| PROSPECTUS dated February 22, 2024 |
Pricing Supplement No. 1,321 to |
| PRODUCT SUPPLEMENT FOR PARTICIPATION SECURITIES dated November 16, 2023 |
Registration Statement Nos. 333-275587; 333-275587-01 |
| INDEX SUPPLEMENT Dated November 16, 2023 |
Dated March 6, 2024 |
| |
Rule 424(b)(2) |
$735,000
Morgan Stanley Finance LLC
GLOBAL MEDIUM-TERM
NOTES, SERIES A
Senior Notes
Participation Securities Linked to Global
Equities due March 9, 2029
Based on a Performance-Allocation Basket
Composed of the S&P 500® Index, the STOXX® Europe 600 Index and the Nikkei Stock Average
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. Unlike ordinary debt securities, the securities
do not pay interest and do not guarantee any return of principal at maturity. Instead, at maturity, you will receive for each security
that you hold an amount in cash that will vary depending on the performance of a basket composed of the S&P 500® Index
(the “SPX Index”), the STOXX® Europe 600 Index (the “SXXP Index”) and the Nikkei Stock Average
(the “NKY Index”). We refer to each of the SPX Index, the SXXP Index and the NKY Index as an underlying index or a basket
component. The weighting for each basket component is not set at the beginning of the term of the securities. Instead, in measuring the
performance of the basket as a whole as of the determination date, the basket component with the best performance will be allocated a
weighting of 90%, the basket component with the second-best performance will be allocated a weighting of 10% and the basket component
with the worst performance will be allocated a weighting of 0%. At maturity, you will receive for each security that you hold an amount
in cash that will vary depending on the basket performance measured on the determination date. If the basket performance is positive,
meaning that the value of the basket has increased, you will receive a payment at maturity equal to $1,000 plus the product of $1,000
and the basket performance. However, if the basket performance is negative, investors will lose 1% for every 1% decline in the value of
the basket over the term of the securities. Under these circumstances, the payment at maturity will be less than the stated principal
amount and could be zero. There is no minimum payment at maturity, and accordingly, you could lose all of your initial investment in
the securities. These long-dated securities are for investors who seek a return based on the performance of the basket components
and who are willing to risk their principal and forgo current income in exchange for the opportunity to receive a return based on the
performance of the basket components. 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.
| • | The stated principal amount and issue price of each security is $1,000. |
| • | We will not pay interest on the securities. |
| • | At maturity, you will receive an amount of cash per security based on the basket performance, which
is determined on the determination date, as follows: |
| º | If the basket performance is positive, you will receive for each $1,000 stated principal amount of the securities that you hold
a payment at maturity equal to $1,000 plus the product of $1,000 and the basket performance. |
| º | If the basket performance is negative, you will receive for each $1,000 stated principal amount of the securities that you hold
a payment at maturity equal to $1,000 + ($1,000 × basket performance). |
Under these circumstances, the payment
at maturity will be less, and possibly significantly less, than the stated principal amount of $1,000. You could lose your entire investment
in the securities.
| • | The basket performance will equal the sum of the performance values for each of the basket components. |
| • | The performance value for each basket component will equal (i) the product of the respective final
value for each basket component minus the respective initial value for such basket component divided by the respective initial value for
such basket component multiplied by (ii) the weighting for such basket component. |
| • | The weighting for each basket component will be determined on the determination date based on the
relative performance of the basket components against each other. The basket component with the best performance will be allocated a weighting
of 90%, the basket component with the second-best performance will be allocated a weighting of 10% and the basket component with the worst
performance will be allocated a weighting of 0%. |
| • | The initial value for each basket component equals its respective index closing value on the pricing
date. |
| • | The final value for each basket component will equal its respective index closing value on the determination
date. |
| • | The pricing date, which is the day we priced the securities for initial sale to the public, is March
6, 2024. |
| • | The determination date will be March 6, 2029, subject to postponement for each basket component separately
in the event of a non-index business day or a market disruption event. |
| • | Investing in the securities is not equivalent to investing in the basket components or any of the
component stocks of the SPX Index, the SXXP Index or the NKY Index. |
| • | The securities will not be listed on any securities exchange. |
| • | The minimum purchase amount is $1,000 or 1 security. |
| • | The estimated value of the securities on the pricing date is $971.90 per security. See
“Summary of Pricing Supplement” beginning on PS-2. |
| • | The CUSIP number for the securities is 61771W7C6 and the ISIN number for the securities is US61771W7C63. |
You should read the more detailed descriptions of the securities
in this pricing supplement. In particular, you should review and understand the descriptions in “Summary of Pricing Supplement,”
“Final Terms of the Securities,” and “Additional Information About the Securities.”
The securities are riskier than ordinary debt securities. See
“Risk Factors” beginning on PS-10.
The Securities and Exchange Commission and state securities regulators
have not approved or disapproved these securities, or determined if this pricing supplement is truthful or complete. Any representation
to the contrary is a criminal offense.
PRICE $1,000 PER SECURITY
| |
Price
to public(1) |
Agent’s
commissions and fees(2) |
Proceeds
to us(3) |
| Per security |
$1,000 |
$2.50 |
$997.50 |
| Total |
$735,000 |
$1,837.50 |
$733,162.50 |
| (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 $997.50 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 “Additional Information About the Securities – Supplemental
Information Concerning 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 “Additional Information About the Securities—Use of Proceeds and Hedging” on
PS-24. |
The agent for this offering, Morgan Stanley & Co. LLC, is
our affiliate. See “Additional Information About the Securities—Supplemental Information Concerning Plan of Distribution;
Conflicts of Interest” in this pricing supplement.
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.
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 February 22, 2024 or to the corresponding sections of such prospectus, as applicable.
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.
MORGAN STANLEY
SUMMARY OF PRICING SUPPLEMENT
The following summary describes the securities
in general terms only. You should read the summary together with the more detailed information that is contained in the rest of this pricing
supplement and in the accompanying product supplement for Participation Securities, index supplement and prospectus. You should carefully
consider, among other things, the matters set forth in “Risk Factors.”
