MSTLW Morgan Stanley (PK)

 June 2024

Pricing Supplement No. 2,623

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

Dated June 17, 2024

Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities have the terms described in the accompanying product supplement, index supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the determination closing price of each of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund, which we refer to as the underlying shares, is at or above 75% of the respective initial share price, which we refer to as the respective coupon threshold level, on the related observation date. If, however, the determination closing price of any of the underlying shares is less than the respective coupon threshold level on any observation date, we will pay no interest for the related monthly period. In addition, beginning approximately three months after the original issue date, the securities will be automatically redeemed if the determination closing price of each of the underlying shares is greater than or equal to 100% of the respective initial share price, which we refer to as the respective call threshold level, on any monthly redemption determination date for the early redemption payment equal to the sum of the stated principal amount and the related contingent monthly coupon. No further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the final share price of each of the underlying shares is greater than or equal to 70% of the respective initial share price, which we refer to as the respective downside threshold level, the payment at maturity will be the stated principal amount and, if the final share price of each of the underlying shares is also greater than or equal to the respective coupon threshold level, the related contingent monthly coupon. However, if the final share price of any of the underlying shares is less than the respective downside threshold level, investors will be exposed to the decline in the worst performing underlying shares on a 1-to-1 basis and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent monthly coupons throughout the 1.5-year term of the securities. Because all payments on the securities are based on the worst performing of the underlying shares, a decline beyond the respective coupon threshold level or respective downside threshold level of any of the underlying shares will result in no contingent monthly coupons and/or a significant loss of your investment, even if one or both of the other underlying shares have appreciated or have not declined as much. The securities are for investors who are willing to risk their principal based on the worst performing of three underlying shares and who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly coupons over the entire 1.5-year term, with no possibility of being called out of the securities until after the 3-month initial non-call period. Investors will not participate in any appreciation of any of the underlying shares. The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

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

(2)MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $997.50 per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co. will not receive a sales commission with respect to the securities. See “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 34.

The securities involve risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 13.

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

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Observation Dates, Redemption Determination Dates, Coupon Payment Dates and Early Redemption Dates

*The securities are not subject to automatic early redemption until the third coupon payment date, which is September 20, 2024.

June 2024 Page 2

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Investment Summary

Contingent Income Auto-Callable Securities

Principal at Risk Securities

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund (the “securities”) do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the determination closing price of each of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund, which we refer to as the underlying shares, is at or above 75% of the respective initial share price, which we refer to as the respective coupon threshold level, on the related observation date. If, however, the determination closing price of any of the underlying shares is less than the respective coupon threshold level on any observation date, we will pay no interest for the related monthly period. It is possible that the determination closing price of any of the underlying shares could remain below the respective coupon threshold level for extended periods of time or even throughout the entire 1.5-year term of the securities so that you will receive few or no contingent monthly coupons during the term of the securities. We refer to these monthly coupons as contingent because there is no guarantee that you will receive a coupon payment on any coupon payment date. Even if each of the underlying shares was to be at or above the respective coupon threshold level on some monthly observation dates, one or more of the underlying shares may fluctuate below the respective coupon threshold level(s) on others. In addition, beginning approximately three months after the original issue date, the securities will be automatically redeemed if the determination closing price of each of the underlying shares is greater than or equal to the respective call threshold level on any monthly redemption determination date for the early redemption payment equal to the sum of the stated principal amount and the related contingent monthly coupon. No further payments will be made on the securities once they have been redeemed. At maturity, if the securities have not previously been redeemed and the final share price of each of the underlying shares is greater than or equal to 70% of the respective initial share price, which we refer to as the respective downside threshold level, the payment at maturity will be the stated principal amount and, if the final share price of each of the underlying shares is also greater than or equal to the respective coupon threshold level, the related contingent monthly coupon. However, if the final share price of any of the underlying shares is less than the respective downside threshold level, investors will be fully exposed to the decline in the worst performing underlying shares on a 1-to-1 basis and will receive a payment at maturity that is less than 70% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment and also the risk of not receiving any contingent monthly coupons throughout the 1.5-year term of the securities. Investors will not participate in any appreciation in the price of any of the underlying shares.

June 2024 Page 3

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value of each security on the pricing date is $978.60.

What goes into the estimated value on the pricing date?

In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-based component linked to the underlying shares. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying shares, instruments based on the underlying shares, volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.

