May 2024
Pricing Supplement No. 2,091
Registration Statement Nos. 333-275587;
333-275587-01
Dated May 16, 2024
Filed pursuant to Rule 424(b)(2)
Morgan
Stanley Finance LLC
Structured
Investments
Opportunities
in U.S. Equities
Market
Linked Securities—Contingent Fixed Return and Contingent Downside
Principal
at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices,
Inc. due May 29, 2025
Fully
and Unconditionally Guaranteed by Morgan Stanley
§
Linked to the lowest performing of the common stock of NVIDIA Corporation and the common stock of Advanced Micro Devices, Inc. (each referred
to as an “underlying stock”)
§
The securities 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 or repay a fixed amount of principal at maturity. Instead, the securities
provide for a maturity payment amount that may be greater than, equal to or less than the face amount of the securities, depending on
the performance of the lowest performing underlying stock from its starting price to its ending price. The maturity payment amount will
reflect the following terms:
§
If the price of the lowest performing underlying stock increases (regardless of the extent of that increase), stays the same or decreases
but the decrease is to a price that is greater than or equal to its threshold price, you will receive the face amount plus the
contingent fixed return of 18.35% of the face amount ($183.50 per face amount).
§
If the price of the lowest performing underlying stock decreases to a price less than its threshold price, you will have full downside
exposure to the decrease in the price of the lowest performing underlying stock from its starting price, and you will lose more than 40%,
and possibly all, of the face amount
§
The lowest performing underlying stock is the underlying stock that has the lowest underlying return
§
The threshold price for each underlying stock is equal to 60% of its starting price
§
Investors may lose up to 100% of the face amount
§
The securities are for investors who are willing to risk their investment and forgo current income in exchange for the contingent fixed
return feature that applies only if the ending price of each underlying stock is greater than or equal to its respective threshold price
§
Any positive return on the securities at maturity will be limited to the contingent fixed return, even if the ending price of the lowest
performing underlying stock significantly exceeds its starting price; you will not participate in any appreciation of the lowest performing
underlying stock beyond the contingent fixed return
§
Your return on the securities will depend solely on the performance of the underlying stock that is the lowest performing underlying
stock. You will not benefit in any way from the performance of the better performing underlying stock. Therefore, you will be adversely
affected if either underlying stock performs poorly, even if the other underlying stock performs favorably
§
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, either of
the underlying stocks
|
The
current estimated value of the securities is $975.90 per security. The estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying stocks, instruments based on the underlying stocks,
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 11. 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 for principal at risk securities 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 Terms of the
Securities” and “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 |
$3,183,000 |
$74,004.75 |
$3,108,995.25 |
| (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 will 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 $1.50 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 for principal
at risk securities. |
Morgan Stanley |
Wells Fargo Securities |
|
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Final Terms |
Issuer: |
Morgan Stanley Finance LLC |
Guarantor: |
Morgan Stanley |
Maturity
date: |
May 29, 2025, subject to postponement if the calculation day is postponed* |
Underlying
stocks: |
Common stock of NVIDIA Corporation (the “NVDA Stock”) and common stock of Advanced Micro Devices, Inc. (the “AMD Stock”) (each referred to as an “underlying stock,” and collectively as the “underlying stocks”) |
Aggregate
face amount: |
$3,183,000 |
Maturity
payment amount: |
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
§
If the ending price of the lowest performing underlying stock is greater than or equal to its threshold price:
$1,000 + contingent fixed return;
or
§
If the ending price of the lowest performing underlying stock is less than its threshold price:
$1,000 + ($1,000 × underlying return
of lowest performing underlying stock)
If the ending price of the lowest performing underlying stock is
less than its threshold price, you will lose more than 40%, and possibly all, of the face amount of your securities at maturity.
Notwithstanding anything to the contrary in the accompanying product
supplement for principal at risk securities, the amount you will receive at maturity will be the maturity payment amount, defined and
calculated as provided in this document.
|
Contingent
f©ixed return: |
18.35% per face amount ($183.50 per face amount) |
Lowest
performing underlying stock: |
The underlying stock with the lowest underlying return |
Underlying
return: |
With respect to an underlying stock, the percentage change from its
starting price to its ending price, measured as follows:
ending price – starting price
starting price |
Starting
price: |
With respect to the NVDA Stock: $943.59, its stock closing price on
the pricing date.
