August 2024

Preliminary Pricing Supplement No, 3,486

Registration Statement Nos. 333-275587; 333-275587-01

Dated August 12, 2024

Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 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 pay no interest and will have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented and modified by this document. At maturity, we will pay per note the stated principal amount of $1,000 plus a supplemental redemption amount, if any, based on the value of a basket of three indices on the determination date, subject to the maximum payment at maturity. The notes are for investors who are concerned about principal risk but seek a return based on a basket of equity indices, and who are willing to forgo current income and upside above the maximum payment at maturity in exchange for the repayment of principal at maturity plus the potential to receive a supplemental redemption amount, if any. The notes 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.

SUMMARY TERMS

Issuer:

Morgan Stanley Finance LLC

Guarantor:

Morgan Stanley

Issue price:

$1,000 per note

Stated principal amount:

$1,000 per note

Aggregate principal amount:

$

Pricing date:

August 12, 2024

Original issue date:

August 15, 2024 (3 business days after the pricing date)

Maturity date:

November 14, 2025

Interest:

None

Basket:

Basket component

Ticker symbol*

Basket component weighting

Initial index value*

Multiplier*

 

S&P 500® Index (the “SPX Index”)

SPX

33.3333%

5,344.16

0.006237332

 

Russell 2000® Index (the “RTY Index”)

RTY

33.3333%

2,080.916

0.016018571

 

Nasdaq-100 Index® (the “NDX Index”)

NDX

33.3333%

18,513.10

0.001800525

 

Ticker symbols are being provided for reference purposes only. We refer to the SPX Index, the RTY Index and the NDX Index, collectively, as the underlying indices.

*The initial basket component values and multipliers were determined on August 9, 2024.

Payment at maturity:

The payment due at maturity per $1,000 stated principal amount will equal:

$1,000 + supplemental redemption amount, if any.

In no event will the payment due at maturity be less than the stated principal amount or greater than the maximum payment at maturity, regardless of the performance of the underlying indices.

Supplemental redemption amount:

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

Participation rate:

100%

Maximum payment at maturity:

$1,098.50 (109.85% of the stated principal amount)

Basket percent change:

(final basket closing value – initial basket value) / initial basket value

Listing:

The notes will not be listed on any securities exchange.

 

Terms continued on the following page

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 $989.50 per note, or within $25.00 of that estimate. See “Investment Summary” on page 3.

Commissions and issue price:

Price to public(1)

Agent’s commissions and fees(2)

Proceeds to us(3)

Per note

$1,000

$

$

Total

$

$

$

(1) The notes will be sold only to investors purchasing the notes in fee-based advisory accounts.

(2) MS & Co. expects to sell all of the notes that it purchases from us to an unaffiliated dealer at a price of $ per note, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per note. MS & Co. will not receive a sales commission with respect to the notes. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement for equity-linked notes. 

(3) See “Use of proceeds and hedging” on page 18.

The notes 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 notes, 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 notes are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, 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 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 Equity-Linked Notes dated November 16, 2023

Index Supplement dated November 16, 2023   Prospectus dated April 12, 2024

 

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Terms continued from previous page:

Initial basket value:

The initial basket value will equal 100, which is equal to the sum of the products of (i) the initial index value of each basket component, as set forth under “Basket—Initial index value” above, and (ii) the multiplier for such basket component, as set forth under “Basket—Multiplier” above, each of which was determined on August 9, 2024.

Final basket closing value:

The basket closing value on the determination date

Basket closing value:

On any date, the sum of the products of (i) the closing value of each basket component on such date, and (ii) the multiplier for such basket component.

Multiplier:

The multiplier for each basket component were set on August 9, 2024, based on each basket component’s respective initial basket component value so that each basket component will represent its applicable basket component weighting in the predetermined initial basket value of 100. Each multiplier will remain constant for the term of the notes.

