July 2024
Preliminary Pricing Supplement No.
3,018
Registration Statement Nos. 333-275587;
333-275587-01
Dated July 18, 2024
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. and
International Equities
Market Linked
Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities
Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common
Stock of Advanced Micro Devices, Inc. due July 29, 2026
Fully and Unconditionally
Guaranteed by Morgan Stanley
§ |
Linked to the lowest performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the common stock of Advanced Micro Devices, Inc. (each referred to as an “underlying”) |
§ |
The securities offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the securities do not guarantee the payment of interest, do not guarantee the repayment of principal and are subject to potential automatic call prior to the maturity date upon the terms described below. The securities have the terms described in the accompanying product supplement for principal at risk securities, index supplement and prospectus, as supplemented or modified by this document. |
§ |
Contingent Coupon. The securities will pay a contingent coupon on a monthly basis until the earlier of the maturity date or automatic call if, and only if, the closing value of the lowest performing underlying on the calculation day for that month is greater than or equal to its coupon threshold level. However, if the closing value of the lowest performing underlying on a calculation day is less than its coupon threshold level, you will not receive any contingent coupon for the relevant month. If the closing value of the lowest performing underlying is less than its coupon threshold level on every calculation day, you will not receive any contingent coupons throughout the entire term of the securities. The coupon threshold level for each underlying is equal to 60% of its starting level. The contingent coupon rate will be determined on the pricing date and will be at least 16.50% per annum. |
§ |
Automatic Call. Beginning after six months, the securities will be automatically called if the closing value of each underlying on any of the calculation days (other than the final calculation day) is greater than or equal to its respective starting level for a cash payment equal to the face amount plus a final contingent coupon payment. No further payments will be made on the securities once they have been called. |
§ |
Potential Loss of Principal. If the securities are not automatically called, you will receive the face amount at maturity if, and only if, the closing value of each underlying on the final calculation day is greater than or equal to its respective downside threshold level. If the closing value of any underlying on the final calculation day is less than its respective downside threshold level, investors will be fully exposed to the decline in the lowest performing underlying on a 1-to-1 basis, and will receive a maturity payment amount that is less than 60% of the face amount of the securities and could be zero. |
§ |
Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent coupon payments throughout the entire term of the securities. |
§ |
Because all payments on the securities are based on the lowest performing underlying, a decline beyond the respective coupon threshold level or respective downside threshold level of any underlying will result in no contingent coupon payments or a significant loss of your investment, as applicable, even if the other underlyings have appreciated or have not declined as much. |
§ |
The securities are for investors who are willing to risk their principal based on the lowest performing of three underlyings and who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no contingent coupon payments over the entire term of the securities. |
§ |
Investors will not participate in any appreciation of any underlying. |
§ |
The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program. |
§ |
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. |
§ |
These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any securities included in any of the underlyings. |
The current estimated value of the securities
is approximately $970.10 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 underlyings, instruments based on the underlyings,
volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market
credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market. See “Estimated
Value of the Securities” on page 4.
The securities have complex features and investing
in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors”
beginning on page 10. All payments on the securities are subject to our credit risk.
The Securities and Exchange Commission and state securities regulators
have not approved or disapproved these securities, or determined if this document or the accompanying product supplement, index supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts and are not
insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of,
or guaranteed by, a bank.
You should read this document together with the related product
supplement for principal at risk securities, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When
you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus
dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the
corresponding sections of such prospectus, as applicable. Please also see “Additional Information About the Securities” at
the end of this document.
As used in this document, “we,” “us” and
“our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Commissions and offering price: |
Price to public |
Agent’s commissions(1)(2) |
Proceeds to us(3) |
Per security |
$1,000 |
$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 may receive
a distribution expense fee of $0.75 for each security sold by WFA. See “Supplemental information concerning plan of distribution;
conflicts of interest.” |
| (2) | In respect of certain securities sold in this offering, we may pay a fee of up to $2.00 per security to selected securities dealers
in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. |
| (3) | See “Use of Proceeds and Hedging” in the accompanying product supplement. |
Prospectus
dated April 12, 2024
Morgan Stanley |
Wells Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity date: |
July 29, 2026*, subject to postponement if the final calculation day is postponed |
Market measures: |
Russell 2000® Index (the “RTY Index”), VanEck®
Gold Miners ETF (the “GDX Shares”) and common stock of Advanced Micro Devices, Inc. (the “AMD Stock”)
We refer to the RTY Index, the GDX Shares and the AMD Stock, collectively,
as the “underlyings.” |
Index sponsor: |
With respect to the RTY Index, FTSE Russell, or any successor thereof |
Fund underlying index: |
With respect to the GDX Shares, NYSE Arca Gold Miners Index |
Fund underlying index sponsor: |
With respect to the GDX Shares, ICE Data Indices, LLC, or any successor thereof |
Underlying stock issuer: |
Advanced Micro Devices, Inc. |
Contingent coupon payment: |
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 value 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) / 12. Any contingent coupon payment will be
rounded to the nearest cent, with one-half cent rounded upward.
If the closing value of the lowest performing underlying on
any calculation day is less than its coupon threshold level, you will not receive any contingent coupon payment on the related contingent
coupon payment date. If the closing value of the lowest performing underlying is less than its coupon threshold level on all monthly
calculation days, you will not receive any contingent coupon payments over the term of the securities. |
Contingent coupon payment dates: |
Three business days after the applicable calculation day; provided that the contingent coupon payment date for the final calculation day is the maturity date.** |
Contingent coupon rate: |
The “contingent coupon rate” will be determined on the pricing date and will be at least 16.50% per annum. |
Automatic call: |
The securities are not subject to automatic call
until approximately six months after the original issue date. Following this 6-month non-call period, if, on any calculation day (other
than the final calculation day), beginning in January 2025, the closing value of each underlying is greater than or equal to its respective
starting level, the securities will be automatically called for a cash payment per security equal to the face amount plus a final
contingent coupon payment on the related call settlement date.
The securities will not be automatically called
on any call settlement date if the closing value of any underlying is below its respective starting level on the related calculation day.
