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Morgan Stanley
Morgan Stanley
05/09/2024 | Press release | Distributed by Public on 05/09/2024 09:02
Free Writing Prospectus - Form FWP
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Morgan Stanley Finance LLC Structured Investments |
Free Writing Prospectus to Preliminary Pricing Supplement No. 3,739 Filed pursuant to Rule 433 Registration Statement Nos. 333-275587; 333-275587-01 September 4, 2024 |
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Market Linked Securities-Leveraged Upside Participation and Contingent Downside Principal at Risk Securities Linked to an Equally Weighted Basket Consisting of Six Stocks 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 | An equally weighted basket (the "Basket") consisting of the common stock of Apple Inc. (the "AAPL Stock"), the common stock of Amazon.com, Inc (the "AMZN Stock"), the class A common stock of Alphabet Inc. (the "GOOGL Stock"), the class A common stock of Meta Platforms Inc (the "META Stock"), the common stock of Microsoft Corporation (the "MSFT Stock") and the common stock of NVIDIA Corporation (the "NVDA Stock") (each referred to as a "basket component") |
| 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 × basket 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 × (basket return + buffer amount)] 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. |
| Basket return | (ending level - starting level) / (starting level) |
| Maturity date* | September 30, 2027 |
| Starting level | 100.00 |
| Ending level | The "ending level" will be equal to the product of (i) 100 and (ii) an amount equal to 1 plus the sum of: (A) 1/6 times the stock return of the AAPL Stock; (B) 1/6 times the stock return of the AMZN Stock; (C) 1/6 times the stock return of the GOOGL Stock; (D) 1/6 times the stock return of the META Stock; (E) 1/6 times the stock return of the MSFT Stock; and (F) 1/6 times the stock return of the NVDA Stock. |
| Stock return |
For each basket component, (final stock price - initial stock) / initial stock price |
| Stock closing price | With respect to each basket component, stock closing price, closing price and adjustment factor have the meanings set forth under "General Terms of the Securities-Certain Terms for Securities Linked to an Underlying Stock-Certain Definitions" in the accompanying product supplement for principal at risk securities. |
| Initial stock price | For each basket component, its stock closing price on the pricing date. |
| Final stock price | For each basket component, its stock closing price on the calculation day. |
| Threshold level | 80.00, which is 80% of the starting level |
| Buffer amount | 20% |
| Maximum return | At least 45% of the face amount per security (at least $450 per security), to be determined on the pricing date |
| Participation rate | 100% |
| 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 | 61776RTD6 |
| Tax considerations | See preliminary pricing supplement |
*subject to change
**In addition, selected dealers may receive a fee of up to 0.30% for marketing and other services.
Hypothetical payout profile
If the ending level of the Basket is less than the threshold level, you will have 1-to-1 downside exposure to the decrease in the level of the basket in excess of the buffer amount of 20% and will lose some, and up to 80%, of the face amount of your securities at maturity.
The face amount of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $1,000 per security. We estimate that the value of each security on the pricing date will be approximately $940.50, 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:
sec.gov/Archives/edgar/data/895421/000095010324013087/dp217480_
424b2-ps3739.htm
| The securities have complex features and investing in the securities involves risks not associated with an investment in ordinary debt securities. See "Selected risk considerations" in this term sheet and "Risk Factors" in the accompanying preliminary pricing supplement and product supplement. All payments on the securities are subject to our credit risk. |
This introductory term sheet does not provide all of the information that an investor should consider prior to making an investment decision.
The securities are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
Selected risk considerations
The risks set forth below are discussed in more detail in the "Risk Factors" section in the accompanying preliminary pricing supplement, product supplement for principal at risk securities, index supplement and prospectus. Please review those risk factors carefully.
Risks Relating to an Investment in the Securities
| · | The securities do not pay interest, and you will receive less, and up to 80% less, than the face amount of your securities at maturity if the ending level is less than the threshold level. |
| · | The appreciation potential of the securities is limited by the maximum return. |
| · | The market price will be influenced by many unpredictable factors. |
| · | The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. |
| · | As a finance subsidiary, MSFL has no independent operations and will have no independent assets. |
| · | The amount payable on the securities is not linked to the level of the Basket at any time other than the calculation day. |
| · | Investing in the securities is not equivalent to investing in the basket components. |
| · | 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. |
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The U.S. federal income tax consequences of an investment in the securities are uncertain. |
Risks Relating to the Basket
| · | Changes in the prices of the basket components may offset each other. |
| · | Basket stock prices can be volatile. |
| · | We are not affiliated with the issuers of the basket stocks. |
| · | We may engage in business with or involving one or more of the issuers of the basket stocks without regard to your interests. |
| · | The stock closing prices of the basket stocks may come to be based on the value of the stock of companies other than the issuers of the basket stocks. |
| · | The antidilution adjustments the calculation agent is required to make do not cover every corporate event that can affect the basket stocks. |
| · | Historical prices of the basket components should not be taken as an indication of the future performance of the basket components during the term of the securities. |
For more information about the Basket and the basket components, 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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