What determines the economic terms of the securities?

In determining the economic terms of the securities, including the contingent monthly coupon rate, the call threshold levels, the coupon threshold levels and the downside threshold levels, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?

The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the underlying shares, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 5 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying shares, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account statements.

MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time.

June 2024 Page 4

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Key Investment Rationale

The securities do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the determination closing price of each of the underlying shares is at or above the respective coupon threshold level on the related observation date. The securities have been designed for investors who are willing to forgo market floating interest rates and risk the loss of principal and accept the risk of receiving few or no coupon payments for the entire 1.5-year term of the securities in exchange for an opportunity to earn interest at a potentially above-market rate if all of the underlying shares close at or above the respective coupon threshold levels on each monthly observation date until the securities are redeemed early or reach maturity. The following scenarios are for illustrative purposes only to demonstrate how the coupon and the payment at maturity (if the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed, the contingent monthly coupon may be payable in none of, or some but not all of, the monthly periods during the 1.5-year term of the securities, and the payment at maturity may be less than 70% of the stated principal amount of the securities and may be zero.

June 2024 Page 5

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 6

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

How the Securities Work

The following diagrams illustrate the potential outcomes for the securities depending on (1) the determination closing prices on each monthly observation date, (2) the determination closing prices on each monthly redemption determination date (beginning after three months) and (3) the final share prices. Please see “Hypothetical Examples” below for an illustration of hypothetical payouts on the securities.

Diagram #1: Contingent Monthly Coupons (Beginning on the First Coupon Payment Date until Early Redemption or Maturity)

Diagram #2: Automatic Early Redemption (Beginning After 3 Months)

June 2024 Page 7

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Diagram #3: Payment at Maturity if No Automatic Early Redemption Occurs

For more information about the payout upon an early redemption or at maturity in different hypothetical scenarios, see “Hypothetical Examples” below.

June 2024 Page 8

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity, if any, assuming the securities are not redeemed prior to maturity. The following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined by reference to the determination closing price of each of the underlying shares on each monthly observation date, and the amount you will receive at maturity, if any, will be determined by reference to the final share price of each of the underlying shares on the final observation date. The actual initial share price, call threshold level, coupon threshold level and downside threshold level for each of the underlying shares are set forth on the cover of this document. All payments on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:

1The actual contingent monthly coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 day-count basis. The hypothetical contingent monthly coupon of $10.458 is used in these examples for ease of analysis.

June 2024 Page 9

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

How to determine whether a contingent monthly coupon is payable with respect to an observation date:

On hypothetical observation date 1, each of the underlying shares closes at or above the respective coupon threshold level. Therefore, a contingent monthly coupon of $10.458 is paid on the relevant coupon payment date.

On each of hypothetical observation dates 2 and 3, two of the underlying shares close at or above the respective coupon threshold levels but the other underlying shares closes below the respective coupon threshold level. Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.

On hypothetical observation date 4, each of the underlying shares closes below the respective coupon threshold level and accordingly, no contingent monthly coupon is paid on the relevant coupon payment date.

You will not receive a contingent monthly coupon on any coupon payment date if the determination closing price of any of the underlying shares is below the respective coupon threshold level on the related observation date.

June 2024 Page 10

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

How to calculate the payment at maturity (if the securities have not been automatically redeemed):

Starting after three months, if the determination closing price of each of the underlying shares is greater than or equal to the respective call threshold level on any monthly redemption determination date, the securities will be automatically redeemed for an early redemption payment equal to the stated principal amount for each security you hold plus the contingent monthly coupon with respect to the related observation date.

The examples below illustrate how to calculate the payment at maturity if the securities have not been automatically redeemed prior to maturity.

In example 1, the final share price of each of the underlying shares is at or above the respective coupon threshold level and downside threshold level. Therefore, investors receive at maturity the stated principal amount of the securities and the contingent monthly coupon with respect to the final observation date. However, investors do not participate in the appreciation of any of the underlying shares.

In example 2, the final share prices of two of the underlying shares are at or above the respective downside threshold levels, but the final share price of the other underlying shares is below the respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying shares at maturity and receive an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying shares.

