Buffered PLUS Based on the Value of the S&P 500® Futures Excess Return Index due February 25, 2026
Buffered Performance Leveraged Upside SecuritiesSM
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The Buffered PLUS offered are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The 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 has appreciated in value, investors will receive the stated principal amount of their investment plus leveraged upside performance of the underlying index, subject to the maximum payment at maturity. If the underlying index has depreciated in value, but the underlying index has not declined beyond 95% of the initial index value, which we refer to as the downside threshold value, investors will lose 1% for every 1% decline beyond the initial index value. Therefore, the buffer amount will not apply to the first 5% of depreciation of the underlying index, to which investors will be fully exposed. If the underlying index has depreciated in value below the downside threshold value, but the underlying index has not declined beyond the downside threshold value by more than the specified buffer amount, investors will receive a payment at maturity of $950 per stated principal amount and will therefore lose 5% of their investment. However, if the underlying index has declined beyond the downside threshold value by more than the buffer amount, investors will lose 5% of their investment plus an additional 1% for every 1% decline beyond 85% of the initial index value, 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 Buffered PLUS. The Buffered PLUS are for investors who seek an 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 Buffered PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
The underlying 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 underlying index, see “Annex A — S&P 500® Futures Excess Return Index” beginning on page 16.
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These 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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Summary 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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February 25, 2026
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Underlying index:
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S&P 500® Futures Excess Return Index
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Aggregate principal amount:
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$
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Payment at maturity per Buffered PLUS:
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If the final index value is greater than the initial index value:
$1,000 + leveraged upside payment
In no event will the payment at maturity exceed the maximum payment at maturity.
If the final index value is less than or equal to the initial index value but greater than the downside threshold value:
$1,000 × index performance factor
Under these circumstances, investors will lose some, and up to 5%, of their investment.
If the final index value is less than or equal to the downside threshold value but has decreased from the downside threshold value by an amount less than or equal to the buffer amount of 10%:
$950
Under these circumstances, investors will lose 5% of their investment.
If the final index value is less than the downside threshold value and has decreased from the downside threshold value by an amount greater than the buffer amount of 10%:
($1,000 × index performance factor) + $100
Under these circumstances, the payment at maturity will be less than $950 per stated principal amount. However, under no circumstances will the Buffered PLUS pay less than $100 per Buffered PLUS at maturity.
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Leveraged upside payment:
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$1,000 × leverage factor × index percent increase
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Index percent increase:
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(final index value – initial index value) / initial index value
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Initial index value:
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476.24, which is the index closing value on June 18, 2024
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Downside threshold value:
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452.428, which is 95% of the initial index value
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Final index value:
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The index closing value on the valuation date
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Valuation date:
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February 20, 2026, subject to postponement for non-index business days and certain market disruption events
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Leverage factor:
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210%
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Buffer amount:
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10%, applicable as described herein
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Minimum payment at maturity:
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$100 per Buffered PLUS (10% of the stated principal amount)
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Index performance factor:
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Final index value divided by the initial index value
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Maximum payment at maturity:
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$1,280 per Buffered PLUS (128% of the stated principal amount)
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Stated principal amount:
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$1,000 per Buffered PLUS
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Issue price:
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$1,000 per Buffered PLUS (see “Commissions and issue price” below)
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Pricing date:
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June 20, 2024
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Original issue date:
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June 25, 2024 (3 business days after the pricing date)
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CUSIP:
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61776MPD1
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ISIN:
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US61776MPD10
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Listing:
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The 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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Approximately $976.50 per Buffered PLUS, or within $25.00 of that estimate. 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 Buffered PLUS
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$1,000
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$
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$
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Total
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$
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$
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$
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(1)The Buffered PLUS will be sold only to investors purchasing the Buffered PLUS in fee-based advisory accounts.
(2)MS & Co. expects to sell all of the Buffered PLUS that it purchases from us to an unaffiliated dealer at a price of $ per Buffered PLUS, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered PLUS. MS & Co. will not receive a sales commission with respect to the 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 15.
The Buffered PLUS involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 7.
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 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 Buffered PLUS” and “Additional Information About the 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