Any positive return on the securities
will be limited to the contingent coupon payments, if any, even if the closing value of any underlying on the applicable calculation
day significantly exceeds its starting level. You will not participate in any appreciation of any underlying. |
Calculation days: |
Monthly, on the 24th of each month, commencing in August 2024 and ending on the final calculation day. We also refer to the July 2026 calculation day as the final calculation day.*** |
Call settlement date: |
Three business days after the applicable calculation day.*** |
Maturity payment amount: |
If the securities are not automatically called,
you will be entitled to receive on the maturity date a cash payment per security equal to the maturity payment amount (in addition to
the final contingent coupon payment, if payable). The “maturity payment amount” per security will equal:
·
if
the closing value of each underlying on the final calculation day is greater than or equal to its respective downside threshold
level:
$1,000; or
·
if
the closing value of any underlying on the final calculation day is less than its respective downside threshold level:
$1,000 × performance factor of the lowest performing
underlying on the final
|
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
|
calculation day
Under these circumstances, you will lose
more than 40%, and possibly all, of your investment. |
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, the closing value on such calculation day divided by the starting level |
Starting level: |
With respect to the RTY Index:
, its closing value on the pricing date
With respect to the GDX Shares: $ ,
its closing value on the pricing date
With respect to the AMD Stock: $ ,
its closing value on the pricing date |
Coupon threshold level: |
With respect to the RTY Index: ,
which is equal to 60% of its starting level
With respect to the GDX Shares: $ ,
which is equal to 60% of its starting level
With respect to the AMD Stock: $ ,
which is equal to 60% of its starting level |
Downside threshold level: |
With respect to the RTY Index: ,
which is equal to 60% of its starting level
With respect to the GDX Shares: $ ,
which is equal to 60% of its starting level
With respect to the AMD Stock: $ ,
which is equal to 60% of its starting level |
Face amount: |
$1,000 per security. References in this document to a “security” are to a security with a face amount of $1,000. |
Pricing date: |
July 31, 2024* |
Original issue date: |
August 5, 2024* (3 business days after the pricing date) |
CUSIP / ISIN: |
61776MZU2 / US61776MZU25 |
Listing: |
The securities will not be listed on any securities exchange. |
Agents: |
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and Wells Fargo Securities, LLC (“WFS”). See “Additional Information About the Securities—Supplemental information regarding plan of distribution; conflicts of interest.” |
*To the extent we make any change to the pricing date or original
issue date, the calculation days and maturity date may also be changed in our discretion to ensure that the term of the securities remains
the same.
** Subject to postponement pursuant to “General Terms of
the Securities—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—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
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 $970.10, 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 underlyings. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlyings,
instruments based on the underlyings, volatility and other factors including current and expected interest rates, as well as an interest
rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades
in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including the
contingent coupon rate, the coupon threshold levels and the downside threshold levels, we use an internal funding rate which is likely
to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring
and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities
would be more favorable to you.
What is the relationship between the estimated value on the pricing
date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the secondary
market, absent changes in market conditions, including those related to the underlyings, may vary from, and be lower than, the estimated
value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer
spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the
costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up
to 3 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes
in market conditions, including those related to the underlyings, and to our secondary market credit spreads, it would do so based on
values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account
statements.
MS & Co. may, but is not obligated to, make a market in the securities
and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
The Principal at Risk Securities Linked to the Lowest Performing of
the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc.
due July 29, 2026 (the “securities”) may be appropriate for investors who:
| § | Seek an investment with contingent coupon payments at a rate of at least 16.50% per annum (to be determined on the pricing
date) until the earlier of the maturity date or automatic call, if, and only if, the closing value of each underlying on the applicable
monthly calculation day is greater than or equal to 60% of its starting level; |
| § | Understand that if the closing value of any underlying on the final calculation day has declined by more than 40% from its starting
level, they will be fully exposed to the decline in the lowest performing underlying from its starting level and will lose more than 40%,
and possibly all, of the face amount of their securities at maturity; |
| § | Are willing to accept the risk that they may receive few or no contingent coupon payments over the term of the securities; |
| § | Understand that the securities may be automatically called prior to the maturity date and that the term of the securities may be as
short as approximately six months; |
| § | Understand that the return on the securities will depend solely on the performance of the underlying that is the lowest performing
underlying on each calculation day and that they will not benefit in any way from the performance of the better performing underlyings; |
| § | Understand that the securities are riskier than alternative investments linked to only one of the underlyings or linked to a basket
composed of each underlying; |
| § | Understand and are willing to accept the full downside risks of each underlying; |
| § | Are willing to forgo participation in any appreciation of any underlying, fixed interest payments on the securities and dividends
on the underlyings; and |
| § | Are willing to hold the securities until maturity. |
The securities are not designed for, and may not be an appropriate
investment for, investors who:
| § | Seek a liquid investment or are unable or unwilling to hold the securities to maturity; |
| § | Require full payment of the face amount of the securities at maturity; |
| § | Seek a security with a fixed term; |
| § | Are unwilling to accept the risk that the closing value of any underlying on the final calculation day may decline by more than 40%
from its respective starting level to its closing value on the final calculation day, in which case they will lose a significant portion
or all of their investment; |
| § | Are unwilling to accept the risk of exposure to each of the underlyings; |
| § | Seek exposure to a basket composed of each underlying or a similar investment in which the overall return is based on a blend of the
performances of the underlyings, rather than solely on the lowest performing underlying; |
| § | Seek exposure to the upside performance of any or each underlying; |
| § | Are unwilling to accept our credit risk; or |
| § | Prefer the lower risk of fixed income investments with comparable maturities issued by companies with comparable credit ratings. |
The considerations identified above are not exhaustive. Whether
or not the securities are an appropriate investment for you will depend on your individual circumstances, and you should reach an investment
decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered the appropriateness of
an investment in the securities in light of your particular circumstances. You should also review carefully the “Risk Factors”
herein and in the accompanying product supplement for risks related to an investment in the securities. For more information about the
underlyings, please see the sections titled “Russell 2000® Index Overview” “VanEck® Gold
Miners ETF Overview” and “Advanced Micro Devices, Inc. Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Determining Payment on a Contingent Coupon Payment Date and on the Maturity Date |
If the securities have not been previously automatically
called, on each monthly contingent coupon payment date, you will either receive a contingent coupon payment or you will not receive a
contingent coupon payment, depending on the closing value of the lowest performing underlying on the related monthly calculation day.
Step 1: Determine which underlying is the
lowest performing underlying on the relevant calculation day. The lowest performing underlying on any calculation day is the underlying
with the lowest performance factor on that calculation day. The performance factor of an underlying on a calculation day is
its closing value on that calculation day as a percentage of its starting level (i.e., its closing value on that calculation day divided
by its starting level).
Step 2: Determine whether a contingent
coupon payment is paid on the applicable contingent coupon payment date based on the closing value of the lowest performing underlying
on the relevant calculation day, as follows:
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010208/image_004.jpg)
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
On the maturity date, if the securities have not
been automatically called prior to the maturity date, you will receive (in addition to the final contingent coupon payment, if any) a
cash payment per security (the maturity payment amount) calculated as follows:
Step 1: Determine which underlying is the
lowest performing underlying on the final calculation day. The lowest performing underlying on the final calculation day is the underlying
with the lowest performance factor on the final calculation day. The performance factor of an underlying on the final calculation
day is its closing value as a percentage of its starting level (i.e., its closing value on the final calculation day divided by
its starting level).