In example 3, the final share price of one of the underlying shares is at or above the respective downside threshold level, but the final share price of each of the other underlying shares is below the respective downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying shares at maturity. While the IJR Shares have declined 20% from their initial share price to their final share price and the XLRE Shares have declined 45% from their initial share price to their final share price, the XLK Shares have declined 50% from their initial share price to their final share price. Therefore, investors receive at maturity an amount equal to the stated principal amount multiplied by the share performance factor of the XLK Shares, which are the worst performing underlying shares in this example.

In examples 4 and 5, the final share price of each of the underlying shares is below the respective downside threshold level, and investors receive at maturity an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying shares. In example 4, the IJR Shares have declined 50% from their initial share price to their final share price, the XLK Shares have declined 55% from their initial share price to their final share price, and the XLRE Shares have declined 60% from their initial share price to their final share price. Therefore, the payment at maturity equals the stated principal amount multiplied by the share performance factor of the XLRE Shares, which are the worst performing underlying shares in this example.

June 2024 Page 11

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

In example 5, the IJR Shares have declined 70% from their initial share price to their final share price, the XLK Shares have declined 60% from their initial share price to their final share price and the XLRE Shares have declined 50% from their initial share price to their final share price. Therefore, the payment at maturity equals the stated principal amount multiplied by the share performance factor of the IJR Shares, which are the worst performing underlying shares in this example.

If the securities are not called prior to maturity and the final share price of ANY of the underlying shares is below the respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying shares at maturity, and your payment at maturity will be less than 70% of the stated principal amount per security and could be zero.

June 2024 Page 12

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Risk Factors

This section describes the material risks relating to the securities. 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. We also urge you to consult with your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

Risks Relating to an Investment in the Securities

￭The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that they do not guarantee the return of any of the principal amount at maturity. If the securities have not been automatically redeemed prior to maturity and if the final share price of any of the underlying shares is less than the respective downside threshold level of 70% of the respective initial share price, you will be exposed to the decline in the closing price of the worst performing underlying shares, as compared to the initial share price, on a 1-to-1 basis and you will receive for each security that you hold at maturity an amount equal to the stated principal amount multiplied by the share performance factor of the worst performing underlying shares. In this case, the payment at maturity will be less than 70% of the stated principal amount and could be zero. You could lose up to your entire investment in the securities.

￭The securities do not provide for the regular payment of interest and may pay no interest over the entire term of the securities. The terms of the securities differ from those of ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent monthly coupon but only if the determination closing price of each of the underlying shares is at or above 75% of the respective initial share price, which we refer to as the respective coupon threshold level, on the related observation date. If, on the other hand, the determination closing price of any of the underlying shares is lower than the respective coupon threshold level on the relevant observation date for any interest period, we will pay no coupon on the applicable coupon payment date. It is possible that the determination closing price of one or more of the underlying shares could remain below the respective coupon threshold level(s) for extended periods of time or even throughout the entire 1.5-year term of the securities so that you will receive few or no contingent monthly coupons. If you do not earn sufficient contingent monthly coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.

￭The contingent monthly coupon, if any, is based only on the determination closing prices of the underlying shares on the related monthly observation date at the end of the related interest period. Whether the contingent monthly coupon will be paid on any coupon payment date will be determined at the end of the relevant interest period based on the determination closing price of each of the underlying shares on the relevant monthly observation date. As a result, you will not know whether you will receive the contingent monthly coupon on any coupon payment date until near the end of the relevant interest period. Moreover, because the contingent monthly coupon is based solely on the price of each of the underlying shares on monthly observation dates, if the determination closing price of any of the underlying shares on any observation date is below the respective coupon threshold level, you will receive no coupon for the related interest period, even if the price(s) of one or more of the other underlying shares were higher on other days during that interest period.

￭Investors will not participate in any appreciation in the price of any of the underlying shares. Investors will not participate in any appreciation in the price of the underlying shares from their initial share prices, and the return on the securities will be limited to the contingent monthly coupon that is paid with respect to each observation date on which each determination closing price is greater than or equal to the respective coupon threshold level, if any.