The securities offered are medium-term debt
securities issued by MSFL and are fully and unconditionally guaranteed by Morgan Stanley. The return on the securities is linked to the
performance of a basket composed of the S&P 500® Index (the “SPX Index”), the STOXX® Europe
600 Index (the “SXXP Index”) and the Nikkei Stock Average (the “NKY Index”). We refer to each of the SPX Index,
the SXXP Index and the NKY Index as an underlying index or a basket component. The weighting for each basket component is not set at the
beginning of the term of the securities. Instead, in measuring the performance of the basket as a whole as of the determination date,
the basket component with the best performance will be allocated a weighting of 90%, the basket component with the second-best performance
will be allocated a weighting of 10% and the basket component with the worst performance will be allocated a weighting of 0%. At maturity,
you will receive for each security that you hold an amount in cash that will vary depending on the basket performance, as measured on
the determination date. If the basket performance is positive, meaning that the value of the basket has increased, you will receive a
payment at maturity equal to $1,000 plus the product of $1,000 and the basket performance. However, if the basket performance is negative,
investors will lose 1% for every 1% decline in the value of the basket over the term of the securities. Under these circumstances, the
payment at maturity will be less than the stated principal amount and could be zero. There is no minimum payment at maturity, and accordingly,
you could lose all of your initial investment in the securities. All payments on the securities are subject to our credit risk.
“Standard & Poor’s®,”
“S&P®,” “S&P 500®,” “Standard & Poor’s 500” and “500”
are trademarks of Standard and Poor’s Financial Services LLC.
“STOXX® Europe 600”
and “STOXX®” are registered trademarks of STOXX® Limited.
Nikkei Inc. (“Nikkei”), the publisher
of the NKY Index, has the copyright to the NKY Index. All rights to the NKY Index are owned by Nikkei. We disclaim all responsibility
for the calculation or other maintenance of or any adjustments to the NKY Index. Nikkei has the right to change the contents of the NKY
Index and to cease compilation and publication of the NKY Index. In addition, Nikkei has no relationship to us or the securities; it does
not sponsor, endorse, authorize, sell or promote the securities, and has no obligation or liability in connection with the administration,
marketing or trading of the securities or with the calculation of the return on your investment.
Each security costs
$1,000 |
We are offering the Participation Securities Linked to Global Equities
due March 9, 2029 Based on a Performance-Allocation Basket Composed of the S&P 500® Index, the STOXX®
Europe 600 Index and the Nikkei Stock Average, which we refer to as the securities. The stated principal amount and original issue price
of each security is $1,000.
The original issue price includes costs associated with issuing, selling,
structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing
date is less than $1,000. We estimate that the value of the securities on the pricing date is $971.90.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account
that the securities comprise both a debt component and a performance-based component linked to the basket components. The estimated value
of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the basket components,
instruments based on the basket components, volatility and other factors including current and expected interest rates, as well as an
interest rate related to our |
| |
secondary market credit spread, which is the implied interest rate
at which our conventional fixed rate debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities we use an internal
funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling,
structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of
the securities would be more favorable to you.
What is the relationship between the estimated value on the pricing
date and the secondary market price of the securities?
The price at which Morgan Stanley & Co. LLC, which we refer to
as MS & Co., purchases the securities in the secondary market, absent changes in market conditions, including those related to the
basket components, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes
into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction
of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are
not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or
sell the securities in the secondary market, absent changes in market conditions, including those related to the basket components, and
to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values
will also be reflected in your brokerage account statements.
MS & Co. may, but is not obligated to, make a market in the
securities, and, if it once chooses to make a market, may cease doing so at any time. |
| |
|
| The basket |
The following table sets forth the basket components along with the initial value (as defined below) and the relevant Bloomberg ticker symbol of each basket component: |
| |
Basket component |
Initial value |
Bloomberg
ticker symbol* |
| |
S&P 500® Index (the “SPX Index”) |
5,104.76 |
SPX |
| |
STOXX® Europe 600 Index (the “SXXP Index”) |
498.21 |
SXXP |
| |
Nikkei Stock Average (the “NKY Index”) |
40,090.78 |
NKY |
| |
*Bloomberg ticker symbols are being provided for reference purposes only. With respect to each basket component, the final value will be determined as set forth under “Final Terms of the Securities—Final Value.” |
The securities do not guarantee any
payment of principal at maturity; basket component weightings
set on the determination date |
Unlike ordinary debt securities, the securities do not pay interest or guarantee the repayment of any principal at maturity. Instead, at maturity, you will receive for each $1,000 stated principal amount of the securities that you hold an amount in cash that will vary depending on the value of the basket on the determination date, with the weightings of each basket component to be set on the determination date based on the relative performance of the basket components against each other, as described below. The payment at maturity may be significantly less than the stated principal amount of the securities and may be zero. If the value of the basket has declined as of the determination date, for every 1% decline, you will lose an amount equal to 1% of the principal amount of the securities. |
| |
|
| |
Payment at Maturity |
| |
|
| |
Unlike ordinary debt securities, the securities do not pay interest. Instead, for each $1,000 stated principal amount of the securities that you hold, you will receive an amount in cash determined as follows: |
| |
|
| |
If the basket performance is positive, you will receive for each $1,000 stated principal amount of the securities that you hold a payment at maturity equal to $1,000 plus the product of $1,000 and the basket performance. |
| |
|
| |
If the basket performance is negative, you will receive for each $1,000 stated principal amount of the securities that you hold a payment at maturity equal to $1,000 + ($1,000 × basket performance). |
| |
|
| |
Where, |
| |
|
| |
basket performance
= the sum of the performance values for each basket component
and
performance value
=
with respect
to each basket component, the product of (x) the final value for such basket component minus the initial value for such basket
component divided by (y) the initial value of such basket component multiplied by (z) the weighting for such basket component,
as expressed by the following formula:
|
| (final value – initial value) |
× weighting |
| initial value |
| |
Basket Component Weightings Set on the Determination Date |
| |
|
| |
The weighting for each basket
component will not be set on the pricing date. Instead, the weightings will be based on the relative performance of the basket components
against each other on the determination date as follows: the basket component with the best performance will be allocated
a weighting of 90%, the basket component with the second-best performance will be allocated a weighting of 10% and the basket component
with the worst performance will be allocated a weighting of 0%. |
| |
|
| |
The initial value for each basket component equals the index closing value of such basket component on the pricing date, as set forth above. |
| |
|
| |
The final value for each basket component will equal
the index closing value of such basket component on the determination date. |
| |
|
| |
The scheduled
determination date is March 6, 2029. If, however, the scheduled |
| |
determination date is not an index business day with respect to any
basket component or if a market disruption event occurs with respect to any basket component on the determination date, the determination
date will be postponed, only with respect to the affected basket component, to the next index business day on which no market disruption
event occurs with respect to that basket component. If the final value for any basket component has not been determined on the fifth scheduled
index business day following the scheduled determination date, the calculation agent will determine the final value for that basket component
as set out in the section of this pricing supplement called “Final Terms of the Securities—Determination Date.” If,
due to a market disruption event or otherwise, the determination date for any basket component is postponed and falls less than two business
days prior to the scheduled maturity date, the maturity date will be postponed to the second business day following such determination
date as postponed. See the section of this pricing supplement called “Final Terms of the Securities—Maturity Date.”
