30/11/2023 - Morgan Stanley: Free Writing Prospectus - Form FWP

Morgan Stanley

Free Writing Prospectus to Preliminary Terms No. 206 Registration Statement Nos. 333-275587; 333-275587-01 Dated November 29, 2023; Filed pursuant to Rule 433

Trigger PLUS Based on the Performance of Copper due December 9, 2025

This document provides a summary of the terms of the Trigger PLUS. Investors must carefully review the accompanying preliminary terms referenced below, prospectus supplement and prospectus, and the "Risk Considerations" on the following page, prior to making an investment decision.

The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration statement and other documents the issuer has filed with the SEC for more complete information about the issuer and this offering. You may get these documents for free by visiting EDGAR on the SEC Web site at www.sec.gov. Alternatively, the issuer, any underwriter or any dealer participating in the offering will arrange to send you the prospectus if you request it by calling toll-free 1-800-584-6837.

Underlying Commodity

For more information about the underlying commodity, including historical performance information, see the accompanying preliminary terms.

Risk Considerations

The risks set forth below are discussed in more detail in the "Risk Factors" section in the accompanying preliminary terms. Please review those risk factors carefully prior to making an investment decision.

Risks Relating to an Investment in the Trigger PLUS

·	The Trigger PLUS do not pay interest or guarantee return of any principal.

·	The appreciation potential of the Trigger PLUS is limited by the maximum payment at maturity.

·	The market price of the Trigger PLUS will be influenced by many unpredictable factors.

·	The Trigger PLUS 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 Trigger PLUS.

·	As a finance subsidiary, MSFL has no independent operations and will have no independent assets.

·	The amount payable on the Trigger PLUS is not linked to the price of the underlying commodity at any time other than the valuation date.

·	Investing in the Trigger PLUS is not equivalent to investing in the underlying commodity or in futures contracts or forward contracts on the underlying commodity.

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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 Trigger PLUS in the original issue price reduce the economic terms of the Trigger PLUS, cause the estimated value of the Trigger PLUS to be less than the original issue price and will adversely affect secondary market prices.

·	The estimated value of the Trigger PLUS is approximately $969.60 per Trigger PLUS, or within $39.60 of that estimate, and 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 Trigger PLUS 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 Trigger PLUS.

·	Hedging and trading activity by our affiliates could potentially adversely affect the value of the Trigger PLUS.

·	The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain.

Risks Relating to the Underlying Commodity

·	Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally.

·	Investments linked to a single commodity, such as copper, are subject to sharp fluctuations in commodity prices, and the price of copper may change unpredictably and affect the value of the Trigger PLUS in unforeseen ways.

·	There are risks relating to the trading of metals on the London Metal Exchange.

·	Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the price of the Trigger PLUS.

·	Legal and regulatory changes could adversely affect the return on and value of the Trigger PLUS.

Tax Considerations

You should review carefully the discussion in the accompanying preliminary terms under the caption "Additional Information-Tax considerations" concerning the U.S. federal income tax consequences of an investment in the Trigger PLUS, and you should consult your tax adviser.