Primary Offering Prospectus - Form 424B2

May 2024

Pricing Supplement No. 2,189

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

Dated May 8, 2024

Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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. Unlike ordinary debt securities, the notes have the terms described in the accompanying prospectus supplement, index supplement and prospectus, as supplemented and modified by this document. The notes do not provide for the regular payment of interest. Instead, the notes will pay a contingent monthly coupon but only if the determination closing price of eachof the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund, which we refer to collectively as the underlying shares, is greater than or equal to 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 theunderlying 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, starting approximately six months after the original issue date, the notes 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 quarterly redemption determination date for an early redemption payment equal to (i) the stated principal amount plus (ii) the contingent monthly coupon with respect to the related observation date. No further payments will be made on the notes once they have been redeemed. At maturity, if the notes have not been previously redeemed, you will receive for each note you hold the stated principal amount plus the contingent monthly coupon with respect to the final observation date, if any. We will not pay a contingent monthly coupon on any coupon payment date if the determination closing price of any of the underlying shares is less than the respective coupon threshold level on the related observation date.Accordingly, investors in the notes must be willing to accept the risk of not receiving any contingent monthly coupons throughout the 5-year term of the notes. These long-dated notes are for investors who are concerned about principal risk, who are willing to forgo upside participation in any appreciation of the underlying shares and who seek the repayment of principal at maturity (or upon early redemption) and the opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest over the entire 5-year term of the notes and the possibility of an automatic early redemption of the notes prior to maturity.Because the payment of contingent monthly coupons is based on the worst performing of the underlying shares, the fact that the notes are linked to three underlying shares does not provide any asset diversification benefits and instead means that a decline of any of the underlying shares below the respective coupon threshold level will result in no contingent monthly coupons, even if one or both of the other underlying shares have appreciated or have not declined as much. Investors will not participate in any appreciation of any of the underlying shares and should be willing to hold their notes for the entire 5-year term. 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 notes are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

(1)Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $17.50 for each note they sell. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying prospectus supplement.

(2)See "Use of proceeds and hedging" on page 32.

The notes involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 11.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved these notes, or determined if this document or the accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

The notes are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.

You should read this document together with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying prospectus 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 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.

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Terms continued from previous page:

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Investment Summary

Market-Linked Contingent Income Auto-Callable Notes

The Market Linked Contingent Income Notes due May 14, 2029, with 6-Month Initial Non-Call Period Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund (the "notes") do not provide for the regular payment of interest. Instead, the notes will pay a contingent monthly coupon at a rate of 5.50% per annumbut only if the determination closing price of each of the underlying shares is greater than or equal to 75% of the respective initial share price, which we refer to as the respective coupon threshold level, on the related observation date. If 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 coupon for the related monthly period. It is possible that the determination closing price(s) of one or more of the underlying shares will remain below the respective coupon threshold level(s) for extended periods of time or even throughout the entire 5-year term of the notes so that you will receive few or no contingent monthly coupons during the entire term of the notes. We refer to these coupons as contingent because there is no guarantee that you will receive a coupon payment on any coupon payment date. Even if all of the underlying shares were to be at or above the respective coupon threshold levels 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, even if one of the underlying shares were to be at or above the respective coupon threshold level on all monthly observation dates, you will receive a contingent monthly coupon only with respect to the observation dates on which all three of the underlying shares are at or above the respective coupon threshold levels, if any. If the notes have not been automatically redeemed prior to maturity, you will receive for each note you hold at maturity an amount equal to the stated principal amount plus the contingent monthly coupon with respect to the final observation date, if any. Investors will not participate in any appreciation in the price of any of the underlying shares and must be willing to accept the risk of not receiving any contingent monthly coupon payments throughout the entire 5-year term of the notes. The notes provide investors:

◼the repayment of principal upon early redemption or at maturity, subject to our credit risk,

◼the possibility of receiving a contingent monthly coupon when the determination closing price of each of the underlying shares is greater than or equal to the respective coupon threshold level on a monthly observation date, and

◼no exposure to any decline of the underlying shares if the notes are held to maturity.

All payments on the notes are subject to our credit risk.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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 is less than $1,000. We estimate that the value of each note on the pricing date is $974.00.

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 shares. The estimated value of the notes 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 notes?

