May
2024
Preliminary
Pricing Supplement No. 2,350
Registration
Statement Nos. 333-275587; 333-275587-01
Dated
May 23, 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 Downside
Principal
at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index
and the Nasdaq-100 Index® due June 5, 2028
Fully and
Unconditionally Guaranteed by Morgan Stanley
§ Linked
to the lowest performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index®
(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 pay interest, do not guarantee the repayment of principal and
are subject to potential automatic call prior to the maturity date upon the terms described below. The securities have the terms described
in the accompanying product supplement for principal at risk securities, index supplement and prospectus, as supplemented or modified
by this document.
§ Automatic
Call. The securities will be automatically called if the closing level of each underlying on any of the calculation days is greater
than or equal to its respective starting level for a call payment equal to the face amount plus a call premium. The call premium
applicable to each calculation day will be a percentage of the face amount that increases for each calculation day based on a simple (non-compounding)
return of at least 12.85% per annum (to be determined on the pricing date). No further payments will be made on the securities once they
have been called.
§ Maturity
Payment Amount. If the securities are not automatically called, you will receive at maturity a cash payment per security as follows:
§ If
the ending level of any underlying is less than its respective starting level but the ending level of each underlying
is greater than or equal to 75% of its respective starting level, which we refer to as the respective threshold level, you will
receive a maturity payment amount of $1,000 per $1,000 security.
§ If
the ending level of any underlying is less than its respective threshold level, investors will be exposed to the full decline
in the lowest performing underlying on a 1-to-1 basis, and will receive a maturity payment amount that is less than 75% of the face amount
of the securities and could be zero.
§ Investors
may lose a significant portion, or all, of the face amount of the securities
§ The
securities are for investors who are willing to forgo current income and participation in the appreciation of any underlying in exchange
for the possibility of receiving a call payment or maturity payment amount greater than the face amount of the securities if each underlying
closes at or above the respective starting level on a calculation day or the final calculation day, respectively.
§ Because
all payments on the securities are based on the lowest performing underlying, a decline beyond the respective threshold level of any underlying
will result in a significant loss of your investment, even if the other underlyings have appreciated or have not declined as much.
§ 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 $953.90 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 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 |
$25.75 |
$974.25 |
Total |
$ |
$ |
$ |
| (1) | Wells Fargo Securities, LLC, an agent for this offering,
will receive a commission of up to $25.75 for each security it sells. Dealers, including Wells Fargo Advisors (“WFA”), may
receive a selling concession of up to $20.00 per security, and WFA may receive a distribution expense fee of $0.75 for each security
sold by WFA. See “Supplemental information concerning plan of distribution; conflicts of interest.” |
| (2) | In
respect of certain securities sold in this offering, we may pay a fee of up to $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. |
Product Supplement for Principal at Risk Securities dated November 16, 2023 Index Supplement dated November 16, 2023 Prospectus
dated April 12, 2024
Morgan Stanley |
Wells Fargo Securities |
Morgan
Stanley Finance LLC
Market Linked
Securities—Auto-Callable with Contingent Downside
Principal
at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index
and the Nasdaq-100 Index® due June 5, 2028
Terms |
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity
date: |
June 5, 2028†, subject to postponement if the final calculation day is postponed |
Underlyings: |
EURO STOXX 50® Index (the “SX5E Index”), Russell 2000® Index (the “RTY Index”) and the Nasdaq-100 Index® (the “NDX Index”) |
Aggregate
face amount: |
$ |
Automatic
call: |
If,
on any calculation day, beginning on June 5, 2025, the closing level of each underlying is greater than or equal to its respective
starting level, the securities will be automatically called for the applicable call payment on the related call settlement date.
The last calculation day is the final calculation day, and any payment upon an automatic call on the final calculation day, if applicable,
will be made on the maturity date.
