Form FWP - Filing under Securities Act Rules 163/433 of free writing prospectuses

 

Morgan Stanley Finance LLC   Structured Investments

Free Writing Prospectus to Preliminary Pricing Supplement No. 2,612 Filed pursuant to Rule 433 Registration Statement Nos. 333-275587; 333-275587-01 June 14, 2024

Market Linked Securities—Contingent Fixed Return and Fixed Percentage Buffered Downside Principal at Risk Securities Linked to the Lowest Performing of the Nasdaq-100® Technology Sector IndexSM, the Dow Jones Industrial AverageSM and the Russell 2000® Index due June 24, 2027 Fully and Unconditionally Guaranteed by Morgan Stanley

Summary of terms

Hypothetical payout profile***

Issuer and guarantor	Morgan Stanley Finance LLC (issuer) and Morgan Stanley (guarantor)
Underlyings	Nasdaq-100® Technology Sector IndexSM (the “NDXT Index”), Dow Jones Industrial AverageSM (the “INDU Index”) and the Russell 2000® Index (the “RTY Index”) (each referred to as an “underlying,” and collectively as the “underlyings”)
Pricing date*	June 20, 2024
Original issue date*	June 25, 2024
Face amount	$1,000 per security
Contingent fixed return	At least 23% of the face amount ($230 per face amount, to be determined on the pricing date)
Maturity payment amount (per security)	At maturity, the maturity payment amount per $1,000 face amount of securities will be determined as follows: ·     If the ending level of the lowest performing underlying is greater than or equal to its threshold level: $1,000 + contingent fixed return; ·     If the ending level of the lowest performing underlying is less than its threshold level: $1,000 + [$1,000 × (underlying return of lowest performing underlying + buffer amount)] If the ending level of the lowest performing underlying is less than its threshold level, you will lose more than 25%, and possibly all, of the face amount of your securities at maturity.
Underlying return	For each underlying, (ending level - starting level) / (starting level)
Lowest performing underlying	The underlying with the lowest underlying return
Maturity date*	June 24, 2027
Starting level	For each underlying, its closing level on the pricing date
Ending level	For each underlying, its closing level on the calculation day
Threshold level	For each underlying, 75% of the starting level
Buffer amount	25%
Calculation day*	June 21, 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 $25.75 for each security it sells.  Dealers, including Wells Fargo Advisors (“WFA”), may receive a selling concession of up to $20 per security, and WFA may receive a distribution expense fee of $0.75 for each security sold by WFA.
CUSIP	61776MMT9
Tax considerations	See preliminary pricing supplement

 

 

***assumes a contingent fixed return of 23% of the face amount ($230 per face amount, to be determined on the pricing date)

 

If the ending level of the lowest performing underlying is below its respective threshold level on the calculation day, the securities will be exposed on a 1-to-1 basis to any decline in the level of the lowest performing underlying in excess of 25%. Under these circumstances, you may lose up to 75% 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 $954.30, or within $45.00 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/895421/000095010324008330/
dp212867_424b2-ps2612.htm

*subject to change

**In addition, selected dealers may receive a fee of up to 0.35% 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 75% less, than the face amount of your securities at maturity if the ending level of the lowest performing underlying is less than its respective threshold level.

·

Your potential return on the securities is fixed and limited.

·

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 values of the underlyings at any time other than the calculation day.

·

Investing in the securities is not equivalent to investing in the underlyings.

·

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 Underlyings

·

You are exposed to the price risk of each underlying.

·

Because the securities are linked to the performance of the lowest performing underlying, you are exposed to greater risk of sustaining a loss on your investment than if the securities were linked to just one underlying.

·

Investing in the securities exposes investors to risks associated with investments in securities with a concentration in the technology sector.

·

The securities are linked to the Russell 2000® Index and are subject to risks associated with small-capitalization companies.

·

Adjustments to the underlyings could adversely affect the value of the securities.

·

Historical levels of the underlyings should not be taken as an indication of the future performance of the underlyings during the term of the securities.

For more information about the underlyings, 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.

 

2 

---