MS-P Morgan Stanley

December 2024

Pricing Supplement No. 5,554
Registration Statement Nos. 333-275587; 333-275587-01
Dated December 23, 2024
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Opportunities in U.S. Equities

Callable Contingent Income Buffered Securities due November 29, 2027

Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The securities are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The securities have the terms described in the accompanying prospectus supplement, index supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest. The securities will pay a contingent monthly coupon but only if the closing level of each of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index on the related observation date is at or above 75% of its respective initial level, which we refer to as the respective coupon barrier level. If the closing level of any underlying is less than the coupon barrier level for such underlying on any observation date, we will pay no interest for the related monthly period. In addition, beginning on March 27, 2025, we will redeem the securities 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 securities will not automatically occur based on the performance of the underlyings. At maturity, if the securities have not previously been redeemed and if the final level of each underlying has appreciated, has remained unchanged or has declined by an amount less than or equal to the buffer amount of 25%, the payment at maturity will be the stated principal amount and the related contingent monthly coupon. If, however, the final level of any underlying has declined from its initial level by an amount greater than the buffer amount of 25%, investors will lose 1.3333% for every 1% decline of the worst performing underlying beyond the specified buffer amount. Accordingly, investors in the securities must be willing to accept the risk of losing their entire investment, and also the risk of not receiving any monthly coupons during the entire 35-month term of the securities. Because payments on the securities are based on the worst performing of the underlyings, a decline of more than 25% by any underlying will result in few or no contingent monthly coupons and/or a loss of your investment, even if the other underlyings have appreciated or have not declined as much. Investors will not participate in any appreciation in any underlying. The securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate and the limited protection provided by the buffer feature in exchange for the risk of receiving no monthly interest if any underlying closes below the coupon barrier level for such underlying on the observation dates, and the risk of an early redemption of the securities based on the output of a risk neutral valuation model. The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

The Russell 2000 Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini Russell 2000 futures contract trading on the Chicago Mercantile Exchange (the “CME”), and was established on May 20, 2024. The futures contract references the Russell 2000® Index. For more information about the Russell 2000® Index, see the accompanying index supplement. For more information about the Russell 2000 Futures Excess Return Index, see “Annex A — Russell 2000 Futures Excess Return Index” beginning on page 42.

The S&P 500® Futures Excess Return Index measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract trading on the CME. The futures contract references the S&P 500® Index. For more information about the S&P 500® Index, see the accompanying index supplement. For more information about the S&P 500® Futures Excess Return Index, see “Annex B — S&P 500® Futures Excess Return Index” beginning on page 45.

We refer to the E-mini Russell 2000 futures contract and the E-mini S&P 500 futures contract together as the “futures contracts”, and the Russell 2000® Index and the S&P 500® Index together as the “reference indices.”

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

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

(2) MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $999.40 per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. MS & Co. will not receive a sales commission with respect to the securities. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

(3) See “Use of proceeds and hedging” on page 40.

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

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

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

You should read this document together with the related 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 Securities” and “Additional Information About the Securities” 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, 2023 ​ Prospectus dated April 12, 2024

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Observation Dates and Coupon Payment Dates