With respect to the AMD Stock: $162.62, its stock closing price on
the pricing date.
|
Ending
price: |
With respect to each underlying stock, its stock closing price on the calculation day. |
Calculation
day: |
May 23, 2025**, subject to postponement for non-trading days and certain market disruption events |
Threshold
price: |
With respect to the NVDA Stock: $566.154, which is equal to 60% of
its starting price.
With respect to the AMD Stock: $97.572, which is equal to 60% of its
starting price.
|
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 16, 2024 |
Original
issue date: |
May 21, 2024 (3 business days after the pricing date) |
CUSIP
/ ISIN: |
61776LQ34/ US61776LQ343 |
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— |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
|
Supplemental information regarding plan of distribution; conflicts of interest.” |
*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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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 is less than $1,000 per security. We estimate that the value of each security on the pricing date
is $975.90.
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 stocks. The estimated value
of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying stocks,
instruments based on the underlying stocks, 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 fixed return and the threshold prices, 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 stocks, 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 stocks, 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—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Investor Considerations |
The Principal at Risk Securities Linked to the Lowest Performing
of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025 (the “securities”)
may be appropriate for investors who:
§
Seek a contingent fixed return if the ending price of the lowest performing underlying stock is greater than or equal
to its threshold price
§
Understand that if the ending price of the lowest performing underlying stock is less than its threshold price, they
will be fully exposed to the decline in the lowest performing underlying stock from its starting price and will receive significantly
less than the face amount, and possibly nothing, at maturity
§
Understand that any positive return they will receive at maturity will be limited to the contingent fixed return, regardless
of the extent to which the ending price of the lowest performing underlying stock exceeds its threshold price
§
Understand that the return on the securities will depend solely on the performance of the lowest performing underlying
stock and that they will not benefit in any way from the performance of any better performing underlying stock
§
Understand that the securities are riskier than alternative investments linked to only one of the underlying stocks
or linked to a basket composed of each underlying stock
§
Understand and are willing to accept the full downside risks of each underlying stock
§
Are willing to forgo interest payments on the securities and dividends on securities included in the underlying stocks
§
Are willing to hold the securities to maturity
The securities are not designed for, and may
not be an appropriate investment for, investors who:
§
Seek a return that is not limited by a contingent fixed payment
§
Seek a liquid investment or are unable or unwilling to hold the securities to maturity
§
Are unwilling to accept the risk that the ending price of the lowest performing underlying stock may decrease by more
than 40% from its starting price, resulting in a loss of a significant portion or all of the initial investment
§
Seek full return of the face amount of the securities at maturity
§
Seek current income from their investments
§
Are unwilling to accept the risk of exposure to each of the underlying stocks
§
Seek exposure to the lowest performing underlying stock but are unwilling to accept the risk/return trade-offs inherent
in the maturity payment amount for the securities
§
Seek exposure to a basket composed of each underlying stock or a similar investment in which the overall return is
based on a blend of the performances of the underlying stocks, rather than solely on the lowest performing underlying stock
§
Are unwilling to accept our credit risk
§
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 principal at risk securities for risks related to an investment in the securities.
For more information about the underlying stocks, please see the sections titled “NVIDIA Corporation Overview” and “Advanced
Micro Devices, Inc. Overview” below.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Determining Maturity Payment Amount |
At maturity, the maturity payment amount per $1,000 face amount of
securities will be determined as follows:
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Payoff Diagram
The payoff diagram below illustrates the maturity payment amount on
the securities based on a range of hypothetical underlying returns of the lowest performing underlying stock and the following terms:
Face amount: |
$1,000 per security |
Contingent fixed return: |
18.35% of the face amount |
Threshold price: |
60% of the starting price of the lowest performing underlying stock |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Scenario Analysis and Examples of Maturity Payment Amount at Maturity |
The following scenario analysis
and examples are provided for illustrative purposes only and are hypothetical. They do not purport to be representative of every possible
scenario concerning increases or decreases in the prices of the underlying stocks relative to their respective starting prices. We cannot
predict the ending prices of the underlying stocks on the calculation day. You should not take the scenario analysis and these examples
as an indication or assurance of the expected performance of the underlying stocks. The numbers appearing in the examples below may have
been rounded for ease of analysis. Notwithstanding anything to the contrary in the accompanying product supplement for principal at risk
securities, the amount you will receive per $1,000 face amount of securities at maturity will be the
maturity payment amount, defined and calculated as provided in this document. The following scenario analysis and examples illustrate
the maturity payment amount on a hypothetical offering of the securities, based on the following terms*:
Investment term: |
Approximately 1 year
|
Hypothetical starting price: |
With respect to the NVDA Stock:
$100.00
With respect to the AMD Stock:
$100.00
|
Hypothetical threshold price: |
With respect to the NVDA Stock,
$60.00, which is 60% of its respective hypothetical starting price
With respect to the AMD Stock,
$60.00, which is 60% of its respective hypothetical starting price
|
Contingent fixed return: |
18.35% of the face amount ($183.50 per face amount)
|
*The hypothetical starting price of $100.00 for each underlying stock has been chosen for illustrative purposes only and does not represent the actual starting price of either underlying stock. The actual starting prices and threshold prices are set forth under “Final Terms” above. For historical data regarding the actual stock closing prices of the underlying stocks, see the historical information set forth herein. |
Example 1 —
Each underlying stock appreciates substantially over the term of the securities, and investors therefore receive the face amount plus
the contingent fixed return. Investors do not participate in the appreciation of either of the underlying stocks.
