Contingent Income Buffered Auto-Callable Securities due August 11, 2027, With 6-Month Initial Non-Call Period
All Payments on the Securities Based on the Worst Performing of the Nasdaq-100® Technology Sector IndexSM, the iShares® Russell 2000 Value ETF and the Energy Select Sector SPDR® Fund
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 product supplement, index supplement and prospectus, as supplemented or modified by this document. The securities do not provide for the regular payment of interest and provide a minimum payment at maturity of only 20% of the stated principal amount. Instead, the securities will pay a contingent monthly coupon but only if the determination closing level of each of the Nasdaq-100® Technology Sector IndexSM, the iShares® Russell 2000 Value ETF and the Energy Select Sector SPDR® Fund, which we refer to as the underlyings, is at or above 80% of its respective initial level, which we refer to as the coupon barrier level, on the related observation date. If, however, the determination closing level of any of the underlyings is less than its respective coupon barrier level on any observation date, we will pay no interest for the related monthly period. Beginning after six months, the securities will be automatically redeemed if the determination closing level of each of the underlyings is greater than or equal to its respective initial level on any monthly redemption determination date for the early redemption payment equal to the sum of the stated principal amount plus the related contingent monthly coupon. 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 level of each of the underlyings is greater than or equal to 80% of its respective initial level, meaning that no underlying has declined by an amount greater than the buffer amount of 20%, the payment at maturity will be the stated principal amount and the related contingent monthly coupon. However, if the final level of any of the underlyings is less than 80% of its respective initial level, meaning that one or more underlyings have declined by an amount greater than the buffer amount of 20%, investors will lose 1% for every 1% decline in the final level of the worst performing underlying from its initial level beyond the buffer amount of 20%. Accordingly, investors in the securities must be willing to accept the risk of losing up to 80% of their initial investment and also the risk of not receiving any contingent monthly coupons throughout the 3-year term of the securities. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest over the entire 3-year term and in exchange for the possibility of an automatic early redemption prior to maturity. Because the payment of contingent monthly coupons is based on the worst performing of the underlyings, the fact that the securities are linked to three underlyings does not provide any asset diversification benefits and instead means that a decline in the level of any of the underlyings below the relevant coupon barrier level will result in no contingent monthly coupons, even if one or both of the other underlyings close at or above the respective coupon barrier level(s). Because all payments on the securities are based on the worst performing of the underlyings, a decline of any of the underlyings by an amount greater than the buffer amount as of the final observation date will result in a loss of your investment, even if one or both of the other underlyings have appreciated or have not declined as much. Investors will not participate in any appreciation of any of the underlyings. The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
The Nasdaq-100® Technology Sector IndexSM measures the performance of companies in the Nasdaq-100 Index® that are classified as technology according to the Industry Classification Benchmark. For more information about the Nasdaq-100 Index®, see the information set forth under “Nasdaq-100 Index®” in the accompanying index supplement. For more information about the Nasdaq-100® Technology Sector IndexSM, see “Annex A — Nasdaq-100® Technology Sector IndexSM” beginning on page 34.
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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Underlyings:
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Nasdaq-100® Technology Sector IndexSM (the “NDXT Index”), iShares® Russell 2000 Value ETF (the “IWN Shares”) and Energy Select Sector SPDR® Fund (the “XLE Shares”)
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Aggregate principal amount:
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$250,000
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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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August 6, 2024
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Original issue date:
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August 9, 2024 (3 business days after the pricing date)
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Maturity date:
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August 11, 2027
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Early redemption:
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The securities are not subject to automatic early redemption until approximately six months after the original issue date.
Following this 6-month initial non-call period, if, on any redemption determination date, beginning on February 6, 2025, the determination closing level of each of the underlyings is greater than or equal to its respective initial level, the securities will be automatically redeemed for an early redemption payment on the related early redemption date. No further payments will be made on the securities once they have been redeemed.
The securities will not be redeemed early on any early redemption date if the determination closing level of any of the underlyings is below its respective initial level on the related redemption determination date.
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Early redemption payment:
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The early redemption payment will be an amount equal to (i) the stated principal amount for each security you hold plus (ii) the contingent monthly coupon with respect to the related observation date.
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Determination closing level:
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With respect to the NDXT Index, the index closing value for such underlying on any redemption determination date or observation date (other than the final observation date)
With respect to the IWN Shares, the closing price for such underlying on any redemption determination date or observation date (other than the final observation date) times the adjustment factor on such redemption determination date or observation date, as applicable
With respect to the XLE Shares, the closing price for such underlying on any redemption determination date or observation date (other than the final observation date) times the adjustment factor on such redemption determination date or observation date, as applicable
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Redemption determination dates:
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Starting on February 6, 2025, monthly, as set forth under “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates,” subject to postponement for non-index business days or non-trading days, as applicable, and certain market disruption events.
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Early redemption dates:
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Starting on February 11, 2025, monthly. See “Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates” below. If any such day is not a business day, that early redemption payment will be made on the next succeeding business day and no adjustment will be made to any early redemption payment made on that succeeding business day
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Contingent monthly coupon:
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A contingent monthly coupon at an annual rate of 9.00% (corresponding to approximately $7.50 per month per security) will be paid on the securities on each coupon payment date but only if the determination closing level of each of the underlyings is at or above its respective coupon barrier level on the related observation date.
If, on any observation date, the determination closing level of any of the underlyings is less than its respective coupon barrier level, no contingent monthly coupon will be paid with respect to that observation date. It is possible that one or more of the underlyings will remain below the respective coupon barrier level(s) for extended periods of time or even throughout the entire 3-year term of the securities so that you will receive few or no contingent monthly coupons.
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Buffer amount:
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With respect to each of the underlyings, 20%. As a result of the buffer amount of 20%, the level at or above which each of the underlyings must close on the final observation date so that investors do not suffer a loss on their initial investment in the securities is as follows:
With respect to the NDXT Index, 7,516.776, which is equal to 80% of its initial level
With respect to the IWN Shares, $124.768, which is equal to 80% of its initial level
With respect to the XLE Shares, $69.584, which is equal to 80% of its initial level
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Payment at maturity:
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If the securities are not redeemed prior to maturity, investors will receive a payment at maturity determined as follows:
●If the final level of each of the underlyings is greater than or equal to 80% of its respective initial level, meaning that no underlying has decreased by an amount greater than the buffer amount of 20% from its respective initial level: the stated principal amount and the contingent monthly coupon with respect to the final observation date
●If the final level of any of the underlyings is less than 80% of its respective initial level, meaning that one or more underlyings have decreased by an amount greater than the buffer amount of 20% from the respective initial level(s):
$1,000 + [$1,000 × (underlying percent change of the worst performing underlying + 20%)]
Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the securities pay less than the minimum payment at maturity of $200 per security.
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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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$937.50 per security. See “Investment Summary” beginning on page 3.
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Commissions and issue price:
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Price to public
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Agent’s commissions(1)
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Proceeds to us(2)
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Per security
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$1,000
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$25
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$975
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Total
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$250,000
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$6,250
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$243,750
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(1)Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $25 for each security they sell. 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 auto-callable securities.
(2)See “Use of proceeds and hedging” on page 32.
The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 11.
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