Determination date:

November 10, 2025, subject to postponement for non-index business days and certain market disruption events

CUSIP:

61776RGZ1

ISIN:

US61776RGZ10

 

August 2024 Page 2

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Investment Summary

Market-Linked Notes

The Market-Linked Notes due November 14, 2025 Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® (the “notes”) offer the potential for a supplemental redemption amount at maturity based on the closing value of a basket of three indices on the determination date. The notes provide investors:

◼an opportunity to gain exposure to the indices comprising the basket

◼the repayment of principal at maturity, subject to our creditworthiness

◼100% participation in any appreciation of the basket over the term of the notes, subject to the maximum payment at maturity of $1,098.50 per note (109.85% of the stated principal amount)

◼no exposure to any decline of the final basket closing value below the initial basket value if the notes are held to maturity

At maturity, if the basket percent change is less than or equal to zero, you will receive the stated principal amount of $1,000 per note, without any positive return on your investment. All payments on the notes, including the repayment of principal at maturity, are subject to our credit risk.

Maturity:

Approximately 1.25 years

Participation rate:

100%

Maximum payment at maturity:

$1,098.50 per note (109.85% of the stated principal amount)

Interest:

None

 

The original issue price of each note is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date will be less than $1,000. We estimate that the value of each note on the pricing date will be approximately $989.50, or within $25.00 of that estimate. Our estimate of the value of the notes as determined on the pricing date will be set forth in the final pricing supplement.

What goes into the estimated value on the pricing date?

In valuing the notes on the pricing date, we take into account that the notes comprise both a debt component and a performance-based component linked to the underlying indices. The estimated value of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying indices, instruments based on the underlying indices, 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 notes?

In determining the economic terms of the notes, including the participation rate and the maximum payment at maturity, 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 notes 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 notes?

The price at which MS & Co. purchases the notes in the secondary market, absent changes in market conditions, including those related to the underlying indices, 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,

August 2024 Page 3

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

because the costs associated with issuing, selling, structuring and hedging the notes 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 notes in the secondary market, absent changes in market conditions, including those related to the underlying indices, 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 notes, and, if it once chooses to make a market, may cease doing so at any time.

August 2024 Page 4

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Key Investment Rationale

Market-Linked Notes offer investors exposure to the performance of an equally weighted basket composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index® and provide for the repayment of principal at maturity. They are for investors who are concerned about principal risk but seek a return based on a basket of equity indices 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, subject to the maximum payment at maturity.

Repayment of Principal

The notes offer investors 100% participation in any appreciation of the basket up to the maximum payment at maturity, while providing for the repayment of principal in full at maturity, subject to our creditworthiness.

Upside Scenario

The basket closing value on the determination date is greater than the initial basket value of 100, and, at maturity, the notes pay the stated principal amount of $1,000 plus 100% of the positive percent change from the initial basket value to the final basket closing value, subject to the maximum payment at maturity of $1,098.50 per note (109.85% of the stated principal amount).

Par Scenario

The final basket closing value is less than or equal to the initial basket value, and, at maturity, the notes pay only the stated principal amount of $1,000.

August 2024 Page 5

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Hypothetical Payout on the Notes

At maturity, for each $1,000 stated principal amount of notes that you hold, you will receive the stated principal amount of $1,000 plus a supplemental redemption amount, if any, subject to the maximum payment at maturity. The supplemental redemption amount will be calculated as follows:

supplemental redemption amount

=

$1,000 x basket percent change x the participation rate of 100%
In no event will the payment due at maturity be less than the stated principal amount or greater than the maximum payment at maturity of $1,098.50 per note (109.85% of the stated principal amount), regardless of the performance of the underlying indices.

where

 

 

basket percent change

=

(final basket closing value – initial basket value) / initial basket value

final basket closing value

=

the basket closing value on the determination date.

In no event will the payment due at maturity be less than the stated principal amount.

Hypothetical Payment at Maturity

The table below illustrates the payment at maturity for each note for a hypothetical range of basket percent change and does not cover the complete range of possible payouts at maturity. The table reflects the maximum payment at maturity of $1,098.50 per note and the initial basket value of 100.