Ending price |
|
NVDA Stock: $200.00
AMD Stock: $250.00
|
Underlying return |
|
NVDA Stock: ($200.00 – $100.00) / $100.00 = 100%
AMD Stock: ($250.00 – $100.00) / $100.00 = 150%
|
Maturity payment amount |
= |
$1,000 + contingent fixed return |
|
= |
$1,000 + $183.50 |
|
= |
$1,183.50 |
In example 1, the ending price of each of the NVDA Stock and AMD Stock
is greater than its starting price. Therefore, investors receive at maturity the face amount plus the contingent fixed return of
$183.50 per face amount. Investors receive $1,183.50 per security at maturity.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Example 2 — One
underlying stock appreciates while the other declines over the term of the securities, but neither underlying stock declines below its
respective threshold price. Investors receive the face amount plus the contingent fixed return.
Ending price |
|
NVDA Stock: $110.00
AMD Stock: $80.00
|
Underlying return |
|
NVDA Stock: ($110.00 – $100.00) / $100.00 = 10%
AMD Stock: ($80.00 – $100.00) / $100.00 = -20%
|
Maturity payment amount |
= |
$1,000 + contingent fixed return |
|
= |
$1,000 + $183.50 |
|
= |
$1,183.50 |
In example 2, the ending price of the NVDA Stock is greater than its
starting price, while the ending price of the AMD Stock is less than its starting price, but is greater than or equal to its respective
threshold price. Therefore, investors receive at maturity the face amount plus the contingent fixed return of $183.50 per face
amount.
Example 3 — Each
underlying stock declines below its respective threshold price. Investors are therefore exposed to the decline in the lowest performing
underlying stock from its starting price.
Ending price |
|
NVDA Stock: $30.00
AMD Stock: $40.00
|
Underlying return |
|
NVDA Stock: ($30.00 – $100.00) / $100.00 = -70%
AMD Stock: ($40.00 – $100.00) / $100.00 = -60%
|
Maturity payment amount |
= |
$1,000 + [$1,000 × underlying return of lowest performing underlying stock] |
|
= |
$1,000 + [$1,000 ×-70%] |
|
= |
$300 |
In example 3, the ending price of each underlying stock is less than
its respective threshold price. Therefore, investors are exposed to the negative performance of the NVDA Stock, which is the lowest performing
underlying stock in this example. Investors receive a maturity payment amount of $300.
Because the maturity payment amount of the securities is based on
the lowest performing underlying stock, a decline in either of the underlying stocks below its respective threshold price will result
in a significant loss of your investment, even if the other underlying stock has appreciated or has not declined as much.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Scenario Analysis – Hypothetical Maturity
Payment Amount for each $1,000 Face Amount of Securities.