Step 2: Calculate the maturity payment
amount based on the closing value of the lowest performing underlying on the final calculation day, as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Scenario Analysis and Examples of Hypothetical Payments on the Securities |
The following hypothetical examples illustrate how to determine whether
a contingent coupon payment is paid with respect to a calculation day and how to calculate the payment at maturity, if any, if the securities
have not been automatically called. The following examples are for illustrative purposes only. Whether you receive
a contingent coupon payment will be determined by reference to the closing value of each underlying on each calculation day, and the amount
you will receive at maturity, if any, will be determined by reference to the closing value of each underlying on the final calculation
day. The actual starting level, coupon threshold level and downside threshold level for each underlying and the actual contingent
coupon rate will be determined on the pricing date. All payments on the securities, if any, are subject to our credit risk. The
numbers in the hypothetical examples below may have been rounded for the ease of analysis. The below examples are based on
the following terms*:
Hypothetical contingent coupon payment: |
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 value of the lowest performing underlying on the related calculation day is greater than or equal to its coupon threshold level. If payable, the contingent coupon payment will be an amount in cash per face amount corresponding to a return of 16.50% per annum for each interest payment period for each applicable calculation day. These hypothetical examples reflect a hypothetical contingent monthly coupon rate of 16.50% (corresponding to $13.75 per month per security**). |
|
|
Hypothetical starting level: |
With respect to the RTY Index: 100.00
With respect to the GDX Shares: $100.00
With respect to the AMD Stock: $100.00
|
Hypothetical coupon threshold level: |
With respect to the RTY Index: 60.00, which is 60% of its hypothetical
starting level
With respect to the GDX Shares: $60.00, which is 60% of its hypothetical
starting level
With respect to the AMD Stock: $60.00, which is 60% of its hypothetical
starting level
|
Hypothetical downside threshold level: |
With respect to the RTY Index: 60.00, which is 60% of its hypothetical
starting level
With respect to the GDX Shares: $60.00, which is 60% of its hypothetical
starting level
With respect to the AMD Stock: $60.00, which is 60% of its hypothetical
starting level
|
*The hypothetical starting levels of 100.00, for the RTY
Index, and $100.00, for the GDX Shares and the AMD Stock, have been chosen for illustrative purposes only and do not represent the actual
starting levels of the underlyings. The actual starting levels, coupon threshold levels and downside threshold levels will
be determined on the pricing date and will be set forth under “Terms” above. For historical data regarding the
actual closing values of the underlyings, see the historical information set forth herein.
**The actual contingent coupon payment will be an amount determined
by the calculation agent based on the actual contingent coupon rate. The hypothetical contingent monthly coupon of $13.75 is used in these
examples for ease of analysis.
|
How to determine whether a contingent coupon payment is payable
with respect to a calculation day:
Date |
RTY Index Closing Value |
GDX Shares Closing Value |
AMD Stock Closing Value |
Contingent Coupon Payment (per security) |
Hypothetical Calculation Day 1 |
125.00 (at or above the coupon threshold level) |
$130.00 (at or above the coupon threshold level) |
$135.00 (at or above the coupon threshold level) |
$13.75 |
Hypothetical Calculation Day 2 |
50.00 (below the coupon threshold level) |
$95.00 (at or above the coupon threshold level) |
$120.00 (at or above the coupon threshold level) |
$0 |
Hypothetical Calculation Day 3 |
50.00 (below the coupon threshold level) |
$55.00 (below the coupon threshold level) |
$110.00 (at or above the coupon threshold level) |
$0 |
Hypothetical Calculation Day 4 |
55.00 (below the coupon threshold level) |
$58.00 (below the coupon threshold level) |
$55.00 (below the coupon threshold level) |
$0 |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
On hypothetical calculation day 1, the closing value of each underlying
is at or above its respective coupon threshold level. Therefore, a contingent coupon payment of $13.75 is paid on the relevant
contingent coupon payment date.
On each of hypothetical calculation days 2 and 3, at least one underlying
closes at or above its respective coupon threshold level, but one or both of the other underlyings close below their respective coupon
threshold levels. Therefore, no contingent coupon payment is paid on the relevant contingent coupon payment date.
On hypothetical calculation day 4, each underlying closes below its
respective coupon threshold level, and, accordingly no contingent monthly coupon is paid on the relevant coupon payment date.
If the closing value of any underlying is less than its respective
coupon threshold level on each calculation day, you will not receive any contingent coupon payments for the entire term of the securities.
How to calculate the payment investors will receive at maturity
(if the securities have not been automatically redeemed):
Starting after six months, if the closing value of each underlying
is greater than or equal to its starting level on any calculation day, the securities will be automatically called for a cash payment
per security equal to the face amount plus a final contingent coupon payment.
The examples below illustrate how to calculate the payment at maturity
if the securities have not been automatically redeemed prior to maturity
|
RTY Index Closing Value on Final Calculation Day |
GDX Shares Closing Value on Final Calculation Day |
AMD Stock Closing Value on Final Calculation Day |
Maturity Payment Amount (per security)
|
Example 1: |
130.00 (at or above its downside threshold level and coupon threshold level) |
$140.00 (at or above its downside threshold level and coupon threshold level) |
$142.00 (at or above its downside threshold level and coupon threshold level) |
$1,013.75 (the face amount plus the final contingent coupon payment) |
Example 2: |
115.00 (at or above its downside threshold level) |
$40.00 (below its downside threshold level) |
$120.00 (at or above its downside threshold level) |
$1,000 × ($40.00 /$100.00) = $400 |
Example 3: |
20.00 (below its downside threshold level) |
$80.00 (at or above its downside threshold level) |
$120.00 (at or above its downside threshold level) |
$1,000 × (20.00 / 100.00) = $200 |
Example 4: |
55.00 (below its downside threshold level) |
$50.00 (below its downside threshold level) |
$20.00 (below its downside threshold level) |
$1,000 × ($20.00 / $100.00) = $200 |
In example 1, the closing value of each underlying on the final
calculation day is at or above its respective downside threshold level and coupon threshold level. Therefore, investors
receive at maturity a cash payment per security equal to the face amount of the securities, in addition to the final contingent coupon
payment. Investors do not participate in any appreciation in any underlying.
In example 2, the closing values of two of the underlyings on the final
calculation day are at or above their respective downside threshold levels, but the closing value of the other underlying on the
final calculation day is below its respective downside threshold level. Therefore, investors receive at maturity an
amount equal to the face amount multiplied by the performance factor of the GDX Shares, which represent the lowest performing underlying
in this example.
In example
3, the closing values of two of the underlyings on the final calculation day are at or above their respective downside threshold levels,
but the closing value of the other underlying on the final calculation day is below its respective downside threshold level. Therefore,
investors receive at maturity an amount equal to the face amount multiplied by the performance factor of the RTY Index, which
represents the lowest performing underlying in this example.