Basket percent change

Final basket closing value

Stated principal amount

Participation rate

Supplemental redemption amount

Payment at maturity

Return on $1,000 note

100.00%

200.00

$1,000

100%

$98.50

$1,098.50

9.85%

90.00%

190.00

$1,000

100%

$98.50

$1,098.50

9.85%

80.00%

180.00

$1,000

100%

$98.50

$1,098.50

9.85%

70.00%

170.00

$1,000

100%

$98.50

$1,098.50

9.85%

60.00%

160.00

$1,000

100%

$98.50

$1,098.50

9.85%

50.00%

150.00

$1,000

100%

$98.50

$1,098.50

9.85%

40.00%

140.00

$1,000

100%

$98.50

$1,098.50

9.85%

30.00%

130.00

$1,000

100%

$98.50

$1,098.50

9.85%

20.00%

120.00

$1,000

100%

$98.50

$1,098.50

9.85%

10.00%

110.00

$1,000

100%

$98.50

$1,098.50

9.85%

9.85%

109.85‬

$1,000

100%

$98.50

$1,098.50

9.85%

5.00%

105.00

$1,000

100%

$50.00

$1,050.00

5.00%

0%

100.00

$1,000

N/A

$0.00

$1,000.00

0%

–10%

90.00

$1,000

N/A

$0.00

$1,000.00

0%

–20%

80.00

$1,000

N/A

$0.00

$1,000.00

0%

–30%

70.00

$1,000

N/A

$0.00

$1,000.00

0%

–40%

60.00

$1,000

N/A

$0.00

$1,000.00

0%

–50%

50.00

$1,000

N/A

$0.00

$1,000.00

0%

–60%

40.00

$1,000

N/A

$0.00

$1,000.00

0%

–70%

30.00

$1,000

N/A

$0.00

$1,000.00

0%

–80%

20.00

$1,000

N/A

$0.00

$1,000.00

0%

–90%

10.00

$1,000

N/A

$0.00

$1,000.00

0%

–100%

0.00

$1,000

N/A

$0.00

$1,000.00

0%

August 2024 Page 6

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Risk Factors

This section describes the material risks relating to the notes. For further discussion of these and other risks you should read the section entitled “Risk Factors” in the accompanying product supplement, index supplement and prospectus. You should also consult with your investment, legal, tax, accounting and other advisers in connection with your investment in the notes.

Risks Relating to an Investment in the Notes

◼The notes do not pay interest and may not pay more than the stated principal amount at maturity. If the basket percent change is less than or equal to zero, you will receive only the stated principal amount of $1,000 for each note you hold at maturity. As the notes do not pay any interest, if the final basket closing value is not sufficiently higher than the initial basket value, the overall return on the notes (the effective yield to maturity) may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity. The notes have been designed for investors who are willing to forgo market floating interest rates in exchange for a supplemental redemption amount, if any, based on the basket closing value on the determination date.

◼The appreciation potential of the notes is limited by the maximum payment at maturity. The appreciation potential of the notes is limited by the maximum payment at maturity of $1,098.50 per note, or 109.85% of the stated principal amount. Because the payment at maturity will be limited to 109.85% of the stated principal amount for the notes, any increase in the level of the basket beyond 109.85% of the initial basket value will not further increase the return on the notes.

◼The market price of the notes will be influenced by many unpredictable factors. Several factors, many of which are beyond our control, will influence the value of the notes in the secondary market and the price at which MS & Co. may be willing to purchase or sell the notes in the secondary market, including the values of the basket components at any time, the volatility (frequency and magnitude of changes in value) of the underlying indices, dividend rate on the stocks underlying the underlying indices, interest and yield rates in the market, time remaining until the notes mature, geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying indices or equities markets generally and which may affect the closing values of the underlying indices on any determination date and the 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 notes will be affected by the other factors described above. The values of the underlying indices may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. See “Historical Information” below. You may receive less, and possibly significantly less, than the stated principal amount per note if you try to sell your notes prior to maturity.

◼The notes 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 notes. You are dependent on our ability to pay all amounts due on the notes at maturity and therefore you are subject to our credit risk. The notes are not guaranteed by any other entity. If we default on our obligations under the notes, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the notes 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 notes.