The
securities will not be automatically called on any call settlement date if the closing level 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 applicable call premium, even if the closing level of any underlying on the
applicable calculation day significantly exceeds its starting level. You will not participate in any appreciation of any underlying. |
Call
payment: |
The call payment
will be an amount in cash per face amount corresponding to a return at a per-annum rate that will be set on the pricing date, as
follows:
· 1st
calculation day: at least $1,128.50, which corresponds to a call premium of at least 12.85%
· 2nd
calculation day: at least $1,160.625, which corresponds to a call premium of at least 16.0625%
· 3rd
calculation day: at least $1,192.75, which corresponds to a call premium of at least 19.275%
· 4th
calculation day: at least $1,224.875, which corresponds to a call premium of at least 22.4875%
· 5th
calculation day: at least $1,257.00, which corresponds to a call premium of at least 25.70%
· 6th
calculation day: at least $1,289.125, which corresponds to a call premium of at least 28.9125%
· 7th
calculation day: at least $1,321.25, which corresponds to a call premium of at least 32.125%
· 8th
calculation day: at least $1,353.375, which corresponds to a call premium of at least 35.3375%
· 9th
calculation day: at least $1,385.50, which corresponds to a call premium of at least 38.55%
· 10th
calculation day: at least $1,417.625, which corresponds to a call premium of at least 41.7625%
· 11th
calculation day: at least $1,449.75, which corresponds to a call premium of at least 44.975%
· 12th
calculation day: at least $1,481.875, which corresponds to a call premium of at least 48.1875%
· Final
calculation day: at least $1,514.00, which corresponds to a call premium of at least 51.40%
The actual call
payment and call premium applicable to each calculation day will be determined on the pricing date.
No further payments
will be made on the securities once they have been called.
|
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Calculation
days: |
Quarterly, as follows:
· 1st
calculation day: June 5, 2025†*
· 2nd
calculation day: September 5, 2025†*
· 3rd
calculation day: December 5, 2025†*
· 4th
calculation day: March 5, 2026†*
· 5th
calculation day: June 5, 2026†*
· 6th
calculation day: September 8, 2026†*
· 7th
calculation day: December 7, 2026†*
· 8th
calculation day: March 5, 2027†*
· 9th
calculation day: June 7, 2027†*
· 10th
calculation day: September 7, 2027†*
· 11th
calculation day: December 6, 2027†*
· 12th
calculation day: March 6, 2028†*
· Final
calculation day: May 31, 2028†*
|
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 as
follows:
§ if
the ending level of any underlying is less than its respective starting level but the ending level of each underlying
is greater than or equal to its respective threshold level:
$1,000;
or
§ if
the ending level of any underlying is less than its respective threshold level:
$1,000
× performance factor of the lowest performing underlying
Under these
circumstances, you will lose more than 25%, and possibly all, of your investment.
|
Lowest
performing underlying: |
The underlying with the lowest performance factor |
Performance
factor: |
With respect to each underlying, the ending level divided by the starting level |
Starting
level: |
With respect to the EURO STOXX 50®
Index: , its closing level on the pricing date.
With respect to the Russell 2000®
Index: , its closing level on the pricing date.
With respect to the Nasdaq-100 Index®:
, its closing level on the pricing date.
|
Ending
level: |
With respect to each underlying, its closing level on the final calculation day. |
Threshold
level: |
With respect to the EURO STOXX 50® Index: , which is
equal to 75% of its starting level.
With respect to the Russell 2000® Index: , which is
equal to 75% of its starting level.
