Morgan Stanley Finance LLC
Structured Investments
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Free Writing Prospectus
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Filed pursuant to Rule 433
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Registration Statement Nos. 333-250103; 333-250103-01
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December 1, 2021
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Market Linked Securities—Leveraged Upside
Participation and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the
EURO STOXX 50® Index due July 6, 2027
Fully and Unconditionally Guaranteed
by Morgan Stanley
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Summary of terms
Issuer
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Morgan Stanley Finance LLC
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Guarantor
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Morgan Stanley
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Term
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Approximately 5.5 years
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Market measure
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EURO STOXX 50® Index (the “underlying index”)
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Pricing date
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December 30, 2021*
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Original issue date
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January 4, 2022*
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Face amount
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$1,000 per security (100% of par)
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Maturity payment amount
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See “Investment description” on this page and “How the maturity payment amount is calculated” on page 3.
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Maturity date
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July 6, 2027*
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Starting level
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The closing level of the underlying index on the pricing date
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Ending level
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The closing level of the underlying index on the calculation day
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Threshold level
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80% of the starting level
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Participation rate
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167.50% to 177.50%, to be determined on the pricing date
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Calculation day
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June 28, 2027*
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Calculation agent
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Morgan Stanley & Co. LLC, an affiliate of the issuer
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Denominations
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$1,000 and any integral multiple of $1,000
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Agent discount
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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 $44.20 for each security
it sells. Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of up to $25 per security, and
WFA will receive a distribution expense fee of $1.20 for each security sold by WFA.
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.
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CUSIP
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61773HNA3
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Investment description
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·
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Linked to the EURO STOXX 50® Index
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·
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Unlike ordinary debt securities, the securities do not pay interest or repay
a fixed amount of the face amount 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 underlying index from the starting level
to the ending level.
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At maturity, the maturity payment amount per $1,000 face
amount of securities will be determined as follows:
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o
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If the level of the underlying index increases:
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You will receive the face amount plus a positive
return equal to 167.50% to 177.50% (to be determined on the pricing date) of the percentage increase in the level of the underlying index
from the starting level.
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o
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If the level of the underlying index decreases, but the decrease is not more than 20%:
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You will receive the face amount.
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o
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If the level of the underlying index decreases by more than 20%:
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You will have 1-to-1 downside exposure to the decrease
in the value of the underlying index from the starting level, in excess of 20%.
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·
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Investors may lose up to 80% of the face amount.
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·
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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 the underlying index.
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·
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No periodic interest payments or dividends.
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·
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No exchange listing; designed to be held to maturity.
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*To the extent the issuer makes any
change to the pricing date or original issue date, the calculation day and maturity date may also be changed in the issuer’s discretion
to ensure that the term of the securities remains the same.
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 $935.30, or within $35.30 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 “Investment
Summary” and “Risk Factors” in the accompanying preliminary terms for further information.
The securities have complex features
and investing in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors”
in the accompanying preliminary terms. 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.
Investors should
carefully review the accompanying preliminary terms, product supplement for PLUS, index supplement and prospectus before making a decision
to invest in the securities.
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.
Hypothetical
payoff diagram
The payoff diagram to the right is based on the hypothetical participation rate of 167.50% and the threshold level of 80% of the starting level.
This
diagram has been prepared for purposes of illustration only. Your actual return will depend on the actual ending
level and participation rate and whether you hold your securities to maturity.
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Hypothetical returns
The hypothetical return table below is based
on the participation rate of 167.50%, the threshold level of 80% of the starting level and a hypothetical starting level of 100.00. The
following examples are for illustrative purposes only. The actual starting level, threshold level and participation rate will be determined
on the pricing date.
Performance
of the Underlying Index*
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Performance
of the Securities(1)
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Ending Level
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Percentage
Change from the Starting Level to the Ending Level
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Maturity
Payment Amount
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Return on
Securities(2)
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200.00
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100.00%
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$2,675.00
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167.500%
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190.00
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90.00%
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$2,507.50
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150.750%
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180.00
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80.00%
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$2,340.00
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134.000%
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170.00
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70.00%
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$2,172.50
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117.250%
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160.00
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60.00%
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$2,005.00
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100.500%
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150.00
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50.00%
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$1,837.50
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83.750%
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140.00
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40.00%
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$1,670.00
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67.000%
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130.00
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30.00%
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$1,502.50
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50.250%
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120.00
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20.00%
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$1,335.00
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33.500%
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110.00
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10.00%
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$1,167.50
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16.750%
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105.00
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5.00%
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$1,083.75
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8.375%
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100.00(3)
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0.00%
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$1,000.00
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0.00%
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90.00
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-10.00%
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$1,000.00
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0.00%
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85.00
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-15.00%
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$1,000.00
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0.00%
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80.00
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-20.00%
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$1,000.00
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0.00%
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79.00
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-21.00%
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$990.00
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-1.00%
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70.00
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-30.00%
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$900.00
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-10.00%
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60.00
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-40.00%
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$800.00
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-20.00%
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50.00
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-50.00%
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$700.00
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-30.00%
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40.00
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-60.00%
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$600.00
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-40.00%
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30.00
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-70.00%
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$500.00
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-50.00%
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20.00
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-80.00%
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$400.00
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-60.00%
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10.00
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-90.00%
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$300.00
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-70.00%
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0.00
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-100.00%
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$200.00
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-80.00%
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*.The underlying index excludes
cash dividend payments on stocks included in the underlying index.