◼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

August 2024 Page 7

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

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.

◼The amount payable on the notes is not linked to the value of the underlying indices at any time other than the determination date. The amount payable on the notes will be based on the basket closing value on the determination date, subject to postponement for non-index business days and certain market disruption events. Even if the value of the basket appreciates prior to the determination date but then drops by the determination date, the payment at maturity may be less, and may be significantly less, than it would have been had the payment at maturity been linked to the value of the basket prior to such drop. Although the actual value of the basket on the stated maturity date or at other times during the term of the notes may be higher than the final basket closing value, the payment at maturity will be based solely on the final basket closing value.

◼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 notes in the original issue price reduce the economic terms of the notes, cause the estimated value of the notes 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 notes 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 notes in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the notes less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the notes 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 notes in the secondary market, absent changes in market conditions, including those related to the underlying indices, 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 notes 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 notes than those generated by others, including other dealers in the market, if they attempted to value the notes. 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 notes in the secondary market (if any exists) at any time. The value of your notes at any time after the date of this document 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 notes will be influenced by many unpredictable factors” above.

◼Investing in the notes is not equivalent to investing in the basket components; you have no shareholder or other rights in the basket components and are exposed to the credit risk of Morgan Stanley. Investing in the notes is not equivalent to investing in the basket components. As an investor in the notes, you will not have voting rights or the right to receive dividends or other distributions or any other rights with respect to the component stocks of any basket component. Furthermore, investing in the notes is not equivalent to investing in the basket components or their component stocks. In addition, you are subject to our credit risk.

August 2024 Page 8

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

◼The notes will not be listed on any securities exchange and secondary trading may be limited. The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes. MS & Co. may, but is not obligated to, make a market in the notes 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 notes, 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 notes. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Since other broker-dealers may not participate significantly in the secondary market for the notes, the price at which you may be able to trade your notes 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 notes, it is likely that there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to maturity.

◼The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the notes. As calculation agent, MS & Co. will determine the initial index value and multiplier for each basket component, the final basket closing value and the basket percent change, and will calculate the amount of cash you will receive at maturity. 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 and the selection of a successor index or calculation of the basket closing value in the event of a discontinuance of any basket component or a market disruption event with respect to any basket component. These potentially subjective determinations may affect the payout to you at maturity. For further information regarding these types of determinations, see “Description of Equity-Linked Notes—Supplemental Redemption Amount,” “—Calculation Agent and Calculations,” “—Alternate Exchange Calculation in the Case of an Event of Default” and “—Discontinuance of Any Underlying Index; Alteration of Method of Calculation” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the notes on the pricing date.

◼Hedging and trading activity by our affiliates could potentially adversely affect the value of the notes. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the notes (and to other instruments linked to the underlying indices or their component stocks), including trading in the component stocks of the underlying indices and in other instruments related to the underlying indices. As a result, these entities may be unwinding or adjusting hedge positions during the term of the notes, 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 component stocks of the underlying indices and other financial instruments related to the underlying indices 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 August 9, 2024 could potentially increase the initial index values, and, therefore, could increase the values at or above which the underlying indices must close on the determination date before an investor receives a payment at maturity that exceeds the stated principal amount of the notes. Additionally, such hedging or trading activities during the term of the notes, including on the determination date, could adversely affect the closing values of the underlying indices on such determination date, and, accordingly, the amount of cash an investor will receive at maturity.

Risks Relating to the Basket Components

◼Changes in the value 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 one or more basket components increase in value, the value of one or more other basket components may decline. Therefore, in calculating the payment at maturity, increases in the value(s) of one or more basket components may be moderated, or wholly offset, by declines in the value(s) of one or more other basket components.

