Fixed Income Buffered Securities due September 10, 2025
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the Nasdaq-100 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 have the terms described in the accompanying prospectus supplement, index supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee the repayment of any principal. The securities will pay a fixed monthly coupon (including at maturity) at the rate specified below. At maturity, if the final index value of each of the S&P 500® Index and the Nasdaq-100 Index®, which we refer to as the underlying indices, is greater than or equal to 80% of its respective initial index value, meaning that neither of the underlying indices has declined by an amount greater than the buffer amount of 20%, investors will receive the stated principal amount of the securities. However, if the final index value of either of the underlying indices is less than 80% of its initial index value, meaning that either of the underlying indices has declined by an amount greater than the buffer amount of 20%, investors will lose 1.25% of the principal amount for every 1% decline in the final index value of the worst performing underlying index from its initial index value beyond the buffer amount of 20%. Under these circumstances, the payment at maturity will be less, and possibly significantly less, than the stated principal amount of the securities and could be zero. There is no minimum payment at maturity on the securities. Accordingly, investors in the securities may lose their entire initial investment in the securities. Because payments on the securities are based on the worst performing of the underlying indices, a decline beyond the buffer amount of either of the underlying indices will result in a loss of your investment, even if the other underlying index has appreciated or has not declined as much. Investors will not participate in any appreciation of the underlying indices. These securities are for investors who are willing to risk their principal based on the performance of the worst performing underlying index, and who are willing to forgo the opportunity to participate in any appreciation of the underlying indices in exchange for the limited protection against loss and the opportunity to earn interest at a potentially above-market rate. The securities 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 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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S&P 500® Index (the “SPX Index”) and Nasdaq-100 Index® (the “NDX Index”)
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Aggregate principal amount:
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$9,400,000
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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 (see “Commissions and issue price” below)
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Pricing date:
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March 6, 2024
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Original issue date:
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March 11, 2024 (3 business days after the pricing date)
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Determination date:
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September 5, 2025, subject to adjustment for non-index business days and certain market disruption events
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Maturity date:
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September 10, 2025
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Monthly coupon:
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A fixed monthly coupon at an annual rate of 7.35% (corresponding to approximately $6.125 per month per security) is paid on each coupon payment date.
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Coupon payment dates:
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Monthly, on the 11th day of each month, beginning April 11, 2024; provided that if any such day is not a business day, that monthly coupon will be paid on the next succeeding business day, and no adjustment will be made to any monthly coupon payment made on that succeeding business day. The monthly coupon for September 2025 will be paid on the maturity date.
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Buffer amount:
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20%. As a result of the buffer amount of 20%, the value at or above which each of the underlying indices must close on the determination date so that you are not exposed to the negative performance of the worst performing underlying index at maturity is:
With respect to the SPX Index: 4,062.92, which is 80% of its initial index value
With respect to the NDX Index: 14,318.296, which is 80% of its initial index value
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Downside factor:
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1.25
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Payment at maturity:
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At maturity, in addition to the final monthly coupon payment, investors will receive a payment at maturity determined as follows:
If the final index value of each of the underlying indices is greater than or equal to 80% of its respective initial index value, meaning that the final index value of neither of the underlying indices has decreased by an amount greater than the buffer amount of 20% from its respective initial index value:
the stated principal amount of $1,000 per security
If the final index value of either of the underlying indices is less than 80% of its respective initial index value, meaning that the final index value of either of the underlying indices has decreased by an amount greater than the buffer amount of 20% from its respective initial index value:
$1,000 + [$1,000 × (underlying index percent change of the worst performing underlying index + 20%) × downside factor]
Under these circumstances, the payment at maturity will be less, and possibly significantly less, than the stated principal amount of the securities 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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$996.60 per security. See “Investment Overview” 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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$0
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$1,000
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Total
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$9,400,000
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$0
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$9,400,000
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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 $1,000 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 prospectus supplement.
(3)See “Use of proceeds and hedging” on page 26.
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 prospectus 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 prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying prospectus 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 February 22, 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.
Prospectus Supplement dated November 16, 2023 Index Supplement dated November 16, 2023 Prospectus dated February 22, 2024