In example
4, the closing value of each underlying on the final calculation day is below its respective downside threshold level, and investors
receive at maturity an amount equal to the face amount multiplied by the performance factor of the lowest performing underlying.
Therefore, investors receive at maturity an amount equal to the face amount multiplied by the performance factor of the AMD Stock,
which represents the lowest performing underlying in this example.
If the closing value of any underlying on the final calculation
day is below its respective downside threshold level, you will be exposed to the downside performance of the lowest performing underlying
at maturity, and your maturity payment amount will be less than 60% of the face amount per security and could be zero.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
This section describes the material risks relating to the securities. For
further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement for principal at risk securities, index supplement and prospectus. We also urge you to consult your investment,
legal, tax, accounting and other advisers in connection with your investment in the securities.
Risks Relating to an Investment in the Securities
| § | The securities do not 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 guarantee the return of the face amount of your
securities at maturity. If the securities have not been automatically called and if the closing value of any underlying
on the final calculation day is less than its respective downside threshold level of 60% of its starting level, you will be exposed
to the decline in the value of the lowest performing underlying, as compared to its starting level, on a 1-to-1 basis, and you will receive
for each security that you hold at maturity an amount equal to the face amount multiplied by the performance factor of the lowest
performing underlying. In this case, you will lose more than 40%, and possibly all, of the face amount of your securities at
maturity. |
| § | The securities do not provide for the regular payment of interest. The terms of the securities
differ from those of ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the securities
will pay a contingent coupon payment but only if the closing value of each underlying is at or above its respective coupon threshold
level on the related calculation day. If the closing value of any underlying is lower than its coupon threshold level on the relevant
calculation day for any interest period, we will pay no contingent coupon payment on the applicable contingent coupon payment date. It
is possible that the closing value of any underlying will be less than its respective coupon threshold level for extended periods of time
or even throughout the entire term of the securities so that you will receive few or no contingent coupon payments. If you do not earn
sufficient contingent coupon payments over the term of the securities, the overall return on the securities may be less than the amount
that would be paid on a conventional debt security of ours of comparable maturity. |
| § | The contingent coupon payment, if any, is based on the value of each underlying on only the related
monthly calculation day at the end of the related interest period. Whether the contingent coupon payment will be paid on any contingent
coupon payment date will be determined at the end of the relevant interest period based on the closing value of each underlying on the
relevant monthly calculation day. As a result, you will not know whether you will receive the contingent coupon payments on any contingent
coupon payment date until near the end of the relevant interest period. Moreover, because the contingent coupon payment is based solely
on the value of each underlying on the monthly calculation days, if the closing value of any underlying on any calculation day date is
below the coupon threshold level for such underlying, you will not receive the contingent coupon payment for the related interest period,
even if the closing value of such underlying was at or above its respective coupon threshold level on other days during that interest
period, and even if the closing values(s) of one or both of the other underlyings are at or above their respective coupon threshold level(s).
|
| § | Investors will not participate in any appreciation in any underlying. Investors
will not participate in any appreciation in any underlying from the starting level for such underlying, and the return on the securities
will be limited to the contingent coupon payments, if any, that are paid with respect to each calculation day on which the closing value
of each underlying is greater than or equal to its respective coupon threshold level, if any. |
| § | The market price will be influenced by many unpredictable factors. Several factors,
many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS &
Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the level of interest
rates available in the market and the value of each underlying on any day, including in relation to its respective starting level, coupon
threshold level and downside threshold level, will affect the value of the securities more than any other factors. Other factors
that may influence the value of the securities include: |
| o | the trading price, as applicable, and volatility (frequency and magnitude of changes in value) of the underlyings, |
| o | whether the closing value of any underlying has been below its respective coupon threshold level on any calculation day, |
| o | geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlyings, commodities,
or securities markets generally and which may affect the closing value of each underlying, |
| o | dividend rates on the underlyings or the stocks composing the RTY Index or the fund underlying index, |
| 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 underlyings that may or may not require an adjustment to an adjustment factor, |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
| o | the composition of the underlyings and changes in the constituent stocks of the RTY Index or the fund underlying index, 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. In particular, if any underlying
has closed near or below its coupon threshold level, and especially if any underlying has closed near or below its downside threshold
level, the market value of the securities is expected to decrease substantially, and you may have to sell your securities at a substantial
discount from the face amount of your securities.
You cannot predict the future performance of any underlying
based on historical performance. The closing value of any underlying may decrease and be below its respective coupon threshold
level on each calculation day so that you will receive no return on your investment, and any or all of the underlyings
may close below its respective downside threshold level(s) on the final calculation day so that you will lose a significant portion or
all of your initial investment in the securities. There can be no assurance that the closing value of each underlying will be at or above
its respective coupon threshold level on any calculation day so that you will receive a coupon payment on the securities for the applicable
interest period, or that it will be at or above its respective downside threshold level on the final calculation day so that you do not
suffer a significant loss on your initial investment in the securities. See “Russell 2000® Index Overview”
“VanEck® Gold Miners ETF Overview” and “Advanced Micro Devices, Inc. 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, on any contingent coupon payment date or at maturity, and therefore you
are subject to our credit risk. If we default on our obligations under the securities, your investment would be at risk and
you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected
by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase
in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities. |
| § | As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As
a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent
assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution
or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee
by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley.
Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued
by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu
with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
| § | Investing
in the securities is not equivalent to investing in the underlyings or in the stocks composing
the RTY Index or the fund underlying index. Investing in the securities is not equivalent
to investing in the underlyings or in the stocks composing the RTY Index or the fund underlying
index. Investors in the securities will not participate in any positive performance of any
underlying, and will not have voting rights or rights to receive dividends or other distributions
or any other rights with respect to the underlyings or the stocks composing the RTY Index
or the fund underlying index. Furthermore, return on the securities will not reflect the
return you would realize if you actually owned shares of the AMD Stock 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 called prior to maturity, you will receive no further
payments on the securities and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable
terms or returns. However, under no circumstances will the securities be called within the first six months of the term of
the securities. |
| § | The rate we are willing to pay for securities of this type, maturity and issuance size is likely
to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the
inclusion of costs associated with issuing, selling, structuring and hedging the securities in the face amount reduce the economic terms
of the securities, cause the estimated value of the securities to be less than the face amount and will adversely affect secondary market
prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including
MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than the face
amount, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in
the face amount and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer
spread that any dealer would charge in a secondary market transaction of this type as well as other factors. |
The
inclusion of the costs of issuing, selling, structuring and hedging the securities in the face amount and the lower rate we are willing
to pay as issuer make the economic terms of the securities less favorable to you than they otherwise would be.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
However, because the costs associated with issuing, selling,
structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 3 months following the issue date,
to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including
those related to the underlyings, and to our secondary market credit spreads, it would do so based on values higher than the estimated
value, and we expect that those higher values will also be reflected in your brokerage account statements.