(1) Assumes a participation rate of 167.50%, the bottom
of the specified range.
(2) 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.
(3) The hypothetical starting level of
100.00 has been chosen for illustrative purposes only and does not represent the actual starting level. The actual starting level and
threshold level will be determined on the pricing date and will be set forth under “Summary of terms” above. For historical
data regarding the actual closing levels of the underlying index, see the historical information set forth under the section titled “EURO
STOXX 50® Index Overview” in the accompanying preliminary terms.
How the maturity payment amount is calculated
If the ending level is greater than the starting level:
$1,000 plus:
If the ending level is less than or equal to the starting level,
but greater than or equal to the threshold level:
the face amount of $1,000
If the ending level is less than the threshold level:
$1,000 minus
If the ending level is less than the threshold level, you will receive
less, and up to 80% less, than the face amount of your securities at maturity.
Notwithstanding anything to the contrary in the accompanying product
supplement for PLUS, the amount you will receive at maturity will be the maturity payment amount, defined and calculated as provided herein
and in the accompanying preliminary terms.
EURO STOXX 50® Index daily closing levels*
EURO STOXX 50® Index
Daily Closing Levels
January 1, 2016 to November 30, 2021
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* The graph above sets forth the daily
closing levels of the underlying index for the period from January 1, 2016 through November 30, 2021. We obtained the information in the
graph above from Bloomberg Financial Markets without independent verification. The underlying index has at times experienced periods of
high volatility. You should not take the historical levels of the underlying index as an indication of future performance, and no assurance
can be given as to the closing level of the index on the calculation day.
Selected risk considerations
The risks set forth below are discussed in more detail in
the “Risk Factors” section in the accompanying preliminary terms, product supplement for PLUS, index supplement and prospectus.
Please review those risk factors carefully.
Risks Relating to an Investment in the Securities
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·
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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.
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The market price will be influenced by many unpredictable factors.
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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.
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As a finance subsidiary, MSFL has no independent operations and will have
no independent assets.
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The amount payable on the securities is not linked to the value of the underlying
index at any time other than the calculation day.
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·
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Investing in the securities is not equivalent to investing in the underlying
index.
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·
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The rate we are willing to pay for securities of this type, maturity and issuance
size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and
the inclusion of costs associated with issuing, selling, structuring and hedging the 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.
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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.
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The securities will not be listed on any securities exchange and secondary
trading may be limited.
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The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate
of MSFL, will make determinations with respect to the securities.
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Hedging and trading activity by our affiliates could potentially adversely
affect the value of the securities.
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The maturity date may be postponed if the calculation day is postponed.
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Potentially inconsistent research, opinions or recommendations by Morgan Stanley,
MSFL, WFS or our or their respective affiliates.
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The U.S. federal income tax consequences of an investment in the securities
are uncertain.
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Risks Relating to the Underlying Index
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·
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There are risks associated with investments in securities linked to the value
of foreign equity securities.
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·
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Adjustments to the underlying index could adversely affect the value of the
securities.
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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.
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Not suitable for all investors
Investment suitability must be determined individually
for each investor. The securities described herein are not a suitable investment for all investors. In particular, no investor should
purchase the securities unless they understand and are able to bear the associated market, liquidity and yield risks. Unless market conditions
and other relevant factors change significantly in your favor, a sale of the securities prior to maturity is likely to result in sale
proceeds that are substantially less than the face amount per security. MS & Co., Wells Fargo Securities, LLC and our respective affiliates
are not obligated to purchase the securities from you at any time prior to maturity.
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.
Consult your tax advisor
Investors should review carefully the accompanying
preliminary terms, product supplement for PLUS, index supplement, prospectus supplement and prospectus and consult their tax advisors
regarding the application of the U.S. federal income tax laws to their particular circumstances, as well as any tax consequences arising
under the laws of any state, local or foreign jurisdiction.
“EURO STOXX 50®”
and “STOXX®” are registered trademarks of STOXX Limited.
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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