Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due November 20, 2025
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 Russell 2000® Index and the Vanguard Value ETF. At maturity, if the final level of each underlying is greater than its respective initial level, investors will receive the stated principal amount of their investment plus a return reflecting 100% participation in the positive performance of the worst performing underlying, subject to the maximum upside payment at maturity. If the final level of either underlying is less than or equal to its respective initial level, but the final level of each underlying is greater than or equal to 85% of its respective initial level, meaning that neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%, investors will receive the stated principal amount of their investment plus a positive return equal to 150% of the absolute value of the performance of the worst performing underlying, which will be inherently limited to a maximum return of 22.50%. However, if the final level of either underlying is less than 85% of its respective initial level, meaning that either underlying has decreased from its respective initial level 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 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 two underlyings, a decline in either underlying beyond the buffer amount will result in a loss, and potentially a significant loss, of your investment even if the other underlying has appreciated or has not declined as much. The Buffered Securities are for investors who seek an equity-based return and who are willing to risk their principal, risk exposure to the worst performing of two underlyings and forgo current income and upside above the maximum upside 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. 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 depreciates by up to 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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SUMMARY 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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November 20, 2025
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Underlyings:
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Russell 2000® Index (the “RTY Index”) and the Vanguard Value ETF (the “VTV Shares”)
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Aggregate principal amount:
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$
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Payment at maturity:
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If the final level of each underlying is greater than its respective initial level,
$1,000 + ($1,000 × participation rate × underlying percent change of the worst performing underlying)
In no event will the payment at maturity exceed the maximum upside payment at maturity.
If the final level of either underlying is less than or equal to its respective initial level but the final level of each underlying is greater than or equal to 85% of its respective initial level, meaning that neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%,
$1,000 + ($1,000 × absolute underlying return of the worst performing underlying × 1.5)
In this scenario, you will receive a 1.50% positive return on the securities for each 1% negative return of the worst performing underlying. In no event will this amount exceed the stated principal amount plus $225.
If the final level of either underlying is less than 85% of its respective initial level, meaning that either underlying has decreased from its respective initial level by an amount greater than the buffer amount of 15%,
($1,000 × underlying performance factor of the worst performing underlying) + $150
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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Participation rate:
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100%
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Underlying percent change:
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With respect to each underlying, (final level – initial level) / initial level
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Worst performing underlying:
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The underlying with the lesser underlying percent change
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Underlying performance factor:
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With respect to each underlying, final level / initial level
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Absolute underlying return:
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The absolute value of the underlying percent change. For example, a -5% underlying percent change will result in a +5% absolute underlying return, and therefore a +7.50% positive return on the securities.
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Initial level:
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With respect to the RTY Index, , which is its closing level on the pricing date
With respect to the VTV Shares, $ , which is its closing level on the pricing date
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Final level:
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With respect to each underlying, the respective closing level on the valuation date
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Closing level
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With respect to the RTY Index, on any index business day, the index closing value on such day
With respect to the VTV Shares, on any trading day, the closing price of one VTV Share on such day times the adjustment factor on
such day
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Adjustment factor:
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With respect to the VTV Shares, 1.0, subject to adjustment in the event of certain events affecting the VTV Shares
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Valuation date:
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November 17, 2025, subject to adjustment for non-index business days and non-trading days, as applicable, 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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Maximum upside payment at maturity:
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At least $1,147 per Buffered Security (114.70% of the stated principal amount). The actual maximum upside payment at maturity will be determined on the pricing date.
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Buffer amount:
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15%. As a result of the buffer amount of 15%, the level at or above which each underlying must close on the valuation date so that investors do not lose money on their investment in the Buffered Securities is:
with respect to the RTY Index, , which is 85% of its initial level, and
with respect to the VTV Shares, $ , which is 85% of its initial level.
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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 17, 2024
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Original issue date:
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July 22, 2024 (3 business days after the pricing date)
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CUSIP / ISIN:
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61776MG41 / US61776MG417
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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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Approximately $980.20 per Buffered Security, or within $25.00 of that estimate. 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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$1,000
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$
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$
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Total
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$
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$
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$
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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 $ per Buffered Security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered Security. In addition, selected dealers and their financial advisors may receive a structuring fee of up to $6.25 for each Buffered Security from the agent or its affiliates. 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.
(3)See “Use of proceeds and hedging” on page 19.
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. When you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable. Please also see “Additional Terms of the 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, 2023 Index Supplement dated November 16, 2023 Prospectus dated April 12, 2024