With respect to the Nasdaq-100 Index®: , which is equal
to 75% 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: |
May 31, 2024† |
Original
issue date: |
June 5, 2024† (3 business days after the pricing date) |
CUSIP
/ ISIN: |
61776MBQ7 / US61776MBQ78 |
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—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 Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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 $953.90, 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 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
call payment amounts and the 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 4 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 Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
The Principal at Risk Securities Linked to the Lowest Performing of
the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
(the “securities”) may be appropriate for investors who:
| § | Seek the potential for a fixed return if each underlying has appreciated
at all as of any of the calculation days in lieu of full participation in any potential appreciation of any or all of the underlyings;
|
| § | Understand that if the closing level of any underlying is less than its respective
starting level on each calculation day, they will not receive any positive return on their investment in the securities, and that if the
closing level of any underlying on the final calculation day has declined by more than 25% 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 25%, and possibly all, of the
face amount of their securities at maturity; |
| § | Understand that the term of the securities may be as short as approximately
one year, and that they will not receive a higher call payment with respect to a later calculation day if the securities are called on
an earlier calculation day; |
| § | 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 interest payments on the securities and dividends on
securities included in 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, if the closing level of any underlying
is less than its respective starting level on each calculation day, they will not receive any positive return on their investment in the
securities; |
| § | Are unwilling to accept the risk that the closing level of any underlying
on the final calculation day may decline by more than 25% from its respective starting level to its ending level, 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 beyond
the applicable call premiums; |
| § | 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 “EURO STOXX 50® Index Overview,” “Russell
2000® Index Overview” and “Nasdaq-100 Index® Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Determining
Timing and Amount of Payment on the Securities |
The timing and amount of the payment you will receive will be determined
as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Hypothetical
Payout Profile |
The hypothetical payout profile
below illustrates the call payment or maturity payment amount on the securities, as applicable, for a range of hypothetical performances
of the lowest performing underlying from its respective starting level to its respective closing level on the applicable calculation day.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Scenario
Analysis and Examples of Hypothetical Payments on the Securities |
The
following scenario analysis and examples are provided for illustrative purposes only and are hypothetical. Whether the securities are
called will be determined by reference to the closing level of each underlying on the calculation days, and the maturity payment amount,
if any, will be determined by reference to the closing level of each underlying on the final calculation day. The actual call payment
with respect to each applicable calculation day, starting levels and threshold levels will be determined on the pricing date. Some numbers
appearing in the examples below have been rounded for ease of analysis. All payments on the securities are subject to our credit risk.
The below examples are based on the following terms*:
Investment
term: |
4
years |
Hypothetical
call payments: |
The
hypothetical call payment will be an amount in cash per face amount for each calculation day, as follows: |
|
Call
Payment |
· |
1st
calculation day: $1,128.50 |
· |
2nd
calculation day: $1,160.625 |
· |
3rd
calculation day: $1,192.75 |
· |
4th
calculation day: $1,224.875 |
· |
5th
calculation day: $1,257.00 |
· |
6th
calculation day: $1,289.125 |
· |
7th
calculation day: $1,321.25 |
· |
8th
calculation day: $1,353.375 |
· |
9th
calculation day: $1,385.50 |
· |
10th
calculation day: $1,417.625 |
· |
11th
calculation day: $1,449.75 |
· |
12th
calculation day: $1,481.875 |
· |
Final
calculation day: $1,514.00 |
Hypothetical
starting level: |
With
respect to the SX5E Index: 100 |
|
With
respect to the RTY Index: 100 |
|
With
respect to the NDX Index: 100 |
Hypothetical
threshold level: |
With
respect to the SX5E Index: 75, which is 75% of its hypothetical starting level |
|
With
respect to the RTY Index: 75, which is 75% of its hypothetical starting level |
|
With
respect to the NDX Index: 75, which is 75% of its hypothetical starting level |
*
The hypothetical starting level of 100 for the underlyings has been chosen for illustrative purposes only and does not represent
the actual starting level of any underlying. The actual starting levels and threshold levels will be determined on the pricing date and
will be set forth under “Terms” above. For historical data regarding the actual closing levels of the underlyings, see the
historical information set forth herein.
Automatic
Call:
Example
1 — the securities are called following the second calculation day
Date |
SX5E
Index Closing Level |
RTY
Index Closing Level |
NDX
Index Closing Level |
Payment
(per Security) |
1st
Calculation Day |
80
(below the starting level) |
120
(at or above the starting level) |
140
(at or above the starting level) |
-- |
2nd
Calculation Day |
110
(at or above the starting level) |
125
(at or above the starting level) |
135
(at or above the starting level) |
$1,160.625 |
In this example,
on the first calculation day, the closing levels of two of the underlyings are at or above their respective starting levels, but the
closing level of the other underlying is below its respective starting level. Therefore, the securities are not called. On the second
calculation day, the closing level of each underlying is at or above the respective starting level. Therefore, the securities
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
are automatically
called on the second call settlement date. Investors will receive a payment of $1,160.625 per security on the related call settlement
date. No further payments will be made on the securities once they have been called, and investors do not participate in the appreciation
in any underlying.