December 2024  Page 2

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 3

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Investment Overview

Callable Contingent Income Buffered Securities

Principal at Risk Securities

Callable Contingent Income Buffered Securities due November 29, 2027 Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index (the “securities”) do not guarantee the repayment of principal and do not provide for the regular payment of interest. The securities will pay a contingent monthly coupon but only if the closing level of each of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index (which we refer to together as the “underlyings”) is at or above 75% of its respective initial level, which we refer to as the respective coupon barrier level, on the related observation date. If the closing level of any underlying is less than the coupon 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 coupon barrier level(s) for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent monthly coupons during the entire 35-month term of the securities. Even if an underlying were to be at or above the coupon barrier level for such underlying on some monthly observation dates, it may fluctuate below the coupon barrier level on others. In addition, even if one underlying were to be at or above the coupon 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 coupon barrier levels, if any. In addition, beginning on March 27, 2025, we will redeem the securities 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 securities will not automatically occur based on the performance of the underlyings. At maturity, if the securities have not been previously redeemed and if the final level of each underlying has appreciated, remained unchanged or declined by an amount less than or equal to the buffer amount of 25%, the payment at maturity will be the stated principal amount and the related contingent monthly coupon. If, however, the final level of any underlying has declined from its initial level by an amount greater than the buffer amount of 25%, investors will lose 1.3333% for every 1% decline of the worst performing underlying beyond the specified buffer amount. Accordingly, investors in the securities must be willing to accept the risk of losing their entire principal amount if any underlying declines by an amount greater than the buffer amount, and also the risk of not receiving any monthly coupons during the entire 35-month term of the securities.

December 2024  Page 4

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 5

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date is less than $1,000. We estimate that the value of each security on the pricing date is $990.10.

What goes into the estimated value on the pricing date?

In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-based component linked to the underlyings. The estimated value of the securities 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 securities?

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

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

The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the 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 securities 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 securities 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 securities, and, if it once chooses to make a market, may cease doing so at any time.

December 2024  Page 6

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Key Investment Rationale

The securities 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 75% of its initial level, which we refer to as the respective coupon barrier level, on the related observation date. These securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest if any underlying closes below the coupon barrier level for such underlying on the observation dates, and the risk of an early redemption of the securities based on the output of a risk neutral valuation model. The following scenarios are for illustrative purposes only to demonstrate how the payment at maturity and contingent monthly coupon (if the securities have not previously been redeemed) are determined, and do not attempt to demonstrate every situation that may occur. Accordingly, the securities may or may not be redeemed based on the output of a risk neutral valuation model, the contingent monthly coupon may be payable with respect to none of, or some but not all of, the monthly periods, and investors may lose some or all of the stated principal amount of the securities. Investors will not participate in any appreciation in any underlying.

December 2024  Page 7

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

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 December 23, 2024:

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

Neither we nor any of our affiliates makes any representation to you as to the performance of the 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 securities under the securities laws. As a purchaser of the securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed decision with respect to an investment linked to the 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 securities are not sponsored, endorsed, sold, or promoted by S&P®, S&P® Global Inc. or the Trust. S&P®, S&P® Global Inc. and the Trust make no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. S&P®, S&P® Global Inc. and the Trust have no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

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.

December 2024  Page 8

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Russell 2000 Futures Excess Return Index

The Russell 2000 Futures Excess Return Index, which is calculated, maintained and published by FTSE Russell, measures the performance of the nearest maturing quarterly E-mini Russell 2000 futures contracts trading on the Chicago Mercantile Exchange. E-mini Russell 2000 futures contracts are U.S. dollar-denominated futures contracts based on the performance of the Russell 2000® Index.

The inception date for the Russell 2000 Futures Excess Return Index was May 20, 2024. The information regarding the Russell 2000 Futures Excess Return Index prior to May 20, 2024 is a hypothetical retrospective simulation calculated by the Russell 2000 Futures Excess Return Index publisher using the same methodology as is currently employed for calculating the Russell 2000 Futures Excess Return Index based on historical data. Investors should be aware that no actual investment which allowed a tracking of the performance of the Russell 2000 Futures Excess Return Index was possible at any time prior to May 20, 2024. Such data must be considered illustrative only.

Information as of market close on December 23, 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. For additional information about the Russell 2000 Futures Excess Return Index, see “Annex A— Russell 2000 Futures Excess Return Index” below. Furthermore, for additional historical information, see “Russell 2000 Futures Excess Return Index Historical Performance” below.

S&P 500® Futures Excess Return Index

The S&P 500® Futures Excess Return Index, which is calculated, maintained and published by S&P® Dow Jones Indices LLC (“S&P®”), measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contracts trading on the Chicago Mercantile Exchange. E-mini S&P 500 futures contracts are U.S. dollar-denominated futures contracts based on the performance of the S&P 500® Index.

