Primary Offering Prospectus - Form 424B2

May 2024

Preliminary Pricing Supplement No. 2,075
Registration Statement Nos. 333-275587; 333-275587-01
Dated April 30, 2024
Filed pursuant to Rule 424(b)(2)

Structured Investments

Opportunities in U.S. Equities

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Fully and Unconditionally Guaranteed by Morgan Stanley

The notes offered are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The notes have the terms described in the accompanying prospectus supplement, index supplement and prospectus, as supplemented or modified by this document. Unlike ordinary debt securities, the notes do not provide for the regular payment of interest and instead will pay a contingent monthly coupon but only if the closing level of each of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index on the related observation date is at or above85% of its respective initial level, which we refer to as the barrier level. If the closing level of any underlying is less than the barrier level for such underlying on any observation date, we will pay no interest for the related interest period. In addition, beginning on May 8, 2025, we will redeem the notes on any quarterly redemption date, for a redemption payment equal to the sum of the stated principal amount plus any contingent monthly coupon otherwise due with respect to the related observation date, if and only if the output of a risk neutral valuation model on a business day, as selected by the calculation agent, that is no earlier than three business days before the observation date preceding such redemption date and no later than such observation date, based on the inputs indicated under "Call feature" below, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. An early redemption of the notes will not automatically occur based on the performance of the underlyings. At maturity, if the notes have not been previously redeemed, you will receive an amount equal to the stated principal amount for each note you hold plus the contingent monthly coupon with respect to the final observation date, if any. Investors will not participate in any appreciation of any underlying and should be willing to hold their notes for the entire 5-year term. These long-dated notes are for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest over the 5-year term if any underlying closes below the barrier level for such underlying on the observation dates, and the risk of an early redemption of the notes based on the output of a risk neutral valuation model. Because the payment of contingent monthly coupons is based on the worst performing of the underlyings, the fact that the notes are linked to three underlyings does not provide any asset diversification benefits and instead means that a decline of any underlying beyond the relevant barrier level will result in no contingent monthly coupons, even if one or both of the other underlyings close at or above their respective barrier levels. We will not pay a contingent monthly coupon on any contingent coupon payment date if the closing value of any underlying is below the barrier level for such underlying on the related observation date.The notes are notes issued as part of MSFL's Series A Global Medium-Term Notes program.

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

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

(2)MS & Co. expects to sell all of the notes that it purchases from us to an unaffiliated dealer at a price of $ per note, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per note. In addition, selected dealers and their financial advisors may receive a structuring fee of up to $6.25 for each note from the agent or its affiliates. MS & Co. will not receive a sales commission with respect to the notes. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying prospectus supplement.

(3)See "Use of proceeds and hedging" beginning on page 33.

The notes involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 12.

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 Terms of the Notes" and "Additional Information About the Notes" at the end of this document.

References to "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

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

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Observation Dates and Contingent Coupon Payment Dates

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Investment Overview

Callable Contingent Income Notes due May 8, 2029 Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index (the "notes") do not provide for the regular payment of interest. Instead, the notes will pay a contingent monthly coupon but only if the closing level of each of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index (which we refer to together as the "underlyings") is at or above 85% of its respective initial level, which we refer to as the barrier level, on the related observation date. If the closing level of any underlying is less than the barrier level for such underlying on any observation date, we will pay no coupon for the related monthly period. It is possible that the closing level of one or more underlyings will remain below the respective barrier 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. We refer to the coupon on the notes as contingent, because there is no guarantee that you will receive a coupon payment on any contingent coupon payment date. Even if an underlying were to be at or above the barrier level for such underlying on some monthly observation dates, it may fluctuate below the barrier level on others. In addition, even if one underlying were to be at or above the barrier level for such underlying on all monthly observation dates, you will receive a contingent monthly coupon only with respect to the observation dates on which the other underlyings are also at or above their respective barrier levels, if any. In addition, beginning on May 8, 2025, we will redeem the notes on any quarterly redemption date, for a redemption payment equal to the sum of the stated principal amount plus any contingent monthly coupon otherwise due with respect to the related observation date, if and only if the output of a risk neutral valuation model on a business day, as selected by the calculation agent, that is no earlier than three business days before the observation date preceding such redemption date and no later than such observation date, based on the inputs indicated under "Call feature" on the cover page, indicates that redeeming on such date is economically rational for us as compared to not redeeming on such date. An early redemption of the notes will not automatically occur based on the performance of the underlyings. At maturity, if the notes have not been previously redeemed, you will receive an amount equal to the stated principal amount for each note you hold plus the contingent monthly coupon with respect to the final observation date, if any.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

We are using this preliminary pricing supplement to solicit from you an offer to purchase the notes. You may revoke your offer to purchase the notes at any time prior to the time at which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to purchase, the notes prior to their issuance. In the event of any material changes to the terms of the notes, we will notify you.