How to calculate
the payment investors will receive at maturity:
In the following
examples, one or more of the underlyings close below the respective starting level(s) on each of the calculation days prior to the final
calculation day, and, consequently, the securities are not automatically called prior to, and remain outstanding until, maturity.
|
SX5E
Index Ending Level |
RTY
Index Ending Level |
NDX
Index Ending Level |
Maturity
Payment Amount (per Security)
|
Example
1: |
150
(at or above its starting level) |
140
(at or above its starting level) |
142
(at or above its starting level) |
$1,514.00 |
Example 2:
|
80
(below its starting level but at or above its threshold level) |
110
(at or above its starting level and threshold level) |
120
(at or above its starting level and threshold level) |
$1,000 |
Example
3: |
125
(at or above its starting level and threshold level) |
40
(below its threshold level) |
120
(at or above its starting level and threshold level) |
$1,000
× (40 / 100) = $400 |
Example
4: |
20
(below its threshold level) |
80
(below its starting level but at or above its threshold level) |
120
(at or above its starting level and threshold level) |
$1,000
× (20 / 100) = $200 |
Example
5: |
45
(below its threshold level) |
50
(below its threshold level) |
20
(below its threshold level) |
$1,000
× (20 / 100) = $200 |
In example 1, the
ending level of each underlying is at or above its respective starting level. Therefore, investors receive at maturity the call payment
applicable to the final calculation day. Investors do not participate in any appreciation in any underlying.
In example 2, the
ending levels of two of the underlyings are at or above their starting levels and threshold levels, but the ending level of the other
underlying is below its starting level and at or above its threshold level. Therefore, investors receive $1,000 per security at maturity.
Investors do not participate in any appreciation in any underlying.
In example 3, the
ending levels of two of the underlyings are at or above their starting levels and threshold levels, but the ending level of the other
underlying is below its respective threshold level. Therefore, investors are exposed to the downside performance of the lowest performing
underlying at maturity. Investors receive at maturity an amount equal to the face amount times the performance factor of the RTY Index,
which is the lowest performing underlying in this example.
In example 4, the
ending level of one of the underlyings is at or above its starting level and threshold level, the ending level of one of the underlyings
is below its starting level and at or above its threshold level, and the ending level of the other underlying is below its respective
threshold level. Therefore, investors are exposed to the downside performance of the lowest performing underlying at maturity. Investors
receive at maturity an amount equal to the face amount the performance factor of the SX5E Index, which is the lowest performing underlying
in this example.
In example 5, the
ending level of each underlying is below its respective threshold level, and investors receive at maturity an amount equal to the face
amount times the performance factor of the lowest performing underlying. Therefore, the maturity payment amount equals the face
amount times the performance factor of the NDX Index, which is the lowest performing underlying in this example.
If the ending
level of any underlying is below its respective 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 75% of the face amount per security and could be zero.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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 pay interest or guarantee the return of the face amount of your securities
at maturity. The terms of the securities differ from those of ordinary debt securities
in that they do not pay interest or guarantee the return of the face amount of your securities
at maturity. If the securities have not been automatically called and if the ending level
of any underlying is less than its respective threshold level of 75% 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 times the performance
factor of the lowest performing underlying. In this case, you will lose more than 25%, and
possibly all, of the face amount of your securities at maturity. |
| § | The
appreciation potential of the securities is limited by the call payment specified for each
calculation day. The appreciation potential of the securities is limited to the call
payment specified for each calculation day if each underlying closes at or above its respective
starting level on any calculation day. In all cases, you will not participate in any appreciation
of any underlying, which could be significant. |
| § | 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 and 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
volatility (frequency and magnitude of changes in value) of the underlyings, |
| o | geopolitical
conditions and economic, financial, political, regulatory or judicial events that affect
the component stocks of the underlyings or securities markets generally and which may affect
the value of each underlying, |
| o | dividend
rates on the securities underlying the underlyings, |
| o | the
time remaining until the securities mature, |
| o | interest
and yield rates in the market, |
| o | the
availability of comparable instruments, |
| o | the
composition of the underlyings and changes in the constituent stocks of such underlyings,
and |
| o | any
actual or anticipated changes in our credit ratings or credit spreads. |
Generally,
the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described
above. Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity.
