The Buffered Jump Securities Based on the
Value of the S&P 500®
Index due August 6, 2026 (the
“securities”) can be used:
an alternative to direct exposure to the index that provides a
fixed return of 37% if the index has appreciated or has not
depreciated over the term of the
potentially outperform the index in a moderately bullish scenario;
obtain a buffer against a specified level of negative performance
in the index.
The securities are exposed on a 1-to-1
basis to the percentage decline of the final index value from the
initial index value beyond the buffer amount of 30%.
Accordingly, 70% of your
principal is at risk (e.g.,
a 50% depreciation in the index will result in the payment at
maturity of $800 per security).
Approximately 4 years
$370 per security (37% of the stated
Minimum payment at
$300 per security. You could lose up to
70% of the stated principal amount of the
The original issue price 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. We estimate that the value of each security on the
pricing date is $989.90.
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 a
performance-based component linked to the underlying index. The
estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions
relating to the underlying index, instruments based on the
underlying index, 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
What determines the economic
terms of the securities?
In determining the economic terms of the securities, including the
upside payment, the buffer amount and the minimum payment at
maturity, 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
securities 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 securities?
The price at which MS & Co. purchases the securities in the
secondary market, absent changes in market conditions, including
those related to the underlying index, 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 securities 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
securities in the secondary market, absent changes in market
conditions, including those related to the underlying index, 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
securities, and, if it once chooses to make a market, may cease
doing so at any time.