￭The market price will be influenced by many unpredictable factors. Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the level of interest rates available in the market and the prices of the underlying shares on any day, including in relation to the respective coupon threshold levels, downside threshold levels and call threshold levels, will affect the value of the securities more than any other factors. Other factors that may influence the value of the securities include:

othe trading price and volatility (frequency and magnitude of changes in value) of the underlying shares and the stocks constituting the respective share underlying indices,

owhether the determination closing price of any of the underlying shares has been below the respective coupon threshold level on any observation date,

odividend rates on the stocks constituting the share underlying indices,

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying shares or equity markets generally and which may affect the prices of the underlying shares,

June 2024 Page 13

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

othe time remaining until the securities mature,

ointerest and yield rates in the market,

othe availability of comparable instruments,

othe occurrence of certain events affecting the underlying shares that may or may not require an adjustment to an adjustment factor,

othe composition of each of the underlying shares and changes in the constituents of any of the underlying shares, and

oany actual or anticipated changes in our credit ratings or credit spreads.

Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. For example, you may have to sell your securities at a substantial discount from the stated principal amount of $1,000 per security if the price of any of the underlying shares at the time of sale is near or below the respective coupon threshold level, and especially if the price of any of the underlying shares is near or below the respective downside threshold level, or if market interest rates rise.

The price of any or all of the underlying shares may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. The prices of one or more of the underlying shares may decrease and be below the respective coupon threshold level(s) on each observation date so that you will receive no return on your investment or receive a payment at maturity that is less than 70% of the stated principal amount. There can be no assurance that the determination closing prices of all of the underlying shares will be at or above the respective coupon threshold levels on any observation date so that you will receive a coupon payment on the securities for the applicable interest period or at or above the respective downside threshold levels on the final observation date so that you do not suffer a significant loss on your initial investment in the securities. See “iShares Core S&P Small-Cap ETF Overview,” “Technology Select Sector SPDR® Fund Overview” and “Real Estate Select Sector SPDR® Fund Overview” below.

￭The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. You are dependent on our ability to pay all amounts due on the securities on each coupon payment date, upon automatic redemption and at maturity and therefore you are subject to our credit risk. The securities are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.

￭As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

￭Reinvestment risk. The term of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities are redeemed prior to maturity, you will receive no more contingent monthly coupons and may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns. However, under no circumstances will the securities be redeemed in the first three months of the term of the securities.

￭The securities will not be listed on any securities exchange and secondary trading may be limited, and accordingly, you should be willing to hold your securities for the entire 1.5-year term of the securities. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at

June 2024 Page 14

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

any time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

￭The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the securities less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 5 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the underlying shares, and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.

￭The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers, and is not a maximum or minimum secondary market price. These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this 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 will be influenced by many unpredictable factors” above.

￭Not equivalent to investing in the underlying shares or the stocks composing the share underlying indices. Investing in the securities is not equivalent to investing in any of the underlying shares, the share underlying indices or the stocks that constitute the share underlying indices. Investors in the securities will not participate in any appreciation in any of the underlying shares, and will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying shares or the stocks that constitute the share underlying indices.

￭Hedging and trading activity by our affiliates could potentially affect the value of the securities. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities (and to other instruments linked to the underlying shares and the share underlying indices), including trading in the underlying shares. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final observation date approaches. Some of our affiliates also trade the underlying shares and other financial instruments related to the underlying shares and the share 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 the pricing date could potentially increase the initial share price of any of the underlying shares and, therefore, could increase (i) the call threshold level of such underlying shares, which is the price at or above which such underlying shares must close on the redemption determination dates so that the securities are redeemed prior to maturity for the early redemption payment (depending also on the performance of the other underlying shares), (ii) the coupon threshold level for such underlying shares, which is the price at or above which such underlying shares must close on the observation dates so that you receive a contingent monthly coupon on the securities (depending also on the performance of the other underlying shares) and (iii) the downside threshold level for such underlying shares, which is the price at or above which such underlying shares must close on the final observation date so that you are not exposed to the negative performance of the worst performing underlying shares at maturity (depending also on the performance of the other underlying shares). Additionally, such hedging or trading activities during the term of the securities could potentially affect the value of any of the underlying shares on the redemption determination dates and the observation dates and,

June 2024 Page 15

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

accordingly, whether we redeem the securities prior to maturity, whether we pay a contingent monthly coupon on the securities and the amount of cash you will receive at maturity, if any (depending also on the performance of the other underlying shares).