Information as of market close on December 23, 2024:

For additional information about the S&P 500® Index and how it is calculated and maintained, see “S&P® U.S. Indices—S&P 500® Index” in the accompanying index supplement. For additional information about the S&P 500® Futures Excess Return Index, see “Annex B — S&P 500® Futures Excess Return Index” below. Furthermore, for additional historical information, see “S&P 500® Futures Excess Return Index Historical Performance” below.

December 2024  Page 9

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is paid with respect to an observation date and how to calculate the payment at maturity, if any. 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, and the amount you will receive at maturity, if any, will be determined by reference to the final level of each underlying on the final observation date. Any early redemption of the securities will be based on the output of a risk neutral valuation model. The actual initial level and coupon barrier level for each underlying are set forth on the cover of this document. All payments on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:

* 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 $9.667 is used in these examples for ease of analysis.

December 2024  Page 10

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

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 RTYFPE Index and the SPXFP Index all close at or above their respective coupon barrier levels. Therefore, a contingent monthly coupon of $9.667 is paid on the relevant coupon payment date.

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

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

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

December 2024  Page 11

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

In example 1, the final levels of the XLU Shares, the RTYFPE Index and the SPXFP Index are at or above their coupon barrier levels and no underlying has declined from its initial level by an amount greater than the buffer amount. Therefore, investors receive at maturity the stated principal amount of the securities and the contingent monthly coupon with respect to the final observation date. However, investors do not participate in the appreciation of any underlying.

In examples 2 and 3, the final level(s) of one or two of the underlyings are at or above their respective coupon barrier level(s) and have not declined from the respective initial level(s) by an amount greater than the buffer amount, but the final level(s) of one or two underlyings have declined from the respective initial level(s) by an amount greater than the buffer amount. Therefore, investors lose 1.3333% for every 1% decline in the worst performing underlying beyond the buffer amount of 25%.

In example 4, the final level of each underlying has declined from its initial level by an amount greater than the buffer amount. As a result, investors lose 1.3333% for every 1% decline in the worst performing underlying beyond the buffer amount of 25%. The XLU Shares have declined 70% from its initial level to its final level, the RTYFPE Index has declined 40% from its initial level to its final level and the SPXFP Index has declined 30% from its initial level to its final level. Therefore, investors lose 1.3333% for every 1% decline in the final level of the XLU Shares from its initial level beyond the buffer amount of 25%.

In example 5, the final level of each underlying has declined from its initial level by an amount greater than the buffer amount. As a result, investors lose 1.3333% for every 1% decline in the worst performing underlying beyond the buffer amount of 25%. The XLU Shares have declined 60% from its initial level to its final level, the RTYFPE Index has declined 50% from its initial level to its final level and the SPXFP Index has declined 80% from its initial level to its final level. Therefore, investors lose 1.3333% for every 1% decline in the final level of the SPXFP Index beyond the buffer amount of 25%.

If the securities have not been redeemed prior to maturity and the final level of ANY underlying has declined from its initial level by an amount greater than the buffer amount, you will be exposed on a leveraged basis to the downside performance of the worst performing underlying beyond the buffer amount at maturity, and you will lose some or all of your initial investment in the securities.

December 2024  Page 12

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Risk Factors

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

Risks Relating to an Investment in the Securities

￭The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that they do not guarantee the repayment of principal. If the securities have not been redeemed prior to maturity and the final level of any underlying has declined from its initial level by an amount greater than the buffer amount of 25%, you will lose 1.3333% for every 1% decline in the value of the worst performing underlying from its initial level beyond the buffer amount of 25%. In this case, the payment at maturity will be less than the stated principal amount and could be zero. You could lose your entire investment in the securities.