The original issue price of each note is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date will be less than $1,000. We estimate that the value of each note on the pricing date will be approximately $971.30, or within $40.00 of that estimate. Our estimate of the value of the notes as determined on the pricing date will be set forth in the final pricing supplement.

What goes into the estimated value on the pricing date?

In valuing the notes on the pricing date, we take into account that the notes comprise both a debt component and a performance-based component linked to the underlyings. The estimated value of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlyings, instruments based on the underlyings, 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 and the barrier 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 underlyings, 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 underlyings, 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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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Key Investment Rationale

The notes do not provide for the regular payment of interest and instead will pay a contingent monthly coupon but only if the closing level of each underlying is at or above 85% of its initial level, which we refer to as the barrier level, on the related observation date. The notes have been designed for investors who are willing to forgo market floating interest rates, accept the risk of receiving no interest payments during the entire 5-year term of the notes and accept the risk of an early redemption of the notes based on the output of a risk neutral valuation model in exchange for an opportunity to earn interest at a potentially above-market rate if each underlying closes at or above its respective barrier level on each monthly observation date. Investors will not participate in any appreciation of any underlying.

The following scenarios are for illustration purposes only to demonstrate how the coupon is calculated (if the notes have not previously been redeemed), and do not attempt to demonstrate every situation that may occur. Accordingly, the notes may or may not be redeemed by us based on the output of a risk neutral valuation model, and the contingent coupon may be payable with respect to none of, or some but not all of, the monthly periods during the 5-year term of the notes.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Underlyings Summary

Utilities Select Sector SPDR® Fund

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

Information as of market close on April 26, 2024:

This document relates only to the notes offered hereby and does not relate to the XLU 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 XLU Shares (and therefore the price of the XLU Shares at the time we price 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 XLU 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 XLU 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 prospective 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 XLU 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®, S&P® Global Inc. 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.

Utilities Select Sector Index. The Utilities 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 utilities sector of the S&P 500® Index. The Utilities Select Sector Index includes component stocks in industries such as electric utilities; multi-utilities; independent power and renewable energy producers; water utilities; and gas utilities. For more information, see "S&P® Select Sector Indices-Utilities Select Sector Index" in the accompanying index supplement.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

SPDR® S&P® Regional Banking ETF

The SPDR® S&P® Regional Banking ETF is an exchange-traded fund managed by SSGA Funds Management, Inc., which seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the S&P® Regional Banks Select Industry Index. The SPDR® Series Trust is a registered investment company that consists of numerous separate investment portfolios, including the SPDR® S&P® Regional Banking ETF. Information provided to or filed with the Commission by the SPDR® Series Trust pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-57793 and 811-08839, 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 SPDR® S&P® Regional Banking ETF is accurate or complete.

Information as of market close on April 26, 2024:

This document relates only to the notes offered hereby and does not relate to the KRE Shares. We have derived all disclosures contained in this document regarding the SPDR® Series 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 SPDR® Series Trust. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the SPDR® Series 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 KRE Shares (and therefore the price of the KRE Shares at the time we price 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 SPDR® Series 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 KRE Shares.

We and/or our affiliates may presently or from time to time engage in business with the SPDR® Series Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect to the SPDR® Series 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 KRE 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 prospective purchaser of the notes, you should undertake an independent investigation of the SPDR® Series Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the KRE Shares.

"Standard & Poor's®," "S&P®," "S&P 500®," "SPDR®," and "SPDR® Series Trust" 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 SPDR® Series Trust. S&P®, S&P® Global Inc. and the SPDR® Series 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 SPDR® Series Trust have no obligation or liability in connection with the operation, marketing, trading or sale of the notes.