If the basket performance is negative, you will lose some, and could
lose all, of your investment.
All payments on the securities are subject to our credit risk.
Because the performance of the basket components may not be correlated,
a negative performance by one or more of the basket components could wholly offset a positive performance by one or more of the other
basket components.
Please review the historical closing values of the basket components
in the section of this pricing supplement called “Additional Information About the Securities—Historical Information”
for each calendar quarter in the period from January 1, 2019 through March 6, 2024 and related graphs. You cannot predict the future
performance of any of the basket components or of the basket as a whole, or whether the positive performance of any basket component
will be offset by a lesser positive performance or negative performance of one or more of the other basket components, based on their
historical performance. |
| |
|
Morgan Stanley & Co. LLC
will be the calculation agent |
We have appointed our affiliate, Morgan Stanley & Co. LLC, which we refer to as MS & Co., to act as calculation agent for The Bank of New York Mellon, a New York banking corporation, the trustee for our senior notes. As calculation agent, MS & Co. will determine the initial value and the final value for each basket component, the weighting for each basket component, the basket performance, whether a market disruption event has occurred and the payment that you will receive at maturity. |
| |
|
Morgan Stanley & Co. LLC
will be the agent; conflicts of interest |
The agent for the offering of the securities, MS & Co., a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL, will conduct this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account. See “Additional Information About the Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest” on PS-24. |
| |
|
Where you can find more
information on the securities |
The securities are unsecured debt securities issued as part of our Series A medium-term note program. We describe the basic features of this type of debt security in the sections of the product supplement for Participation Securities called “Description of Securities” and in the section of the prospectus called “Description of Debt |
| |
Securities—Fixed Rate Debt Securities.”
Because this is a summary, it does not contain all of the information
that may be important to you. For a detailed description of the terms of the securities, you should read the “Final Terms of the
Securities” section in this pricing supplement. You should also read about some of the risks involved in investing in the securities
in the section called “Risk Factors.” The tax and accounting treatment of investments in equity-linked securities such as
these may differ from that of investments in ordinary debt securities or common stock. See the section of this pricing supplement called
“Additional Information About the Securities—United States Federal Taxation.” We urge you to consult with your investment,
legal, tax, accounting and other advisers in connection with your investment in the securities.
|
HYPOTHETICAL PAYOUTS ON THE SECURITIES
At maturity, you will receive for each security
that you hold an amount in cash that will vary depending on the basket performance as of the determination date. If the basket performance
is positive, meaning that the value of the basket has increased, you will receive a payment at maturity equal to $1,000 plus the product
of $1,000 and the basket performance. However, if the basket performance is negative, investors will lose 1% for every 1% decline in the
value of the basket over the term of the securities.
In measuring the performance of the basket as
a whole on the determination date, the basket component with the best performance will be allocated a weighting of 90%, the basket component
with the second-best performance will be allocated a weighting of 10% and the basket component with the worst performance will be allocated
a weighting of 0%.
The tables below are examples of how to calculate
the basket performance and the payment at maturity on the securities based on hypothetical initial values and hypothetical final values
for each of the basket components. The actual initial values were determined on the pricing date and are set forth in this document, and
the actual final values will be determined on the determination date.
Example 1: Basket performance is positive
|
Basket
Component |
Hypothetical
Initial Value |
Hypothetical
Final Value |
Hypothetical
Percentage
Change |
Weighting |
Hypothetical
Performance
Value |
| SPX Index |
4,000 |
3,800 |
–5% (worst performance) |
0% |
0% |
| SXXP Index |
500 |
550 |
10% (second-best performance) |
10% |
1% |
| NKY Index |
35,000 |
42,000 |
20% (best performance) |
90% |
18% |
| Hypothetical basket performance: |
19% |
Basket performance = Sum of
performance values of each basket component
Each performance value = [(final
value - initial value) / initial value] × weighting
SPX Index = [(3,800
– 4,000) / 4,000] × 0% = 0%,
plus
SXXP Index = [(550 –
500) / 500] × 10% = 1%,
plus
NKY Index = [(42,000 –
35,000) / 35,000] × 90% = 18%,
Hypothetical basket performance
= 19%
The payment at maturity per security is $1,000 +
($1,000 × 19%) = $1,190.
Example 2: Basket performance is negative
|
Basket
Component |
Hypothetical
Initial Value |
Hypothetical
Final Value |
Hypothetical
Percentage
Change |
Weighting |
Hypothetical
Performance
Value |
| SPX Index |
4,000 |
4,040 |
1% (best performance) |
90% |
0.90% |
| SXXP Index |
500 |
25 |
-95% (worst performance) |
0% |
0% |
| NKY Index |
35,000 |
3,500 |
-90% (second-best performance) |
10% |
-9% |
| Hypothetical basket performance: |
-8.10% |
Basket performance = Sum of
performance values of each basket component
Each performance value = [(final
value - initial value) / initial value] × weighting
SPX Index = [(4,040
– 4,000) / 4,000] × 90% = 0.90%,
plus
SXXP Index = [(25 –
500) / 500] × 0% = 0%,
plus
NKY Index = [(3,500 –
35,000) / 35,000] × 10% = -9%,
Hypothetical basket performance = -8.10%
The payment at maturity per security is
$1,000 + ($1,000 × -8.10%) = $919.00
As the basket performance is negative,
the payment at maturity per security will be equal to $1,000 + ($1,000 × basket performance).
In Example 2, one of the basket
components — the SPX Index — has increased in value by 1% from its initial value, but the other two basket components have
declined in value by 95% and 90%. Accordingly, although one of the basket components has increased in value, the significant declines
in values of the other two basket components have the effect of more than offsetting such increase. Therefore, the basket performance
is negative, and the payment at maturity per security will be less than the $1,000 stated principal amount.
In this example, investors
lose some of their investment in proportion to the negative basket performance.