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

￭The securities have early redemption risk. The term of the securities, 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 coupon barrier level for such underlying on monthly observation dates, will be limited if we redeem the securities based on the output of a risk neutral valuation model on any quarterly redemption date, beginning March 27, 2025. The term of your investment in the securities may be limited to as short as three months. In accordance with the risk neutral valuation model determination noted herein, it is more likely that we will redeem the securities when it would be advantageous for you to continue to hold the securities. As such, we will be more likely to redeem the securities when the closing level of each underlying on the observation dates is at or above the coupon barrier level for such underlying, which would otherwise result in an amount of interest payable on the securities 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 securities at a time when the securities are paying an above-market coupon. If the securities 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 securities when the closing level of any underlying is below the respective coupon barrier level and/or when the final level for any underlying is expected to have declined from its respective initial level by an amount greater than the buffer amount, such that you will receive no contingent monthly coupons and/or that you will suffer a loss on your initial investment in the securities at maturity. Therefore, if we do not redeem the securities, it is more likely that you will receive few or no contingent monthly coupons and suffer a loss at maturity.

￭The contingent monthly coupon, if any, is based only on the value of each underlying on the related monthly observation date. 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 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 coupon payment date until near the end of the relevant monthly 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

December 2024  Page 13

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

below the coupon 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 coupon barrier level on other days during that interest period and even if the closing levels of the other underlyings were at or above their respective coupon barrier levels.

￭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 securities 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 coupon barrier level until the securities 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 securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the level of interest rates available in the market and the value of each underlying on any day, including in relation to its respective coupon barrier level, will affect the value of the securities more than any other factors. Other factors that may influence the value of the securities include:

othe volatility (frequency and magnitude of changes in value) of each underlying and of the stocks composing the share underlying index, the RTYFPE Index and the SPXFP Index,

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

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the futures contracts included in the RTYFPE Index or the SPXFP Index, their reference indices, the component stocks of the underlyings or the reference indices or securities markets generally and which may affect the value of each underlying,

odividend rates on the securities underlying the share underlying index, the RTYFPE Index and the SPXFP Index,

othe time remaining until the securities 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 share underlying index, the RTYFPE Index and the SPXFP Index, and

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

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 coupon barrier level for such underlying on each observation date so that you will receive no return on your investment, and one or all of the underlyings may decline from the respective initial level(s) by an amount greater than the buffer amount on the final observation date so that you lose some or all of your initial investment in the securities. There can be no assurance that the closing level of each underlying will be at or above the respective coupon barrier level on any observation date so that you will receive a coupon payment on the securities for the applicable interest period or that they will not have declined from their respective initial levels by an amount greater than the buffer amount as of the final observation date so that you do not suffer a loss on your initial investment in the securities. See “Utilities Select Sector SPDR® Fund Historical Performance,” “Russell 2000 Futures Excess Return Index Historical Performance” and “S&P 500® Futures Excess Return Index Historical Performance” below.

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Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

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

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

￭Investing in the securities is not equivalent to investing in the underlyings or the stocks composing the share underlying index, the RTYFPE Index or the SPXFP Index. Investing in the securities is not equivalent to investing in any of the underlyings, the futures contracts included in the RTYFPE Index or the SPXFP Index or the component stocks of the share underlying index or the reference indices. Investors in the securities 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 share underlying index or the reference indices. Further, by purchasing the securities, you are taking credit risk to us and not to any counter-party to the futures contracts included in the RTYFPE Index and the SPXFP Index. Your return on the securities will not reflect the return you would realize if you purchased any stocks or futures contracts that are tracked directly or indirectly by the underlyings.

￭The securities will not be listed on any securities exchange and secondary trading may be limited. Accordingly, you should be willing to hold your securities for the entire 35-month term of the securities. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

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

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Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

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

However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market conditions, including those related to the 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 securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price will be influenced by many unpredictable factors” above.

