Buffered Jump Securities with Auto-Callable Feature due July 13, 2027
All Payments on the Securities Based on the Worst Performing of the Dow Jones Industrial AverageSM, the Russell 2000® Index and the S&P 500® Futures Excess Return Index
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities do not guarantee any repayment of principal, do not provide for the regular payment of interest and have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented or modified by this document. The securities will be automatically redeemed if the index closing value of each of the Dow Jones Industrial AverageSM, the Russell 2000® Index and the S&P 500® Futures Excess Return Index which we refer to as the underlying indices, on the first determination date is greater than or equal to 110% of its respective initial index value, which we refer to as the respective call threshold level, for an early redemption payment of $1,200 per security, as described below. No further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the final index value of each underlying index is greater than its respective initial index value, investors will receive the stated principal amount of their investment plus a return reflecting 255% of the upside performance of the worst performing underlying index. If the securities have not previously been redeemed and the final index value of any underlying index is less than or equal to its respective initial index value but no underlying index has decreased by an amount greater than the specified buffer amount from its respective initial index value, investors will receive a payment at maturity of $1,000 per $1,000 security. However, if the securities are not redeemed prior to maturity and the final index value of any underlying index is less than its respective initial index value by an amount greater than the specified buffer amount, investors will lose 1.1765% for every 1% decline beyond the specified buffer amount. There is no minimum payment at maturity on the securities. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment. The securities are for investors who are willing to risk their principal and forego current income in exchange for the possibility of receiving an early redemption payment greater than the stated principal amount if each underlying index closes at or above the respective call threshold level on the first determination date or an equity index-based return at maturity if each underlying index closes above the respective initial index value on the final determination date. Because all payments on the securities are based on the worst performing of the underlying indices, a decline of more than 15% by any underlying index will result in a loss of your investment, even if the other underlying indices have appreciated or have not declined as much. The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract (the “futures contract”) trading on the Chicago Mercantile Exchange (the “CME”). The futures contract references the S&P 500® Index (the “reference index”). For more information about the S&P 500® Index, see the accompanying index supplement. For more information about the S&P 500® Futures Excess Return Index, see “Annex A — S&P 500® Futures Excess Return Index” beginning on page 25.
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities 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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Underlying indices:
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Dow Jones Industrial AverageSM (the “INDU Index”), Russell 2000® Index (the “RTY Index”) and S&P 500® Futures Excess Return Index (the “SPXFP Index”)
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Aggregate principal amount:
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$511,000
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Stated principal amount:
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$1,000 per security
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Issue price:
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$1,000 per security
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Pricing date:
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July 8, 2024
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Original issue date:
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July 11, 2024 (3 business days after the pricing date)
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Maturity date:
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July 13, 2027
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Early redemption:
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If, on the first determination date, the index closing value of each underlying index is greater than or equal to its respective call threshold level, the securities will be automatically redeemed for the early redemption payment on the early redemption date.
The securities will not be redeemed early on the early redemption date if the index closing value of any underlying index is below its respective call threshold level on the first determination date.
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Early redemption payment:
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The early redemption payment will be an amount in cash per stated principal amount of $1,200, as set forth under “Determination Dates, Early Redemption Date and Early Redemption Payment” below.
No further payments will be made on the securities once they have been redeemed.
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Determination dates:
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See “Determination Dates, Early Redemption Date and Early Redemption Payment” below.
The determination dates are subject to postponement for non-index business days and certain market disruption events.
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Early redemption date:
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See “Determination Dates, Early Redemption Date and Early Redemption Payment” below. If such day is not a business day, the early redemption payment, if payable, will be paid on the next business day, and no adjustment will be made to the early redemption payment.
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Payment at maturity:
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If the securities have not previously been redeemed, you will receive at maturity a cash payment per security as follows:
●If the final index value of each underlying index is greater than its respective initial index value:
$1,000 + ($1,000 × index percent change of the worst performing underlying index × 255%)
●If the final index value of any underlying index is less than or equal to its respective initial index value but no underlying index has decreased by an amount greater than the buffer amount of 15% from its respective initial index value:
$1,000
●If the final index value of any underlying index has decreased by an amount greater than the buffer amount of 15% from its respective initial index value:
$1,000 + [$1,000 × (index percent change of the worst performing underlying index + 15%) × downside factor]
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000 and could be zero.
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Terms continued on the following page
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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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$977.30 per security. See “Investment Summary” beginning on page 3.
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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 security
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$1,000
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$7
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$993
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Total
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$511,000
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$3,577
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$507,423
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(1)The securities will be sold only to investors purchasing the securities in fee-based advisory accounts.
(2)MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $993 per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co. will not receive a sales commission with respect to the securities. 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.
(3)See “Use of proceeds and hedging” on page 23.
The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 9.
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 securities 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 Securities” and “Additional Information About the Securities” 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 Auto-Callable Securities dated November 16, 2023 Index Supplement dated November 16, 2023 Prospectus dated April 12, 2024