May 2024
Preliminary Pricing Supplement No.
2,241
Registration Statement Nos. 333-275587;
333-275587-01
Dated May 13, 2024
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities in U.S. Equities
Market
Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities
Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
Fully and Unconditionally
Guaranteed by Morgan Stanley
§ |
Linked to the common stock of NVIDIA Corporation (the “underlying stock”) |
§ |
The securities offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the securities do not 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 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 stock closing price on the calculation day for that month is greater than or equal to the coupon threshold price. However, if the stock closing price on a calculation day is less than the coupon threshold price, you will not receive any contingent coupon payment for the relevant month. If the stock closing price is less than the coupon threshold price on every calculation day, you will not receive any contingent coupon payments throughout the entire term of the securities. The coupon threshold price is equal to 65% of the starting price. 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 stock closing price on any of the calculation days (other than the final calculation day) is greater than or equal to the starting price 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 prior to maturity, you will receive the face amount at maturity if, and only if, the ending price is greater than or equal to the downside threshold price. If the ending price is less than the downside threshold price, investors will be fully exposed to the decline in the underlying stock on a 1-to-1 basis and will receive a maturity payment amount that is less than 65% 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. |
§ |
The securities are for investors who are willing to risk their principal and 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 the underlying stock. |
§ |
The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program. |
§ |
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. |
§ |
These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, the underlying stock. |
The current estimated value of the securities
is approximately $964.20 per security, or within $45.00 of that estimate. The estimated value of the securities is determined
using our own pricing and valuation models, market inputs and assumptions relating to the underlying stock, instruments based on the
underlying stock, volatility and other factors including current and expected interest rates, as well as an interest rate related to
our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary
market. See “Estimated Value of the Securities” on page 4.
The securities
have complex features and investing in the securities involves risks not associated with an investment in ordinary debt securities. See
“Risk Factors” beginning on page 10. All payments on the securities are subject to our credit risk.
The Securities and Exchange Commission and state
securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement
and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not deposits or savings accounts
and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations
of, or guaranteed by, a bank.
You should read this document together with the
related product supplement for principal at risk securities and prospectus, each of which can be accessed via the hyperlinks below. When
you read the accompanying product supplement, please note that all references in such supplement to the prospectus dated November 16,
2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections
of such prospectus, as applicable. Please also see “Additional Information About the Securities” at the end of this document.
As used in this document, “we,” “us”
and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Commissions
and offering price: |
Price
to public |
Agent’s
commissions(1)(2) |
Proceeds
to us(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 $3.50 per security to selected securities dealers
in consideration for marketing and other services in connection with the distribution of the securities to other securities dealers. |
| (3) | See “Use of Proceeds and Hedging” in the accompanying product supplement. |
Morgan Stanley | Wells Fargo Securities |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity
date: |
May 26, 2027*, subject to postponement if the final calculation day is postponed |
Underlying
stock: |
The common stock of NVIDIA Corporation (the “Underlying company”) (Nasdaq symbol: NVDA) |
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 stock closing price on the related
calculation day is greater than or equal to the coupon threshold price.
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 stock closing price on any calculation day is less than the
coupon threshold price, you will not receive any contingent coupon payment on the related contingent coupon payment date.
If the stock closing price is less than the coupon threshold
price 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.** |
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 November 2024, the stock closing price is greater than or equal to the starting price, the securities will be automatically
called on the related call settlement date for a cash payment per security equal to the face amount plus a final contingent coupon
payment.
The securities will not be automatically called on any call settlement date
if the stock closing price is less than the starting price on the related calculation day.