In determining the economic terms of the notes, including the contingent monthly coupon rate, the coupon threshold levels and the call 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 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 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 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 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 notes, and, if it once chooses to make a market, may cease doing so at any time.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Key Investment Rationale

Market-Linked Contingent Income Auto-Callable Notes provide for the repayment of principal upon early redemption or at maturity, subject to our creditworthiness. They are for investors who are concerned about principal risk, who are willing to forgo upside participation in any appreciation of the underlying shares and who seek an opportunity to earn interest at a potentially above-market rate when the determination closing price of each of the underlying shares is greater than or equal to the respective coupon threshold level on the monthly observation dates until the notes are redeemed early or reach maturity. Investors will not participate in any appreciation in the price of any of the underlying shares. The following scenarios are for illustrative purposes only and do not attempt to demonstrate every situation that may occur. Accordingly, the notes may or may not be redeemed early, and the contingent monthly coupon may be payable in none of, or some but not all of, the monthly periods during the 5-year term of the notes.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

How the Notes Work

The following diagrams illustrate the potential outcomes for the notes depending on (1) the determination closing prices on each monthly observation date and (2) the determination closing prices on each quarterly redemption determination date (beginning after six months). Please see "Hypothetical Examples" below for an illustration of hypothetical payouts on the notes.

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

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

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is payable with respect to an observation date and how to calculate the payment at maturity, assuming the notes are not automatically redeemed early. 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. All payments on the notes, including the repayment of principal at maturity, are subject to our credit risk. The actual initial share price, coupon threshold level and call threshold level for each of the underlying shares are set forth on the cover of this document. The below examples are based on the following terms:

1 The 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 $4.583 is used in these examples for ease of analysis.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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 $4.583 is paid on the relevant coupon payment date.

On each of hypothetical observation dates 2 and 3, at least one of the underlying shares closes at or above the respective coupon threshold level, but one or both of the other underlying shares close below the respective coupon threshold level(s). 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.

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

In the following examples, one or more underlying shares close below the respective call threshold level(s) on each redemption determination date, and, consequently, the notes are not automatically redeemed prior to, and remain outstanding until, maturity.

In example 1, the determination closing prices of each of the XLF Shares, the XLE Shares and the XLK Shares are greater than or equal to the respective coupon threshold levels. Therefore, investors receive at maturity the stated principal amount of the notes and the contingent monthly coupon with respect to the final observation date. Investors do not participate in the appreciation of any of the underlying shares.

In example 2, the determination closing prices of two of the underlying shares are above the respective coupon threshold levels, but the determination closing price of one of the underlying shares is below the respective coupon threshold level. Therefore, no contingent monthly coupon is paid with respect to the final observation date and investors receive at maturity only the stated principal amount of the notes.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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 prospectus 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 provide for the regular payment of interest and may pay no interest over the entire term of the notes. The terms of the notes differ from those of ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the notes will pay a contingent monthly coupon but only if the determination closing price of each of the underlying shares is greater than or equal to 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 less than the respective coupon threshold level on the related 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 any of the underlying shares could remain below the respective coupon threshold level for extended periods of time or even throughout the entire 5-year term of the notes so that you will receive few or no contingent monthly coupons. If you do not earn sufficient contingent coupons over the term of the notes, the overall return on the notes 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 price of each 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 less than the respective coupon threshold level, you will receive no coupon for the related interest period, even if the price of such underlying shares was greater than or equal to the respective coupon threshold level on other days during that interest period and even if the determination closing price(s) of the other underlying shares are greater than or equal to the respective coupon threshold level(s) on the relevant observation date.

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

◼Reinvestment risk. The term of your investment in the notes may be shortened due to the automatic early redemption feature of the notes. If the notes 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 notes be redeemed in the first six months of the term of the notes.

◼The market price of the notes may 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. 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, will affect the value of the notes more than any other factors. Other factors that may influence the value of the notes include:

othe trading price and volatility (frequency and magnitude of changes in price) of the underlying shares and of the stocks composing 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,

ointerest and yield rates in the market,

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

odividend rates on the stocks constituting the share underlying indices, if any,

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,

othe time remaining until the notes 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 the underlying shares and changes in the constituent stocks of the respective share underlying indices, and

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

The prices of the underlying shares may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. You cannot predict the future performance of any of the underlying shares based on historical performance. The prices 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. There can be no assurance that the determination closing prices of all of the underlying shares will be greater than or equal to the respective coupon threshold levels on any observation date so that you will receive a contingent monthly coupon payment on the notes for the applicable interest period. See "Financial Select Sector SPDR® Fund Overview," "Energy Select Sector SPDR® Fund Overview" and "Technology Select Sector SPDR® Fund Overview."

◼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, upon early redemption or on any coupon payment date, 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 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.

