[FWP] Morgan Stanley Free Writing Prospectus

Rhea-AI Filing Summary

Morgan Stanley Finance LLC, guaranteed by Morgan Stanley, is marketing SPXF40D4 Step-Down Jump Securities maturing 22 July 2030. The $1,000-denominated notes are linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index and feature quarterly automatic call opportunities beginning 20 July 2026. Call thresholds step down from 100 % to 62.5 % of the initial index level and, if triggered, pay $1,150–$1,712.50 per note, ending the investment early.

• Fixed payoff at maturity: If not called and the index closes at or above 60 % of its initial level on 17 July 2030, investors receive $1,750 (a 75 % gain).
• Downside risk: If the index closes below 50 % of its initial level, repayment falls point-for-point, potentially to $0.
• No coupons or principal protection: the notes are unsecured obligations of the issuer.
• Estimated value: $911.10, materially below issue price, reflecting structuring and hedging costs.
• Liquidity & credit: unlisted, subject to Morgan Stanley credit, and secondary trading may be limited.
• Underlier risk: the decrement index began 30 Aug 2024, employs leverage and a 4 % annual deduction, and lacks a long performance record.

Positive

• Step-down call thresholds from 100 % to 62.5 % increase the probability of early redemption with gains between $150 and $712.50 per note.
• Fixed 75 % upside payout if the index is at or above 60 % at maturity, regardless of further appreciation.
• Defined payoff profile provides clarity on returns under multiple market scenarios.

Negative

• No principal protection; investors can lose their entire investment if the index falls more than 50 % at maturity.
• Estimated value of $911.10 is materially below the $1,000 issue price, indicating high embedded fees.
• Underlier is newly created (est. 30 Aug 2024) with limited track record and includes a 4 % annual decrement plus leverage.
• Notes are unlisted, potentially illiquid, and subject to Morgan Stanley credit risk.
• Payout is capped; investors forgo any upside beyond the fixed early-redemption or maturity amounts.

Insights

Structured-Products Analyst

TL;DR High potential payout but sizable fees, new decrement index, no principal protection; overall risk-reward skews aggressive.

The offering provides an eye-catching fixed return of up to $750 on $1,000 if either the index stays above 60 % at maturity or an autocall is hit earlier. Step-down thresholds make an early exit reasonably likely in moderately bullish markets. However, the cost is clear: the estimated value is roughly 9 % below issue price, implying significant distribution and hedging expenses. Investors absorb full downside below a 50 % barrier, receive no periodic income, and face issuer credit risk. In addition, the underlier has less than one year of live history and embeds a 4 % decrement, dampening performance. Given these trade-offs, the notes may appeal to tactically bullish investors comfortable with equity-linked principal risk, but they do not materially affect Morgan Stanley’s financial outlook and are best viewed as niche retail structured products.

Free Writing Prospectus to Preliminary Pricing Supplement No. 9,256

Registration Statement Nos. 333-275587; 333-275587-01

Dated July 10, 2025; Filed pursuant to Rule 433

Morgan Stanley

SPXF40D4 Step-Down Jump Securities with Auto-Callable Feature due July 22, 2030

This document provides a summary of the terms of the securities. Investors must carefully review the accompanying preliminary pricing supplement referenced below, product supplement, index supplement and prospectus, and the “Risk Considerations” on the following page, prior to making an investment decision.

Terms
Issuer:	Morgan Stanley Finance LLC
Guarantor:	Morgan Stanley
Underlier:	S&P® 500 Futures 40% Intraday 4% Decrement VT Index (SPXF40D4)
Automatic early redemption:	If, on any determination date, the closing level of the underlier is greater than or equal to the then-applicable call threshold level, the securities will be automatically redeemed for the applicable early redemption payment. No further payments will be made on the securities once they have been automatically redeemed.
	Determination date:		Call threshold level:	Early redemption payment (per security):
	#1	July 20, 2026	100.00% of the initial level	$1,150.00
	#2	October 19, 2026	97.50% of the initial level	$1,187.50
	#3	January 19, 2027	95.00% of the initial level	$1,225.00
	#4	April 19, 2027	92.50% of the initial level	$1,262.50
	#5	July 19, 2027	90.00% of the initial level	$1,300.00
	#6	October 18, 2027	87.50% of the initial level	$1,337.50
	#7	January 18, 2028	85.00% of the initial level	$1,375.00
	#8	April 17, 2028	82.50% of the initial level	$1,412.50
	#9	July 17, 2028	80.00% of the initial level	$1,450.00
	#10	October 17, 2028	77.50% of the initial level	$1,487.50
	#11	January 17, 2029	75.00% of the initial level	$1,525.00
	#12	April 17, 2029	72.50% of the initial level	$1,562.50
	#13	July 17, 2029	70.00% of the initial level	$1,600.00
	#14	October 17, 2029	67.50% of the initial level	$1,637.50