Performance
of the Lowest Performing Underlying Stock |
Performance of the Securities
|
Ending Price |
Underlying
Return |
Maturity
Payment Amount |
Return on
Securities(1) |
$200 |
100.00% |
$1,183.50 |
18.35% |
$190 |
90.00% |
$1,183.50 |
18.35% |
$180 |
80.00% |
$1,183.50 |
18.35% |
$170 |
70.00% |
$1,183.50 |
18.35% |
$160 |
60.00% |
$1,183.50 |
18.35% |
$150 |
50.00% |
$1,183.50 |
18.35% |
$140 |
40.00% |
$1,183.50 |
18.35% |
$130 |
30.00% |
$1,183.50 |
18.35% |
$120 |
20.00% |
$1,183.50 |
18.35% |
$110 |
10.00% |
$1,183.50 |
18.35% |
$105 |
5.00% |
$1,183.50 |
18.35% |
$100(2) |
0.00% |
$1,183.50 |
18.35% |
$95 |
-5.00% |
$1,183.50 |
18.35% |
$90 |
-10.00% |
$1,183.50 |
18.35% |
$80 |
-20.00% |
$1,183.50 |
18.35% |
$70 |
-30.00% |
$1,183.50 |
18.35% |
$60 |
-40.00% |
$1,183.50 |
18.35% |
$59 |
-41.00% |
$590.00 |
-41.00% |
$50 |
-50.00% |
$500.00 |
-50.00% |
$40 |
-60.00% |
$400.00 |
-60.00% |
$30 |
-70.00% |
$300.00 |
-70.00% |
$20 |
-80.00% |
$200.00 |
-80.00% |
$10 |
-90.00% |
$100.00 |
-90.00% |
$0 |
-100.00% |
$0.00 |
-100.00% |
|
|
|
|
|
| (1) | The “Return on Securities” is the number, expressed as a percentage, which results from comparing the maturity payment
amount per $1,000 face amount of securities to the purchase price of $1,000 per security. |
| (2) | The hypothetical starting price of the lowest performing underlying stock. |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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 pay interest, and you will lose more than 40%, and
possibly all, of the face amount of your securities at maturity if the ending price of the lowest performing underlying stock is less
than its respective threshold price. The terms of the securities differ from those of ordinary debt securities in that the securities
do not pay interest or repay a fixed amount of the face amount of the securities. If the ending price of the lowest performing underlying
stock is less than its threshold price, which is 60% of the starting price, you will lose more than 40%, and possibly all, of the face
amount of your securities at maturity. Investors may lose their entire investment in the securities. |
| § | Your potential return on the securities is fixed and limited. Your
potential return on the securities at maturity is limited to the contingent fixed return. Your return on the securities will not exceed
the contingent fixed return, even if the lowest performing underlying stock appreciates by significantly more than the return represented
by the contingent fixed return. If the lowest performing underlying stock appreciates by more than the return represented by the contingent
fixed return, the securities will underperform an alternative investment providing 1-to-1 exposure to the performance of the lowest performing
underlying stock. |
| § | 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. or any other dealer may be willing to purchase or sell the securities in the secondary market, including the price,
volatility (frequency and magnitude of changes in price) and dividend yield of the underlying stocks, interest and yield rates in the
market, time remaining to maturity, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect
the underlying stocks or equities markets generally and which may affect the ending prices of the underlying stocks and 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. The prices of the underlying stocks may be, and have recently
been, volatile, and we can give you no assurance that the volatility will lessen. See “NVIDIA Corporation Overview” and “Advanced
Micro Devices, Inc. Overview” below. You may receive less, and possibly significantly less, than the face amount per security if
you try to sell your securities prior to maturity. |
| § | 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 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. |
| § | The amount payable on the securities is not linked to the values of the
underlying stocks at any time other than the calculation day. The ending price of each underlying stock will be based on the stock
closing price of such underlying stock on the calculation day, subject to postponement for non-trading days and certain market disruption
events. Even if both underlying stocks appreciate prior to the calculation day but the price of either underlying stock decreases by the
calculation day, the maturity payment amount will be less, and may be significantly less, than it would have been had the maturity payment
amount been linked to the prices of the underlying stocks prior to such decrease. Although the actual prices of the underlying stocks
on the maturity date or at other times during the term of the securities may be higher than their respective ending prices, the maturity
payment amount will be based solely on the stock closing prices of the underlying stocks on the calculation day. |
| § | Investing in the securities is not equivalent to investing in the underlying
stocks. Investing in the securities is not equivalent to investing in the underlying stocks. Investors in the securities will not
have voting rights or rights to receive dividends |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
or other distributions or any other rights
with respect to the underlying stocks. As a result, any return on the securities will not reflect the return you would realize if you
actually owned shares of the underlying stocks and received the dividends paid or distributions made on them.
| § | 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 stocks, and to our secondary market credit spreads, it would do so based on values higher than
the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.
| § | The estimated value of the securities is determined by reference to our
pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price.