| § | The estimated value of the securities is determined by reference to our pricing and valuation models,
which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing and
valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events,
which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our
models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if
they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or
maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists)
at any time. The value of your securities at any time after the date of this document will vary based on many factors that
cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market
price will be influenced by many unpredictable factors” above. |
| § | The securities will not be listed on any securities exchange and secondary trading may be limited. The
securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS
& Co. and WFS may, but are not obligated to, make a market in the securities and, if either of them once chooses to make a market,
may cease doing so at any time. When they do make a market, they will generally do so for transactions of routine secondary
market size at prices based on their respective estimates of the current value of the securities, taking into account their respective
bid/offer spreads, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging
positions, the time remaining to maturity and the likelihood that they will be able to resell the securities. Even if there
is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other
broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade
your securities is likely to depend on the price, if any, at which MS & Co. or WFS is willing to transact. If, at any time,
MS & Co. and WFS were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly,
you should be willing to hold your securities to maturity. |
| § | The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make
determinations with respect to the securities. As calculation agent, MS & Co. will determine the starting levels, the
coupon threshold levels and the downside threshold levels and will calculate the amount of cash you receive at maturity, if any. Moreover,
certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective
judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index
or calculation of a closing value in the event of a market disruption event or certain adjustments to an adjustment factor. These
potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding
these types of determinations, see “General Terms of the Securities—Market Disruption Events,” “—Adjustments
to an Index,” “—Discontinuance of an Index,” “—Anti-dilution Adjustments Relating to a Fund; Alternate
Calculation,” “—Certain Terms for Securities Linked to an Underlying Stock—Adjustment Events,”
“—Consequences of a Market Disruption Event; Postponement of a Calculation Day,” “—Payment Dates, “—Calculations
and Calculation Agent” and “—Alternate Exchange Calculation in Case of an Event of Default” in the accompanying
product supplement for principal at risk securities. In addition, MS & Co. has determined the estimated value of the securities
on the pricing date. |
| § | Hedging and trading activity by our affiliates could potentially adversely affect the value of
the securities. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities
related to the securities (and possibly to other instruments linked to the underlyings or the fund underlying index), including
trading in the underlyings and in other instruments related to the underlyings or the fund underlying index. As a result,
these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve
greater and more frequent dynamic adjustments to the hedge as the final calculation day approaches. Some of our
affiliates also trade the underlyings or the stocks that constitute the fund underlying index and other financial instruments
related to the underlyings on a regular basis as part of their general broker-dealer and other businesses. Any of these
hedging or trading activities on or prior to the pricing date could potentially affect the starting level of an underlying, and,
therefore, could increase (i) the value at or above which such underlying must close on the calculation days so that the securities
are called for a cash payment equal to the face amount plus a final contingent coupon payment (depending also on the
performance of the other underlyings), (ii) the value at or above which such underlying must close on each calculation day in order
for you to earn a contingent coupon payment (depending also on the performance of the other underlyings) and (iii) the value at or
above which such underlying must close on the final calculation day so that you are not exposed to the negative performance of the
lowest performing underlying at maturity (depending also on the performance of the other underlyings). Additionally, such hedging or
trading activities during the term of the securities could potentially affect the closing value of any underlying on the calculation days,
and, accordingly, whether we call the securities prior to maturity, whether we pay a contingent coupon payment on the securities and the
amount of cash you will receive at maturity, if any. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
| § | The maturity date may be postponed if the final calculation day is postponed. If the
scheduled final calculation day is not a trading day or if a market disruption event occurs on that day so that the final calculation
day is postponed and falls less than three business days prior to the maturity date, the maturity date of the securities will be postponed
to the third business day following that final calculation day as postponed. |
| § | Potentially inconsistent research, opinions or recommendations by Morgan Stanley, MSFL, WFS or our
or their respective affiliates. Morgan Stanley, MSFL, WFS and our or their respective affiliates may publish research from
time to time on financial markets and other matters that may influence the value of the securities, or express opinions or provide recommendations
that are inconsistent with purchasing or holding the securities. Any research, opinions or recommendations expressed by Morgan
Stanley, MSFL, WFS or our or their respective affiliates may not be consistent with each other and may be modified from time to time without
notice. Investors should make their own independent investigation of the merits of investing in the securities and the underlyings to
which the securities are linked. |
| § | The U.S. federal income tax consequences of an investment in the securities are uncertain. There
is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant
aspects of the tax treatment of the securities are uncertain. |
Please read the discussion under “Additional Information
About the Securities—Tax considerations” in this document concerning the U.S. federal income tax consequences of an investment
in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract that provides
for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your regular method of tax
accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with the capital loss
treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse tax consequences to
holders of the securities because the deductibility of capital losses is subject to limitations. We do not plan to request
a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities, and the IRS or a court
may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative treatment for
the securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described
herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments. In
that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount on the securities every year
at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any, between the actual
and the projected amount of any contingent payments on the securities) and recognize all income and gain in respect of the securities
as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection features,
such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments
that do not have such features. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the
U.S. federal tax consequences of an investment in the securities, possibly retroactively.
Non-U.S. Holders (as defined below) should note that
we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an
applicable income tax treaty under an “other income” or similar provision, and will not be required to pay any additional
amounts with respect to amounts withheld.
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 tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
Risks Relating to the Underlyings
| § | You are exposed to the price risk of each underlying. Your return on the securities
is not linked to a basket consisting of each underlying. Rather, it will be contingent upon the independent performance of
each underlying. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified
among all the components of the basket, you will be exposed to the risks related to each underlying. Poor performance by any
underlying over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance
by the other underlyings. To receive any contingent coupon payments, each underlying must close at or above its
respective coupon threshold level on the applicable calculation day. In addition, if the securities have not been called and
any underlying has declined to below its respective downside threshold level as of the final calculation day, you will be fully
exposed to the decline in the lowest performing underlying over the term of the securities on a 1-to-1 basis, even if the other underlyings
have appreciated or have not declined as much. Under this scenario, the value of any such maturity payment amount will be less
than 60% of the face amount of your securities and could be zero. Accordingly, your investment is subject 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. The
risk that you will not receive any contingent coupon payments, or 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 the performance of just one underlying.