◼The notes are linked to the Russell 2000® Index and are subject to risks associated with small-capitalization companies. As the Russell 2000® Index is one of the underlying indices, and the Russell 2000® Index consists of stocks issued by companies with relatively small market capitalization, the notes are linked to

August 2024 Page 9

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

the value of small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the Russell 2000® Index may be more volatile than indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

◼Adjustments to the basket components could adversely affect the value of the notes. The index publisher of a basket component can add, delete or substitute the stocks underlying basket component, and can make other methodological changes that could change the value of such basket component. Any of these actions could adversely affect the value of the notes. In addition the index publisher of a basket component may discontinue or suspend calculation or publication of such basket component at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable to the discontinued basket component 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 on the determination date, the index closing value on such determination date will be an amount based on the stocks underlying the discontinued index at the time of such discontinuance, without rebalancing or substitution, computed by MS & Co, as calculation agent, in accordance with the formula for calculating the index closing value last in effect prior to discontinuance of the index.

 

August 2024 Page 10

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Basket Overview

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.

“Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC. For more information, see “S&P® U.S. Indices” in the accompanying index supplement.

 

Russell 2000® Index

The Russell 2000® Index is an index calculated, published and disseminated by FTSE International Limited (“FTSE Russell”), and measures the capitalization-weighted price performance of 2,000 U.S. small-capitalization stocks listed on eligible U.S. exchanges. The Russell 2000® Index is designed to track the performance of the small-capitalization segment of the U.S. equity market. The companies included in the Russell 2000® Index are the middle 2,000 (i.e., those ranked 1,001 through 3,000) of the companies that form the Russell 3000E™ Index. The Russell 2000® Index represents approximately 7% of the U.S. equity market. For additional information about the Russell 2000® Index, see the information set forth under “Russell Indices—Russell 2000® Index” in the accompanying index supplement.

“Russell 2000® Index” and “Russell 3000ETM Index” are trademarks of FTSE Russell. For more information, see “Russell Indices” in the accompanying index supplement.

 

Nasdaq-100 Index®

The Nasdaq-100 Index®, which is calculated, maintained and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity securities of non-financial companies listed on The Nasdaq Stock Market LLC (the “Nasdaq”). The Nasdaq-100 Index® includes companies across a variety of major industry groups. At any moment in time, the value of the Nasdaq-100 Index® equals the aggregate value of the then-current Nasdaq-100 Index® share weights of each of the Nasdaq-100 Index® component securities, which are based on the total shares outstanding of each such Nasdaq-100 Index® component security, multiplied by each such security’s respective last sale price on the Nasdaq (which may be the official closing price published by the Nasdaq), and divided by a scaling factor, which becomes the basis for the reported Nasdaq-100 Index® value. For additional information about the Nasdaq-100 Index®, see the information set forth under “Nasdaq-100 Index®” in the accompanying index supplement.

 

“Nasdaq®,” “Nasdaq-100®” and “Nasdaq-100 Index®” are trademarks of Nasdaq, Inc. For more information, see “Nasdaq-100 Index®” in the accompanying index supplement.

 

August 2024 Page 11

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Information as of market close on August 9, 2024:

 

Basket Component Information as of August 9, 2024

 

Ticker Symbol

Current Basket Component Closing Value

52 Weeks Ago

52 Week High

52 Week Low

S&P 500® Index

SPX

5,344.16

4,467.71

5,667.20 (on 7/16/2024)

4,117.37 (on 10/27/2023)

Russell 2000® Index

RTY

2,080.916

1,930.767

2,263.674 (on 7/16/2024)

1,636.938 (on 10/27/2023)

Nasdaq-100 Index®

NDX

18,513.10

15,101.71

20,675.38 (on 7/10/2024)

14,109.57 (on 10/26/2023)

 

The following graph is calculated based on an initial basket value of 100 on January 1, 2019 (assuming that each basket component is weighted as described in “Basket” on the cover page) and illustrates the effect of the offset and/or correlation among the basket components during such period. The graph does not take into account the terms of the notes, nor does it attempt to show in any way your expected return on an investment in the notes. The historical performance of the basket should not be taken as an indication of its future performance.