These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions
about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities,
our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market,
if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum
price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at
any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot be predicted
with accuracy, including our creditworthiness and changes in market conditions. See also “The market price will be influenced by
many unpredictable factors” above. |
| § | The securities will not be listed on any securities exchange and secondary
trading may be limited. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary
market for the securities. MS & Co. and WFS may, but are not obligated to, make a market in the securities and, if either of them
once chooses to make a market, may cease doing so at any time. When they do make a market, they will generally do so for transactions
of routine secondary market size at prices based on their respective estimates of the current value of the securities, taking into account
their respective bid/offer spreads, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding
any related hedging positions, the time remaining to maturity and the likelihood that they will be able to resell the securities. Even
if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers
may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities
is likely to depend on the price, if any, at which MS & Co. or WFS is willing to transact. If, at any time, MS & Co. and WFS were
to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you
should be willing to hold your securities to maturity. |
| § | The calculation agent, which is a subsidiary of Morgan Stanley and an
affiliate of MSFL, will make determinations with respect to the securities. As calculation agent, MS & Co. will determine the
starting prices, the threshold prices and the ending prices 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 certain adjustments to the adjustment
factors. 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— 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 |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
instruments linked to the underlying stocks),
including trading in the underlying stocks. 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 calculation
day approaches. Some of our affiliates also trade the underlying stocks and other financial instruments related to the underlying stocks
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 an underlying stock, and, therefore, could increase the price at or
above which such underlying stock must close on the calculation day so that investors do not suffer a significant loss on their initial
investment in the securities (depending also on the performance of the other underlying stocks). Additionally, such hedging or trading
activities during the term of the securities, including on the calculation day, could adversely affect the price of an underlying stock
on the calculation day, and, accordingly, the amount of cash an investor will receive at maturity, if any (depending also on the performance
of the other underlying stocks).
| § | The maturity date may be postponed if the calculation day is postponed.
If the scheduled calculation day is not a trading day or if a market disruption event occurs on that day so that the 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 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 underlying stocks 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. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment for the
securities, the timing and character of income on the securities might differ significantly from the tax treatment described in the Tax
Disclosure Sections. For example, under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments.
In that event, U.S. Holders 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 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.
We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with
the tax treatment described in the Tax Disclosure Sections. |
In 2007, the U.S. Treasury Department
and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the
exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if
any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any 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. 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, the issues presented by this notice and any tax consequences arising under the laws of any state, local
or non-U.S. taxing jurisdiction.
Risks Relating to the Underlying Stocks
| § | You are exposed to the price risk of each underlying stock. Your return
on the securities is not linked to a basket consisting of each underlying stock. Rather, it will be based upon the independent performance
of each underlying stock. 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 stock. Poor performance by either
underlying stock over the term of the securities will negatively affect your return and will not be offset or mitigated by any positive
performance by the other underlying stock. If either underlying stock declines to below its respective threshold price as of the |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
calculation day, you will be exposed to
the negative performance of the lowest performing underlying stock at maturity, even if the other underlying stock has appreciated or
has not declined as much, and you will lose a significant portion or all of your investment. Accordingly, your investment is subject to
the price risk of each underlying stock.
| § | Because the securities are linked to the performance of the lowest performing
underlying stock, you are exposed to greater risk of sustaining a significant loss on your investment than if the securities were linked
to just one underlying stock. The risk that you will suffer a significant loss on your investment is greater if you invest in the
securities as opposed to substantially similar securities that are linked to just the performance of one underlying stock. With two underlying
stocks, it is more likely that either underlying stock will decline to below its threshold price as of the calculation day, than if the
securities were linked to only one underlying stock. Therefore it is more likely that you will suffer a significant loss on your investment. |
| § | No affiliation with NVIDIA Corporation or Advanced Micro Devices, Inc.
NVIDIA Corporation aor Advanced Micro Devices, Inc. are not affiliates of ours, are not involved with this offering in any way, and have
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 or Advanced Micro Devices, Inc. in connection with this offering. |
| § | We may engage in business with or involving NVIDIA Corporation or Advanced
Micro Devices, Inc. without regard to your interests. We or our affiliates may presently or from time to time engage in business with
NVIDIA Corporation, or Advanced Micro Devices, Inc. without regard to your interests and thus may acquire non-public information about
NVIDIA Corporation or Advanced Micro Devices, Inc. Neither we nor any of our affiliates undertakes to disclose any such information to
you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with respect to
NVIDIA Corporation or Advanced Micro Devices, Inc. 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 stocks. MS & Co., as calculation agent, will adjust the adjustment
factors for certain corporate events affecting the underlying stocks, such as stock splits, stock dividends and extraordinary dividends,
and certain other corporate actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will
not make an adjustment for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required
to make any adjustments if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the
underlying stocks, 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 stocks by the amount of such dividends. If an event occurs that
does not require the calculation agent to adjust an 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 of an underlying stock to be less than
its 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 stock closing prices of the underlying stocks should not be
taken as an indication of the future performance of the underlying stocks during the term of the securities. No assurance can be given
as to the price of the underlying stocks at any time, including on the calculation day, because historical prices of the underlying stocks
do not provide an indication of future performance of the underlying stocks. |
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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 stock closing prices of the
NVDA Stock for the period from January 1, 2019 through May 16, 2024. The stock closing price of the NVDA Stock on May 16, 2024 was $943.59.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical stock
closing prices of the NVDA Stock may have been adjusted for stock splits and other corporate events. The historical performance of the
NVDA Stock should not be taken as an indication of its future performance, and no assurance can be given as to the stock closing price
of the NVDA Stock at any time, including on the calculation day.