￭The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities. As calculation agent, MS & Co. will determine the initial share prices, the call threshold levels, the coupon threshold levels, the downside threshold levels, the final share prices, the payment at maturity, if any, whether you receive a contingent monthly coupon on each coupon payment date and/or at maturity, whether the securities will be redeemed on any early redemption date, whether a market disruption event has occurred and whether to make any adjustments to the adjustment factors. 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, any adjustments to the adjustment factors or calculation of the determination closing price in the event of a market disruption event. These potentially subjective determinations may affect the payout to you upon an automatic early redemption or at maturity, if any. For further information regarding these types of determinations, see “Description of Auto-Callable Securities—Auto-Callable Securities Linked to Underlying Shares” and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

￭The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects of the tax treatment of the securities are uncertain.

Please read the discussion under “Additional Information—Tax considerations” in this document concerning the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security for U.S. federal income tax purposes as a single financial contract that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the securities, could result in adverse tax consequences to holders of the securities because the deductibility of capital losses is subject to limitations. We do not plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders (as defined below) would be required to accrue into income original issue discount on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax consequences of an investment in the securities, possibly retroactively.

Non-U.S. Holders (as defined below) should note that we currently intend to withhold on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will not be required to pay any additional amounts with respect to amounts withheld.

Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, as well as tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Risks Relating to the Underlying Shares

￭You are exposed to the price risk of each of the underlying shares, with respect to both the contingent monthly coupons, if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of each of the underlying shares. Rather, it will be contingent upon the independent performance of each of the underlying shares. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each of the underlying shares. Poor performance by any of the underlying shares over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying shares. To receive any contingent monthly coupons, each of the underlying shares must close at or above the respective coupon threshold level on the applicable observation date. In addition, if the securities have not been automatically redeemed early and any of the underlying shares have declined to below the respective downside threshold level as of the final observation date, you will be fully exposed to the decline in the worst performing underlying shares over the

June 2024 Page 16

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

term of the securities on a 1-to-1 basis at maturity, even if one or both of the other underlying shares have appreciated or have not declined as much. Under this scenario, the value of any such payment will be less than 70% of the stated principal amount and could be zero. Accordingly, your investment is subject to the price risk of each of the underlying shares.

￭Because the securities are linked to the performance of the worst performing underlying shares, you are exposed to greater risks of receiving no contingent monthly coupons and sustaining a significant loss on your investment than if the securities were linked to just one of the underlying shares. The risk that you will not receive any contingent monthly coupons, or that you will suffer a significant loss on your investment, is greater if you invest in the securities as opposed to substantially similar securities that are linked to the performance of just one of the underlying shares. With three underlying shares, it is more likely that any of the underlying shares will close below the respective coupon threshold level on any observation date than if the securities were linked to only one of the underlying shares. Therefore, it is more likely that you will not receive any contingent monthly coupons and that you will suffer a significant loss on your investment. In addition, because each of the underlying shares must close at or above the respective call threshold level on a monthly redemption determination date in order for the securities to be called prior to maturity, the securities are less likely to be called on any redemption determination date than if the securities were linked to just one of the underlying shares.

￭The securities are linked to the iShares Core S&P Small-Cap ETF and are subject to risks associated with small-capitalization companies.  As the iShares Core S&P Small-Cap ETF is one of the underlying shares, and the iShares Core S&P Small-Cap ETF tracks the performance of stocks issued by companies with relatively small market capitalization, the securities are linked to 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 iShares Core S&P Small-Cap ETF may be more volatile than indices or funds 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.

￭Investing in the securities exposes investors to risks associated with investments in securities with a concentration in the technology sector. The stocks included in the Technology Select Sector Index and that are generally tracked by the XLK Shares are stocks of companies whose primary business is directly associated with the technology sector, including the following sub-sectors: computers and peripherals, software, diversified telecommunication services, communications equipment, semiconductors and semiconductor equipment, internet software and services, IT services, electronic equipment, instruments and components, wireless telecommunication services and office electronics. Because the value of the securities is linked to the performance of the XLK Shares, an investment in the securities exposes investors to risks associated with investments in securities with a concentration in the technology sector.

The values of stocks of technology companies and companies that rely heavily on technology are particularly vulnerable to rapid changes in technology product cycles, rapid product obsolescence, government regulation and competition, both domestically and internationally, including competition from foreign competitors with lower production costs. Technology companies and companies that rely heavily on technology, especially those of smaller, less-seasoned companies, tend to be more volatile than the overall market. Additionally, companies in the technology sector may face dramatic and often unpredictable changes in growth rates and competition for the services of qualified personnel. All of these factors could have an effect on the price of the XLK Shares and, therefore, on the value of the securities.