S&P® Regional Banks Select Industry Index. The S&P® Regional Banks Select Industry Index is a modified equal weighted index composed of stocks in the S&P® Total Market Index that are classified as part of the Regional Banks sub-industry under the Global Industry Classification Standard. For additional information about the S&P® Regional Banks Select Industry Index, see the information set forth under "Regional Banks Select Industry Index" in the accompanying index supplement.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Russell 2000® Index

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

Information as of market close on April 26, 2024:

For additional information about the Russell 2000® Index, see the information set forth under "Russell Indices-Russell 2000® Index" in the accompanying index supplement. Furthermore, for additional historical information, see "Russell 2000® Index Historical Performance" below.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is payable with respect to an observation date. The following examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be determined by reference to the closing level of each underlying on each monthly observation date. Any early redemption of the notes will be based on the output of a risk neutral valuation model. The actual initial level and barrier level for each underlying will be determined on the pricing date. All payments on the notes, including the repayment of principal, are subject to our credit risk. 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 $7.708 is used in these examples for ease of analysis.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

How to determine whether a contingent monthly coupon is payable with respect to an observation date (if the securities have not been previously redeemed):

On hypothetical observation date 1, the XLU Shares, the KRE Shares and the RTY Index all close at or above their respective barrier levels. Therefore, a contingent monthly coupon of $7.708 is paid on the relevant contingent coupon payment date.

On each of the hypothetical observation dates 2 and 3, at least one underlying closes at or above its barrier level but one or both of the other underlyings close below their respective barrier level(s). Therefore, no contingent monthly coupon is paid on the relevant contingent coupon payment date.

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

You will not receive a contingent monthly coupon on any contingent coupon payment date if the closing value of any underlying is below its respective barrier level on the related observation date.

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Risk Factors

This section describes the material risks relating to the notes. For further discussion of these and other risks, you should read the section entitled "Risk Factors" in the accompanying 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 regular interest payments. 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 closing level of each underlying is at or above 85% of its respective initial level, which we refer to as the barrier level, on the related observation date. If, on the other hand, the closing level of any underlying is lower than the barrier level for such underlying on the relevant observation date for any interest period, we will pay no coupon on the applicable contingent coupon payment date. It is possible that the closing level of one or more underlyings will remain below the respective barrier 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. 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 notes have early redemption risk. The term of the notes, and thus your opportunity to earn a potentially above-market coupon if the closing level of each underlying is greater than or equal to the barrier level for such underlying on monthly observation dates, will be limited if we redeem the notes based on the output of a risk neutral valuation model on any quarterly redemption date, beginning May 8, 2025. The term of your investment in the notes may be limited to as short as one year. In accordance with the risk neutral valuation model determination noted herein, it is more likely that we will redeem the notes when it would be advantageous for you to continue to hold the notes. As such, we will be more likely to redeem the notes when the closing level of each underlying on the observation dates is at or above the barrier level for such underlying, which would otherwise result in an amount of interest payable on the notes that is greater than instruments of a comparable maturity and credit rating trading in the market. In other words, we will be more likely to redeem the notes at a time when the notes are paying an above-market coupon. If the notes are redeemed prior to maturity, you will receive no more contingent monthly coupon payments, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.

On the other hand, we will be less likely to redeem the notes when the closing level of any underlying is below the respective barrier level, such that you will receive no contingent monthly coupons. Therefore, if we do not redeem the notes, it is more likely that you will receive few or no contingent monthly coupons.

￭The contingent monthly coupon, if any, is based only on the value of each underlying on the related monthly observation date at the end of the related interest period. Whether the contingent monthly coupon will be paid on any contingent coupon payment date will be determined at the end of the relevant interest period, based on the closing level of each underlying on the relevant monthly observation date. As a result, you will not know whether you will receive the contingent monthly coupon on any contingent coupon payment date until near the end of the relevant interest period. Moreover, because the contingent monthly coupon is based solely on the value of each underlying on monthly observation dates, if the closing level of any underlying on any observation date is below the barrier level for such underlying, you will receive no coupon for the related interest period, even if the level of such underlying was at or above its respective barrier level on other days during that interest period, and even if the closing levels of the other underlyings were at or above the barrier levels for such underlyings.

￭Investors will not participate in any appreciation in any underlying. Investors will not participate in any appreciation in any underlying from the initial level for such underlying, 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 closing level of each underlying is greater than or equal to its respective barrier level until the notes are redeemed or reach maturity.