￭Hedging and trading activity by our affiliates could potentially affect the value of the securities. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities (and to other instruments linked to the underlyings, the share underlying index, the futures contracts or the component stocks of the reference indices), including trading in the XLU Shares, the stocks that constitute the share underlying index, the futures contracts included in the RTYFPE Index or the SPXFP Index, as well as in other instruments related to the underlyings. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final observation date approaches. Some of our affiliates also trade the underlyings and other financial instruments related to the underlyings and the share underlying index 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 increase the initial level of any underlying, and, therefore, could increase (i) the coupon barrier level for such underlying, which, if the securities 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), and (ii) the level at or above which such underlying must close on the final observation date so that you are not exposed to the negative performance of the worst performing underlying at maturity (depending also on the performance of the other underlyings). Additionally, such hedging or trading activities during the term of the securities could affect the value of an underlying on the observation dates, and, accordingly, whether we pay a contingent monthly coupon on the securities and the amount of cash you receive at maturity, if any (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 securities. As calculation agent, MS & Co. will determine the initial level and coupon barrier level for each underlying, the payment at maturity, if any, whether you receive a contingent monthly coupon on each coupon payment date and whether to make any adjustments to the adjustment factor. 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 share underlying index, the RTYFPE Index or the SPXFP Index. These potentially subjective determinations may affect the payout to you upon an early redemption or at maturity, if any. For further information regarding these types of determinations, see “Additional Terms of the Securities—Additional Terms—Calculation agent,” “—Market disruption event,” “—Postponement of observation dates,” “—Discontinuance of the XLU Shares and/or the share underlying index; alteration of method of calculation,” “—Discontinuance of the RTYFPE Index or the SPXFP Index; 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 securities on the pricing date.

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Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

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

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

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

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

Risks Relating to the Underlyings

￭You are exposed to the price risk of each underlying, with respect to both the contingent monthly coupons, if any, and the payment at maturity, if any. Your return on the securities is not linked to a basket consisting of 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 securities 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 coupon barrier level on the applicable observation date.  In addition, if any underlying has declined from its initial level by an amount greater than the buffer amount as of the final observation date, you will lose 1.3333% for every 1% decline in the value of the worst performing underlying from its initial level beyond the buffer amount of 25%. In this case, the payment at maturity will be less than the stated principal amount and could be zero.  Accordingly, your investment is subject to the price risk of each underlying.

￭Because the securities are linked to the performance of the worst performing underlying, you are exposed to greater risks of receiving no contingent monthly coupons and sustaining a loss on your investment than if the securities were linked to just one underlying. The risk that you will not receive any contingent monthly coupons, or that you will suffer a loss on your investment, is greater if you invest in the securities as opposed to substantially similar securities that are linked to the performance of just one underlying. With three underlyings, it is more likely that any underlying will close below its coupon barrier level on any observation date, or will decline from its initial level by an amount greater than the buffer amount as of the final observation date, than if the securities were linked to only one underlying.

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Callable Contingent Income Buffered Securities due November 29, 2027
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Principal at Risk Securities

Therefore, it is more likely that you will not receive any contingent monthly coupons and that you will suffer a loss on your investment.

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

￭Adjustments to the XLU Shares or the share underlying index could adversely affect the value of the securities. The investment adviser to the Utilities Select Sector SPDR® Fund, BlackRock Fund Advisors (the “Investment Adviser”), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the share underlying index. Pursuant to its investment strategy or otherwise, the Investment Advisor may add, delete or substitute the stocks composing the Utilities Select Sector SPDR® Fund. Any of these actions could adversely affect the price of the XLU Shares and, consequently, the value of the securities. MSCI Inc. (“MSCI”) is responsible for calculating and maintaining the share underlying index. MSCI may add, delete or substitute the stocks constituting the share underlying index or make other methodological changes that could change the value of the share underlying index. MSCI may discontinue or suspend calculation or publication of the 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 value of the XLU Shares, and consequently, the value of the securities.