￭Investing in the securities exposes investors to risks associated with investments with a concentration in the real estate industry. The securities are subject to certain risks applicable to the real estate industry. The Real Estate Select Sector SPDR® Fund invests in companies in the following industries: real estate management and development and REITs, excluding mortgage REITs. As a result, the securities are exposed to the risks associated with owning real estate directly as well as to risks that relate specifically to the way in which real estate companies are organized and operated. Real estate is highly sensitive to general and local economic conditions and developments, and is characterized by intense competition and periodic overbuilding. The United States real estate market has experienced periods of significant declines, and we can give you no assurance that similar declines will not occur in the future. Specific risks especially relevant to an investment in the real estate industry include interest rate risk, leverage risk, property risk, management risk, liquidity risk, concentration risk, U.S. tax risk and regulatory risk. Any of these risks could adversely impact the value of the securities.

June 2024 Page 17

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

￭The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the underlying shares. MS & Co., as calculation agent, will adjust the adjustment factors for certain events affecting the underlying shares. However, the calculation agent will not make an adjustment for every event that can affect the underlying shares. If an event occurs that does not require the calculation agent to adjust an adjustment factor, the market price of the securities may be materially and adversely affected.

￭Adjustments to the underlying shares or the indices tracked by the underlying shares could adversely affect the value of the securities. The investment adviser to each of the underlying shares seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the relevant share underlying indices. Pursuant to its investment strategy or otherwise, an investment adviser may add, delete or substitute the stocks composing the respective underlying shares. Any of these actions could adversely affect the price of the respective underlying shares and, consequently, the value of the securities. The publisher of each share underlying index is responsible for calculating and maintaining the relevant share underlying index. The publisher of a share underlying index may add, delete or substitute the securities constituting such share underlying index or make other methodological changes that could change the value of such share underlying index, and, consequently, the price of the relevant underlying shares and the value of the securities. The publisher of a share underlying index may discontinue or suspend calculation or publication of such share underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the discontinued share underlying index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.

￭The performance and market price of any of the underlying shares, particularly during periods of market volatility, may not correlate with the performance of the respective share underlying index, the performance of the component securities of such share underlying index or the net asset value per share of such underlying shares. The underlying shares do not fully replicate the respective share underlying indices, and each may hold securities that are different than those included in the respective share underlying index.  In addition, the performance of each of the underlying shares will reflect additional transaction costs and fees that are not included in the calculation of the share underlying indices.  All of these factors may lead to a lack of correlation between the performance of each of the underlying shares and the respective share underlying index.  In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying each of the underlying shares may impact the variance between the performance of each of the underlying shares and the respective share underlying index.  Finally, because the shares of each of the underlying shares are traded on an exchange and are subject to market supply and investor demand, the market price of one share of each of the underlying shares may differ from the net asset value per share of such underlying shares.

In particular, during periods of market volatility, or unusual trading activity, trading in the securities underlying each of the underlying shares may be disrupted or limited, or such securities may be unavailable in the secondary market.  Under these circumstances, the liquidity of each of the underlying shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of each of the underlying shares, and their ability to create and redeem shares of each of the underlying shares may be disrupted. Under these circumstances, the market price of shares of each of the underlying shares may vary substantially from the net asset value per share of each underlying share or the level of the respective share underlying index.

For all of the foregoing reasons, the performance of each of the underlying shares may not correlate with the performance of the respective share underlying index, the performance of the component securities of such share underlying index or the net asset value per share of such underlying shares.  Any of these events could materially and adversely affect the prices of each of the underlying shares and, therefore, the value of the securities. Additionally, if market volatility or these events were to occur on the final observation date, the calculation agent would maintain discretion to determine whether such market volatility or events have caused a market disruption event to occur, and such determination would affect the payment at maturity of the securities.  If the calculation agent determines that no market disruption event has taken place, the payment at maturity would be based solely on the published closing price per share of each of the underlying shares on the final observation date, even if any of the underlying shares is underperforming the respective share underlying index or the component securities of such share underlying index and/or trading below the net asset value per share of such underlying shares.

June 2024 Page 18

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

iShares Core S&P Small-Cap ETF Overview

The iShares Core S&P Small-Cap ETF is an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the S&P SmallCap 600® Index. The iShares Core S&P Small-Cap ETF is managed by iShares® Trust (“iShares”), a registered investment company that consists of numerous separate investment portfolios, including the iShares Core S&P Small-Cap ETF. Information provided to or filed with the Securities and Exchange Commission (the “Commission”) by iShares pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-92935 and 811-09729, respectively, through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation that any such publicly available information regarding the IJR Shares is accurate or complete.