￭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 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

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Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

market and the value of each underlying on any day, including in relation to its respective barrier level, will affect the value of the notes more than any other factors. Other factors that may influence the value of the notes include:

othe volatility (frequency and magnitude of changes in value) of each underlying and of the stocks composing the RTY Index and the stocks composing the share underlying indices with respect to the XLU Shares and the KRE Shares,

owhether the closing level of any underlying has been below its respective barrier level on any observation date,

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

odividend rates on the securities underlying the RTY Index and the share underlying indices with respect to the XLU Shares and the KRE Shares,

othe time remaining until the notes mature,

ointerest and yield rates in the market,

othe availability of comparable instruments,

othe composition of the underlyings and changes in the constituent stocks of the RTY Index and the share underlying indices with respect to the XLU Shares and the KRE Shares,

othe occurrence of certain events affecting the XLU Shares or the KRE Shares that may or may not require an adjustment to an adjustment factor, 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 notes prior to maturity. 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. In particular, if any underlying has closed near or below the barrier level for such underlying, the market value of the notes is expected to decrease substantially, and you may have to sell your notes at a substantial discount from the stated principal amount of $1,000 per note.

You cannot predict the future performance of any underlying based on its historical performance. The value of any underlying may decrease and be below the barrier level for such underlying on each observation date so that you will receive no return on your investment throughout the entire 5-year term of the notes. There can be no assurance that the closing value of each underlying will be at or above the respective barrier level on any observation date so that you will receive a coupon payment on the notes for the applicable interest period. See "Utilities Select Sector SPDR® Fund Historical Performance," "SPDR® S&P® Regional Banking ETF Historical Performance" and "Russell 2000® Index Historical Performance" below.

￭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 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.

May 2024 Page 13

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

￭Investing in the notes is not equivalent to investing in the underlyings, in the stocks composing the RTY Index or the share underlying indices with respect to the XLU Shares and the KRE Shares. Investing in the notes is not equivalent to investing in any of the underlyings, in the component stocks of the RTY Index or the share underlying indices with respect to the XLU Shares or the KRE Shares. Investors in the notes will not participate in any positive performance of any underlying, and will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute the RTY Index or the share underlying indices with respect to the XLU Shares or the KRE Shares.

￭The notes will not be listed on any securities exchange and secondary trading may be limited.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 underlyings, 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 will be influenced by many unpredictable factors" above.

￭Hedging and trading activity by our affiliates could potentially adversely affect the value of the notes. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the notes (and to other instruments linked to the underlyings or the share underlying index with respect to the XLU Shares or the KRE Shares), including trading in the XLU Shares and the KRE Shares, the stocks that constitute the RTY Index or the share underlying indices as well as

May 2024 Page 14

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

in other instruments related to the underlyings. 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 final observation date approaches. Some of our affiliates also trade the underlyings and other financial instruments related to the underlyings or 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 level of an underlying, and, therefore, could increase the barrier level for such underlying, which, if the notes have not been redeemed, is the value at or above which such underlying must close on the observation dates in order for you to earn a contingent monthly coupon (depending also on the performance of the other underlyings). Additionally, such hedging or trading activities during the term of the notes could affect the value of an underlying on the observation dates, and, accordingly, whether we pay a contingent monthly coupon on the notes (depending also on the performance of the other underlyings).

￭The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the notes. As calculation agent, MS & Co. will determine the initial level for each underlying, the barrier level for each underlying and whether you receive a contingent monthly coupon on each contingent coupon payment date and at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events and the selection of a successor index or calculation of the closing price or index closing value, as applicable, of any underlying in the event of a market disruption event or discontinuance of the RTY Index or the share underlying indices. These potentially subjective determinations may affect the payout to you upon an early redemption or at maturity. For further information regarding these types of determinations, see "Additional Terms of the Notes-Additional Terms-Calculation agent," "-Market disruption event," "-Postponement of observation dates," "-Discontinuance of the RTY Index; alteration of method of calculation," "-Discontinuance of the KRE Shares of the XLU Shares and/or the share underlying indices; alteration of method of calculation," and "-Alternate exchange calculation in case of an event of default" below. In addition, MS & Co. has determined the estimated value of the notes on the pricing date.

Risks Relating to the Underlying Indices

￭You are exposed to the price risk of each underlying with respect to the contingent monthly coupons. Your return on the notes is not linked to a basket consisting of all three underlyings. Rather, it will be contingent upon the independent performance of each underlying. 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 underlying. Poor performance by any underlying 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 underlyings. To receive any contingent monthly coupons, each underlying must close at or above its respective barrier level on the applicable observation date. Accordingly, your investment is subject to the price risk of each underlying.