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

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

For all of the foregoing reasons, the performance of the XLU Shares may not correlate with the performance of the share underlying index, the performance of the component securities of the share underlying index or the net asset value per share of the XLU Shares. Any of these events could materially and adversely affect the price of the shares of the XLU 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 on the published closing price per share of the XLU Shares on the final observation date, even if the XLU Shares’ shares are underperforming the share underlying index or the component securities of the share underlying index and/or trading below the net asset value per share of the XLU Shares.

￭Investing in the securities exposes investors to risks associated with investments in securities 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

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Principal at Risk Securities

the value of the securities is linked to the performance of the XLU Shares, an investment in the securities 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 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 securities 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.

￭The Russell 2000® Index is one of the reference indices, and is subject to risks associated with small-capitalization companies. As the Russell 2000® Index is one of the reference indices, and the Russell 2000® Index consists of stocks issued by companies with relatively small market capitalization, the securities are linked to the value of small-capitalization companies. These companies often have greater stock price volatility, lower trading volume and less liquidity than large-capitalization companies and therefore the 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 Russell 2000 Futures Excess Return Index was established on May 20, 2024 and therefore has very limited operating history. The performances of the Russell 2000 Futures Excess Return Index and some of the component data have been retrospectively simulated for the period from January 1, 2019 to December 23, 2024. As such, performance for periods prior to the establishment of the Russell 2000 Futures Excess Return Index has been retrospectively simulated by Morgan Stanley & Co. LLC on a hypothetical basis. A retrospective simulation means that no actual investment which allowed a tracking of the performance of the Russell 2000 Futures Excess Return Index existed at any time during the period of the retrospective simulation. The methodology used for the calculation and retrospective simulation of the Russell 2000 Futures Excess Return Index has been developed with the advantage of hindsight. In reality, it is not possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical and may not be indicative of future performance.

￭As the Russell 2000 Futures Excess Return Index is new and has very limited historical performance, any investment in the Russell 2000 Futures Excess Return Index may involve greater risk than an investment in an index with longer actual historical performance and a proven track record. All information regarding the performance of the Russell 2000 Futures Excess Return Index prior to May 20, 2024 is hypothetical and back-tested, as the Russell 2000 Futures Excess Return Index did not exist prior to that time. It is important to understand that hypothetical back-tested index

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Principal at Risk Securities

performance information is subject to significant limitations, in addition to the fact that past performance is never a guarantee of future performance. In particular:

oFTSE Russell LLC developed the rules of the Russell 2000 Futures Excess Return Index with the benefit of hindsight - that is, with the benefit of being able to evaluate how the Russell 2000 Futures Excess Return Index rules would have caused the Russell 2000 Futures Excess Return Index to perform had it existed during the hypothetical back-tested period.

oThe hypothetical back-tested performance of the Russell 2000 Futures Excess Return Index might look different if it covered a different historical period. The market conditions that existed during the historical period covered by the hypothetical back-tested index performance information in this note are not necessarily representative of the market conditions that will exist in the future.

oIt is impossible to predict whether the Russell 2000 Futures Excess Return Index will rise or fall. The actual future performance of the Russell 2000 Futures Excess Return Index may bear little relation to the historical or hypothetical back-tested levels of the Russell 2000 Futures Excess Return Index.

￭Higher future prices of the futures contracts to which the RTYFPE Index and the SPXFP Index are linked relative to their current prices may adversely affect the value of the RTYFPE Index and the SPXFP Index and the value of the securities. The RTYFPE Index and the SPXFP Index are linked to futures contracts currently listed for trading on the CME. As the relevant futures contract approaches expiration, it is replaced by a contract that has a later expiration. Thus, for example, a contract purchased and held in September may specify a December expiration. As time passes, the contract expiring in December is replaced by a contract for delivery in March. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the December contract would take place at a price that is higher than the price of the March contract, thereby creating a “roll yield.” While many futures contracts have historically exhibited consistent periods of backwardation, backwardation will most likely not exist at all times. It is also possible for the market for these contracts to be in “contango.” Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The presence of contango and absence of backwardation in the market for these contracts could result in negative “roll yields,” which could adversely affect the value of the RTYFPE Index or the SPXFP Index, and, accordingly, the value of the securities.