Information as of market close on June 17, 2024:

The following graph shows the daily closing prices of the IJR Shares for the period from January 1, 2019 through June 17, 2024. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the IJR Shares for each quarter in the same period. The closing price of the IJR Shares on June 17, 2024 was $105.67. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The historical performance of the IJR Shares should not be taken as an indication of future performance, and no assurance can be given as to the price of the IJR Shares at any time, including on the redemption determination dates or the observation dates.

June 2024 Page 19

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

This document relates only to the securities referenced hereby and does not relate to the IJR Shares. We have derived all disclosures contained in this document regarding iShares from the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to iShares. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding iShares is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the IJR Shares (and therefore the price of the IJR Shares at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning iShares could affect the value received with respect to the securities and therefore the value of the securities.

Neither we nor any of our affiliates makes any representation to you as to the performance of the IJR Shares.

We and/or our affiliates may presently or from time to time engage in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information with respect to iShares, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to the IJR Shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the securities under the securities laws. As a purchaser of the securities, you should undertake an independent investigation of iShares as in your judgment is appropriate to make an informed decision with respect to an investment linked to the IJR Shares.

June 2024 Page 20

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

“iShares®” is a registered trademark of BlackRock Fund Advisors (“BFA”). The securities are not sponsored, endorsed, sold, or promoted by BFA. BFA makes no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. BFA has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

S&P SmallCap 600® Index. The S&P SmallCap 600® 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 small capitalization segment of the U.S. equity markets by tracking the stock price movement of 600 companies with small market capitalizations. Component stocks of the S&P SmallCap 600® Index are required to have a total company level market capitalization that reflects approximately the 93rd – 99th percentile of the S&P® Total Market Index. The S&P SmallCap 600® Index measures the relative performance of the 600 constituent stocks as of a particular time as compared to the common stocks of 600 similar companies on the base date of December 31, 1993. For additional information about the S&P SmallCap 600® Index, see the information set forth under “S&P® U.S. Indices— S&P SmallCap 600® Index” in the accompanying index supplement.

June 2024 Page 21

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Technology Select Sector SPDR® Fund Overview

The Technology Select Sector SPDR® Fund is an exchange-traded fund managed by Select Sector SPDR Trust (the “Trust”), which is a registered investment company. The Trust consists of numerous separate investment portfolios, including the Technology Select Sector SPDR® Fund. The Technology Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Technology Select Sector Index. It is possible that this fund may not fully replicate the performance of the Technology Select Sector Index due to the temporary unavailability of certain securities in the secondary market or due to other extraordinary circumstances. Information provided to or filed with the Commission by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-57791 and 811-08837, respectively, through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation that any such publicly available information regarding the XLK Shares is accurate or complete.

Information as of market close on June 17, 2024:

The following graph shows the daily closing prices of the XLK Shares for the period from January 1, 2019 through June 17, 2024. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the XLK Shares for each quarter in the same period. The closing price of the XLK Shares on June 17, 2024 was $231.12. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The historical performance of the XLK Shares should not be taken as an indication of future performance, and no assurance can be given as to the price of the XLK Shares at any time, including on the redemption determination dates or the observation dates.

June 2024 Page 22

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

This document relates only to the securities referenced hereby and does not relate to the XLK Shares. We have derived all disclosures contained in this document regarding the Trust from the publicly available documents described above. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the Trust is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the XLK Shares (and therefore the price of the XLK Shares at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Trust could affect the value received with respect to the securities and therefore the value of the securities.

Neither we nor any of our affiliates makes any representation to you as to the performance of the XLK Shares.

We and/or our affiliates may presently or from time to time engage in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or more of our affiliates may publish research reports with respect to the XLK Shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the securities under the securities laws.

June 2024 Page 23

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

As a purchaser of the securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the XLK Shares.