 

Basket Historical Performance

January 1, 2019 to August 9, 2024

 

 

August 2024 Page 12

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Historical Information

The following tables set forth the published high and low closing values as well as end-of-quarter closing values for each of the basket components for each quarter in the period from January 1, 2019 through August 9, 2024. The closing values on August 9, 2024 were (i) in the case of the SPX Index, 5,344.16, (ii) in the case of the RTY Index, 2,080.916, and (iii) in the case of the NDX Index, 18,513.10. The related graphs set forth the daily closing values for each of the basket components in the same period. We obtained the information in the tables and graphs below from Bloomberg Financial Markets, without independent verification. The historical information of the basket components should not be taken as an indication of their future performance, and no assurance can be given as to the basket closing value on the determination date.

 

S&P 500® 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

5,254.35

4,688.68

5,254.35

Second Quarter

5,487.03

4,967.23

5,460.48

Third Quarter (through August 9, 2024)

5,667.20

5,186.33

5,344.16

August 2024 Page 13

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

S&P 500® Index

Daily Index Closing Values

January 1, 2019 to August 9, 2024

 

 

 

August 2024 Page 14

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Russell 2000® Index

High

Low

Period End

2019

 

 

 

First Quarter

1,590.062

1,330.831

1,539.739

Second Quarter

1,614.976

1,465.487

1,566.572

Third Quarter

1,585.599

1,456.039

1,523.373

Fourth Quarter

1,678.010

1,472.598

1,668.469

2020

 

 

 

First Quarter

1,705.215

991.160

1,153.103

Second Quarter

1,536.895

1,052.053

1,441.365

Third Quarter

1,592.287

1,398.920

1,507.692

Fourth Quarter

2,007.104

1,531.202

1,974.855

2021

 

 

 

First Quarter

2,360.168

1,945.914

2,220.519

Second Quarter

2,343.758

2,135.139

2,310.549

Third Quarter

2,329.359

2,130.680

2,204.372

Fourth Quarter

2,442.742

2,139.875

2,245.313

2022

 

 

 

First Quarter

2,272.557

1,931.288

2,070.125

Second Quarter

2,095.440

1,649.836

1,707.990

Third Quarter

2,021.346

1,655.882

1,664.716

Fourth Quarter

1,892.839

1,682.403

1,761.246

2023

 

 

 

First Quarter

2,001.221

1,720.291

1,802.484

Second Quarter

1,896.333

1,718.811

1,888.734

Third Quarter

2,003.177

1,761.609

1,785.102

Fourth Quarter

2,066.214

1,636.938

2,027.074

2024

 

 

 

First Quarter

2,124.547

1,913.166

2,124.547

Second Quarter

2,109.459

1,942.958

2,047.691

Third Quarter (through August 9, 2024)

2,263.674

2,026.727

2,080.916

 

Russell 2000® Index

Daily Index Closing Values

January 1, 2019 to August 9, 2024

 

August 2024 Page 15

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

 

Nasdaq-100 Index®

High

Low

Period End

2019

 

 

 

First Quarter

7,493.27

6,147.13

7,378.77

Second Quarter

7,845.73

6,978.02

7,671.08

Third Quarter

8,016.95

7,415.69

7,749.45

Fourth Quarter

8,778.31

7,550.79

8,733.07

2020

 

 

 

First Quarter

9,718.73

6,994.29

7,813.50

Second Quarter

10,209.82

7,486.29

10,156.85

Third Quarter

12,420.54

10,279.25

11,418.06

Fourth Quarter

12,888.28

11,052.95

12,888.28

2021

 

 

 

First Quarter

13,807.70

12,299.08

13,091.44

Second Quarter

14,572.75

13,001.63

14,554.80

Third Quarter

15,675.76

14,549.09

14,689.62

Fourth Quarter

16,573.34

14,472.12

16,320.08

2022

 

 

 

First Quarter

16,501.77

13,046.64

14,838.49

Second Quarter

15,159.58

11,127.57

11,503.72

Third Quarter

13,667.18

10,971.22

10,971.22

Fourth Quarter

12,041.89

10,679.34

10,939.76

2023

 

 

 

First Quarter

13,181.35

10,741.22

13,181.35

Second Quarter

15,185.48

12,725.11

15,179.21

Third Quarter

15,841.35

14,545.83

14,715.24

Fourth Quarter

16,906.80

14,109.57

16,825.93

2024

 

 

 

First Quarter

18,339.44

16,282.01

18,254.69

Second Quarter

19,908.86

17,037.65

19,682.87

Third Quarter (through August 9, 2024)

20,675.38

17,867.37

18,513.10

 

Nasdaq-100 Index®

Daily Index Closing Values

January 1, 2019 to August 9, 2024

 

August 2024 Page 16

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

 

Additional Terms of the Notes

Please read this information in conjunction with the terms on the front cover of this document.