Example 3: Basket performance is negative
|
Basket
Component |
Hypothetical
Initial Value |
Hypothetical
Final Value |
Hypothetical
Percentage
Change |
Weighting |
Hypothetical
Performance
Value |
| SPX Index |
4,000 |
1,400 |
-65% (worst performance) |
0% |
0% |
| SXXP Index |
500 |
300 |
-40% (best performance) |
90% |
-36% |
| NKY Index |
35,000 |
14,000 |
-60% (second-best performance) |
10% |
-6% |
| Hypothetical basket performance: |
-42% |
Basket performance = Sum of
performance values of each basket component
Each performance value = [(final
value - initial value) / initial value] × weighting
SPX Index = [(1,400
– 4,000) / 4,000] × 0% = 0%,
plus
SXXP Index = [(300 –
500) / 500] × 90% = -36%,
plus
NKY Index = [(14,000 –
35,000) / 35,000] × 10% = -6%,
Hypothetical basket
performance = -42%
The payment at maturity per security is $1,000 +
($1,000 × -42%) = $580.
As the basket performance is negative, the payment
at maturity per security will be equal to $1,000 + ($1,000 × basket performance).
In Example 3, all of the basket components have declined
in value significantly. Therefore, the basket performance is negative, and the payment at maturity per security will be less than the
$1,000 stated principal amount.
In this example, investors lose some of their investment
in proportion to the negative basket performance. While the weightings of the basket components are set on the determination date in a
way that is favorable to the investors (90% for the best-performing basket component, 10% for the second-best performing basket component
and 0% for the worst-performing basket component), the basket performance can still be negative if two or more basket components decline
in value over the term of the securities.
If the basket performance is negative, you will
receive an amount in cash that is less than the $1,000 stated principal amount of each security by an amount proportionate to the decline
in the value of the basket, and you will lose money on your investment. You could lose all of your initial investment in the securities.
Please review the tables setting forth the historical
performance of each of the basket components for each calendar quarter in the period from January 1, 2019 through March 6, 2024 and related
graphs in “Additional Information About the Securities––Historical Information” beginning on PS-20. You cannot
predict the future performance of any of the basket components or of the basket as a whole, or whether increases in the values of any
of the basket components will be offset by decreases in the values of other basket components, based on their historical performance.
RISK FACTORS
The securities are not secured debt, and, unlike
ordinary debt securities, do not guarantee the return of any principal at maturity and do not pay any interest. Investing in the securities
is not equivalent to investing in the basket components, their component stocks or the indices tracked by the basket components. This
section describes the material risks relating to the securities. For a further discussion of risk factors, please see the accompanying
product supplement for Participation Securities, index supplement and prospectus.
Risks Relating to an Investment in the Securities
The securities do not pay
interest or guarantee the
return of any principal |
The terms of the securities differ from those of ordinary debt securities in that we will not pay you any interest on the securities and do not guarantee the return of any principal at maturity. Instead, you will receive for each $1,000 stated principal amount of the securities that you hold an amount in cash based upon the basket performance, as measured on the determination date. If the basket performance is negative, you will receive at maturity an amount in cash that is less than the $1,000 stated principal amount of each security by an amount proportionate to the decline in the value of the basket. This amount will be less, and may be significantly less, than the stated principal amount. As there is no minimum payment at maturity on the securities, you could lose your entire investment. |
| |
|
Changes in the values of one
or more of the basket components
may offset each other |
Value movements in the basket components may not correlate with each
other. At a time when the values of one or more basket components increase, the values of the other basket components may not increase
as much, or may even decline. Therefore, in calculating the basket components’ performance on the determination date, increases
in the values of one or more basket components may be moderated, or wholly offset, by lesser increases or declines in the values of other
basket components.
However, there have been times in the past when the values of the basket
components have been correlated, and while the best-performing basket component will be given the highest weight and the worst-performing
basket component the lowest weight, the basket performance can still be negative if the values of one or more basket components decline
over the term of the securities. If the basket performance is negative, you will receive an amount in cash that is less than the $1,000
stated principal amount of each security by an amount proportionate to the decline in the value of the basket, and you will lose money
on your investment.
You can review tables and graphs illustrating the historical performance
of the basket components for the period from January 1, 2019 through March 6, 2024 in “Additional Information About the Securities––Historical
Information” beginning on PS-20.
You cannot predict the future performance of any of the basket
components, or of the basket as a whole, or whether increases in the value of any of the basket components will be offset by lesser increases
or decreases in the value of other basket components based on their historical performance. |
| |
|
The market price of the
securities will be influenced by
many unpredictable factors |
Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market, including: the value and volatility of the basket components, interest and yield rates in the market, time remaining to maturity, geopolitical condition |
| |
and economic, financial, political and regulatory or judicial events and any actual or anticipated changes in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described above. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell your securities prior to maturity. |
| |
|
The securities are subject to our credit risk, and any actual or anticipated
changes to our credit ratings or credit spreads may adversely affect the market
value of the securities |
You are dependent on our ability to pay all amounts due on the securities at maturity and therefore you are subject to our credit risk. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market's view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities. |
| |
|
As a finance subsidiary, MSFL
has no independent operations
and will have no independent assets |
As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities. |
| |
|
Investing in the securities is
not equivalent to investing in
the basket components |
Investing in the securities is not equivalent to investing directly in the basket components or any of the component stocks of the SPX Index, the SXXP Index or the NKY Index. Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to any of the component stocks of the SPX Index, the SXXP Index or the NKY Index. |
| |
|
The securities will not be listed
on any securities exchange and
secondary trading may be limited |
The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. Morgan Stanley & Co. LLC, which we refer to as MS & Co., may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be |
| |
willing to hold your securities to maturity. |
The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing,
selling, structuring and hedging the securities in the original issue price reduce the economic terms of the
securities, cause the estimated
value of the securities to be less than the original issue price and will adversely affect secondary market prices |
Assuming no change in market conditions or any other relevant factors,
the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market transactions
will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring
and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will
reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of
this type as well as other factors.
The inclusion of the costs of issuing, selling, structuring and hedging
the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the securities
less favorable to you than they otherwise would be.
