Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
September 10 2024 - 3:34PM
Edgar (US Regulatory)
Morgan Stanley Finance LLC
Structured Investments |
Free Writing Prospectus to Preliminary Pricing Supplement
No. 3,851
Filed pursuant to Rule 433
Registration Statement Nos. 333-275587; 333-275587-01
September 10, 2024 |
Market Linked Securities—Upside Participation to
a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the Dow Jones Industrial
AverageSM due September 21, 2027
Fully and Unconditionally Guaranteed by Morgan
Stanley |
Summary
of terms
Issuer and guarantor |
Morgan Stanley Finance LLC (issuer) and Morgan Stanley (guarantor) |
Market measure |
Dow Jones Industrial AverageSM (the “underlying index”) |
Pricing date* |
September 16, 2024 |
Original issue date* |
September 19, 2024 |
Face amount |
$1,000 per security |
Maturity payment amount (per security) |
· If
the ending level is greater than the starting level:
$1,000 plus the lesser of
(i)
(ii) the maximum return
· If
the ending level is less than or equal to the starting level, but greater than or equal to the threshold level:
$1,000
· If
the ending level is less than the threshold level:
$1,000 plus
|
Index return |
(ending level -starting level )/(starting level) |
Maturity date* |
September 21, 2027 |
Starting level |
The closing level of the underlying index on the pricing date |
Ending level |
The closing level of the underlying index on the calculation day |
Maximum return |
At least 30% of the face amount per security ($300 per security), to be determined on the pricing date |
Threshold level |
80% of the starting level |
Buffer amount |
20% |
Participation rate |
100% |
Calculation day* |
September 16, 2027 |
Calculation agent |
Morgan Stanley & Co. LLC, an affiliate of the issuer and the guarantor |
Denominations |
$1,000 and any integral multiple of $1,000 |
Agent discount** |
Morgan Stanley & Co. LLC and Wells Fargo Securities, LLC will act as the agents for this offering. Wells Fargo Securities, LLC will receive a commission of up to $28.25 for each security it sells. Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of up to $22.50 per security, and WFA may receive a distribution expense fee of $0.75 for each security sold by WFA. |
CUSIP |
61776RXL3 |
Tax considerations |
See preliminary pricing supplement |
Hypothetical payout profile
If the ending level is less than the threshold level, you will have
1-to-1 downside exposure to the decrease in the level of the underlying index in excess of 20% and will lose some, and possibly up to
80%, of the face amount of your securities at maturity.
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 $961.40, 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. See “Estimated Value of the Securities” in the accompanying
preliminary pricing supplement for further information.
This document provides a summary of the terms of the
securities. Investors should carefully review the accompanying preliminary pricing supplement referenced below, product supplement for
principal at risk securities, index supplement and prospectus, and the “Selected risk considerations” on the following page,
before making a decision to invest in the securities.
Preliminary
Pricing Supplement:
sec.gov/Archives/edgar/data/895421/000095010324013374/dp217828_424b2-ps3851.htm
*subject
to change
**In
addition, selected dealers may receive a fee of up to 0.20% for marketing and other services.
The securities
have complex features and investing in the securities involves risks not associated with an investment in ordinary debt securities. See
“Selected risk considerations” in this term sheet and “Risk Factors” in the accompanying preliminary pricing
supplement and product supplement. All payments on the securities are subject to our credit risk.
This
introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.
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.
Selected risk considerations
The risks set forth below are discussed in more detail in
the “Risk Factors” section in the accompanying preliminary pricing supplement, product supplement for principal at risk securities,
index supplement and prospectus. Please review those risk factors carefully.
Risks Relating to an Investment in the Securities
| · | The securities do not pay interest, and you will receive less, and up to
80% less, than the face amount of your securities at maturity if the ending level is less than the threshold level. |
| · | The appreciation potential of the securities is limited by the maximum
return. |
| · | The market price will be influenced by many unpredictable factors. |
| · | 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. |
| · | As a finance subsidiary, MSFL has no independent operations and will have
no independent assets. |
| · | The amount payable on the securities is not linked to the value of the
underlying index at any time other than the calculation day. |
| · | Investing in the securities is not equivalent to investing in the underlying
index. |
| · | 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. |
| · | 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. |
| · | The securities will not be listed on any securities exchange and secondary
trading may be limited. |
| · | The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate
of MSFL, will make determinations with respect to the securities. |
| · | Hedging and trading activity by our affiliates could potentially adversely
affect the value of the securities. |
| · | The maturity date may be postponed if the calculation day is postponed. |
| · | Potentially inconsistent research, opinions or recommendations by Morgan
Stanley, MSFL, WFS or our or their respective affiliates. |
| · | The U.S. federal income tax consequences of an investment in the securities
are uncertain. |
Risks Relating to the Underlying Index
| · | Adjustments to the underlying index could adversely affect the value of
the securities. |
| · | Historical levels of the underlying index should not be taken as an indication
of the future performance of the underlying index during the term of the securities. |
For more information about the underlying index, including
historical performance information, see the accompanying preliminary pricing supplement.
Morgan Stanley and MSFL have filed a registration
statement (including a prospectus, as supplemented by the applicable product supplement 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 applicable product supplement, 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. 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 applicable product supplement, index supplement and prospectus if you so request
by calling toll-free 1-(800)-584-6837.
Wells Fargo Advisors is a trade name used
by Wells Fargo Clearing Services, LLC and Wells Fargo Advisors Financial Network, LLC, members SIPC, separate registered broker-dealers
and non-bank affiliates of Wells Fargo Finance LLC and Wells Fargo & Company.
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