◼Investing in the notes is not equivalent to investing in the underlying shares or the stocks composing the share underlying indices. Investing in the notes is not equivalent to investing in the underlying shares, the share underlying indices or the stocks that constitute the share underlying indices. Investors in the notes 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.

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Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

◼The notes will not be listed on any securities exchange and secondary trading may be limited, and accordingly, you should be willing to hold your notes for the entire 5-year term of the notes. 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 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 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 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 may be influenced by many unpredictable factors" above.

◼The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of the issuer, will make determinations with respect to the notes. As calculation agent, MS & Co. will determine the initial share prices, the coupon threshold levels, the call threshold levels, the determination closing prices on each observation date, whether you receive a contingent monthly coupon on each coupon payment date and/or at maturity (if the notes have not previously been redeemed), whether the notes 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 (and of any adjustments to the adjustment factors). These potentially subjective determinations may affect the payout to you on the notes. For further information regarding these types of determinations, see "Additional Terms of the Notes-Additional Terms-Postponement of coupon payment dates (including the maturity date) and early redemption dates," "-Postponement of observation dates and redemption determination dates," "-Calculation agent," "-Market disruption event," "-Discontinuance of the underlying shares and/or

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the share underlying indices; alteration of method of calculation" and "-Alternate exchange calculation in case of an event of default." 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 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 shares and the share underlying indices), including trading in the underlying shares and in futures and/or options contracts on the underlying shares or any component stocks of the share underlying indices listed on major securities markets. 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 observation dates approach. Some of our other affiliates also trade the underlying shares and other financial instruments related to the underlying shares 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 potentially increase (i) the price at or above which such underlying shares must close on the redemption determination dates so that the notes are redeemed prior to maturity for the early redemption payment (depending also on the performance of the other underlying shares) and (ii) the coupon threshold level for such underlying shares, which is the price at or above which the underlying shares must close on the observation dates so that you receive a contingent monthly coupon on the notes (depending also on the performance of the other underlying shares). Additionally, such hedging or trading activities during the term of the notes could potentially affect the closing price of any of the underlying shares on the redemption determination dates and the observation dates, and, accordingly, whether we redeem the notes prior to maturity and whether we pay a contingent monthly coupon on the notes (depending also on the performance of the other underlying shares).

Risks Relating to the Underlying Shares

◼You are exposed to the price risk of each of the underlying shares with respect to the contingent monthly coupons. Your return on the notes is not linked to a basket consisting of the underlying shares. Rather, it will be based 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 notes 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, all of the underlying shares must close at or above the respective coupon threshold levels on the applicable observation date. Therefore, if any of the underlying shares has declined to below the respective coupon threshold as of an observation date, you will not receive the contingent monthly coupon on the related coupon payment date, even if the other underlying shares have appreciated or have not declined as much. Accordingly, your investment is subject to the price risk of each of the underlying shares.

◼Because the notes are linked to the performance of the worst performing underlying shares, you are exposed to a greater risk of receiving no contingent monthly coupons than if the notes were linked to just one of the underlying shares. The risk that you will not receive any contingent monthly coupons is greater if you invest in the notes as opposed to similar notes 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, and therefore it is more likely that you will not receive any contingent monthly coupons than if the notes were linked to just one of the underlying shares. In addition, because each of the underlying shares must close at or above the respective call threshold level on a quarterly redemption determination date (beginning after six months) in order for the notes to be called prior to maturity, the notes are less likely to be called on any early redemption date than if the notes were linked to just one of the underlying shares.

◼Investing in the notes exposes investors to risks associated with investments with a concentration in the financial services sector. The stocks included in the Financial Select Sector Index and that are generally tracked by the XLF Shares are stocks of companies whose primary business is directly associated with the financial services sector, including the following sub-sectors: diversified financial services, insurance, commercial banks, capital markets, real estate investment trusts ("REITs"), consumer finance, thrifts & mortgage finance, and real estate management & development. Because the value of the notes is linked to the performance of the XLF Shares, an investment in the notes exposes investors to risks associated with investments in securities with a concentration in the financial services sector.