Any positive return on the securities will be limited to the
contingent coupon payments, if any, even if the stock closing price on the applicable calculation day significantly exceeds the starting
price. You will not participate in any appreciation of the underlying stock. |
Calculation
days: |
Monthly, on the 21st of each month, commencing in June 2024 and ending on the final calculation day. We also refer to the May 2027 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
due at maturity, if payable). The “maturity payment amount” per security will equal:
· if
the ending price is greater than or equal to the downside threshold price:
$1,000; or
· if
the ending price is less than the downside threshold price:
$1,000 × performance factor
If the securities are not automatically called prior to maturity
and the ending price is less than the downside threshold price, you will receive significantly less than the stated principal amount
of your securities and you will not receive any contingent coupon payment at maturity. Under these circumstances, you will lose more
than 35%, and possibly all, of your investment. |
Stock
closing price: |
With respect to the underlying stock, stock closing price, closing price and adjustment factor have the meanings set forth under “General Terms of the Securities—Certain Terms for Securities Linked to an Underlying Stock—Certain Definitions” in the accompanying product supplement for principal at risk securities. |
Starting
price: |
$ , which is the stock closing price on the pricing date. |
Coupon
threshold price: |
$ , which is equal to 65% of the starting price. |
Downside
threshold price: |
$ , which is equal to 65% of the starting price. |
Ending
price: |
The “ending price” will be the stock closing price on the final calculation day. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
Performance
factor: |
The ending price divided by the starting price (expressed as a percentage). |
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: |
May 21, 2024* |
Original
issue date: |
May 29, 2024* (5 business days after the pricing date) |
CUSIP
/ ISIN: |
61776L4V6 / US61776L4V65 |
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 Common Stock of NVIDIA Corporation due May 26, 2027
Estimated Value of the Securities |
The face amount of each security is $1,000. This price includes
costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated
value of the securities on the pricing date will be less than $1,000 per security. We estimate that the value of each security
on the pricing date will be approximately $964.20, or within $45.00 of that estimate. Our estimate of the value of the securities
as determined on the pricing date will be set forth in the final pricing supplement.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the underlying stock. The estimated
value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying
stock, instruments based on the underlying stock, 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 price and the downside threshold price, we use an internal funding rate which is likely to
be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and
hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities
would be more favorable to you.
What is the relationship between the estimated value on the pricing
date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including those related to the underlying stock, may vary from, and be lower
than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit
spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other
factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not
fully deducted upon issuance, for a period of up to 3 months following the issue date, to the extent that MS & Co. may buy or
sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying stock,
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 Common Stock of NVIDIA Corporation due May 26, 2027
The Principal at Risk Securities Linked to the Common Stock of NVIDIA
Corporation due May 26, 2027 (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 stock closing price on the applicable monthly calculation day is greater than or equal to 65% of the starting price; |
| § | understand that if the stock closing price of the underlying stock on the
final calculation day has declined by more than 35% from the starting price, they will be fully exposed to the decline in the underlying
stock from the starting price and will lose more than 35%, 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 and are willing to accept the full downside risks of the underlying
stock; |
| § | are willing to forgo participation in any appreciation of the underlying
stock, fixed interest payments on the securities and dividends on the underlying stock; 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 stock closing price may decline
by more than 35% from the starting price to the ending price, in which case they will lose a significant portion or all of their investment; |
| § | are unwilling to accept the risk of exposure to the underlying stock; |
| § | seek exposure to the upside performance of the underlying stock; |
| § | are unwilling to accept our credit risk; or |
| § | prefer the lower risk of fixed income investments with comparable maturities
issued by companies with comparable credit ratings. |
The considerations identified above are not
exhaustive. Whether or not the securities are an appropriate investment for you will depend on your individual circumstances, and you
should reach an investment decision only after you and your investment, legal, tax, accounting and other advisors have carefully considered
the appropriateness of an investment in the securities in light of your particular circumstances. You should also review carefully the
“Risk Factors” herein and in the accompanying product supplement for risks related to an investment in the securities. For
more information about the underlying stock, please see the section titled “NVIDIA Corporation Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
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 stock closing price on the related monthly calculation day.
Determine whether a contingent coupon payment
is paid on the applicable contingent coupon payment date based on the stock closing price on the relevant calculation day, as follows:
Beginning after six months, if the stock closing
price on a calculation day is greater than or equal to the starting price, the securities will be automatically called on the applicable
call settlement date for an amount in cash equal to $1,000 plus the related contingent coupon payment.
