摩根士丹利美股招股说明书(2025-09-22版)

DualDirectional Jump Securities with Auto-Callable Feature due September 23, 2027Based on the Performance of the Common Stock of Marvell Technology, Inc. Fully and Unconditionally Guaranteed by Morgan StanleyPrincipal at Risk Securities The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by MorganStanley. The securities have the terms described in the accompanying product supplement and prospectus, as supplemented or modified bythis document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. ￭Automatic early redemption.The securities will be automatically redeemed if the closing level of the underlier isgreater than or equal tothe call threshold level on the first determination date for the early redemption payment. No further payments will be made on the securitiesonce they have been automatically redeemed. ￭Payment at maturity.If the securities have not been automatically redeemed prior to maturity and the final level isgreater thanthe initiallevel, investors will receive the stated principal amountplusthe upside payment. If the final level isequal to or less thanthe initial level butisgreater than or equal tothe downside threshold level, investors will receive at maturity the stated principal amountplusa positive returnequal to (i) the absolute value of the percentage decline in the level of the underliermultiplied by(ii) the absolute return participation rate. If,however, the final level isless thanthe downside threshold level, investors will lose 1% for every 1% decline in the level of the underlierover the term of the securities.Under these circumstances, the payment at maturity will be significantly less than the statedprincipal amount and could be zero. ￭The securities are for investors who are willing to risk their principal and forgo current income in exchange for the absolute returnparticipation feature and the possibility of receiving an early redemption payment or payment at maturity that exceeds the stated principalamount.Investors in the securities must be willing to accept the risk of losing their entire initial investment.The securities are notesissued as part of MSFL’s Series A Global Medium-Term Notes program. ￭All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. Thesesecurities are not secured obligations and you will not have any security interest in, or otherwise have any access to, anyunderlying reference asset or assets. Dual Directional Jump Securities with Auto-Callable FeaturePrincipal at Risk Securities Estimated Value of the Securities The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring andhedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date willbe less than $1,000. Our estimate of the value of the securities as determined on the pricing date will be within the rangespecified on the cover hereof and will be set forth on the cover of the final pricing supplement. What goes into the estimated value on the pricing date? In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and aperformance-based component linked to the underlier. The estimated value of the securities is determined using our own pricingand valuation models, market inputs and assumptions relating to the underlier, instruments based on the underlier, volatility andother factors including current and expected interest rates, as well as an interest rate related to our secondary market creditspread, 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 securities? In determining the economic terms of the securities, we use an internal funding rate, which is likely to be lower than oursecondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne byyou were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be morefavorable to you. What is the relationship between the estimated value on the pricing date and the secondary market price of the securities? The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, includingthose related to the underlier, may vary from, and be lower than, the estimated value on the pricing date, because the secondarymarket price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would chargein a secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling,structuring and hedging the securi