With three underlyings, it is more likely that |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
any underlying will close below its coupon threshold level
on any calculation day, and below its downside threshold level on the final calculation day, than if the securities were linked to only
one underlying. Therefore, it is more likely that you will not receive any contingent coupon payments and that you will suffer a significant
loss on your investment. In addition, because each underlying must close above its starting level on a monthly calculation day in order
for the securities to be called prior to maturity, the securities are less likely to be called on any call settlement date than if the
securities were linked to just one underlying.
| § | The securities are linked to the Russell 2000® Index and are subject to risks
associated with small-capitalization companies. As the Russell 2000® Index is one of the underlyings, and
the Russell 2000® Index consists of stocks issued by companies with relatively small market capitalization, the securities
are linked to the value of small-capitalization companies. These companies often have greater stock price volatility, lower trading volume
and less liquidity than large-capitalization companies and therefore the Russell 2000® Index may be more volatile
than underlyings that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also
more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization
companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially
than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel.
Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial
resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related
to their products. |
| § | Investing in the securities exposes investors to risks associated with investments in securities
with a concentration in the gold and silver mining industry. The securities are subject to certain risks applicable to the gold and
silver mining industry. The stocks included in the NYSE Arca Gold Miners Index and that are generally tracked by the GDX Shares are stocks
of companies primarily engaged in the mining of gold or silver. The GDX Shares may be subject to increased price volatility as they are
linked to a single industry, market or sector and may be more susceptible to adverse economic, market, political or regulatory occurrences
affecting that industry, market or sector. |
Because the GDX Shares primarily invests in stocks, American
Depositary Receipts (“ADRs”) and Global Depositary Receipts (“GDRs”) of companies that are involved in the gold
mining industry, the underlyings are subject to certain risks associated with such companies.
Competitive pressures may have a significant effect on the
financial condition of companies in the gold mining industry. Also, gold mining companies are highly dependent on the price of gold. Gold
prices are subject to volatile price movements over short periods of time and are affected by numerous factors. These include economic
factors, including, among other things, the structure of and confidence in the global monetary system, expectations of the future rate
of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the price of gold is generally quoted),
interest rates and gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other
events. Gold prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and purchases of gold
by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold, levels
of gold production and production costs, and short-term changes in supply and demand because of trading activities in the gold market.
The GDX Shares invests to a lesser extent in stocks, ADRs
and GDRs of companies involved in the silver mining industry. Silver mining companies are highly dependent on the price of
silver. Silver prices can fluctuate widely and may be affected by numerous factors. These include general economic
trends, technical developments, substitution issues and regulation, as well as specific factors including industrial and jewelry demand,
expectations with respect to the rate of inflation, the relative strength of the U.S. dollar (the currency in which the price of silver
is generally quoted) and other currencies, interest rates, central bank sales, forward sales by producers, global or regional political
or economic events, and production costs and disruptions in major silver producing countries such as Mexico and Peru. The supply
of silver consists of a combination of new mine production and existing stocks of bullion and fabricated silver held by governments, public
and private financial institutions, industrial organizations and private individuals. In addition, the price of silver has
on occasion been subject to very rapid short-term changes due to speculative activities. From time to time, above-ground inventories
of silver may also influence the market. The major end-uses for silver include industrial applications, jewelry, photography
and silverware.
| § | There are risks associated with investments in securities linked to the value of foreign equity
securities. The GDX Shares track the performance of the NYSE Arca Gold Miners Index, which measures the value of foreign equity
securities. Investments in securities linked to the value of foreign equity securities involve risks associated with the securities
markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and
cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about foreign
companies than about U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, and
foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those
applicable to U.S. reporting companies. The prices of securities issued in foreign markets may be affected by political, economic,
financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies
and currency exchange laws. Local securities markets may trade a small number of securities and may be unable to respond effectively
to increases in |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
trading volume, potentially making prompt liquidation of holdings difficult or
impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects
as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions
between countries.
| § | The securities are subject to currency exchange risk. Because the GDX Shares track
the performance of the NYSE Arca Gold Miners Index, holders of the securities will be exposed to currency exchange rate risk with respect
to each of the currencies in which such component securities trade. Exchange rate movements for a particular currency are volatile and
are the result of numerous factors including the supply of, and the demand for, those currencies, as well as relevant government policy,
intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic
factors and speculative actions related to the relevant region. An investor’s net exposure will depend on the extent to which the
currencies of the component securities strengthen or weaken against the U.S. dollar and the relative weight of each security. If, taking
into account such weighting, the dollar strengthens against the currencies of the component securities represented in the fund underlying
index, the closing value of the GDX Shares will be adversely affected and the payment at maturity on the securities may be reduced. |
Of particular importance to potential currency exchange
risk are:
| o | existing and expected rates of inflation, |
| o | existing and expected interest rate levels, |
| o | the balance of payments between countries, and |
| o | the extent of governmental surpluses or deficits in the countries represented in the NYSE Arca Gold Miners Index and the United States. |
All of these factors are in turn sensitive to the monetary,
fiscal and trade policies pursued by the governments of various countries represented in the NYSE Arca Gold Miners Index and the United
States and other countries important to international trade and finance.
| § | The performance and market price of the GDX Shares, particularly during
periods of market volatility, may not correlate with the performance of the fund underlying index, the performance of the component securities
of the fund underlying index or the net asset value per share of the GDX Shares. The GDX Shares do not fully replicate the fund
underlying index and may hold securities that are different than those included in the fund underlying index. In addition, the performance
of the GDX Shares will reflect additional transaction costs and fees that are not included in the calculation of the fund underlying index.
All of these factors may lead to a lack of correlation between the performance of the GDX Shares and the fund underlying index. In addition,
corporate actions (such as mergers and spin-offs) with respect to the equity securities constituting the GDX Shares may impact the variance
between the performances of GDX Shares and the fund underlying index. Finally, because the GDX Shares are traded on an exchange and are
subject to market supply and investor demand, the market price of one share of the GDX Shares may differ from the net asset value per
share of the GDX Shares. |
In particular, during
periods of market volatility, or unusual trading activity, trading in the securities constituting the GDX Shares may be disrupted or limited,
or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the GDX Shares may be adversely
affected, market participants may be unable to calculate accurately the net asset value per share of the GDX Shares, and their ability
to create and redeem shares of the GDX Shares may be disrupted. Under these circumstances, the market price of shares of the GDX Shares
may vary substantially from the net asset value per share of the GDX Shares or the level of the fund underlying index.
For
all of the foregoing reasons, the performance of the GDX Shares may not correlate with the performance of the fund underlying index,
the performance of the component securities of the fund underlying index or the net asset value per share of the GDX Shares. Any of these
events could materially and adversely affect the closing value of the GDX Shares and, therefore, the value of the securities. Additionally,
if market volatility or these events were to occur on the final calculation day, the calculation agent would maintain discretion to determine
whether such market volatility or events have caused a market disruption event to occur, and such determination may affect the payment
at maturity of the securities. If the calculation agent determines that no market disruption event has taken place, the payment at maturity
would be based on the published closing price per share of the GDX Shares on the final calculation day, even if the GDX Shares are underperforming
the fund underlying index or the component securities of the fund underlying index and/or trading below the net asset value per share
of the GDX Shares.
| § | Adjustments to the GDX Shares or the index tracked by the GDX Shares could adversely affect the value
of the securities. The investment adviser to the GDX Shares, VanEck Associates Corporation (the “Investment Adviser”),
seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the NYSE Arca Gold
Miners Index (the “fund underlying index”). Pursuant to its investment strategies or otherwise, the Investment Adviser may
add, delete or substitute the securities composing the GDX Shares.