￭Because the notes are linked to the performance of the worst performing underlying, you are exposed to a greater risk of receiving no contingent monthly coupons than if the notes were linked to just one underlying. The risk that you will not receive any contingent monthly coupons is greater if you invest in the notes as opposed to substantially similar securities that are linked to the performance of just one underlying. With three underlyings, it is more likely that any underlying will close below its barrier level on any observation date than if the notes were linked to only one underlying, and therefore it is more likely that you will not receive any contingent monthly coupons.

￭Investing in the notes exposes investors to risks associated with investments with a concentration in the utilities sector. The stocks included in the Utilities Select Sector Index and that are generally tracked by the XLU Shares are stocks of companies whose primary business is directly associated with the utilities sector. Because the value of the notes is linked to the performance of the XLU Shares, an investment in the notes exposes investors to risks associated with investments in securities with a concentration in the utilities sector.

Utility companies are affected by supply and demand, operating costs, government regulation, environmental factors, liabilities for environmental damage and general civil liabilities and rate caps or rate changes. Although rate changes of a regulated utility usually fluctuate in approximate correlation with financing costs, due to political and regulatory factors, rate changes ordinarily occur only following a delay after the changes in financing costs. This factor will tend to favorably affect

May 2024 Page 15

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

a regulated utility company's earnings and dividends in times of decreasing costs, but, conversely, will tend to adversely affect earnings and dividends when costs are rising. The value of regulated utility equity securities may tend to have an inverse relationship to the movement of interest rates. Certain utility companies have experienced full or partial deregulation in recent years. These utility companies are frequently more similar to industrial companies in that they are subject to greater competition and have been permitted by regulators to diversify outside of their original geographic regions and their traditional lines of business. These opportunities may permit certain utility companies to earn more than their traditional regulated rates of return. Some companies, however, may be forced to defend their core business and may be less profitable. In addition, natural disasters, terrorist attacks, government intervention or other factors may render a utility company's equipment unusable or obsolete and negatively impact profitability. Among the risks that may affect utility companies are the following: risks of increases in fuel and other operating costs; the high cost of borrowing to finance capital construction during inflationary periods; restrictions on operations and increased costs and delays associated with compliance with environmental and nuclear safety regulations; and the difficulties involved in obtaining natural gas for resale or fuel for generating electricity at reasonable prices. Other risks include those related to the construction and operation of nuclear power plants, the effects of energy conservation and the effects of regulatory changes. 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 utilities 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 banking sector. The stocks included in the S&P® Regional Banks Select Industry Index and that are generally tracked by the KRE Shares are issued by companies whose primary lines of business are directly associated with the banking sector. The performance of bank stocks may be affected by governmental regulation that may limit the amount and types of loans and other financial commitments that banks can make, the interest rates and fees they can charge and the amount of capital they must maintain. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact the banking sector. Banks may also be subject to severe price competition. The banking industry is highly competitive, and thus, failure to maintain or increase market share may adversely affect profitability.

Investments in regional banks, which may be small or medium in size, may involve greater risk than investing in larger, more established banks. Securities of regional banks are often less liquid and subject to greater volatility and less trading volume than is customarily associated with securities of larger banks. A regional bank's financial performance may be dependent upon the business environment in certain geographic regions of the United States and, as a result, adverse economic or employment developments in such regions may negatively impact such regional bank.

￭The notes are linked to the Russell 2000® Index and are subject to risks associated with small-capitalization companies. As the Russell 2000® Index is one of the underlyings, and the Russell 2000® Index consists of stocks issued by companies with relatively small market capitalization, the notes 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 Russell 2000® Index may be more volatile than indices that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

￭The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the XLU Shares or the KRE Shares. MS & Co., as calculation agent, will adjust the adjustment factors for certain events affecting the XLU Shares and the KRE Shares. However, the calculation agent will not make an adjustment for every event that could affect the XLU Shares or the KRE 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.