May 2024Page 14

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Financial services companies are subject to specific and substantial risks, including, without limitation, significant competition and extensive government regulation, which may limit both the amounts and types of loans and other financial commitments they can make, the businesses they can enter and the interest rates and fees they can charge. The ability of companies in the financial services sector to generate profits is largely dependent on the availability and cost of capital funds, which may fluctuate significantly when interest rates or company credit ratings change. The stock prices of financial institutions, especially those engaged in investment banking, brokerage and banking businesses, have historically been unpredictable, with significant stock price fluctuations in response to reported trading losses in proprietary trading businesses, actual or perceived problems related to risk management systems, the amount of total leverage, liquidity of assets or capital resources, the strength of the mergers and acquisitions and capital markets businesses and general economic conditions, among other factors. Insurance companies, which are the issuers of some of the equity securities held by the Financial Select Sector SPDR® Fund, have been and may continue to be subject to severe price competition. As a result, the value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting the financial services sector or one of the sub-sectors of the financial services sector than a different investment linked to securities of a more broadly diversified group of issuers.

◼Investing in the notes exposes investors to risks associated with investments with a concentration in the energy sector. The stocks included in the Energy Select Sector Index and that are generally tracked by the XLE Shares are stocks of companies whose primary business is directly associated with the energy sector, including the following sub-sectors: (i) oil, gas and consumable fuels and (ii) energy equipment and services. Because the value of the notes is linked to the performance of the XLE Shares, an investment in the notes exposes investors to risks associated with investments in securities with a concentration in the energy sector.

Energy companies develop and produce crude oil and natural gas and/or provide drilling and other energy resources production and distribution related services. Stock prices for these types of companies are mainly affected by the business, financial and operating condition of the particular company, as well as changes in prices for oil, gas and other types of fuels, which in turn largely depend on supply and demand for various energy products and services. Some of the factors that may influence supply and demand for energy products and services include: general economic conditions and growth rates, weather conditions, the cost of exploring for, producing and delivering oil and gas, technological advances affecting energy efficiency and energy consumption, the ability of the Organization of the Petroleum Exporting Countries (OPEC) to set and maintain production levels of oil, currency fluctuations, inflation, natural disasters, civil unrest, acts of sabotage or terrorism and other regional or global events. The profitability of energy companies may also be adversely affected by existing and future laws, regulations, government actions and other legal requirements relating to protection of the environment, health and safety matters and others that may increase the costs of conducting their business or may reduce or delay available business opportunities. Increased supply or weak demand for energy products and services, as well as various developments leading to higher costs of doing business or missed business opportunities, would adversely impact the performance of companies in the energy sector. The value of the notes may be subject to greater volatility and be more adversely affected by a single economic, political or regulatory occurrence affecting the energy sector or one of the sub-sectors of the energy sector than a different investment linked to securities of a more broadly diversified group of issuers.

◼Investing in the notes exposes investors to risks associated with investments 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 notes is linked to the performance of the XLK Shares, an investment in the notes 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 notes.

May 2024Page 15

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

◼Adjustments to the underlying shares or to the share underlying indices could adversely affect the value of the notes. The investment advisor to each of the underlying shares (SSGA Funds Management, Inc.) 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, the investment advisor 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 notes. The publisher of the share underlying indices is responsible for calculating and maintaining the share underlying indices. The publisher may add, delete or substitute the securities constituting the share underlying indices or make other methodological changes that could change the value of the share underlying indices, and, consequently, the price of the underlying shares and the value of the notes. The publisher of the share underlying indices may discontinue or suspend calculation or publication of a share underlying index at any time. If trading in any of the underlying shares is permanently discontinued and/or any of the underlying shares are liquidated or otherwise terminated, and the publisher of the share underlying indices discontinues publication of the related share underlying index, 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 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 notes may be materially and adversely affected.

◼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 their 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. Additionally, 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 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 notes. 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 notes. 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.

May 2024Page 16

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Financial Select Sector SPDR® Fund Overview

The Financial Select Sector SPDR® Fund is an exchange-traded fund managed by Select Sector SPDR Trust (the "Trust"), a registered investment company. The Trust consists of numerous separate investment portfolios, including the Financial Select Sector SPDR® Fund. The Financial Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Financial Select Sector Index. It is possible that this fund may not fully replicate the performance of the Financial 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 Securities and Exchange Commission (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 Financial Select Sector SPDR® Fund is accurate or complete.

Information as of market close on May 8, 2024:

The following graph sets forth the daily closing prices of the XLF Shares for the period from January 1, 2019 through May 8, 2024. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the XLF Shares for each quarter in the same period. The closing price of the XLF Shares on May 8, 2024 was $41.36. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The XLF Shares have at times experienced periods of high volatility, and you should not take the historical performance of the XLF Shares as an indication of future performance of the XLF Shares. No assurance can be given as to the closing price of the XLF Shares at any time, including on the observation dates.

* The red solid line indicates the coupon threshold level, which is 75% of the initial share price.