Any of these actions could adversely affect the closing value of the GDX Shares and, consequently, the value of the securities. ICE Data
Indices, LLC (“IDI”) is responsible for calculating and maintaining the fund underlying index. IDI may add, delete or substitute
the securities constituting the fund underlying index or |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
make other methodological changes that could change the level of the fund underlying
index. IDI may discontinue or suspend calculation or publication of the fund underlying index at any time. In these circumstances, the
calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued fund underlying
index and is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. Any of
these actions could adversely affect the closing value of the GDX Shares and, consequently, the value of the securities.
| § | The anti-dilution adjustments the calculation agent is required to make do not cover every event
that could affect the GDX Shares. MS & Co., as calculation agent, will adjust the adjustment factor for the GDX Shares for certain
events affecting the GDX Shares. However, the calculation agent will not make an adjustment for every event that can affect the GDX Shares.
If an event occurs that does not require the calculation agent to adjust the adjustment factor for the GDX Shares, the market price of
the securities may be materially and adversely affected. |
| § | No affiliation with Advanced Micro Devices, Inc. Advanced Micro Devices,
Inc. is not an affiliate of ours, is not involved with this offering in any way, and has 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 Advanced
Micro Devices, Inc. in connection with this offering. |
| § | We may engage in business with or involving Advanced Micro Devices, Inc.
without regard to your interests. We or our affiliates may presently or from time to time engage in business with Advanced Micro Devices,
Inc. without regard to your interests and thus may acquire non-public information about 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 Advanced Micro Devices, Inc., which may or may not recommend that investors
buy or hold the AMD Stock. |
| § | The anti-dilution adjustments the calculation agent is required to make
do not cover every corporate event that could affect the AMD Stock. MS & Co., as calculation agent, will adjust the adjustment
factor for certain corporate events affecting the AMD Stock, such as stock splits, stock dividends and extraordinary dividends, and certain
other corporate actions involving the issuer of the AMD Stock, such as mergers. However, the calculation agent will not make an adjustment
for every corporate event that can affect the AMD Stock. For example, the calculation agent is not required to make any adjustments if
the issuer of the AMD Stock or anyone else makes a partial tender or partial exchange offer for the AMD Stock, 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 AMD Stock by the amount of such dividends. If an event occurs that does not require the calculation agent to adjust the
adjustment factor for the AMD Stock, the market price of 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 final calculation day, this may decrease the final price
of the AMD Stock to be less than its respective downside threshold level (resulting in a loss of a significant portion of all of your
investment in the securities), materially and adversely affecting your return. |
| § | Historical closing values of the underlyings should not be taken as an indication of the future performance
of the underlyings during the term of the securities. No assurance can be given as to the closing values of the underlyings
at any time, including on the final calculation day, because historical closing values of the underlyings do not provide an indication
of future performance of the underlyings. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Russell 2000® Index Overview |
The Russell 2000® Index is an index calculated, published
and disseminated by FTSE International Limited (“FTSE Russell”), and measures the capitalization-weighted
price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. The Russell 2000® Index
is designed to track the performance of the small-capitalization segment of the U.S. equity market. The companies included in the Russell
2000® Index are the middle 2,000 (i.e., those ranked 1,001 through 3,000) of the companies that form the Russell 3000E™
Index. The Russell 2000® Index represents approximately 7% of the U.S. equity market. For additional information
about the Russell 2000® Index, see the information set forth under “Russell Indices—Russell 2000®
Index” in the accompanying index supplement.
The following graph sets forth the daily closing values of the RTY
Index for the period from January 1, 2019 through July 17, 2024. The closing value of the RTY Index on July 17, 2024 was 2,239.669. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The RTY Index
have at times experienced periods of high volatility. You should not take the historical closing values of the RTY Index as
an indication of future performance, and no assurance can be given as to the closing value of the RTY Index at any time, including on
the calculation days.
RTY Index – Daily
Closing Values
January 1, 2019 to July
17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010208/image_001.jpg) |
“Russell 2000® Index” and “Russell
3000ETM Index” are trademarks of FTSE Russell. For more information, see “Russell Indices” in the accompanying
index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
VanEck® Gold Miners ETF Overview |
The VanEck® Gold Miners ETF is an exchange-traded fund
managed by VanEck, a registered investment company that seeks investment results that correspond generally to the price and yield performance,
before fees and expenses, of the NYSE Arca Gold Miners Index. VanEck® ETF Trust (the “Trust”) is an investment
portfolio managed by VanEck. Information provided to or filed with the Securities and Exchange Commission by the Trust pursuant to the
Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-123257 and 811-10325,
respectively, through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available
sources. Neither the issuer nor the agent makes any representation that any such publicly available information regarding
the GDX Shares is accurate or complete.
The following graph sets forth the daily closing values of the GDX
Shares for the period from January 1, 2019 through July 17, 2024. The closing value of the GDX Shares on July 17, 2024 was $38.44. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The GDX Shares
have at times experienced periods of high volatility. You should not take the historical closing values of the GDX Shares as
an indication of future performance, and no assurance can be given as to the closing value of the GDX Shares at any time, including on
the calculation days.
GDX Shares – Daily
Closing Values
January 1, 2019 to July
17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010208/image_002.jpg) |
This document relates only to the securities offered hereby and
does not relate to the GDX Shares. We have derived all disclosures contained in this document regarding the Trust 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 the Trust. Neither we nor
the agent makes any representation that such publicly available documents or any other publicly available information regarding the Trust
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 GDX Shares (and therefore the closing value of the GDX Shares 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 the Trust could affect the
value received with respect to the securities and therefore the value of the securities.
Neither we nor any of our affiliates makes any representation to
you as to the performance of the GDX Shares.
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information with
respect to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition,
one or more of our affiliates may publish research reports with respect to the GDX
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Shares. The statements in the preceding two sentences are
not intended to affect the rights of investors in the securities under the securities laws. As a prospective purchaser of the
securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision
with respect to an investment linked to the GDX Shares.
Market Vectors℠ is a service mark of Van Eck Associates Corporation
(“Van Eck”). The securities are not sponsored, endorsed, sold, or promoted by Van Eck. Van Eck makes no representations or
warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. Van
Eck has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.
NYSE Arca Gold Miners Index.