Common Stock of NVIDIA Corporation
Daily Stock Closing Prices
January 1, 2019 to May 16, 2024
|
|
This document relates only to the securities referenced hereby and
does not relate to the NVDA Stock or other securities of NVIDIA Corporation. We have derived all disclosures contained in this document
regarding the NVDA 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 NVDA Stock (and therefore the price of the NVDA Stock at the time we priced 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 NVDA Stock.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
Advanced Micro Devices, Inc. Overview |
Advanced Micro Devices, Inc. manufactures semiconductor products. The
AMD Stock is registered under the Exchange Act. Information provided to or filed with the Securities and Exchange Commission by Advanced
Micro Devices, Inc. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-07882
through the Securities and Exchange Commission’s website at www.sec.gov. In addition, information regarding Advanced Micro Devices,
Inc. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated
documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available
information regarding the issuer of the AMD Stock is accurate or complete.
The following graph sets forth the daily stock closing prices of the
AMD Stock for the period from January 1, 2019 through May 16, 2024. The stock closing price of the AMD Stock on May 16, 2024 was $162.62.
We obtained the information in the graph below from Bloomberg Financial Markets without independent verification. The historical stock
closing prices of the AMD Stock may have been adjusted for stock splits and other corporate events. The historical performance of the
AMD Stock should not be taken as an indication of its future performance, and no assurance can be given as to the stock closing price
of the AMD Stock at any time, including on the calculation day.
Common Stock of Advanced Micro
Devices, Inc.
Daily Stock Closing Prices
January 1, 2019 to May 16, 2024
|
|
This document relates only to the securities referenced hereby and
does not relate to the AMD Stock or other securities of Advanced Micro Devices, Inc. We have derived all disclosures contained
in this document regarding AMD Stock from the publicly available documents described above. In connection with the offering
of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with
respect to Advanced Micro Devices, Inc. Neither we nor the agent makes any representation that such publicly available documents
or any other publicly available information regarding Advanced Micro Devices, Inc. is accurate or complete. Furthermore, we
cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness
of the publicly available documents described above) that would affect the trading price of the AMD Stock (and therefore the price of
the AMD Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events
or the disclosure of or failure to disclose material future events concerning Advanced Micro Devices, Inc. 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 AMD Stock.
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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, a security should be treated as a single financial contract that
is an “open transaction” for U.S. federal income tax purposes.
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. |
In 2007, the U.S. Treasury Department and the Internal Revenue Service
(the “IRS”) released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts”
and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the
term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect
to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the
exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if
any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether
these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize
certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition
rules and effective dates, any 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, 2025 that do not have a delta of one with respect to any Underlying Security. Based on our determination 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,
the issues presented by the aforementioned notice 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
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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 will 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 $1.50 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.
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 for principal at risk securities.
Validity of the securities
In the opinion of Davis Polk & Wardwell LLP,
as special counsel to MSFL and Morgan Stanley, when the securities offered by this pricing supplement have been executed and issued by
MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered
against payment as contemplated herein, such securities will be valid and binding obligations of MSFL and the related guarantee will be
a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses
no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions
expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent
transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee.
This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State
of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s
authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the securities and the validity, binding
nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated
February 26, 2024, which is Exhibit 5-a to Post-Effective Amendment No. 2 to the Registration Statement on Form S-3 filed by Morgan Stanley
on February 26, 2024.
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
Morgan Stanley Finance LLC
Market Linked Securities—Contingent Fixed Return and Contingent Downside
Principal at Risk Securities Linked to the Lowest Performing of the Common Stock of NVIDIA Corporation and the Common Stock of Advanced Micro Devices, Inc. due May 29, 2025
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.
Exhibit 107
The pricing supplement to which this Exhibit is attached is a final
prospectus for the related offering. The maximum aggregate offering price of the related offering is $3,183,000.
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