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:
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
Hypothetical Payout Profile |
The hypothetical payout profile below illustrates the maturity payment amount on the securities
for a range of hypothetical performances of the underlying stock from its starting price to its ending price on the final calculation
day. The hypothetical payout profile excludes any hypothetical contingent coupon payments.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
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 maturity
payment amount, 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 stock closing price on each calculation
day, and the amount you will receive at maturity, if any, will be determined by reference to the ending price on the final calculation
day. The actual starting price, coupon threshold price, downside threshold price and 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 stock closing price on the related calculation day is greater than or equal to the coupon threshold price. |
|
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**). |
|
It is possible that the stock closing price will be less than the coupon threshold price 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. |
Hypothetical starting price: |
$100.00 |
Hypothetical coupon threshold price: |
$65.00, which is 65% of the hypothetical starting price |
Hypothetical downside threshold price: |
$65.00, which is 65% of the hypothetical starting price |
* The hypothetical starting price of $100.00
for the underlying stock has been chosen for illustrative purposes only and does not represent the actual starting price of the underlying
stock. The actual starting price, coupon threshold price and downside threshold price will be determined on the pricing date
and will be set forth under “Terms” above. For historical data regarding the actual closing prices of the underlying
stock, 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.
In Example 1, the stock closing price fluctuates over the term of the
securities and the stock closing price is greater than or equal to the hypothetical starting price of $100.00 on one of the calculation
days following the 6-month non-call period. Because the stock closing price is greater than or equal to the starting price on such
a date, the securities are automatically called on the related call settlement date. In Examples 2, 3 and 4, the stock closing
price on each of the calculation days is less than the starting price, and, consequently, the securities are not automatically
called prior to, and remain outstanding until, maturity.
Example 1 — The securities are automatically called following
the sixth calculation day (which is the first calculation day following which the securities can be called), as the stock closing price
on the sixth calculation day is greater than or equal to the starting price. The stock closing price is greater than or equal
to the coupon threshold price on only 3 of the 5 monthly calculation days prior to (and excluding) the calculation day immediately
preceding the automatic call. Therefore, you would receive the contingent monthly coupons with respect to those 3 calculation days, totaling
$13.75 × 3 = $41.25, but not for the other 2 calculation days. The stock closing price is equal to the starting price on the sixth
calculation day. Upon automatic call, investors receive a cash payment per security calculated as $1,000 + $13.75 = $1,013.75.
The total payment over the 6-month term of the securities is $41.25 + $1,013.75
= $1,055.00.
Example 2 — The securities are not called prior to maturity, as
the stock closing price is less than the starting price on every calculation day. The stock closing price is greater than or
equal to the coupon threshold price on all 35 calculation days prior to (and excluding) the final calculation day, and the ending
price is also greater than or equal to the coupon threshold price and the downside threshold price on the final calculation day.
Therefore, you would receive (i) the contingent coupon payments with respect to
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
the 35 calculation days prior to (and excluding) the final calculation day,
totaling $13.75 × 35 = $481.25, and (ii) the maturity payment amount calculated as $1,000 + $13.75 = $1,013.75.
The total payment over the 3-year term of the securities is $481.25 + $1,013.75
= $1,495.00.
This example illustrates the scenario where you receive a contingent coupon
payment on every contingent coupon payment date throughout the term of the securities and receive your principal back at maturity, resulting
in an annual interest rate of 16.50% over the 3-year term of the securities. This example, therefore, represents the maximum amount payable
over the 3-year term of the securities. To the extent that the contingent coupon payments are not paid on every contingent coupon payment
date, the effective rate of interest on the securities will be less than 16.50% per annum and could be zero.
Example 3 — The securities are not called prior to maturity, as
the stock closing price is less than the starting price on every calculation day. The stock closing price is greater than or
equal to the coupon threshold price on 14 out of the 35 calculation days prior to (and excluding) the final calculation day. The ending
price is $100.00, which is greater than or equal to the downside threshold price. In this scenario, you receive a maturity payment
amount equal to the stated principal amount plus a contingent coupon payment with respect to the final calculation day. Therefore,
you would receive (i) the contingent coupon payments with respect to those 14 calculation days prior to (and excluding) the final calculation
day, totaling $13.75 × 14 = $192.50, but not for the other 21 calculation days, and (ii) the maturity payment amount calculated
as $1,000 + $13.75 = $1,013.75.
The total payment over the 3-year term of the securities is $192.50 + $1,013.75
= $1,206.25.