 

 	#15	January 17, 2030	65.00% of the initial level	$1,675.00
	#16	April 17, 2030	62.50% of the initial level	$1,712.50
Upside threshold level:	60% of the initial level
Downside threshold level:	50% of the initial level
Pricing date:	July 17, 2025
Observation date:	July 17, 2030
Maturity date:	July 22, 2030
CUSIP:	61778NJX0
Estimated value:	$911.10 per security, or within $55.00 of that estimate
Preliminary pricing supplement:	https://www.sec.gov/Archives/edgar/data/895421/000183988225038196/ms9256_424b2-20874.htm

1All payments are subject to our credit risk

Hypothetical Payment at Maturity1 (if the securities have not been automatically redeemed prior to maturity)
% Change in Closing Level of the Underlier	Payment at Maturity (per Security)
+60.00%	$1,750.00
+40.00%	$1,750.00
+20.00%	$1,750.00
0.00%	$1,750.00
-5.00%	$1,750.00
-10.00%	$1,750.00
-20.00%	$1,750.00
-40.00%	$1,750.00
-45.00%	$1,000.00
-50.00%	$1,000.00
-51.00%	$490.00
-60.00%	$400.00
-80.00%	$200.00
-100.00%	$0.00

 

 

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.

Underlier(s)

For more information about the underlier(s), including historical performance information, see the accompanying preliminary pricing supplement.

Risk Considerations

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

Risks Relating to an Investment in the Securities

●The securities do not guarantee the return of any principal and do not pay interest.

●The appreciation potential of the securities is limited by the fixed early redemption payment specified for each determination date or payment at maturity specified for the observation date, as applicable.

●The securities are subject to early redemption risk.

●The market price of the securities may 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 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 original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price 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.

●As discussed in more detail in the accompanying product supplement, investing in the securities is not equivalent to investing in the underlier(s).

●The U.S. federal income tax consequences of an investment in the securities are uncertain.

Risks Relating to the Underlier(s)

●No assurance can be given that the investment strategy used to construct the underlier will achieve its intended results or that the underlier will be successful or will outperform any alternative index or strategy that might reference the futures contract.

●The decrement of 4% per annum will adversely affect the performance of the underlier in all cases, whether the underlier appreciates or depreciates. The underlier includes a decrement feature, whereby 4% per annum is deducted daily from the level of the underlier.

●The underlier is subject to risks associated with the use of significant leverage.

●The underlier may not be fully invested.

●The underlier was established on August 30, 2024 and therefore has very limited operating history.

●As the underlier is new and has very limited historical performance, any investment in the underlier may involve greater risk than an investment in an index with longer actual historical performance and a proven track record.

●Adjustments to the S&P® 500 Futures 40% Intraday 4% Decrement VT Index could adversely affect the value of the securities.

●Because your return on the securities will depend upon the performance of the underlier(s), the securities are subject to the following risk(s), as discussed in more detail in the accompanying product supplement.

oHigher future prices of a futures contract to which the underlier is linked relative to its current prices may adversely affect the value of the underlier and the value of the securities.

oSuspensions or disruptions of market trading in futures markets could adversely affect the value of the securities.

oLegal and regulatory changes could adversely affect the return on and value of the securities.

Risks Relating to Conflicts of Interest

●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.

Tax Considerations

You should review carefully the discussion in the accompanying preliminary pricing supplement under the caption “Additional Information About the Securities–United States federal income tax considerations” concerning the U.S. federal income tax consequences of an investment in the securities, and you should consult your tax adviser.

 

FAQ

What is the downside threshold for the Morgan Stanley SPXF40D4 notes?

Repayment is reduced if the index closes below 50 % of the initial level on the final observation date.

How much can I earn if the notes are called on the first determination date?

If called on 20 July 2026, you will receive $1,150 per $1,000 note.

What is the maximum payment at maturity on 22 July 2030?

Provided the index is at or above the 60 % upside threshold, the maturity payment is $1,750 per note.

Why is the estimated value only $911.10 per security?

The estimate reflects issuer costs for structuring, selling and hedging, which reduce the note’s economic value relative to its $1,000 price.

Is the underlying index well established?

No. The S&P 500 Futures 40% Intraday 4% Decrement VT Index was launched on 30 Aug 2024 and has limited performance history.

Will the securities trade on an exchange?

No. They will not be listed, and secondary liquidity may be limited.

Do the notes pay periodic interest?

No, the securities do not pay interest; returns are realized only upon early redemption or at maturity.