Fixed Income Buffered Auto-Callable Securities due November 26, 2027, With 1-Year Initial Non-Call Period
Based on the Performance of the S&P® U.S. Equity Momentum 40% VT 4% Decrement Index
Fully and Unconditionally Guaranteed by Morgan Stanley
Principal at Risk Securities
Fixed Income Buffered Auto-Callable Securities, with 1-Year Initial Non-Call Period offer the opportunity for investors to earn a fixed monthly coupon at an annual rate of 7.50%. In addition, starting one year after the original issue date, if the index closing value of the underlying index is greater than or equal to the initial index value on any quarterly redemption determination date, the securities will be automatically redeemed for an amount per security equal to the stated principal amount and the related monthly coupon. No further payments will be made on the securities once they have been redeemed. However, if the securities are not automatically redeemed prior to maturity, the payment at maturity due on the securities will be, in addition to the final monthly coupon payment, as follows: (i) if the final index value is greater than or equal to 80% of the initial index value, meaning that the underlying index has not declined by an amount greater than the buffer amount of 20%, investors will receive the stated principal amount, or (ii) if the final index value is less than the initial index value by an amount greater than the specified buffer amount, investors will be fully exposed to the decline in the final index value of the underlying index beyond the buffer amount of 20% on a 1-to-1 basis, subject to the minimum payment at maturity of 20% of the stated principal amount. Accordingly, investors may lose up to 80% of the stated principal amount of the securities. Investors will not participate in any appreciation of the underlying index. The securities are for investors who are willing to risk their principal and who seek the opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing some or a significant portion of their investment, and the possibility of an automatic early redemption prior to maturity. The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities are issued as part of MSFL’s Series A Global Medium-Term Notes program.
The S&P® U.S. Equity Momentum 40% VT 4% Decrement Index (the “Index” or the “underlying index”) is a rules-based, long-only index that was developed by S&P® Dow Jones Indices LLC (“S&P®”), in coordination with Morgan Stanley, and was established on March 14, 2022. The underlying index employs a rules-based quantitative strategy that consists of a risk-adjusted, momentum-based, or trend following, approach to construct a portfolio composed of equity futures contracts. In addition, the strategy applies an overall volatility-targeting feature upon the resulting portfolio and is subject to a 4.0% per annum daily decrement.
The goal of the underlying index is to provide rules-based exposure to unfunded, rolling positions in equity futures contracts, with a maximum exposure to the futures contracts of 400%. The index components are selected from a universe of three equity futures contracts – the E-Mini Nasdaq-100 Futures (“NQ”), which reference the Nasdaq-100 Index®, the E-Mini S&P 500 Futures (“ES”), which reference the S&P 500® Index, and the E-Mini Russell 2000 Futures (“QR”), which reference the Russell 2000® Index. We refer to the E-Mini Nasdaq-100 Futures, the E-Mini S&P 500 Futures and the E-Mini Russell 2000 Futures as the Index Components.
There are seven discrete steps in calculating the underlying index level: (1) a risk-adjusted momentum signal is calculated for each Index Component; (2) the index composition (the “Base Index”) is calculated using the risk-adjusted momentum signals; (3) the realized volatility level of the Base Index (the “Base Volatility”) is calculated; (4) theoretical leverage is calculated based on the Base Volatility and the underlying index’s targeted volatility; (5) the theoretical leverage is compared to the actual leverage; (6) if necessary, the actual leverage is adjusted; and (7) a 4.0% per annum daily decrement is applied.
For more information see “Annex A—S&P® U.S. Equity Momentum 40% VT 4% Decrement Index” below and “Risk Factors—Risks Relating to the Underlying Index” below.
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.
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SUMMARY TERMS | |
Issuer: | Morgan Stanley Finance LLC |
Guarantor: | Morgan Stanley |
Underlying index: | S&P® U.S. Equity Momentum 40% VT 4% Decrement Index |
Aggregate principal amount: | $ |
Stated principal amount: | $1,000 per security |
Issue price: | $1,000 per security |
Pricing date: | November 22, 2024 |
Original issue date: | November 27, 2024 (3 business days after the pricing date) |
Maturity date: | November 26, 2027 |
Early redemption: | The securities are not subject to automatic early redemption until one year after the original issue date. Following this 1-year non-call period, if, on any redemption determination date, beginning on November 24, 2025, the index closing value of the underlying index is greater than or equal to the initial index value, the securities will be automatically redeemed for an early redemption payment on the related early redemption date. No further payments will be made on the securities once they have been redeemed. |
Early redemption payment: | The early redemption payment will be an amount equal to (i) the stated principal amount plus (ii) the monthly coupon for the related interest period. |
Monthly coupon: | Unless the securities have been previously redeemed, a fixed coupon at an annual rate of 7.50% (corresponding to approximately $6.25 per month per security) will be paid on the securities on each coupon payment date. |
Buffer amount: | 20%. As a result of the buffer amount of 20%, the value at or above which the underlying index must close on the final observation date so that investors do not suffer a loss on their initial investment in the securities is , which is 80% of the initial index value. |
Minimum payment at maturity: | $200 per security (20% of the stated principal amount) | |
Payment at maturity: | ●If the final index value is greater than or equal to 80% of its initial index value, meaning that the final index value of the underlying index has not decreased by an amount greater than the buffer amount of 20% from its respective initial index value: | the stated principal amount plus the final monthly coupon payment |
| ●If the final index value is less than 80% of its initial index value, meaning that the final index value of the underlying index has decreased by an amount greater than the buffer amount of 20% from its respective initial index value: | The final monthly coupon payment plus an amount equal to: $1,000 + [$1,000 × (index percent change + 20%)] |
Agent: | Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley. See “Supplemental information regarding plan of distribution; conflicts of interest.” |
Estimated value on the pricing date: | Approximately $925.60 per security, or within $45.00 of that estimate. See “Investment Summary” beginning on page 3. |
Commissions and issue price: | | Price to public | Agent’s commissions(1) | Proceeds to us(2) |
Per security | | $1,000 | $ | $ |
Total | | $ | $ | $ |
(1)Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC, a fixed sales commission of $ for each security they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.
(2)See “Use of proceeds and hedging” on page 20.
The 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 securities are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable. Please also see “Additional Terms of the Securities” and “Additional Information About the Securities” at the end of this document.
As used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.
Product Supplement for Auto-Callable Securities dated November 16, 2023 Index Supplement dated November 16, 2023
Prospectus dated April 12, 2024