For example, you may have to sell your securities at a substantial discount from the face amount of $1,000 per security if the level
of any underlying at the time of sale is near or below its threshold level or if market interest rates rise.
You
cannot predict the future performance of any underlying based on its historical performance. The value(s) of one or more of the underlyings
may decrease so that you will receive no return on your investment and receive a maturity
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
payment amount that is significantly less than
the face amount. See “EURO STOXX 50® Index Overview,” “Russell 2000® Index
Overview” and “Nasdaq-100 Index® Overview” below.
| § | The
securities are subject to our credit risk, and any actual or anticipated changes to our credit
ratings or credit spreads may adversely affect the market value of the securities. You
are dependent on our ability to pay all amounts due on the securities upon an automatic call
or at maturity, and therefore you are subject to our credit risk. If we default on our obligations
under the securities, your investment would be at risk and you could lose some or all of
your investment. As a result, the market value of the securities prior to maturity will be
affected by changes in the market’s view of our creditworthiness. Any actual or anticipated
decline in our credit ratings or increase in the credit spreads charged by the market for
taking our credit risk is likely to adversely affect the market value of the securities. |
| § | 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.
Investing in the securities is not equivalent to investing in the underlyings or the component stocks or any underlying. 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 stocks that constitute any underlying. |
| § | 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 year 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 4 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.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
| § | 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 threshold levels and the ending 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 the ending
level in the event of a market disruption event or discontinuance of any of the underlyings.
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,” “—Consequences
of a Market Disruption Event; Postponement of a Calculation Day” 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 component stocks of the underlyings), including
trading in the stocks that constitute the underlyings as well as in other instruments related to the underlyings. 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 stocks that constitute
the underlyings 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 level at or above which such underlying must close on the calculation days so
that the securities are called for the call payment (depending also on the performance of the other underlyings) and (ii) the threshold
level for such underlying, which is the level at or above which such underlying must close on the final calculation day so that you do
not suffer a significant loss on your initial investment in the securities. Additionally, such hedging or trading activities during the
term of the securities could potentially affect the value of any underlying on the |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
calculation days, and, accordingly,
whether we call the securities prior to maturity and the amount of cash you will receive at maturity, if any.
| § | The maturity date may be postponed if the 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. Please read the discussion under “Additional Information About the Securities – Tax considerations”
in this document and the discussion under “United States Federal Taxation” in the accompanying product supplement for principal
at risk securities (together, the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment
in the securities. There is no direct legal authority regarding the proper U.S. federal tax treatment of the securities, and we do not
plan to request a ruling from the Internal Revenue Service (the “IRS”). Consequently, significant aspects of the tax treatment
of the securities are uncertain, and the IRS or a court might not agree with the tax treatment of a security as a single financial contract
that is an “open transaction” for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative
treatment of the securities, the tax consequences of the ownership and disposition of the securities, including the timing and character
of income recognized by U.S. Holders and the withholding tax consequences to Non-U.S. Holders, might be materially and adversely affected.
Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the securities,
possibly retroactively. |
Both U.S. and Non-U.S. Holders should
consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative
treatments, as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
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
the call premium, each underlying must close at or above its respective starting level on
the applicable calculation day. In addition, if the securities have not been called and any
underlying has declined to below its respective 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 75% of the face amount of your securities and could be zero. Accordingly,
your investment is subject to the price risk of each 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 |
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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.
| § | The
securities are linked to the EURO STOXX 50® Index and are subject to risks
associated with investments in securities linked to the value of foreign equity securities.
As the EURO STOXX 50® Index is one of the underlyings, the securities
are linked to 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 United States 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 trading
volume, potentially making prompt liquidation of holdings difficult or impossible at times.
