Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
February 24 2021 - 4:22PM
Edgar (US Regulatory)
Morgan
Stanley
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Free Writing Prospectus to Preliminary Terms No. 864
Registration Statement Nos. 333-250103; 333-250103-01
Dated February 24, 2021; Filed
pursuant to Rule 433
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2-Year SPX Buffered PLUS
This document provides a summary of the terms of the Buffered
PLUS. Investors must carefully review the accompanying preliminary terms referenced below, product supplement, index supplement
and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.
Terms
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Issuing entity:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Underlying:
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S&P 500® Index (SPX)
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Leverage factor:
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200%
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Buffer amount:
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10% of principal (90% maximum loss)1
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Maximum payment at maturity:
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115.00% to 120.00% of principal
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Pricing date:
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March 31, 2021
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Valuation date:
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March 31, 2023
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Maturity date:
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April 5, 2023
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CUSIP:
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61771VCG3
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Preliminary terms:
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https://www.sec.gov/Archives/edgar/dat
a/895421/000183988221002595/ms864_fwp-01930.htm
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1All payments are subject to our credit risk
Hypothetical
Payout at Maturity1
Change in Underlying
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Return on Securities
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+50.00%
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15.00%*
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+40.00%
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15.00%*
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+30.00%
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15.00%*
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+20.00%
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15.00%*
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+10.00%
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15.00%*
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+7.50%
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15.00%
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+5.00%
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10%
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0.00%
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0%
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-10.00%
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0%
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-11.00%
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-1%
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-20.00%
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-10%
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-30.00%
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-20%
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-40.00%
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-30%
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-50.00%
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-40%
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-60.00%
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-50%
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-80.00%
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-70%
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-100.00%
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-90%
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*Assumes a maximum payment at maturity of 115.00% of principal
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The issuer has filed a registration statement
(including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read
the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information
about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus
if you request it by calling toll-free 1-800-584-6837.
Underlying Index
For more information about the underlying index, including historical performance
information, see the accompanying preliminary terms.
Risk Considerations
The risks set forth below are discussed in more detail in the “Risk
Factors” section in the accompanying preliminary terms. Please review those risk factors carefully prior to making an investment
decision.
Risks Relating to an Investment in the Buffered PLUS
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·
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Buffered PLUS do not pay interest and
provide a minimum payment at maturity of only 10% of your principal.
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·
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The appreciation potential of the Buffered
PLUS is limited by the maximum payment at maturity.
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·
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The market price of the Buffered PLUS
will be influenced by many unpredictable factors.
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·
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The Buffered PLUS 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 Buffered PLUS.
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·
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As a finance subsidiary, MSFL has no
independent operations and will have no independent assets.
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·
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The estimated value of the Buffered
PLUS is $968.90 per Buffered PLUS, or within $35.00 of that estimate, and 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.
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·
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The amount payable on the Buffered PLUS
is not linked to the value of the underlying index at any time other than the valuation date.
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·
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Investing in the Buffered PLUS is not
equivalent to investing in the underlying index.
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·
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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
Buffered PLUS in the original issue price reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered
PLUS to be less than the original issue price and will adversely affect secondary market prices.
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·
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The Buffered PLUS will not be listed
on any securities exchange and secondary trading may be limited.
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·
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The calculation agent, which is a subsidiary
of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Buffered PLUS.
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·
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Hedging and trading activity by our
affiliates could potentially adversely affect the value of the Buffered PLUS.
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·
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The U.S. federal income tax consequences
of an investment in the Buffered PLUS are uncertain.
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Risks Relating to the Underlying Index
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·
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Adjustments to the underlying index
could adversely affect the value of the Buffered PLUS.
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Tax Considerations
You should review carefully the discussion in the accompanying preliminary
terms under the caption “Additional Information About the Buffered PLUS–Tax considerations” concerning the U.S.
federal income tax consequences of an investment in the Buffered PLUS, and you should consult your tax adviser.
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