The NYSE Arca Gold Miners Index is a modified market capitalization weighted index comprised of publicly traded companies involved
primarily in the mining of gold and silver. The NYSE Arca Gold Miners Index includes common stocks, American depositary receipts or global
depositary receipts of selected companies involved in the mining for gold and silver ore and are listed for trading and electronically
quoted on a major stock market that is accessible by foreign investors. For additional information about the NYSE Arca Gold Miners Index,
please see the information set forth under “NYSE Arca Gold Miners Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Advanced Micro Devices, Inc. Overview |
Advanced Micro Devices, Inc. manufactures semiconductor products. The
AMD 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 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
any such publicly available information regarding the AMD Stock is accurate or complete.
The following graph sets forth the daily closing values of the AMD
Stock for the period from January 1, 2019 through July 17, 2024. The closing value of the AMD Stock on July 17, 2024 was $159.43. We
obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical closing
values 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 future performance, and no assurance can be given as to the closing value of the AMD Stock at
any time, including on the calculation days.
AMD Stock – Daily
Closing Values
January 1, 2019 to July
17, 2024 |
![](https://www.sec.gov/Archives/edgar/data/1666268/000095010324010208/image_003.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 the 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 the AMD Stock. Neither we nor the agent makes any representation that such publicly available documents or any other
publicly available information regarding the AMD Stock 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 closing value 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 the AMD Stock could affect the value received with respect to the securities and
therefore the value of the securities.
Neither we nor any of our affiliates makes any representation to
you as to the performance of the AMD Stock.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Additional Information About the Securities |
Minimum ticketing size
$1,000 / 1 security
Tax considerations
Due to the absence of statutory, judicial or administrative authorities
that directly address the treatment of the securities or instruments that are similar to the securities for U.S. federal income tax purposes,
no assurance can be given that the IRS or a court will agree with the tax treatment described herein. We intend to treat a
security for U.S. federal income tax purposes as a single financial contract that provides for a coupon that will be treated as gross
income to you at the time received or accrued in accordance with your regular method of tax accounting. In the opinion of
our counsel, Davis Polk & Wardwell LLP, this treatment of the securities is reasonable under current law; however, there are other
reasonable treatments that the IRS or a court may adopt, in which case the timing and character of any income or loss on the securities
could be materially affected. Moreover, our counsel’s opinion is based on market conditions as of the date of this preliminary pricing
supplement and is subject to confirmation on the pricing date.
Tax Consequences to U.S. Holders
Assuming the treatment of the securities as set forth above 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.
Tax Basis. A U.S. Holder’s
tax basis in the securities should equal the amount paid by the U.S. Holder to acquire the securities.
Tax Treatment of Coupon Payments. Any
coupon payment on the securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued, in accordance
with the U.S. Holder’s regular method of accounting for U.S. federal income tax purposes.
Sale, Exchange or Settlement of the Securities. Upon
a sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount
realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the securities sold, exchanged or settled. For
this purpose, the amount realized does not include any coupon paid at settlement and may not include sale proceeds attributable to an
accrued coupon, which may be treated in the same manner as a coupon payment. In general, any such gain or loss recognized should
be short-term capital gain or loss if the U.S. Holder has held the securities for one year or less at the time of the sale, exchange or
settlement, and should be long-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in
conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result
in adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations.
As discussed under “United States Federal
Taxation— Possible Alternative Tax Treatments of an Investment in the Securities” in the accompanying product supplement for
principal at risk securities, alternative U.S. federal income tax treatments of the securities are possible that, if applied, could materially
and adversely affect the timing and character of income, gain or loss with respect to the securities.
Tax Consequences to Non-U.S. Holders
Although significant aspects of the tax treatment of each security
are uncertain, we intend to withhold on any coupon paid to a Non-U.S. Holder generally at a rate of 30% or at a reduced rate specified
by an applicable income tax treaty under an “other income” or similar provision. We will not be required to pay
any additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction in, the 30% withholding
tax, a Non-U.S. Holder of the securities must comply with certification requirements to establish that it is not a U.S. person and is
eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S. Holder, you should consult
your tax adviser regarding the tax treatment of the securities, including the possibility of obtaining a refund of any withholding tax
and the certification requirement described above.
Section 871(m) Withholding Tax on Dividend Equivalents
As discussed in the accompanying product supplement for principal at
risk securities, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose
a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect
to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject
to certain exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of one or
more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However,
pursuant to an 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
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
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 Section 871(m) 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.
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 may pay $0.75 per security of the commission
to WFA as a distribution expense fee for each security sold by WFA.
In addition, in respect of certain securities sold
in this offering, we may pay a fee of up to $2.00 per security to selected securities dealers in consideration for marketing and other
services in connection with the distribution of the securities to other securities dealers.
See “Plan of Distribution; Conflicts of Interest”
in the accompanying product supplement for principal at risk securities for information about the distribution arrangements for the securities. References
therein to “agent” refer to each of MS & Co. and WFS, as agents for this offering, except that references to “agent”
in the context of offers to certain Morgan Stanley dealers and compliance with FINRA Rule 5121 do not apply to WFS. MS &
Co., WFS or their affiliates may enter into hedging transactions with us in connection with this offering.
MS & Co. is an affiliate of MSFL and a wholly
owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable,
hedging the securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities
such that for each security the estimated value on the pricing date will be no lower than the minimum level described in “Estimated
Value of the Securities” beginning on page 4.
MS & Co. will conduct this offering in compliance with the requirements
of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member
firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other
affiliates may not make sales in this offering to any discretionary account. See “Plan of Distribution; Conflicts of
Interest” and “Use of Proceeds and Hedging” in the accompanying product supplement.
Where you can find more information
Morgan Stanley and MSFL have filed a registration
statement (including a prospectus, as supplemented by the product supplement for principal at risk securities and the index supplement)
with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. You should read
the prospectus in that registration statement, the product supplement for principal at risk securities, the index supplement and any other
documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley,
MSFL and this offering. When you read the accompanying product supplement and index supplement, please note that all references
in such supplements to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus
dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable. You may get these documents without
cost by visiting EDGAR on the SEC web site at.www.sec.gov. Alternatively, Morgan Stanley,
MSFL, any underwriter or any dealer participating in the offering will arrange to send you the product supplement for principal at risk
securities, index supplement and prospectus if you so request by calling toll-free 1-(800)-584-6837.
You may access these documents on the SEC web site
at.www.sec.gov as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Russell 2000® Index, the VanEck® Gold Miners ETF and the Common Stock of Advanced Micro Devices, Inc. due July 29, 2026
Product
Supplement for Principal at Risk Securities dated November 16, 2023
Index
Supplement dated November 16, 2023
Prospectus
dated April 12, 2024
Terms used but not defined in this document are
defined in the product supplement for principal at risk securities, in the index supplement or in the prospectus.
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