￭Adjustments to the KRE Shares and the XLU Shares or the indices tracked by the KRE Shares and the XLU Shares could adversely affect the value of the notes. The investment adviser to each of the KRE Shares and the XLU Shares seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the relevant share underlying index. Pursuant to its investment strategies or otherwise, the investment adviser may add, delete

May 2024 Page 16

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

or substitute the securities 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 publishers of the share underlying indices are responsible for calculating and maintaining the each of the share underlying indices. The publishers of the share underlying indices may add, delete or substitute the securities constituting the share underlying indices or make other methodological changes that could change the level of the share underlying indices. The publishers of the share underlying indices may discontinue or suspend calculation or publication of a 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 is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. Any of these actions could adversely affect the price of the KRE Shares and the XLU Shares and, consequently, the value of the notes.

￭The performance and market price of the XLU Shares and the KRE Shares, particularly during periods of market volatility, may not correlate with the performance of its respective share underlying index, the performance of the component securities of such share underlying index or the net asset value per share of the respective underlying shares. The XLU Shares and the KRE Shares do not fully replicate their respective share underlying indices, and each may hold securities that are different than those included in its 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 its 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 its 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 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 its 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 its 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 may 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 its 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.

￭Adjustments to the RTY Index could adversely affect the value of the notes. The publisher of the RTY Index may add, delete or substitute the component stocks of such underlying or make other methodological changes that could change the value of suchunderlying. Any of these actions could adversely affect the value of the notes. The publisher of the RTY Index may also discontinue or suspend calculation or publication of such underlying at any time. In these circumstances, MS & Co., as the calculation agent, will have the sole discretion to substitute a successor index that is comparable to the discontinued index. MS & Co. could have an economic interest that is different than that of investors in the notes insofar as, for example, MS & Co. is permitted to consider indices that are calculated and published by MS & Co. or any of its affiliates. If MS & Co. determines that there is no appropriate successor index on any observation date, the determination of whether a contingent monthly coupon will be payable on the notes on the applicable contingent coupon payment date will be based on whether the value of such underlying, based on the closing prices of the stocks constituting such underlying at the time of

May 2024 Page 17

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

such discontinuance, without rebalancing or substitution, computed by MS & Co. as calculation agent in accordance with the formula for calculating such underlying last in effect prior to such discontinuance, is less than the barrier level for such underlying (depending also on the performance of the other underlyings).

May 2024 Page 18

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Utilities Select Sector SPDR® Fund Historical Performance

The following graph sets forth the daily closing prices of the XLU Shares for the period from January 1, 2019 through April 26, 2024. The related table sets forth the published high and low closing prices, as well as end-of-quarter closing prices, of the XLU Shares for each quarter in the same period. The closing price of the XLU Shares on April 26, 2024 was $66.19. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The XLU Shares have at times experienced periods of high volatility, and you should not take the historical prices of the XLU Shares as an indication of its future performance. No assurance can be given as to the closing level of the XLU Shares on any observation date.

May 2024 Page 19

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 20

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

SPDR® S&P® Regional Banking ETF Historical Performance

The following graph sets forth the daily closing prices of the KRE Shares for the period from January 1, 2019 through April 26, 2024. The related table sets forth the published high and low closing prices, as well as end-of-quarter closing prices, of the KRE Shares for each quarter in the same period. The closing price of the KRE Shares on April 26, 2024 was $48.19. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The KRE Shares have at times experienced periods of high volatility, and you should not take the historical prices of the KRE Shares as an indication of its future performance. No assurance can be given as to the closing level of the KRE Shares on any observation date.

May 2024 Page 21

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 22

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Russell 2000® Index Historical Performance

The following graph sets forth the daily closing values of the RTY Index for the period from January 1, 2019 through April 26, 2024. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the RTY Index for each quarter in the same period. The closing value of the RTY Index on April 26, 2024 was 2,002.000. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The RTY Index has at times experienced periods of high volatility, and you should not take the historical values of the RTY Index as an indication of its future performance. No assurance can be given as to the closing level of the RTY Index on any observation date.

May 2024 Page 23

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

"Russell 2000® Index" and "Russell 3000E™ Index" are trademarks of FTSE Russell. For more information, see "Russell Indices" in the accompanying index supplement.

May 2024 Page 24

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Additional Terms of the Notes

Please read this information in conjunction with the terms on the front cover of this preliminary pricing supplement.

May 2024 Page 25

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 26

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 27

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 28

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 29

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 30

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 31

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

Additional Information About the Notes

May 2024 Page 32

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 33

Callable Contingent Income Notes due May 8, 2029
Payments on the Notes Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the SPDR® S&P® Regional Banking ETF and the Russell 2000® Index

May 2024 Page 34