However, because the costs associated with issuing, selling, structuring
and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent
that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related
to the basket components, and to our secondary market credit spreads, it would do so based on values higher than the estimated value,
and we expect that those higher values will also be reflected in your brokerage account statements. |
| |
|
The estimated value of the
securities is determined by
reference to our pricing and
valuation models, which may
differ from those of other
dealers and is not a maximum
or minimum secondary market price |
These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price of the securities will be influenced by many unpredictable factors” above. |
| |
|
Hedging and trading activity
by our affiliates could
potentially affect the value of
the securities |
One or more of our affiliates and or third-party dealers expect to carry out hedging activities related to the securities (and to other instruments linked to the basket components or their component stocks), including trading in the stocks that constitute the basket components as well as in other instruments related to the basket components. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the determination date approaches. Some of our affiliates also trade the stocks that constitute the basket components and other financial instruments related to the basket components on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could affect the initial values, and, therefore, could increase the values at or above which the basket components must close on the determination date so that an investor |
| |
would not sustain a loss on their investment. Additionally, such hedging or trading activities during the term of the securities, including on the determination date, could adversely affect the values of the basket components on the determination date, and, accordingly, the amount of cash an investor will receive at maturity, if any. |
| |
|
The calculation agent, which is
a subsidiary of Morgan Stanley
and an affiliate of MSFL, will make determinations with respect to
the securities |
As calculation agent, MS & Co. will determine the initial value and the final value for each basket component, the weighting for each basket component, the basket performance and the payment that you will receive at maturity, if any. Moreover, certain determinations made by MS & Co. in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events, the selection of a successor index or calculation of an index closing value in the event of a market disruption event. These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see the sections of this pricing supplement called “Terms of the Securities—Determination Date,” “—Payment at Maturity,” “—Performance Value,” “—Initial Value” and “—Final Value” and see “Description of Securities—Postponement of Valuation Date(s),” “—Calculation Agent and Calculations,” “—Some Definitions—market disruption event” and related definitions in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date. |
| |
|
The U.S. federal income tax
consequences of an investment
in the securities are uncertain |
Please read the discussion under “Additional Information About
the Securities—United States Federal Taxation” in this document and the discussion under “United States Federal Taxation”
in the accompanying product supplement for Participation Securities (together, the “Tax Disclosure Sections”) concerning the
U.S. federal income tax consequences of an investment in the securities. If the Internal Revenue Service (the “IRS”) were
successful in asserting an alternative treatment, the timing and character of income on the securities might differ significantly from
the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek to recharacterize
the securities as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the
securities every year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect
of the securities as ordinary income. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and
the IRS or a court may not agree with the tax treatment described in the Tax Disclosure Sections.
In 2007, the U.S. Treasury Department and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The
notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It
also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether
short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the
instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including
any mandated accruals) realized by non-U.S. investors should be subject to
|
| |
withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. |
| |
|
| Risks Relating to the Basket Components |
| |
There are risks associated with
investments in securities
linked to the value of foreign
equity securities |
As the SXXP Index and the NKY Index are two of the basket components, the securities are linked to the value of foreign equity securities. Investments in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions. |
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|
Adjustments to the basket
components could adversely
affect the value of the securities |
The publisher of each underlying index can add, delete or substitute the stocks underlying such underlying index, and can make other methodological changes that could change the value of such underlying index. Any of these actions could adversely affect the value of the securities. In addition, an underlying index publisher may discontinue or suspend calculation or publication of the relevant underlying index at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index for such underlying index that is comparable to the discontinued underlying index and is permitted to consider indices that are calculated and published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor index for such underlying index, the payment at maturity on the securities will be an amount based on the closing prices on the determination date of the securities constituting such underlying index at the time of such discontinuance, without rebalancing or substitution, computed by the calculation agent in accordance with the formula for calculating such underlying index last in effect prior to discontinuance of such underlying index. |
FINAL TERMS OF THE SECURITIES
Terms used but not defined herein have the meanings
given to such terms in the accompanying product supplement for Participation Securities. The term “Security” refers to each
$1,000 Stated Principal Amount of our Participation Securities Linked to Global Equities due March 9, 2029 Based on a Performance-Allocation
Basket Composed of the S&P 500® Index, the STOXX® Europe 600 Index and the Nikkei Stock Average.
| Aggregate Principal Amount |
$735,000 |
| |
|
| Original Issue Date (Settlement Date) |
March 11, 2024 (3 Business Days after the Pricing Date) |
| |
|
| Maturity Date |
March 9, 2029, subject to extension as described below. |
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|
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If, due to a market disruption event or otherwise, the Determination Date for any Basket Component is postponed so that it falls less than two Business Days prior to the scheduled Maturity Date, the Maturity Date will be the second Business Day following such Determination Date as postponed. |
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|
| Pricing Date |
March 6, 2024 |
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|
| Interest Rate |
None |
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|
| Specified Currency |
U.S. dollars |
| |
|
| CUSIP Number |
61771W7C6 |
| |
|
| ISIN Number |
US61771W7C63 |
| |
|
| Minimum Purchase Amount |
$1,000 |
| |
|
| Issue Price |
$1,000 (100%) |
| |
|
| Stated Principal Amount |
$1,000 |
| |
|
| Basket |
The following table sets forth the Basket Components along with the Initial Value and the relevant Bloomberg ticker symbol: |
| |
Basket component |
Initial value |
Bloomberg
ticker symbol* |
| |
S&P 500® Index (the “SPX Index”) |
5,104.76 |