Example 4 — The securities are not called prior to maturity, as
the stock closing price is less than the starting price on every calculation day. The stock closing price is also less than
the coupon threshold price on every calculation day, including the final calculation day. The ending price is $40.00, which is less
than the downside threshold price. Therefore, you would receive no contingent coupon payments throughout the entire term of the securities,
and the maturity payment amount would be calculated as $1,000 × ($40.00 / $100.00) = $400.00.
The total payment over the 3-year term of the securities is $0 + $400.00 =
$400.00.
If the securities are not automatically called prior to maturity and the
ending price is less than the downside threshold price, investors will be exposed to the downside performance of the underlying stock
at maturity, and the maturity payment amount will be less than 65% 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 Common Stock of NVIDIA Corporation due May 26, 2027
This section describes the material risks relating to the securities. For
further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product
supplement for principal at risk securities and prospectus. We also urge you to consult your investment, legal, tax, accounting
and other advisers in connection with your investment in the securities.
Risks Relating to an Investment in the Securities
| § | The securities do not 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 ending price is less than the downside threshold price of 65% of the starting price, you will be exposed to the decline
in the price of the underlying stock, as compared to the starting price, 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. In this case, you will
lose more than 35%, 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 stock closing price is greater than or equal to
the coupon threshold price on the related calculation day. However, if the stock closing price is less than the coupon threshold
price on the relevant calculation day for any interest period, we will pay no contingent coupon payment on the applicable contingent coupon
payment date. If the stock closing price is less than the coupon threshold price on each calculation day, you will not receive
any contingent coupon payments throughout the entire term of the securities. It is possible that the stock closing price will be less
than the coupon threshold price 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 stock
closing price of the underlying stock 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 stock closing price of the underlying stock 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 the underlying stock on the monthly calculation
days, if the stock closing price of the underlying stock on any calculation day is below the coupon threshold price, you will not receive
the contingent coupon payment for the related interest period, even if the price of the underlying stock was at or above the coupon threshold
price on other days during that interest period. |
| § | Investors will not participate in any
appreciation in the price of the underlying stock. Investors will not participate in any appreciation in the price of the
underlying stock from the starting price, 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 stock closing price is greater than or equal to the coupon threshold price,
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 the underlying stock on
any day, including in relation to the starting price, the coupon threshold price and the
downside threshold price, will affect the value of the securities more than any other factors. Other
factors that may influence the value of the securities include: |
| o | the trading price and volatility (frequency and magnitude of changes in value) of
the underlying stock, |
| o | whether the stock closing price of the underlying stock has been below the coupon
threshold price on any calculation day, |
| o | geopolitical conditions and economic, financial, political, regulatory or judicial
events that affect the underlying stock or securities markets generally and which may affect the price of the underlying stock, |
| o | dividend rates on the underlying stock, |
| o | the time remaining until the securities mature, |
| o | interest and yield rates in the market, |
| o | the availability of comparable instruments, |
| o | the occurrence of certain events affecting the underlying stock that may or may not
require an adjustment to the adjustment factor, and |
| o | any actual or anticipated changes in our credit ratings or credit spreads. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
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 the underlying stock has closed near or below the coupon threshold price and downside threshold price, 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 the
underlying stock based on its historical performance. The price of the underlying stock may be, and has recently been, volatile,
and we can give you no assurance that the volatility will lessen. The price of the underlying stock may decrease and be below the coupon
threshold price on each calculation day so that you will receive no return on your investment, and the underlying stock may close below
the downside threshold price 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 stock closing price will be at or above the coupon threshold price 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 the
downside threshold price on the final calculation day so that you do not suffer a significant loss on your initial investment in the securities.
See “NVIDIA Corporation Overview” below.
| § | The securities are subject to our credit risk, and any actual
or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. You
are dependent on our ability to pay all amounts due on the securities upon an automatic call, 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 underlying stock. Investing in the securities is not equivalent to investing in the underlying stock. Investors
in the securities will not participate in any positive performance of the underlying stock, and will not have voting rights or rights
to receive dividends or other distributions or any other rights with respect to the underlying stock. As a result, any return on the securities
will not reflect the return you would realize if you actually owned shares of the underlying 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.