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “SPDR®”, “Select Sector SPDR®” and “Select Sector SPDRs” are trademarks of Standard & Poor’s Financial Services LLC (“S&P®”), an affiliate of S&P® Global Inc. The securities are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P®, S&P® Global Inc. and the Trust make no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. S&P®, S&P® Global Inc. and the Trust have no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

Technology Select Sector Index. The Technology Select Sector Index, which is one of the Select Sector sub-indices of the S&P 500® Index, is intended to give investors an efficient, modified market capitalization-based way to track the movements of certain public companies that represent the technology sector of the S&P 500® Index. The Technology Select Sector Index includes component stocks in industries such as technology hardware, storage and peripherals; software; diversified telecommunication services; communications equipment; semiconductor and semiconductor equipment; internet software and services; IT services; wireless telecommunication services; and electronic equipment and instruments. For more information, see “S&P® Select Sector Indices—Technology Select Sector Index” in the accompanying index supplement.

June 2024 Page 24

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Real Estate Select Sector SPDR® Fund Overview

The Real Estate Select Sector SPDR® Fund is an exchange-traded fund managed by the Trust, a registered investment company. The Trust consists of numerous separate investment portfolios, including the Real Estate Select Sector SPDR® Fund. The Real Estate Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Real Estate Select Sector Index. It is possible that this fund may not fully replicate the performance of the Real Estate Select Sector Index due to the temporary unavailability of certain securities in the secondary market or due to other extraordinary circumstances. Information provided to or filed with the Commission by the Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-57791 and 811-08837, respectively, through the Commission’s website at www.sec.gov. In addition, information may be obtained from other publicly available sources. Neither the issuer nor the agent makes any representation that any such publicly available information regarding the XLRE Shares is accurate or complete.

Information as of market close on June 17, 2024:

The following graph shows the daily closing prices of the XLRE Shares for the period from January 1, 2019 through June 17, 2024. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the XLRE Shares for each quarter in the same period. The closing price of the XLRE Shares on June 17, 2024 was $38.33. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The historical performance of the XLRE Shares should not be taken as an indication of future performance, and no assurance can be given as to the price of the XLRE Shares at any time, including on the redemption determination dates or the observation dates.

June 2024 Page 25

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

This document relates only to the securities referenced hereby and does not relate to the XLRE Shares.  We have derived all disclosures contained in this document regarding the Trust from the publicly available documents described above.  In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to the Trust.  Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the Trust is accurate or complete.  Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described above) that would affect the trading price of the XLRE Shares (and therefore the price of the XLRE Shares at the time we priced the securities) have been publicly disclosed.  Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning the Trust could affect the value received with respect to the securities and therefore the value of the securities.

Neither we nor any of our affiliates makes any representation to you as to the performance of the XLRE Shares.

We and/or our affiliates may presently or from time to time engage in business with the Trust.  In the course of such business, we and/or our affiliates may acquire non-public information with respect to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you.  In addition, one or more of our affiliates may publish research reports with respect to the XLRE Shares.  The statements in the preceding two sentences are not intended to affect the rights of investors in the securities under the

June 2024 Page 26

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

securities laws.  As a purchaser of the securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the XLRE Shares.

“Standard & Poor’s®”, “S&P®”, “S&P 500®”, “SPDR®”, “Select Sector SPDR®” and “Select Sector SPDRs” are trademarks of Standard & Poor’s Financial Services LLC (“S&P®”), an affiliate of S&P® Global Inc. The securities are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P®, S&P® Global Inc. and the Trust make no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. S&P®, S&P® Global Inc. and the Trust have no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

Real Estate Select Sector Index. The Real Estate Select Sector Index, which is one of the Select Sector sub-indices of the S&P 500® Index, is intended to give investors an efficient, modified market capitalization-based way to track the movements of certain public companies that represent the real estate sector of the S&P 500® Index. The Real Estate Select Sector Index includes component stocks in industries such as real estate management and development and Real Estate Investment Trusts (“REITs”), excluding mortgage REITs. For more information, see “S&P® Select Sector Indices—Real Estate Select Sector Index” in the accompanying index supplement.

June 2024 Page 27

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Additional Terms of the Securities

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

June 2024 Page 28

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 29

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

Additional Information About the Securities

June 2024 Page 30

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 31

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 32

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 33

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 34

Morgan Stanley Finance LLC

Contingent Income Auto-Callable Securities due December 22, 2025, with 3-Month Initial Non-Call Period

All Payments on the Securities Based on the Worst Performing of the iShares Core S&P Small-Cap ETF, the Technology Select Sector SPDR® Fund and the Real Estate Select Sector SPDR® Fund

Principal at Risk Securities

June 2024 Page 35