MarketLinked Notes due June 20, 2029
Based on the Value of the Morgan Stanley MAP Trend Horizon Index
Fully and Unconditionally Guaranteed by Morgan Stanley
The notes are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The notes will have the terms described in the accompanying product supplement and prospectus, as supplemented and modified by this document. For the first four years of the term of the notes, we will pay a fixed annual coupon at the rate specified below. We will pay no interest for the final year of the term of the notes. At maturity, investors will receive for each $1,000 stated principal amount of notes that they hold a payment equal to the stated principal amount plus a supplemental redemption amount, if any, based on the value of the underlying index on the determination date.
The Morgan Stanley MAP Trend Horizon Index (the “underlying index”) was established by Morgan Stanley on January 31, 2023 and employs a rulesbased quantitative strategy (the “Index Methodology”) that combines a riskweighted approach to portfolio construction with a momentumbased, or trendfollowing, asset allocation methodology to construct a notional portfolio. In addition, the strategy imposes an overall volatilitytargeting feature upon the resulting portfolio. The goal of the underlying index is to maximize returns for a given level of risk based upon recent trends in the underlying assets. The investment assumption underlying the allocation strategy is twofold: that historical volatility of the underlying assets can be used to riskweight a portfolio, and that past trends are likely to continue to be a good indicator of the future performance of that portfolio.
The components of the underlying index consist of (i) 18 indices (each, individually, a “SubIndex” and collectively, the “SubIndices”), comprised of rolling positions in futures contracts on assets representing global equities, fixed income securities, commodities and alternative investments, and (ii) the Morgan Stanley US 2Year TNote Rolling Futures Index (collectively with the SubIndices, the “Index Components”). The notional portfolio constructed by the Index Methodology of Index Components is referred to as the “Asset Portfolio.” The Asset Portfolio will consist of longonly positions in each Index Component, and each Index Component except for the Morgan Stanley US 2Year TNote Rolling Futures Index is subject to a maximum exposure cap. The actual number of Index Components represented in the Asset Portfolio will be determined according to the Index Methodology but will likely be less than 19 at any one time and, if all the SubIndices are trending down, could be only the Morgan Stanley US 2Year TNote Rolling Futures Index. The targeted volatility for the underlying index is 5% (the “Volatility Target”).
The underlying index is rebalanced each Strategy Business Day (the “Daily Rebalancing”). Upon each Daily Rebalancing for the underlying index, the Index Methodology uses the preassigned Risk Budget assigned to each SubIndex (as set forth under “Annex A – Morgan Stanley MAP Trend Horizon Index – Index Components”) which remains static throughout the life of the underlying index. Based upon those preset Risk Budgets, the Index Methodology determines the base allocation of each SubIndex in the Asset Portfolio by analyzing the volatility for each SubIndex and the historical correlation among the components. The base allocation of SubIndices will be proportional to each SubIndex’s Risk Budget and the inverse of each SubIndex’s volatility and scaled based upon the volatility of the other SubIndices to 100% exposure. Assuming that two SubIndices have the same Risk Budget, this initial weighting scheme allocates more to less volatile assets and less to more volatile assets. While the Risk Budget is used to determine proportions for the presignal base allocations, those presignal base allocations can be higher or lower than the original Risk Budget; however, after the entirety of the index calculation is complete, no SubIndex’s exposure will exceed its maximum exposure cap as listed under “Annex A – Morgan Stanley MAP Trend Horizon Index – Index Components” below.
The Index Components, other than the Morgan Stanley US 2Year TNote Rolling Futures Index, are comprised of rolling positions in futures contracts on assets representing global equities, fixed income securities, commodities and alternative investments. There are often potential costs associated with rolling positions in futures contracts that could negatively affect the value of one or more SubIndices. These costs are passed through to the underlying index, and the performance of the underlying index is further reduced by a servicing cost of 0.85% per annum calculated on a daily basis. For more information, see “Annex A — Morgan Stanley MAP Trend Horizon Index” beginning on page 21 and the “Risk Factors—There are risks associated with the underlying index” beginning on page 8.
These longdated notes are for investors who are concerned about principal risk but seek exposure to a multiple assetlinked index, and who are willing to forgo current income in exchange for the repayment of principal at maturity plus the potential to receive a supplemental redemption amount, if any, and the opportunity to earn interest during the first four years of the term of the notes. The notes are notes issued as part of MSFL’s Series A Global MediumTerm 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 notes 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.




FINAL TERMS

Issuer:

Morgan Stanley Finance LLC

Guarantor:

Morgan Stanley

Issue price:

$1,000 per note (see “Commissions and issue price” below)

Stated principal amount:

$1,000 per note

Aggregate principal amount:

$250,000

Pricing date:

June 14, 2024

Original issue date:

June 20, 2024 (3 business days after the pricing date)

Maturity date:

June 20, 2029

Annual coupon (during the first four years of the term of the notes):

A fixed annual coupon at a rate of 2.25% (corresponding to approximately $22.50 per annum per note) is paid on each coupon payment date during the first four years of the term of the notes.

Coupon payment dates:

Annually, on June 20, 2025, June 22, 2026, June 21, 2027 and June 20, 2028; provided that if any such day is not a business day, that annual coupon will be paid on the next succeeding business day, and no adjustment will be made to any annual coupon payment made on that succeeding business day. We will pay no interest for the final year of the term of the notes.

Underlying index:

Morgan Stanley MAP Trend Horizon Index

Payment at maturity:

The payment due at maturity per $1,000 stated principal amount will equal:
$1,000 + supplemental redemption amount, if any.
The payment due at maturity will not be less than $1,000 per note regardless of the performance of the underlying index.

Supplemental redemption amount:

(i) $1,000 multiplied by (ii) the index percent change multiplied by (iii) the participation rate, provided that the supplemental redemption amount will not be less than $0.

Participation rate:

300%

Maximum payment at maturity:

None

Index percent change:

(final index value – initial index value) / initial index value

Initial index value:

140.73, which is the index closing value on the pricing date

Final index value:

The index closing value on the determination date

Determination date:

June 14, 2029, subject to postponement for nonindex business days and certain market disruption events

CUSIP:

61776MMG7

ISIN:

US61776MMG77

Listing:

The notes will not be listed on any securities exchange.

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:

$958.70 per note. See “Investment Summary” beginning on page 2.

Commissions and issue price:

Price to public

Agent’s commissions(1)

Proceeds to us(2)

Per note

$1,000

$31.25

$968.75

Total

$250,000

$7,812.50

$242,187.50

(1)Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $31.25 for each note 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 19.
The notes involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 6.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these notes, or determined if this document or the accompanying product supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The notes 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 and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying product supplement, please note that all references in such supplement 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 Notes” and “Additional Information About the Notes” 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 EquityLinked Notes dated November 16, 2023 Prospectus dated April 12, 2024