May 2024Page 17

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

This document relates only to the notes referenced hereby and does not relate to the XLF 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 notes, 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 XLF Shares (and therefore the price of the XLF Shares at the time we priced the notes) 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 notes and therefore the value of the notes.

Neither we nor any of our affiliates makes any representation to you as to the performance of the XLF 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 XLF Shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the notes under the securities laws. As a purchaser of the notes, 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 XLF 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 notes are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P® and the Trust make no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. 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 notes.

May 2024Page 18

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Financial Select Sector Index. The Financial Select Sector Index is calculated and disseminated by S&P® and is designed to provide an effective representation of the financial sector of the S&P 500® Index. The Financial Select Sector Index includes companies in the following industries: diversified financial services, insurance, commercial banks, capital markets, real estate investment trusts ("REITs"), thrift & mortgage finance, consumer finance and real estate management & development. See "S&P® Select Sector Indices-Financial Select Sector Index" in the accompanying index supplement.

May 2024Page 19

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Energy Select Sector SPDR® Fund Overview

The Energy 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 Energy Select Sector SPDR® Fund. The Energy Select Sector SPDR® Fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Energy Select Sector Index. It is possible that this fund may not fully replicate the performance of the Energy 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 Energy Select Sector SPDR® Fund is accurate or complete.

Information as of market close on May 8, 2024:

The following graph sets forth the daily closing prices of the XLE Shares for the period from January 1, 2019 through May 8, 2024. The related table sets forth the published high and low closing prices, as well as the end-of-quarter closing prices, of the XLE Shares for each quarter in the same period. The closing price of the XLE Shares on May 8, 2024 was $93.10. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The XLE Shares have at times experienced periods of high volatility, and you should not take the historical performance of the XLE Shares as an indication of future performance of the XLE Shares. No assurance can be given as to the closing price of the XLE Shares at any time, including on the observation dates.

* The red solid line indicates the coupon threshold level, which is 75% of the initial share price.

May 2024Page 20

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

This document relates only to the notes referenced hereby and does not relate to the XLE 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 notes, 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 XLE Shares (and therefore the price of the XLE Shares at the time we priced the notes) 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 notes and therefore the value of the notes.

Neither we nor any of our affiliates makes any representation to you as to the performance of the XLE 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 XLE Shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the notes under the securities laws. As a purchaser of the notes, 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 XLE Shares.

The notes are not sponsored, endorsed, sold, or promoted by the Trust. The Trust makes no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. The Trust has no obligation or liability in connection with the operation, marketing, trading or sale of the notes.

May 2024Page 21

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

"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 notes are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P® and the Trust make no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. 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 notes.

Energy Select Sector Index. The Energy Select Sector Index, which is one of the Select Sector sub-indices of the S&P 500® Index, is intended to track the movements of companies that are components of the S&P 500® Index and are involved in the development or production of energy products. The Energy Select Sector Index includes component stocks in industries such as energy equipment and services; and oil, gas & consumable fuels. See "S&P® Select Sector Indices-Energy Select Sector Index" in the accompanying index supplement.

May 2024Page 22

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Technology Select Sector SPDR® Fund Overview

The Technology 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 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 Technology Select Sector SPDR® Fund is accurate or complete.

Information as of market close on May 8, 2024:

The following graph sets forth the daily closing prices of the XLK Shares for the period from January 1, 2019 through May 8, 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 May 8, 2024 was $204.84. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The XLK Shares have at times experienced periods of high volatility, and you should not take the historical performance of the XLK Shares as an indication of future performance of the XLK Shares. No assurance can be given as to the closing price of the XLK Shares at any time, including on the observation dates.

* The red solid line indicates the coupon threshold level, which is 75% of the initial share price.

May 2024Page 23

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

This document relates only to the notes 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 notes, 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 notes) 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 notes and therefore the value of the notes.

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 notes under the securities laws. As a purchaser of the notes, 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 notes are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P® and the Trust make no representations or warranties to the owners of the notes or any member of the public regarding the advisability of investing in the notes. 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 notes.

May 2024Page 24

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

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.

May 2024Page 25

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Additional Terms of the Notes

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

May 2024Page 26

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 27

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 28

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 29

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 30

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

Additional Information About the Notes

May 2024Page 31

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 32

Market-Linked Contingent Income Auto-Callable Notes due May 14, 2029, with 6-Month Initial Non-Call Period

Based on the Worst Performing of the Financial Select Sector SPDR® Fund, the Energy Select Sector SPDR® Fund and the Technology Select Sector SPDR® Fund

May 2024Page 33