Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses
September 03 2024 - 4:51PM
Edgar (US Regulatory)
Morgan Stanley Finance LLC
Structured Investments
|
Free Writing Prospectus to Preliminary Pricing Supplement No. 3,738
Filed pursuant to Rule 433
Registration Statement Nos. 333-275587; 333-275587-01
September 3, 2024 |
Market Linked Securities—Leveraged Upside
Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to
the S&P 500® Index due September 30, 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 |
S&P
500® Index (the “underlying index”) |
Pricing
date* |
September
27, 2024 |
Original
issue date* |
October
2, 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) [$1,000 × index return × participation rate] and (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 [$1,000 × (index return + buffer amount)] |
Index
return |
(ending
level - starting level ) / starting level |
Maturity
date* |
September
30, 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 25% of the face amount per security ($250 per security), to be determined on the pricing date |
Threshold
level |
85%
of the starting level |
Buffer
amount |
15% |
Participation
rate |
150% |
Calculation
day* |
September
27, 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 $30.75 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 |
61776RTC8 |
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 15% and will lose some, and possibly
up to 85%, 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 $955.10, or within $35.00 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: https://www.sec.gov/Archives/edgar/data/895421/000095010324013018/dp217406_424b2-ps3738.htm
*subject to
change
**In addition,
selected dealers may receive a fee of up to 0.30% 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
85% 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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