Moreover, the economies in such countries may differ favorably or 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. |
| § | Adjustments to the underlyings could adversely affect the value of the
securities. The publisher of any underlying may add, delete or substitute the stocks constituting such underlying or make other methodological
changes that could change the value of such underlying. The publisher of such underlying may discontinue or suspend calculation or publication
of such underlying at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor
underlying that is comparable to the discontinued underlying and is permitted to consider underlyings that are calculated and published
by the calculation agent or any of its affiliates. If the calculation agent determines that there is no appropriate successor underlying
on any calculation day, the determination of whether the securities will be called or the amount payable at maturity, if any, will be
based on the value of such underlying, based on the closing prices of the stocks constituting such underlying at the time of such discontinuance,
without rebalancing or substitution, computed by MS & Co. as calculation agent in accordance with the formula for calculating such
underlying last in effect prior to such discontinuance, as compared to the relevant starting level or threshold level, as applicable (depending
also on the performance of the other underlyings). |
| § | Historical levels of the underlyings should not be taken as an indication
of the future performance of the underlyings during the term of the securities. No assurance can be given as to the level of the underlyings
at any time, including on the final calculation day, because historical levels 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 Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
EURO
STOXX 50® Index Overview |
The EURO STOXX 50®
Index was created by STOXX® Limited, a part of Qontigo, which is a wholly owned subsidiary of Deutsche Börse
AG. Publication of the EURO STOXX 50® Index began on February 26, 1998, based on an initial index value of 1,000 at December
31, 1991. The EURO STOXX 50® Index is composed of 50 component stocks of market sector leaders among the 20 STOXX®
supersectors, which includes stocks selected from the Eurozone. The component stocks have a high degree of liquidity and represent
the largest companies across all market sectors. For additional information about the EURO STOXX 50® Index, see the information
set forth under “EURO STOXX 50® Index” in the accompanying index supplement.
The following graph
sets forth the daily closing levels of the SX5E Index for the period from January 1, 2019 through May 22, 2024. The closing level of
the SX5E Index on May 22, 2024 was 5,025.17. We obtained the information in the graph below from Bloomberg Financial Markets without
independent verification. The SX5E Index has at times experienced periods of high volatility. You should not take the historical levels
of the SX5E Index as an indication of its future performance, and no assurance can be given as to the closing level of the SX5E Index
at any time, including on the calculation days.
EURO
STOXX 50® Index Daily Closing Levels
January
1, 2019 to May 22, 2024 |
|
“EURO STOXX
50®” and “STOXX®” are registered trademarks of STOXX® Limited. For more
information, see “EURO STOXX 50® Index” in the accompanying index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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 levels of the RTY Index for the period from January 1, 2019 through May 22, 2024. The closing level
of the RTY Index on May 22, 2024 was 2,081.709. We obtained the information in the graph below from Bloomberg Financial Markets without
independent verification. The RTY Index has at times experienced periods of high volatility. You should not take the historical levels
of the RTY Index as an indication of its future performance, and no assurance can be given as to the closing level of the RTY Index at
any time, including on the calculation days.
Russell
2000® Index Daily Closing Levels
January
1, 2019 to May 22, 2024 |
|
“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 Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Nasdaq-100
Index® Overview |
The Nasdaq-100 Index®,
which is calculated, maintained and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and
most actively traded equity securities of non-financial companies listed on The Nasdaq Stock Market LLC (the “Nasdaq”). The
Nasdaq-100 Index® includes companies across a variety of major industry groups. At any moment in time, the value of the
Nasdaq-100 Index® equals the aggregate value of the then-current Nasdaq-100 Index® share weights of each
of the Nasdaq-100 Index® component securities, which are based on the total shares outstanding of each such Nasdaq-100
Index® component security, multiplied by each such security’s respective last sale price on the Nasdaq (which may
be the official closing price published by the Nasdaq), and divided by a scaling factor, which becomes the basis for the reported Nasdaq-100
Index® value. For additional information about the Nasdaq-100 Index®, see the information set forth under
“Nasdaq-100 Index®” in the accompanying index supplement.