However, because the costs
associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to
3 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent
changes in market conditions, including those related to the underlying stock, and to our secondary
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
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 price, the coupon threshold price, the downside threshold price and the ending price, and will calculate
the amount of cash you receive upon an automatic call or at maturity, if any. Moreover, certain determinations made by MS &
Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to
the occurrence or non-occurrence of market disruption events and certain adjustments to the adjustment factor. These potentially
subjective determinations may adversely affect the payout to you upon an automatic call or at maturity, if any. For further
information regarding these types of determinations, see “General Terms of the Securities—Certain Terms for Securities Linked
to an Underlying Stock—Market Disruption Events,” “—Adjustment Events,” “—Consequences of a
Market Disruption Event; Postponement of a Calculation Day,” “—Alternate Exchange Calculation in Case of an Event of
Default” and related definitions in the accompanying product supplement for principal at risk securities. In addition, MS &
Co. has determined the estimated value of the securities on the pricing date. |
| § | Hedging and trading activity by our affiliates could
potentially adversely affect the value of the securities. One or more of our affiliates and/or third-party dealers expect
to carry out hedging activities related to the securities (and possibly to other instruments linked to the underlying stock), including
trading in the underlying stock. 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 underlying stock and other financial instruments related to the underlying
stock on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities
on or prior to the pricing date could potentially affect the starting price of the underlying stock, and, therefore, could increase (i)
the price at or above which the underlying stock 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, (ii) the price at or above which the underlying stock must close
on each calculation day in order for you to earn a contingent coupon payment and (iii) the price at or above which the underlying stock
must close on the final calculation day so that you are not exposed to the negative performance of the underlying stock at maturity. Additionally,
such hedging or trading activities during the term of the securities could potentially affect the price of the underlying stock 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. |
| § | 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. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
| § | Potentially inconsistent research, opinions or recommendations
by Morgan Stanley, MSFL, WFS or our or their respective affiliates. Morgan Stanley, MSFL, WFS and our or their respective
affiliates may publish research from time to time on financial markets and other matters that may influence the value of the securities,
or express opinions or provide recommendations that are inconsistent with purchasing or holding the securities. Any research,
opinions or recommendations expressed by Morgan Stanley, MSFL, WFS or our or their respective affiliates may not be consistent with each
other and may be modified from time to time without notice. Investors should make their own independent investigation of the merits of
investing in the securities and the underlying stock 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 Underlying Stock
| § | No affiliation with NVIDIA Corporation. NVIDIA Corporation
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 NVIDIA
Corporation in connection with this offering. |
| § | We may engage in business with or involving NVIDIA Corporation
without regard to your interests. We or our affiliates may presently or from time to time engage in business with NVIDIA Corporation
without regard to your interests and thus may acquire non-public information about NVIDIA Corporation Neither we nor any of our affiliates
undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published and in the future
may publish research reports with respect to NVIDIA Corporation which may or may not recommend that investors buy or hold the underlying
stock. |
| § | The antidilution adjustments the calculation agent is
required to make do not cover every corporate event that could affect the underlying stock. MS & Co., as calculation agent, will
adjust the adjustment factor for certain corporate events affecting the underlying stock, such as stock splits, stock dividends and extraordinary
dividends, and certain other corporate actions involving the issuer of the underlying stock, such as mergers. However, the calculation
agent will not make an adjustment for every corporate event that can affect the underlying stock. For example, the calculation agent is
not required to make any adjustments if the issuer of the underlying stock or anyone else makes a partial tender or partial exchange offer
for the underlying 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 underlying stock by the amount of such dividends. If an event occurs
that does not require the calculation agent to adjust the adjustment factor, such as a regular cash dividend, the market price of the
securities and your return on the securities may be materially and adversely affected. For example, if the record date for a regular cash
dividend were to occur on or shortly before a calculation day, this may decrease the stock closing price to be less than the |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
coupon threshold price (resulting in no
contingent coupon payment being paid with respect to such date) or the ending price to be less than the downside threshold price (resulting
in a loss of a significant portion of all of your investment in the securities), materially and adversely affecting your return.
| § | Historical closing prices of the underlying stock should
not be taken as an indication of the future performance of the underlying stock during the term of the securities. No assurance
can be given as to the price of the underlying stock at any time, including on the final calculation day, because historical closing prices
of the underlying stock do not provide an indication of future performance of the underlying stock. |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
Principal at Risk Securities Linked to the Common Stock of NVIDIA Corporation due May 26, 2027
NVIDIA Corporation Overview |
NVIDIA Corporation is a visual computing company. The underlying
stock is registered under the Securities Exchange Act of 1934, as amended (the “Exchange Act”). Information provided to or
filed with the Securities and Exchange Commission by NVIDIA Corporation pursuant to the Exchange Act can be located by reference to the
Securities and Exchange Commission file number 000-23985 through the Securities and Exchange Commission’s website at www.sec.gov.