Additional Terms:

If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.

Underlying index publishers:

With respect to the SPX Index, S&P® Dow Jones Indices LLC, or any successor thereof.

With respect to the RTY Index, FTSE Russell, or any successor thereof.

With respect to the NDX Index, Nasdaq, Inc., or any successor thereof.

Index closing value:

With respect to the RTY Index, the index closing value on any index business day shall be determined by the calculation agent and shall equal the closing value of the RTY Index, or any successor index reported by Bloomberg Financial Services, or any successor reporting service the calculation agent may select, on such index business day. In certain circumstances, the index closing value for the RTY Index will be based on the alternate calculation of the RTY Index as described under “Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation” in the accompanying product supplement.

With respect to each of the SPX Index and the NDX Index, the index closing value on any index business day shall be determined by the calculation agent and shall equal the official closing value of such underlying index, or any successor index, published at the regular official weekday close of trading on such index business day by the underlying index publisher for such underlying index. In certain circumstances, the index closing value for the SPX Index or the NDX Index will be based on the alternate calculation of such underlying index as described under “Discontinuance of Any Underlying Index or Basket Index; Alteration of Method of Calculation” in the accompanying product supplement.

Denominations:

$1,000 and integral multiples thereof

Interest:

None

Bull or bear notes:

Bull notes

Call right:

The notes are not callable prior to the maturity date.

Postponement of maturity date:

If 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 postponed to the second business day following the final determination date as postponed, by which date the basket percent change will have been determined.

Equity-linked notes:

All references to “equity-linked notes” or related terms in the accompanying product supplement for equity-linked notes shall be deemed to refer to market-linked notes when read in conjunction with this document.

Trustee:

The Bank of New York Mellon

Calculation agent:

MS & Co.

Issuer notice to registered note holders, the trustee and the depositary:

In the event that the maturity date is postponed due to postponement of the determination date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which the maturity date has been rescheduled (i) to each registered holder of the notes by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books, (ii) to the trustee by facsimile, confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the notes in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately following the actual determination date.

 

The issuer shall, or shall cause the calculation agent to, (i) provide written notice to the trustee at its New York office, on which notice the trustee may conclusively rely, and to the depositary of the payment at maturity 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 notes to the trustee for delivery to the depositary, as holder of the notes, on the maturity date.

August 2024 Page 17

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

Additional Information About the Notes

Additional Information:

Minimum ticketing size:

$1,000 / 1 note

Tax considerations:

In the opinion of our counsel, Davis Polk & Wardwell LLP, the notes should be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, as described in the section of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to U.S. Holders.” Under this treatment, if you are a U.S. taxable investor, you generally will be subject to annual income tax based on the “comparable yield” (as defined in the accompanying product supplement) of the notes, adjusted upward or downward to reflect the difference, if any, between the actual and projected amount of the payments on the notes. The comparable yield will be determined on the pricing date and may be significantly higher or lower than the comparable yield if the notes were priced on the date hereof. The comparable yield and the projected payment schedule (or information about how to obtain them) will be provided in the final pricing supplement. In addition, any gain recognized by U.S. taxable investors on the sale or exchange, or at maturity, of the notes generally will be treated as ordinary income.

You should read the discussion under “United States Federal Taxation” in the accompanying product supplement concerning the U.S. federal income tax consequences of an investment in the notes.

The comparable yield and the projected payment schedule will not be provided for any purpose other than the determination of U.S. Holders’ accruals of interest income and adjustments thereto in respect of the notes for U.S. federal income tax purposes, and we make no representation regarding the actual amount of the payments that will be made on the notes.

