Enhanced Buffered Jump Securities Based on the Value of the Worst Performing of the Utilities Select Sector SPDR® Fund, the Nasdaq-100 Index® and the Russell 2000® Index due August 26, 2025
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The Enhanced Buffered Jump Securities, which we refer to as 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 product supplement for Jump Securities, index supplement and prospectus, as supplemented and modified by this document. The securities pay no interest and will instead pay an amount in cash at maturity that may be greater than or less than the stated principal amount, depending on the closing level of each underlying on the valuation date. If the final level of each underlying is greater than or equal to 80% of its respective initial level, which we refer to as the respective downside threshold value, you will receive the stated principal amount for each security that you hold at maturity plus the upside payment of $112.50 per security. However, if the final level of any underlying is less than its respective downside threshold value, you will be exposed to the decline in the level of the worst performing underlying beyond the buffer amount of 20%, and you will lose some or a significant portion of your initial investment. The payment at maturity may be significantly less than the stated principal amount, and you could lose up to 80% of your investment. Because the payment at maturity on the securities is based on the worst performing of the underlyings, a decline in any final level below 80% of its respective initial level will result in a loss on your investment, even if the other underlyings have appreciated or have not declined as much. The securities are for investors who seek an equity-based return and who are willing to risk their principal, risk exposure to the worst performing of three underlyings and forgo current income and returns above the fixed upside payment in exchange for the upside payment and buffer features that in each case apply to a limited range of performance of the worst performing underlying. 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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Issue price:
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$1,000 per security
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Stated principal amount:
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$1,000 per security
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Pricing date:
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May 21, 2024
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Original issue date:
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May 24, 2024 (3 business days after the pricing date)
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Maturity date:
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August 26, 2025
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Aggregate principal amount:
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$500,000
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Interest:
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None
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Underlyings:
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Utilities Select Sector SPDR® Fund (the “XLU Shares”), Nasdaq-100 Index® (the “NDX Index”) and Russell 2000® Index (the “RTY Index”)
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Payment at maturity:
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●If the final level of each underlying is greater than or equal to its respective downside threshold value:
$1,000 + the upside payment
●If the final level of any underlying is less than its respective downside threshold value, meaning the value of any underlying has declined by more than the buffer amount of 20% from its respective initial level to its respective final level:
$1,000 + $[1,000 × (underlying percent change of the worst performing underlying + 20%)]
Because the underlying percent change of the worst performing underlying will be less than -20% in this scenario, the payment at maturity will be less, and potentially significantly less, than the stated principal amount of $1,000.
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Upside payment:
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$112.50 per security (11.25% of the stated principal amount)
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Underlying percent change:
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With respect to each underlying, (final level - initial level) / initial level
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Worst performing underlying:
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The underlying that has declined the most, meaning that it has the lowest underlying percent change
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Initial level:
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With respect to the XLU Shares, $72.87, which is the closing level of such underlying on the pricing date
With respect to the NDX Index, 18,713.80, which is the closing level of such underlying on the pricing date
With respect to the RTY Index, 2,098.355, which is the closing level of such underlying on the pricing date
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Downside threshold value:
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With respect to the XLU Shares, $58.296, which is 80% of the initial level for such underlying
With respect to the NDX Index, 14,971.04, which is 80% of the initial level for such underlying
With respect to the RTY Index, 1,678.684, which is 80% of the initial level for such underlying
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Final level:
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With respect to each underlying, the closing level of such underlying on the valuation date
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Closing level:
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With respect to the XLU Shares, on any trading day, the closing price of one XLU Share on such day multiplied by the adjustment factor on such day
With respect to the NDX Index, on any index business day, the index closing value of such underlying on such day
With respect to the RTY Index, on any index business day, the index closing value of such underlying on such day
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Valuation date:
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August 21, 2025, subject to postponement for non-index business days or non-trading days, as applicable, and certain market disruption events
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Buffer amount:
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20%
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Minimum payment at maturity:
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$200 per security
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Adjustment factor:
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With respect to the XLU Shares, 1.0, subject to adjustment in the event of certain events affecting the XLU Shares
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CUSIP / ISIN:
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61776L6M4 / US61776L6M49
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Listing:
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The securities 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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$987.30 per security. See “Investment Summary” 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 security
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$1,000
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$5.50
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$994.50
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Total
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$500,000
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$2,750
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$497,250
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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 $994.50 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 for Jump Securities.
(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 8.
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.
References to “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for Jump Securities dated November 16, 2023 Index Supplement dated November 16, 2023 Prospectus dated April 12, 2024