Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Dow Jones Industrial AverageSM, the NASDAQ-100 Index® and the Russell 2000® Index due July 26, 2023
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
The Dual Directional Buffered Participation Securities, or “Buffered Securities,” are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered Securities will pay no interest, provide a minimum payment at maturity of only 15% of the stated principal amount and have the terms described in the accompanying product supplement for participation securities, index supplement and prospectus, as supplemented or modified by this document. The payment at maturity on the Buffered Securities will be based on the value of the worst performing of the Dow Jones Industrial AverageSM, the NASDAQ-100 Index® and the Russell 2000® Index. At maturity, if 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 101% participation in the positive performance of the worst performing underlying index, subject to the maximum payment at maturity. If the final index value of any underlying index is less than or equal to its respective initial index value, but the final index value of each underlying index is greater than or equal to 85% of its respective initial index value, meaning that no underlying index has decreased from its initial index value by an amount greater than the buffer amount of 15%, investors will receive the stated principal amount of their investment plus a positive return based on the absolute value of the performance of the worst performing underlying index, which will be inherently limited to a maximum return of 15%. However, if the final index value of any underlying index is less than 85% of its respective initial index value, meaning that any underlying index has decreased from its respective initial index value by an amount greater than the buffer amount of 15%, the absolute return feature will no longer be available and instead investors will lose 1% for every 1% decline in the worst performing underlying index beyond the specified buffer amount, subject to the minimum payment at maturity of 15% of the stated principal amount. Investors may lose up to 85% of the stated principal amount of the Buffered Securities. Because the payment at maturity of the Buffered Securities is based on the worst performing of the underlying indices, a decline in any underlying index beyond the buffer amount will result in a loss, and potentially a significant loss, of your investment even if the other underlying indices have appreciated or have not declined as much. The Buffered Securities are for investors who seek an equity index-based return and who are willing to risk their principal, risk exposure to the worst performing of three underlying indices and forgo current income and upside above the maximum payment at maturity in exchange for the buffer and absolute return features that in each case apply to a limited range of performance of the worst performing underlying index. The Buffered Securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.
The Buffered Securities differ from the Participation Securities described in the accompanying product supplement for participation securities in that the Buffered Securities offer the potential for a positive return at maturity if the worst performing underlying index depreciates by no more than 15%.
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 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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Maturity date:
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July 26, 2023
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Underlying indices:
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Dow Jones Industrial AverageSM (the “INDU Index”), NASDAQ-100 Index® (the “NDX Index”) and Russell 2000® Index (the “RTY Index”)
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Aggregate principal amount:
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$5,187,000
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Payment at maturity:
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If the final index value of each underlying index is greater than its respective initial index value,
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$1,000 + ($1,000 × participation rate × index percent change of the worst performing underlying index)
In no event will the payment at maturity exceed the maximum payment at maturity.
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If the final index value of any underlying index is less than or equal to its respective initial index value but the final index value of each underlying index is greater than or equal to 85% of its respective initial index value, meaning that no underlying index has decreased from its initial index value by an amount greater than the buffer amount of 15%,
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$1,000 + ($1,000 × absolute index return of the worst performing underlying index)
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If the final index value of any underlying index is less than 85% of its respective initial index value, meaning that any underlying index has decreased from its respective initial index value by an amount greater than the buffer amount of 15%,
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($1,000 × index performance factor of the worst performing underlying index) + $150
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Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the Buffered Securities pay less than $150 per Buffered Security at maturity.
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Index percent change:
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With respect to each underlying index, (final index value – initial index value) / initial index value
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Worst performing underlying index:
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The underlying index with the lowest index percentage change
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Index performance factor:
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With respect to each underlying index, final index value / initial index value
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Absolute index return:
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The absolute value of the index percent change. For example, a -5% index percent change will result in a +5% absolute index return.
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Initial index value:
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With respect to the INDU Index, 34,798.00, which is the index closing value of such index on the pricing date
With respect to the NDX Index, 14,842.63, which is the index closing value of such index on the pricing date
With respect to the RTY Index, 2,234.042, which is the index closing value of such index on the pricing date
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Final index value:
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With respect to each underlying index, the index closing value of such index on the valuation date
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Valuation date:
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July 21, 2023, subject to adjustment for non-index business days and certain market disruption events
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Minimum payment at maturity:
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$150 per Buffered Security (15% of the stated principal amount)
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Participation rate:
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101%
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Maximum payment at maturity:
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$1,370 per Trigger PLUS (137.00% of the stated principal amount).
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Buffer amount:
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15%. As a result of the buffer amount of 15%, the value at or above which each underlying index must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered Securities is as follows:
With respect to the INDU Index, 29,578.30, which is 85% of its initial index value
With respect to the NDX Index, 12,616.236, which is approximately 85% of its initial index value
With respect to the RTY Index, 1,898.936, which is approximately 85% of its initial index value
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Stated principal amount:
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$1,000 per Buffered Security
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Issue price:
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$1,000 per Buffered Security
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Pricing date:
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July 21, 2021
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Original issue date:
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July 26, 2021 (3 business days after the pricing date)
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CUSIP / ISIN:
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61773FFX6 / US61773FFX69
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Listing:
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The Buffered Securities will not be listed on any securities exchange.
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Agent:
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Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See “Supplemental information regarding plan of distribution; conflicts of interest.”
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Estimated value on the pricing date:
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$975.90 per Buffered 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 Buffered Security
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$1,000
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$6.50
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$993.50
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Total
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$5,187,000
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$33,715.50
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$5,153,284.50
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(1)The Buffered Securities will be sold only to investors purchasing the Buffered Securities in fee-based advisory accounts.
(2)MS & Co. expects to sell all of the Buffered Securities that it purchases from us to an unaffiliated dealer at a price of $993.50 per Buffered Security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered Security. MS & Co. will not receive a sales commission with respect to the Buffered 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 participation securities.
(3)See “Use of proceeds and hedging” on page 20.
The Buffered Securities 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 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. Please also see “Additional Terms of the Buffered Securities” and “Additional Information About the Buffered 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 Participation Securities dated November 16, 2020 Index Supplement dated November 16, 2020
Prospectus dated November 16, 2020