If you are a non-U.S. investor, please also read the section of the accompanying product supplement called “United States Federal Taxation—Tax Consequences to Non-U.S. Holders.”

As discussed in the accompanying product supplement, Section 871(m) of the Internal Revenue Code of 1986, as amended (the “Code”), 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 Internal Revenue Service (“IRS”) notice, Section 871(m) will not apply to securities issued before January 1, 2027 that do not have a delta of one with respect to any Underlying Security. Based on the terms of the notes and current market conditions, we expect that the notes will not have a delta of one with respect to any Underlying Security on the pricing date. However, we will provide an updated determination in the final pricing supplement. Assuming that the notes do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the notes 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 notes.

You should consult your tax adviser regarding all aspects of the U.S. federal income tax consequences of an investment in the notes, as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

The discussion in the preceding paragraphs under “Tax considerations” and the discussion contained in the section entitled “United States Federal Taxation” in the accompanying product supplement, 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 notes.

Use of proceeds and hedging:

The proceeds from the sale of the notes will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per note issued, because, when we enter into hedging transactions in order to meet our obligations under the notes, our hedging counterparty will reimburse the cost of the agent’s commissions. The costs of the notes borne by you and described on page 3 above comprise the agent’s commissions and the cost of issuing, structuring and hedging the notes.

On or prior to August 9, 2024, we expect to hedge our anticipated exposure in connection with the notes by entering into hedging transactions with our affiliates and/or third party dealers. We expect our hedging counterparties to take positions in the stocks constituting the underlying indices, in

August 2024 Page 18

Morgan Stanley Finance LLC

Market-Linked Notes due November 14, 2025

Based on the Value of an Equally Weighted Basket Composed of the S&P 500® Index, the Russell 2000® Index and the Nasdaq-100 Index®

___________________________________________________________________________________________________

futures and/or options contracts on the underlying indices or the component stocks of the underlying indices listed on major securities markets, or positions in any other available securities or instruments that they may wish to use in connection with such hedging. Such purchase activity could increase the initial index values, and, therefore, the values at or above which the underlying indices must close on the determination date before you would receive at maturity a payment that exceeds the stated principal amount of the notes. In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the notes, including on the determination date, by purchasing and selling the stocks constituting the underlying indices, futures or options contracts on the underlying indices or their component stocks 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 activities. As a result, these entities may be unwinding or adjusting hedge positions during the term of the notes, 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 underlying indices, and, therefore, adversely affect the value of the notes or the payment you will receive at maturity. For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the accompanying product supplement.

Additional considerations:

Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the notes, either directly or indirectly.

Supplemental information regarding plan of distribution; conflicts of interest:

MS & Co. expects to sell all of the notes that it purchases from us to an unaffiliated dealer at a price of $ per note, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per note. MS & Co. will not receive a sales commission with respect to the notes.

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 notes. When MS & Co. prices this offering of notes, it will determine the economic terms of the notes, including the maximum payment at maturity, such that for each note the estimated value on the pricing date will be no lower than the minimum level described in “Investment Summary” on page 3.

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.

Where you can find more information:

Morgan Stanley and MSFL have filed a registration statement (including a prospectus, as supplemented by the product supplement for Equity-Linked Notes and the index supplement) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement, the product supplement for Equity-Linked Notes, the index supplement and any other documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering. 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. You may get these documents without cost by visiting EDGAR on the SEC web site at.www.sec.gov. Alternatively, Morgan Stanley or MSFL will arrange to send you the prospectus, the product supplement for Equity-Linked Notes and the index supplement if you so request by calling toll-free 800-584-6837.

You may access these documents on the SEC web site at.www.sec.gov as follows:

Product Supplement for Equity-Linked Notes dated November 16, 2023

Index Supplement dated November 16, 2023

Prospectus dated April 12, 2024

Terms used but not defined in this document are defined in the product supplement for Equity-Linked Notes, in the index supplement or in the prospectus.

 

August 2024 Page 19

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