Buffered Performance Leveraged
Upside Securities with Downside Factor
Principal at Risk
The Buffered PLUS Based on the Value of
the Worst Performing of the Dow Jones Industrial
and the S&P
Index due January 7, 2026 (the “Buffered
PLUS”) can be used:
gain exposure to the worst performing of two U.S. equity
potentially outperform the worst performing of the Dow Jones
and the S&P
Index by taking advantage of the leverage
obtain a buffer against a specified level of negative performance
in the worst performing underlying index
If the final index value of
underlying index is
80% of its respective initial index value,
investors will be negatively exposed to the decline in the worst
performing underlying index beyond the buffer amount and will lose
some or all of their investment.
Approximately 37 months
At least 124%. The actual leverage factor
will be determined on the pricing date.
Minimum payment at
None. You could lose your entire initial
investment in the Buffered PLUS.
The Buffered PLUS will not be listed on
any securities exchange
The original issue price of each Buffered
PLUS is $1,000. This price includes costs associated with issuing,
selling, structuring and hedging the Buffered PLUS, which are borne
by you, and, consequently, the estimated value of the Buffered PLUS
on the pricing date will be less than $1,000. We estimate that the
value of each Buffered PLUS on the pricing date will be
approximately $983.20, or within $30.00 of that estimate. Our
estimate of the value of the Buffered PLUS as determined on the
pricing date will be set forth in the final pricing
What goes into the estimated
value on the pricing date?
In valuing the Buffered PLUS on the
pricing date, we take into account that the Buffered PLUS comprise
both a debt component and a performance-based component linked to
the underlying indices. The estimated value of the Buffered PLUS is
determined using our own pricing and valuation models, market
inputs and assumptions relating to the underlying indices,
instruments based on the underlying indices, 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 Buffered PLUS?
In determining the economic terms of the
Buffered PLUS, including the leverage factor, the buffer amount and
the downside factor, 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
Buffered PLUS 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 Buffered PLUS?
The price at which MS & Co. purchases
the Buffered PLUS in the secondary market, absent changes in market
conditions, including those related to the underlying
indices, 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 Buffered PLUS are not fully deducted
upon issuance, for a period of up to 6 months following the issue
date, to the extent that MS & Co. may buy or sell the Buffered
PLUS in the secondary market, absent changes in market conditions,
including those related to the underlying indices, 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
MS & Co. may, but is not obligated to,
make a market in the Buffered PLUS, and, if it once chooses to make
a market, may cease doing so at any time.