock will decline to below 50% of its starting price
than if the securities were linked to only one underlying stock. Therefore, it is more likely that you will suffer a loss on your investment.
In addition, because the value of each underlying stock must be greater than or equal to its starting price on the call date in order
for the securities to be called prior to maturity, the securities are less likely to be called on the call settlement date than if the
securities were linked to just one underlying stock. |
| § | No affiliation with Microsoft Corporation or NVIDIA Corporation.
Microsoft Corporation or NVIDIA Corporation 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 Microsoft Corporation or NVIDIA Corporation in connection with this offering. |
| § | We may engage in business with or involving Microsoft
Corporation or NVIDIA Corporation without regard to your interests. We or our affiliates may presently or from time to time engage
in business with Microsoft Corporation or NVIDIA Corporation without regard to your interests and thus may acquire non-public information
about Microsoft Corporation or NVIDIA Corporation. 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
Microsoft Corporation or NVIDIA Corporation 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 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 the calculation day, this may decrease the ending price of an underlying stock
to be less than its 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 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 closing prices of
the underlying stocks do not provide an indication of future performance of the underlying stocks.
|
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Microsoft Corporation Overview |
Microsoft Corporation develops, licenses and supports a range of software
products and services, designs, manufactures and sells devices and delivers online advertising to a global customer audience. The MSFT
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 Microsoft Corporation pursuant to the Exchange Act can be located by reference to
the Securities and Exchange Commission file number 001-37845 through the Securities and Exchange Commission’s website at www.sec.gov.
In addition, information regarding Microsoft 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 MSFT Stock is accurate or complete.
The following graph sets forth the daily closing prices of the MSFT
Stock for the period from January 1, 2019 through August 15, 2024. The closing price of the MSFT Stock on August 15, 2024 was $421.03.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical closing
prices of the MSFT Stock may have been adjusted for stock splits and other corporate events. The historical performance of the MSFT Stock
should not be taken as an indication of future performance, and no assurance can be given as to the closing price of the MSFT Stock at
any time, including on the call date or the calculation day.
Common Stock of Microsoft Corporation
Daily Closing Prices
January 1, 2019 to August 15,
2024
|
|
This document relates only to the securities offered hereby and
does not relate to the MSFT Stock or other securities of Microsoft Corporation. We have derived all disclosures contained in this document
regarding the MSFT 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 Microsoft Corporation.
Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding
Microsoft 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 MSFT Stock (and therefore the price of the MSFT 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 Microsoft
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 MSFT Stock.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
NVIDIA Corporation Overview |
NVIDIA Corporation is a visual computing company. The NVDA Stock is
registered under 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 NVDA Stock is accurate or complete.
The following graph sets forth the daily closing prices of the NVDA
Stock for the period from January 1, 2019 through August 15, 2024. The closing price of the NVDA Stock on August 15, 2024 was $122.86.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical 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 future performance, and no assurance can be given as to the closing price of the NVDA Stock at
any time, including on the call date or the calculation day.
Common Stock of NVIDIA Corporation
Daily Closing Prices
January 1, 2019 to August 15,
2024
|
|
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 — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Additional Information About the Securities |
Minimum ticketing
size
$1,000 / 1 security
Tax considerations
Although there is uncertainty regarding the U.S. federal income tax
consequences of an investment in the securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk &
Wardwell LLP, under current law, and based on current market conditions, it is reasonable to treat a security as a single financial contract
that is an “open transaction” for U.S. federal income tax purposes. However, because our counsel’s opinion is based
in part on market conditions as of the date of this document, it is subject to confirmation on the pricing date.
Assuming this treatment of the securities is respected and subject
to the discussion in “United States Federal Taxation” in the accompanying product supplement for principal at risk securities,
the following U.S. federal income tax consequences should result based on current law:
| § | A U.S. Holder should not be required to recognize taxable income over the
term of the securities prior to settlement, other than pursuant to a sale or exchange. |
| § | Upon sale, exchange or settlement of the securities, a U.S. Holder should
recognize gain or loss equal to the difference between the amount realized and the U.S. Holder’s tax basis in the securities. Such
gain or loss should be long-term capital gain or loss if the investor has held the securities for more than one year, and short-term capital
gain or loss otherwise. |
We do not plan to request a ruling from the Internal Revenue Service
(the “IRS”) regarding the treatment of the securities. An alternative characterization of the securities could materially
and adversely affect the tax consequences of ownership and disposition of the securities, including the timing and character of income
recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal
income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions
may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the
tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these
issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect.
As discussed in the accompanying product supplement for principal at
risk securities, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section
871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid
to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each,
an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that substantially
replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury
regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued
before January 1, 2027 that do not have a delta of one with respect to any Underlying Security. Based on the terms of the securities and
current market conditions, we expect that the securities will not have a delta of one with respect to any Underlying Security on the pricing
date. However, we will provide an updated determination in the pricing supplement. Assuming that the securities do not have a delta of
one with respect to any Underlying Security, our counsel is of the opinion that the securities should not be Specified Securities and,
therefore, should not be subject to Section 871(m).
Our determination is not binding on the IRS, and the IRS may disagree
with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. If withholding is required, we will not be required to pay any
additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential application of
Section 871(m) to the securities.
Both U.S. and non-U.S. investors considering an investment in the
securities should read the discussion under “Risk Factors” in this document and the discussion under “United States
Federal Taxation” in the accompanying product supplement for principal at risk securities and consult their tax advisers regarding
all aspects of the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments,
and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs under “Tax considerations”
and the discussion contained in 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.
Morgan Stanley Finance LLC
Market Linked Securities — Auto-Callable with Leveraged Upside Participation and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of Microsoft Corporation and the Common Stock of NVIDIA Corporation due August 26, 2027
Additional considerations
Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management
or any of their respective subsidiaries have investment discretion are not permitted to purchase the securities, either directly or indirectly.
Supplemental
information regarding plan of distribution; conflicts of interest
MS & Co. and WFS will act as the agents for this offering. WFS
will receive a commission of up to $25.75 for each security it sells. WFS proposes to offer the securities in part directly to the public
at the price to public set forth on the cover page of this document and in part to Wells Fargo Advisors (“WFA”) (the trade
name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial
Network, LLC), an affiliate of WFS, or other securities dealers at such price less a selling concession of up to $20.00 per security.
In addition to the selling concession allowed to WFA, WFS may pay $0.75 per security of the commission to WFA as a distribution expense
fee for each security sold by WFA.
In addition, in respect of certain securities sold in this offering,
we may pay a fee of up to $3.50 per security to selected securities dealers in consideration for marketing and other services in connection
with the distribution of the securities to other securities dealers.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement for principal at risk securities for information about the distribution arrangements for the securities.
References therein to “agent” refer to each of MS & Co. and WFS, as agents for this offering, except that references to
“agent” in the context of offers to certain Morgan Stanley dealers and compliance with FINRA Rule 5121 do not apply to WFS.
MS & Co., WFS or their affiliates may enter into hedging transactions with us in connection with this offering.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the
securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities such that for
each security the estimated value on the pricing date will be no lower than the minimum level described in “Estimated Value of the
Securities” beginning on page 4.
MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member
firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates
may not make sales in this offering to any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use
of Proceeds and Hedging” in the accompanying product supplement.
Where you can
find more information
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by the product supplement for principal at risk securities) 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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