SPX |
| |
STOXX® Europe 600 Index (the “SXXP Index”) |
498.21 |
SXXP |
| |
Nikkei Stock Average (the “NKY Index”) |
40,090.78 |
NKY |
| |
*Bloomberg
ticker symbols are being provided for reference purposes only. With respect to each Basket Component, the Final Value
will be determined as set forth under “Final Value” below. |
| Underlying Indices |
SPX Index, SXXP Index, and NKY Index (each, individually, an “Underlying Index”) |
| |
|
| Underlying Index Publisher |
With respect to the SPX Index, S&P® Dow Jones Indices LLC and any successor thereof, with respect to the SXXP Index, STOXX® Limited and any successor thereof, and with respect to the NKY Index, Nikkei Inc. and any successor thereof. |
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|
| Weightings |
Based on the relative performance of the Basket Components against each other, as measured on the Determination Date, the Weighting of each Basket Component will be determined by the Calculation Agent as follows: The Basket Component with the best performance will be allocated a Weighting of 90%, the Basket Component with the second-best performance will be allocated a Weighting of 10% and the Basket Component with the worst performance will be allocated a Weighting of 0%. |
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|
| Determination Date |
March 6, 2029; subject to adjustment for non-index business days or market disruption events, as described in the following paragraph. |
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|
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If the scheduled Determination Date is not an index business day with respect to any Basket Component or if a market disruption event occurs on the Determination Date with respect to any Basket Component, the Determination Date solely for such affected Basket Component will be postponed and the index closing value with respect to such affected Basket Component will be determined on the immediately succeeding index business day on which no market disruption event occurs with respect to such affected Basket Component. The Basket Performance will be determined on the last Determination Date as so postponed, by which date the Final Value for each Basket Component will have been determined; provided that the index closing value for any affected Basket Component will not be determined on a date later than the fifth scheduled business day after the scheduled Determination Date, and if such date is not an index business day or if there is a market disruption event with respect to the affected Basket Component on such date, the Calculation Agent will determine the index closing value of such Basket Component on such date in accordance with the formula for calculating such Basket Component last in effect prior to the commencement of the market disruption event (or prior to the non-index business day), without rebalancing or substitution, using the closing price (or, if trading in the relevant securities has been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such suspension, limitation or non-index business day) on such date of each security most recently constituting such Basket Component. |
| Payment at Maturity |
At maturity, upon delivery of the Securities to the Trustee, we will pay with respect to the $1,000 Stated Principal Amount of each Security an amount in cash, as determined by the Calculation Agent, equal to: |
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(A) if the Basket Performance is positive, |
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|
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$1,000 plus the product of $1,000 and the Basket Performance, |
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|
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(B) if the Basket Performance is negative, |
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|
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$1,000 + ($1,000 × Basket Performance) |
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|
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We will, or will cause the Calculation Agent to, (i) provide written notice to the Trustee and to The Depository Trust Company, which we refer to as DTC, of the amount of cash, if any, to be delivered with respect to the $1,000 Stated Principal Amount of each Security, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount due with respect to the Securities to the Trustee for delivery to DTC, as holder of the Securities, on or prior to the Maturity Date. We expect such amount of cash will be distributed to investors on the Maturity Date in accordance with the standard rules and procedures of DTC and its direct and indirect participants. See “—Book Entry Security or Certificated Security” below, and see “Forms of Securities—The Depositary” in the accompanying prospectus. |
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|
| Basket Performance |
The Basket Performance is the sum of the Performance Values for each of the Basket Components. |
| |
|
| Performance Value |
With respect to each Basket Component, the product of (x) the Final Value for such Basket Component minus the Initial Value for such Basket Component divided by (y) the Initial Value for such Basket Component multiplied by (z) the Weighting for such Basket Component. Each such product may be expressed by the following formula: |
| (Final Value – Initial Value) |
× Weighting |
| Initial Value |
| |
In certain circumstances, the Performance Value will be based on the alternate calculation of the values for the Basket Components, as described under “Description of Securities—Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation” in the accompanying product supplement for Participation Securities. |
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|
| Initial Value |
The Initial Value for each Basket Component equals the index closing value of such Basket Component on the Pricing Date, as set forth under “Basket—Initial Value” above. |
| |
|
| Final Value |
The Final Value for each Basket Component will equal the index closing value of such Basket Component on the Determination Date, as determined by the Calculation Agent. |
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|
| Calculation Agent |
MS & Co. and its successors |
| |
All determinations made by the Calculation Agent will be at the sole discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the Trustee and us. |
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|
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All calculations with respect to the Payment at Maturity will be made by the Calculation Agent and will be rounded to the nearest one billionth, with five ten-billionths rounded upward (e.g., .9876543215 would be rounded to .987654322); all dollar amounts related to determination of the amount of cash payable per Security will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655); and all dollar amounts paid on the aggregate number of the Securities will be rounded to the nearest cent, with one-half cent rounded upward. |
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|
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Because the Calculation Agent is our affiliate, the economic interests of the Calculation Agent and its affiliates may be adverse to your interests as an investor in the Securities, including with respect to certain determinations and judgments that the Calculation Agent must make in determining the Basket Performance or whether a market disruption event has occurred. MS & Co. is obligated to carry out its duties and functions as Calculation Agent in good faith and using its reasonable judgment. |
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|
| Trustee |
The Bank of New York Mellon, a New York banking corporation |
| |
|
| Agent |
MS & Co. |
ADDITIONAL INFORMATION
ABOUT THE SECURITIES
| Book Entry Security or Certificated Security |
