Morgan Stanley Finance LLC
Final Term Sheet dated November 30, 2021 relating to
Pricing Supplement 2,963
Filed pursuant to Rule 433
Registration Statement Nos. 333-250103; 333-250103-01
Market Linked Securities—Upside Participation to a Cap and Fixed Percentage Buffered Downside
Principal at Risk Securities Linked to the S&P 500® Index due December 3, 2027
Fully and Unconditionally Guaranteed by Morgan Stanley
Summary of terms
|Issuer||Morgan Stanley Finance LLC|
|Market measure||S&P 500® Index (the “underlying index”)|
|Pricing date||November 30, 2021|
|Original issue date||December 3, 2021|
|Face amount||$1,000 per security (100% of par)|
|Maturity payment amount||See “Investment description” on this page and “How the maturity payment amount is calculated” on page 3.|
|Maturity date||December 3, 2027|
|Starting level||4,567.00, 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||72%% of the face amount per security ($720.00 per security)|
|Threshold level||3,881.95, 85% of the starting level|
|Calculation day||November 26, 2027|
|Calculation agent||Morgan Stanley & Co. LLC, an affiliate of the issuer|
|Denominations||$1,000 and any integral multiple of $1,000|
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 $45.20 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.
Linked to the S&P 500® Index
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.
At maturity, the maturity payment amount per $1,000 face amount of securities will be determined as follows:
If the level of the underlying index increases:
You will receive the face amount plus a positive return equal to 100% of the percentage increase in the level of the underlying index from the starting level, subject to a maximum return at maturity of 72%% of the face amount. As a result of the maximum return, the maximum maturity payment amount will be $1,720.00 per security
If the level of the underlying index decreases, but the decrease is not more than 15%:
You will receive the face amount.
If the level of the underlying index decreases by more than 15%:
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 15%.
Investors may lose up to 85% of the face amount.
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.
No periodic interest payments or dividends.
No exchange listing; designed to be held to 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 is less than $1,000 per security. We estimate that the value of each security on the pricing date is $934.20. See “Investment Summary” and “Risk Factors” in the accompanying pricing supplement 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 pricing supplement. All payments on the securities are subject to our credit risk.
Investors should carefully review the accompanying pricing supplement, product supplement for participation securities, 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 maximum return of 72% of the face amount. or $720.00 per security, the participation rate of 100% and the threshold level of 85% 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 whether you hold your securities to maturity.
The hypothetical return table below is based on the participation rate of 100%, maximum return of 72% of the face amount or $720.00 per security, the threshold level of 85% 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 maximum return are set forth on the cover of this document.
*.The underlying index excludes cash dividend payments on stocks included in the underlying index.
(1) 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.
(2) 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 are 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 “S&P 500® Index Overview”
in the accompanying pricing supplement.
How the maturity payment amount is calculated
If the ending level is greater than the starting level:
$1,000 plus the lesser of:
|maximum return||=||72%% of the face amount per security ($720 per security), and|
Under no circumstances will the maturity payment amount exceed the face amount plus 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:
the face amount of $1,000
If the ending level is less than the threshold level:
If the ending level is less than the threshold level, you will receive less, and up to 85% less, than the face amount of your securities at maturity.
Notwithstanding anything to the contrary in the accompanying product supplement for participation securities, the amount you will receive at maturity will be the maturity payment amount, defined and calculated as provided herein and in the accompanying pricing supplement.
S&P 500® Index daily closing levels*
S&P 500® Index
Daily Closing Levels
January 1, 2016 to November 30, 2021
* 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 pricing supplement, product supplement for participation 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.|
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 pricing supplement, product supplement for participation securities, 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.
“Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC.
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.