In addition, information regarding NVIDIA Corporation may be obtained from other sources including, but not limited to, press releases,
newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly
available documents or any other publicly available information regarding the issuer of the underlying stock is accurate or complete.
The following graph sets forth the daily closing prices of the underlying stock
for the period from January 1, 2019 through May 9, 2024. The closing price of the underlying stock on May 9, 2024 was $887.47. We obtained
the information in the graph below from Bloomberg Financial Markets without independent verification. The historical closing prices of
the underlying stock may have been adjusted for stock splits and other corporate events. The historical performance of the underlying
stock should not be taken as an indication of future performance, and no assurance can be given as to the closing price of the underlying
stock at any time, including on the calculation days.
Common Stock of NVIDIA
Corporation – Daily Closing Prices
January 1, 2019 to May
9, 2024 |
|
This document relates only to the securities offered hereby and
does not relate to the underlying stock or other securities of NVIDIA Corporation. We have derived all disclosures contained in this document
regarding the underlying stock from the publicly available documents described above. In connection with the offering of the securities,
neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to NVIDIA
Corporation. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available
information regarding NVIDIA Corporation is accurate or complete. Furthermore, we cannot give any assurance that all events occurring
prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described
above) that would affect the trading price of the underlying stock (and therefore the price of the underlying stock at the time we price
the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material
future events concerning NVIDIA Corporation could affect the value received with respect to the securities and therefore the value of
the securities.
Neither the issuer nor any of its affiliates makes any representation
to you as to the performance of the underlying stock.
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Market Linked Securities—Auto-Callable with Contingent Coupon and Contingent Downside
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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
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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, 2025 that do not have a delta of one with
respect to any Underlying Security. Based on the terms of the securities and current market conditions, we expect that the securities
will not have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide an updated
determination in the pricing supplement. Assuming that the securities do not have a delta of one with respect to any Underlying
Security, our counsel is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject to
Section 871(m).
Our determination is not binding on the IRS, and the IRS may disagree with
this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether
you enter into other transactions with respect to an Underlying Security. If 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 $3.50 per security to selected securities dealers in consideration for marketing and other services in connection
with the distribution of the securities to other securities dealers.
See "Plan of Distribution; Conflicts of Interest" in the
accompanying product supplement for principal at risk securities for information about the distribution arrangements for the securities. References
therein to "agent" refer to each of MS & Co. and WFS, as agents for this offering, except that references to "agent"
in the context of offers to certain Morgan Stanley dealers and compliance with FINRA Rule 5121 do not apply to WFS. MS &
Co., WFS or their affiliates may enter into hedging transactions with us in connection with this offering.
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the
securities. When MS & Co. prices this offering of securities, it will determine the economic terms of the securities, including
the contingent coupon rate, 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.
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Where you can find more information
Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by the product supplement for principal at risk securities) with the Securities and Exchange Commission,
or SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement,
the product supplement for principal at risk securities and any other documents relating to this offering that Morgan Stanley and MSFL
have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering. When you read the accompanying
product supplement, please note that all references in such supplement to the prospectus dated November 16, 2023, or to any sections therein,
should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable.
You may get these documents without cost by visiting EDGAR on the SEC web site at.www.sec.gov. Alternatively,
Morgan Stanley, MSFL, any underwriter or any dealer participating in the offering will arrange to send you the product supplement for
principal at risk securities and prospectus if you so request by calling toll-free 1-(800)-584-6837.
You may access these documents on the SEC web site at.www.sec.gov
as follows:
Product
Supplement for Principal at Risk Securities dated November 16, 2023
Prospectus
dated April 12, 2024
Terms used but not defined in this document are defined in the product
supplement for principal at risk securities or in the prospectus.
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