Book Entry. The Securities will be issued in the form of one or more fully registered global securities which will be deposited with, or on behalf of, DTC and will be registered in the name of a nominee of DTC. DTC’s nominee will be the only registered holder of the Securities. Your beneficial interest in the Securities will be evidenced solely by entries on the books of the securities intermediary acting on your behalf as a direct or indirect participant in DTC. In this pricing supplement, all references to payments or notices to you will mean payments or notices to DTC, as the registered holder of the Securities, for distribution to participants in accordance with DTC’s procedures. For more information regarding DTC and book entry securities, please see the accompanying product supplement for Participation Securities and prospectus. |
| |
|
| Interest Rate |
None |
| |
|
| S&P 500® Index |
The S&P 500® Index, which is calculated, maintained and published by S&P® Dow Jones Indices LLC (“S&P®”), is intended to provide a benchmark for performance measurement of the large capitalization segment of the U.S. equity markets by tracking the stock price movement of 500 companies with large market capitalizations. Component stocks of the S&P 500® Index are required to have a total company level market capitalization that reflects approximately the 85th percentile of the S&P® Total Market Index. The S&P 500® Index measures the relative performance of the common stocks of 500 companies as of a particular time as compared to the performance of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. For additional information about the S&P 500® Index, see the information set forth under “S&P® U.S. Indices—S&P 500® Index” in the accompanying index supplement. |
| |
|
| STOXX® Europe 600 Index |
The STOXX® Europe 600 Index was created by STOXX® Limited, a part of Qontigo, which is a wholly owned subsidiary of Deutsche Börse AG. Publication of the STOXX® Europe 600 Index is based on an initial value of 100 on December 31, 1991. The STOXX® Europe 600 Index is a free float market capitalization weighted index that provides exposure to the 600 largest companies in Europe. For additional information about the STOXX® Europe 600 Index, see the information set forth under “STOXX® Europe 600 Index” in the accompanying index supplement. |
| |
|
| Nikkei Stock Average |
The Nikkei Stock Average, which we also refer to as the Nikkei 225 Index, is a stock index calculated, published and disseminated by Nikkei Inc. (formerly known as Nihon Keizai Shimbun, Inc.), which we refer to as Nikkei. The Nikkei Stock Average measures the composite price performance of 225 underlying stocks, which represent a broad cross-section of Japanese industries, trading on the Prime Market of the Tokyo Stock Exchange (the “TSE”). |
| |
Stocks must be listed on the Prime Market of the TSE in order to be included in the Nikkei 225 Index. Nikkei rules require that the 75 most liquid issues (one-third of the component count of the Nikkei 225 Index) be included in the Nikkei 225 Index. Nikkei first calculated and published the Nikkei Stock Average in 1970. The 225 companies included in the Nikkei Stock Average are divided into six sector categories: technology, financials, consumer goods, materials, capital goods/others and transportation and utilities. For additional information about the Nikkei Stock Average, see the information set forth under “Nikkei Stock Average” in the accompanying index supplement. |
| |
|
| Historical Information |
The following tables set forth the published high, low and end-of-quarter index closing values for each of the Basket Components for each calendar quarter in the period from January 1, 2019 through March 6, 2024. The graphs following each Basket Component’s table set forth the historical performance of each respective Basket Component for the same period. On March 6, 2024, the index closing value for the SPX Index was 5,104.76 the index closing value for the SXXP Index was 498.21 and the index closing value for the NKY Index was 40,090.78. We obtained the information in the tables and graphs from Bloomberg Financial Markets, without independent verification. The historical performance of the Basket Components should not be taken as an indication of future performance. The values of the Basket Components may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. We cannot give you any assurance that the Basket Performance, as measured on the Determination Date, will be positive. If the Basket Performance on the Determination Date is negative, you will receive an amount in cash that is less than the $1,000 Stated Principal Amount of each Security by an amount proportionate to the decline in the value of the Basket, and you will lose money on your investment. You could lose all of your initial investment in the Securities. |
S&P 500®
Index
High, Low and End-of-Quarter Index Closing Values
January 1, 2019 through March 6,
2024
| |
SPX
Index |
High |
Low |
Period
End |
| |
2019 |
|
|
|
| |
First Quarter |
2,854.88 |
2,447.89 |
2,834.40 |
| |
Second Quarter |
2,954.18 |
2,744.45 |
2,941.76 |
| |
Third Quarter |
3,025.86 |
2,840.60 |
2,976.74 |
| |
Fourth Quarter |
3,240.02 |
2,887.61 |
3,230.78 |
| |
2020 |
|
|
|
| |
First Quarter |
3,386.15 |
2,237.40 |
2,584.59 |
| |
Second Quarter |
3,232.39 |
2,470.50 |
3,100.29 |
| |
Third Quarter |
3,580.84 |
3,115.86 |
3,363.00 |
| |
Fourth Quarter |
3,756.07 |
3,269.96 |
3,756.07 |
| |
2021 |
|
|
|
| |
First Quarter |
3,974.54 |
3,700.65 |
3,972.89 |
| |
Second Quarter |
4,297.50 |
4,019.87 |
4,297.50 |
| |
Third Quarter |
4,536.95 |
4,258.49 |
4,307.54 |
| |
Fourth Quarter |
4,793.06 |
4,300.46 |
4,766.18 |
| |
2022 |
|
|
|
| |
First Quarter |
4,796.56 |
4,170.70 |
4,530.41 |
| |
Second Quarter |
4,582.64 |
3,666.77 |
3,785.38 |
| |
Third Quarter |
4,305.20 |
3,585.62 |
3,585.62 |
| |
Fourth Quarter |
4,080.11 |
3,577.03 |
3,839.50 |
| |
2023 |
|
|
|
| |
First Quarter |
4,179.76 |
3,808.10 |
4,109.31 |
| |
Second Quarter |
4,450.38 |
4,055.99 |
4,450.38 |
| |
Third Quarter |
4,588.96 |
4,273.53 |
4,288.05 |
| |
Fourth Quarter |
4,783.35 |
4,117.37 |
4,769.83 |
| |
2024 |
|
|
|
| |
First Quarter (through
March 6, 2024) |
5,137.08 |
4,688.68 |
5,104.76 |
Historical Daily Index Closing
Values of the S&P 500® Index
January 1, 2019 through March 6,
2024
STOXX® Europe 600
Index
High, Low and End-of-Quarter Index
Closing Values
January 1, 2019 through March 6,
2024
| |
SXXP
Index |
High |
Low |
Period
End |
| |
2019 |
|
|
|
| |
First Quarter |
384.29 |
333.92 |
379.09 |
| |
Second Quarter |
391.35 |
369.06 |
384.87 |
| |
Third Quarter |
393.15 |
365.09 |
393.15 |
| |
Fourth Quarter |
419.74 |
377.46 |
415.84 |
| |
2020 |
|
|
|
| |
First Quarter |
433.90 |
279.66 |
320.06 |
| |
Second Quarter |
375.32 |
309.06 |
360.34 |
| |
Third Quarter |
376.69 |
355.51 |
361.09 |
| |
Fourth Quarter |
401.61 |
341.76 |
399.03 |
| |
2021 |
|
|
|
| |
First Quarter |
430.65 |
395.85 |
429.60 |
| |
Second Quarter |
459.86 |
432.22 |
452.84 |
| |
Third Quarter |
475.83 |
444.29 |
454.81 |
| |
Fourth Quarter |
489.95 |
450.77 |
487.80 |
| |
2022 |
|
|
|
| |
First Quarter |
494.35 |
415.01 |
455.86 |
| |
Second Quarter |
463.07 |
402.40 |
407.20 |
| |
Third Quarter |
443.07 |
382.89 |
387.85 |
| |
Fourth Quarter |
443.96 |
385.88 |
424.89 |
| |
2023 |
|
|
|
| |
First Quarter |
465.24 |
428.95 |
457.84 |
| |
Second Quarter |
469.00 |
451.76 |
461.93 |
| |
Third Quarter |
471.74 |
446.91 |
450.22 |
| |
Fourth Quarter |
478.99 |
429.58 |
478.99 |
| |
2024 |
|
|
|
| |
First Quarter (through
March 6, 2024) |
498.21 |
467.71 |
498.21 |
Historical Daily Index Closing Values
of the STOXX® Europe 600 Index
January 1, 2019 through March 6,
2024
Nikkei Stock Average
High, Low and End-of-Quarter Index
Closing Values
January 1, 2019 through March 6,
2024
| |
NKY
Index |
High |
Low |
Period
End |
| |
2019 |
|
|
|
| |
First Quarter |
21,822.04 |
19,561.96 |
21,205.81 |
| |
Second Quarter |
22,307.58 |
20,408.54 |
21,275.92 |
| |
Third Quarter |
22,098.84 |
20,261.04 |
21,755.84 |
| |
Fourth Quarter |
24,066.12 |
21,341.74 |
23,656.62 |
| |
2020 |
|
|
|
| |
First Quarter |
24,083.51 |
16,552.83 |
18,917.01 |
| |
Second Quarter |
23,178.10 |
17,818.72 |
22,288.14 |