The following
graph sets forth the daily closing levels of the NDX Index for the period from January 1, 2019 through May 22, 2024. The closing level
of the NDX Index on May 22, 2024 was 18,705.20. We obtained the information in the graph below from Bloomberg Financial Markets without
independent verification. The NDX Index has at times experienced periods of high volatility. You should not take the historical levels
of the NDX Index as an indication of its future performance, and no assurance can be given as to the closing level of the NDX Index at
any time, including on the calculation days.
Nasdaq-100
Index® Daily Closing Levels
January
1, 2019 to May 22, 2024 |
|
“Nasdaq®,”
“Nasdaq-100®” and “Nasdaq-100 Index®” are trademarks of Nasdaq, Inc. For more information,
see “Nasdaq-100 Index®” in the accompanying index supplement.
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
Additional
Information About the Securities |
Minimum
ticketing size
$1,000
/ 1 security
Tax
considerations
Although
there is uncertainty regarding the U.S. federal income tax consequences of an investment in the securities due to the lack of governing
authority, in the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions, it
is reasonable to treat a security as a single financial contract that is an “open transaction” for U.S. federal income tax
purposes. However, because our counsel’s opinion is based in part on market conditions as of the date of this document, it is subject
to confirmation on the pricing date.
Assuming
this treatment of the securities is respected and subject to the discussion in “United States Federal Taxation” in the accompanying
product supplement for principal at risk securities, the following U.S. federal income tax consequences should result based on current
law:
| § | A
U.S. Holder should not be required to recognize taxable income over the term of the securities
prior to settlement, other than pursuant to a sale or exchange. |
| § | Upon
sale, exchange or settlement of the securities, a U.S. Holder should recognize gain or loss
equal to the difference between the amount realized and the U.S. Holder’s tax basis
in the securities. Such gain or loss should be long-term capital gain or loss if the investor
has held the securities for more than one year, and short-term capital gain or loss otherwise. |
We
do not plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the treatment of the securities.
An alternative characterization of the securities could materially and adversely affect the tax consequences of ownership and disposition
of the securities, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS have
requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar
financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore,
members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations
or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment
in the securities, possibly with retroactive effect.
As
discussed in the accompanying product supplement for principal at risk securities, Section 871(m) of the Internal Revenue Code of 1986,
as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable
treaty rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments
linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions,
Section 871(m) generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities,
as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant
to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2027 that do not have a delta of one with respect
to any Underlying Security. Based on the terms of the securities and current market conditions, we expect that the securities will not
have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide an updated determination in
the pricing supplement. Assuming that the securities do not have a delta of one with respect to any Underlying Security, our counsel
is of the opinion that the securities should not be Specified Securities and, therefore, should not be subject to Section 871(m).
Our
determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application
may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security.
If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You should
consult your tax adviser regarding the potential application of Section 871(m) to the securities.
Both
U.S. and non-U.S. investors considering an investment in the securities should read the discussion under “Risk Factors” in
this document and the discussion under “United States Federal Taxation” in the accompanying product supplement for principal
at risk securities and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment
in the securities, including possible alternative treatments, and any tax consequences arising under the laws of any state,
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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 $25.75 for each security it sells. WFS proposes to offer the securities in part
directly to the public at the price to public set forth on the cover page of this document and in part to Wells Fargo Advisors (“WFA”)
(the trade name of the retail brokerage business of WFS’s affiliates, Wells Fargo Clearing Services, LLC and Wells Fargo Advisors
Financial Network, LLC), an affiliate of WFS, or other securities dealers at such price less a selling concession of up to $20.00 per
security. In addition to the selling concession allowed to WFA, WFS may pay $0.75 per security of the commission to WFA as a distribution
expense fee for each security sold by WFA.
In addition, in respect of certain securities sold
in this offering, we may pay a fee of up to $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:
Product
Supplement for Principal at Risk Securities dated November 16, 2023
Morgan Stanley Finance LLC
Market Linked Securities—Auto-Callable with Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the EURO STOXX 50® Index, the Russell 2000® Index and the Nasdaq-100 Index® due June 5, 2028
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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