Bearish Buffered PLUS Based on the Inverse Performance of the S&P 500® Index due January 17, 2025
Bearish Buffered Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The Bearish Buffered PLUS are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Bearish Buffered PLUS will pay no interest, provide a minimum payment at maturity of only 10% of the stated principal amount and have the terms described in the accompanying product supplement for PLUS, index supplement and prospectus, as supplemented or modified by this document. At maturity, if the underlying index, as measured on each of the three averaging dates, has depreciated in value, investors will receive the stated principal amount of their investment plus leveraged inverse performance of the underlying index, subject to the maximum payment at maturity. If the underlying index has appreciated in value, but the underlying index has not increased by more than the specified buffer amount, the Bearish Buffered PLUS will redeem for par. However, if the underlying index, as measured on each of the three averaging dates, has increased by more than the buffer amount, investors will lose 1% for every 1% increase beyond the specified buffer amount, subject to the minimum payment at maturity of 10% of the stated principal amount. Investors may lose up to 90% of the stated principal amount of the Bearish Buffered PLUS. The Bearish Buffered PLUS are for investors who seek an inverse equity index-based return and who are willing to risk their principal and forgo current income and upside above the maximum payment at maturity in exchange for the leverage and buffer features that in each case apply to a limited range of performance of the underlying index. The Bearish Buffered PLUS are notes issued 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. These Bearish Buffered PLUS are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
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FINAL Terms
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Issuer:
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Morgan Stanley Finance LLC
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Guarantor:
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Morgan Stanley
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Maturity date:
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January 17, 2025
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Underlying index:
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S&P 500® Index
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Aggregate principal amount:
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$5,500,000
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Payment at maturity per Bearish Buffered PLUS:
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If the final index value, as measured on each of the three averaging dates, is less than the initial index value:
$1,000 + leveraged downside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
If the final index value, as measured on each of the three averaging dates, is greater than or equal to the initial index value but has increased from the initial index value by an amount less than or equal to the buffer amount of 10%:
$1,000
If the final index value, as measured on each of the three averaging dates, is greater than the initial index value and has increased from the initial index value by an amount greater than the buffer amount of 10%:
$1,000 + ($1,000 × bearish index percent change) + $100
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the Bearish Buffered PLUS pay less than $100 per Bearish Buffered PLUS at maturity.
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Leveraged downside payment:
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$1,000 × leverage factor × bearish index percent change
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Bearish index percent change:
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(initial index value – final index value) / initial index value
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Initial index value:
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5,308.15, which is the index closing value on May 15, 2024
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Final index value:
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The arithmetic average of the index closing values on each of the three averaging dates
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Averaging dates:
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January 10, 2025, January 13, 2025 and January 14, 2025, subject to postponement for non-index business days and certain market disruption events
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Leverage factor:
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300%
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Buffer amount:
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10%. As a result of the buffer amount of 10%, the value at or below which the underlying index, as measured on each of the three averaging dates, must close so that investors do not suffer a loss on their initial investment in the Bearish Buffered PLUS is 5,838.965, which is 110% of the initial index value.
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Minimum payment at maturity:
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$100 per Bearish Buffered PLUS (10% of the stated principal amount)
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Maximum payment at maturity:
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$1,165 per Bearish Buffered PLUS (116.50% of the stated principal amount)
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Stated principal amount:
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$1,000 per Bearish Buffered PLUS
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Issue price:
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$1,000 per Bearish Buffered PLUS (see “Commissions and issue price” below)
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Pricing date:
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May 17, 2024
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Original issue date:
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May 22, 2024 (3 business days after the pricing date)
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CUSIP:
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61776L6E2
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ISIN:
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US61776L6E23
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Listing:
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The Bearish Buffered PLUS will not be listed on any securities exchange.
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$988.30 per Bearish Buffered PLUS. See “Investment Summary” beginning on page 2.
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Commissions and issue price:
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Price to public(1)
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Agent’s commissions and fees(2)
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Proceeds to us(3)
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Per Bearish Buffered PLUS
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$1,000
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$6
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$994
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Total
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$5,500,000
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$33,000
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$5,467,000
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(1)The Bearish Buffered PLUS will be sold only to investors purchasing the Bearish Buffered PLUS in fee-based advisory accounts.
(2)MS & Co. expects to sell all of the Bearish Buffered PLUS that it purchases from us to an unaffiliated dealer at a price of $994 per Bearish Buffered PLUS, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Bearish Buffered PLUS. MS & Co. will not receive a sales commission with respect to the Bearish Buffered PLUS. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for PLUS.
(3)See “Use of proceeds and hedging” on page 12.
The Bearish Buffered PLUS involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 6.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The Bearish Buffered PLUS 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.
You should read this document together with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable. Please also see “Additional Terms of the Bearish Buffered PLUS” and “Additional Information About the Bearish Buffered PLUS” at the end of this document.
As used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for PLUS dated November 16, 2023 Index Supplement dated November 16, 2023
Prospectus dated April 12, 2024