| |
Third Quarter |
23,559.30 |
21,710.00 |
23,185.12 |
| |
Fourth Quarter |
27,568.15 |
22,977.13 |
27,444.17 |
| |
2021 |
|
|
|
| |
First Quarter |
30,467.75 |
27,055.94 |
29,178.80 |
| |
Second Quarter |
30,089.25 |
27,448.01 |
28,791.53 |
| |
Third Quarter |
30,670.10 |
27,013.25 |
29,452.66 |
| |
Fourth Quarter |
29,808.12 |
27,528.87 |
28,791.71 |
| |
2022 |
|
|
|
| |
First Quarter |
29,332.16 |
24,717.53 |
27,821.43 |
| |
Second Quarter |
28,246.53 |
25,748.72 |
26,393.04 |
| |
Third Quarter |
29,222.77 |
25,935.62 |
25,937.21 |
| |
Fourth Quarter |
28,383.09 |
26,093.67 |
26,094.50 |
| |
2023 |
|
|
|
| |
First Quarter |
28,623.15 |
25,716.86 |
28,041.48 |
| |
Second Quarter |
33,706.08 |
27,472.63 |
33,189.04 |
| |
Third Quarter |
33,753.33 |
31,450.76 |
31,857.62 |
| |
Fourth Quarter |
33,681.24 |
30,526.88 |
33,464.17 |
| |
2024 |
|
|
|
| |
First Quarter (through
March 6, 2024) |
40,109.23 |
33,288.29 |
40,090.78 |
Historical Daily Index Closing Values
of the Nikkei Stock Average
January 1, 2019 through March 6,
2024
| Use of Proceeds and Hedging |
The proceeds from the sale of the Securities will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per Security issued, because, when we enter into hedging transactions in order to meet our obligations under the Securities, our hedging counterparty will reimburse the cost of the Agent’s commissions. The costs of the Securities borne by you and described beginning on PS-2 above comprise the Agent’s commissions and the cost of issuing, structuring and hedging the Securities. See also “Use of Proceeds” in the accompanying prospectus. |
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|
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On or prior to the Pricing Date, we will hedge our anticipated exposure in connection with the Securities by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging counterparties to take positions in the Basket Components, in futures and/or options contracts on the Basket Components or component stocks of the SPX Index, the SXXP Index and the NKY Index listed on major securities markets or positions in any other available securities or instruments that we may wish to use in connection with such hedging. Such purchase activity could potentially increase the values of the Basket Components on the Pricing Date, and, therefore, could increase the values at or above which the Basket Components must close on the Determination Date so that you do not sustain a loss on your initial investment in the Securities. In addition, through our affiliates, we are likely to modify our hedge position throughout the life of the Securities by purchasing and selling stocks constituting the SPX Index, the SXXP Index and the NKY Index, futures and/or options contracts on the Basket Components or component stocks of the SPX Index, the SXXP Index and the NKY Index listed on major securities or commodities markets or positions in any other available securities or instruments that we may wish to use in connection with such hedging activities, including by buying any such securities or instruments on the Pricing Date and/or selling such securities or instruments on the Determination Date. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Determination Date approaches. We cannot give any assurance that our hedging activities will not affect the values of the Basket Components, and, therefore, adversely affect the value of the Securities or the payment you will receive at maturity, if any. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the accompanying product supplement for Participation Securities. |
| |
|
| Validity of the Securities |
In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the Securities offered by this pricing supplement have been executed and issued by MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such Securities will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan |
| |
Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the Securities and the validity, binding nature and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated February 22, 2024, which is Exhibit 5-a to Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 filed by Morgan Stanley on February 22, 2024. |
| |
|
| Supplemental Information Concerning |
|
| Plan of Distribution; Conflicts of Interest |
MS & Co. expects to sell all of the Securities that it purchases from us to an unaffiliated dealer at a price of $997.50 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. |
| |
|
| |
MS & Co. is an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the Securities. |
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|
| |
MS & Co. will conduct this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use of Proceeds and Hedging” in the accompanying product supplement for Participation Securities. |
| |
|
| United States Federal Taxation |
Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions, a Security should be treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes. |
| |
|
| |
Assuming this treatment of the Securities is respected and subject to the discussion in “United States Federal Taxation” in the |
| |
accompanying product supplement for Participation Securities, the following U.S. federal income tax consequences should result based on current law: |
| |
|
| |
·
A U.S. Holder should not be
required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant to a sale or exchange. |
| |
|
| |
·
Upon sale, exchange or settlement
of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized and the U.S. Holder’s
tax basis in the Securities. Such gain or loss should be long-term capital gain or loss if the investor has held the Securities for more
than one year, and short-term capital gain or loss otherwise. |
| |
|
| |
In 2007, the U.S. Treasury Department and the Internal Revenue Service (the “IRS”) released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses in particular on whether to require holders of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics, including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Securities, possibly with retroactive effect. |
| |
|
| |
As discussed in the accompanying product supplement for Participation Securities, Section 871(m) of the Internal Revenue Code of 1986, as amended, and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2025 that do not have a delta of one with respect to any Underlying Security. Based on our determination that the Securities do not have a delta of one with |
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respect to any Underlying Security, our counsel is of the opinion that the Securities should not be Specified Securities and, therefore, should not be subject to Section 871(m). |
| |
|
| |
Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential application of Section 871(m) to the Securities. |
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|
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Both U.S. and non-U.S. investors considering an investment in the Securities should read the discussion under “Risk Factors” in this document and the discussion under “United States Federal Taxation” in the accompanying product supplement for Participation Securities and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Securities, including possible alternative treatments, the issues presented by the aforementioned notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction. |
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|
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The discussion in the preceding paragraphs under “United States Federal Taxation” and the discussion contained in the section entitled “United States Federal Taxation” in the accompanying product supplement for Participation Securities, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the Securities. |
Exhibit 107.1
The
pricing supplement to which this Exhibit is attached is a final prospectus for the related offering. The maximum aggregate offering price
of the related offering is $735,000.
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