￭Suspensions or disruptions of market trading in futures markets could adversely affect the price of the securities. Securities markets and futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the value of the SPXFP Index, and, therefore, the value of the securities.

￭Legal and regulatory changes could adversely affect the return on and value of your securities. Futures contracts and options on futures contracts, including those related to the RTYFPE Index and the SPXFP Index, are subject to extensive statutes, regulations, and margin requirements. The Commodity Futures Trading Commission, commonly referred to as the “CFTC,” and the exchanges on which such futures contracts trade, are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely affect the market prices of relevant futures and options contracts and forward contracts.

￭Adjustments to the RTYFPE Index or the SPXFP Index could adversely affect the value of the securities. The publisher of each of the RTYFPE Index and the SPXFP Index may add, delete or substitute the component stocks of such

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Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

underlying or make other methodological changes that could change the value of such underlying. Any of these actions could adversely affect the value of the securities. The publisher of each of the RTYFPE Index and the SPXFP 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 securities 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 securities on the applicable coupon payment date, and/or the amount payable at maturity, will be based on the value of such underlying, based on the closing prices of the stocks constituting such underlying at the time of 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, as compared to the respective coupon barrier level or initial level (taking the buffer amount into effect for the payment at maturity), as applicable (depending also on the performance of the other underlyings).

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Callable Contingent Income Buffered Securities due November 29, 2027
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Principal at Risk Securities

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 December 23, 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 December 23, 2024 was $76.06. 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 closing prices of the XLU Shares as an indication of their future performance. No assurance can be given as to the level of the XLU Shares on any observation date, including the final observation date.

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Callable Contingent Income Buffered Securities due November 29, 2027
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Principal at Risk Securities

December 2024  Page 23

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Russell 2000 Futures Excess Return Index Historical Performance

The following graph sets forth the daily closing values of the RTYFPE Index for the period from January 1, 2019 through December 23, 2024. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the RTYFPE Index for each quarter in the same period. The closing value of the RTYFPE Index on December 23, 2024 was 314.53. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The RTYFPE Index has at times experienced periods of high volatility, and you should not take the historical values of the RTYFPE Index as an indication of its future performance. No assurance can be given as to the level of the RTYFPE Index on any observation date, including the final observation date.

December 2024  Page 24

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

“Russell 2000® Index” and “Russell 3000ETM Index” are trademarks of FTSE Russell. For more information, see “Russell Indices” in the accompanying index supplement. See “Annex A — Russell 2000 Futures Excess Return Index” below.

December 2024  Page 25

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

S&P 500® Futures Excess Return Index Historical Performance

The following graph sets forth the daily closing values of the SPXFP Index for the period from January 1, 2019 through December 23, 2024. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the SPXFP Index for each quarter in the same period. The closing value of the SPXFP Index on December 23, 2024 was 505.61. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The SPXFP Index has at times experienced periods of high volatility, and you should not take the historical values of the SPXFP Index as an indication of its future performance. No assurance can be given as to the level of the SPXFP Index on any observation date, including the final observation date.

December 2024  Page 26

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

“Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC. See “Annex B — S&P 500® Futures Excess Return Index” below.

December 2024  Page 27

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Additional Terms of the Securities

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

December 2024  Page 28

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 29

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 30

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 31

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 32

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 33

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 34

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 35

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Additional Information About the Securities

December 2024  Page 36

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 37

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 38

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 39

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 40

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

December 2024  Page 41

Callable Contingent Income Buffered Securities due November 29, 2027
Payments on the Securities Based on the Worst Performing of the Utilities Select Sector SPDR® Fund, the Russell 2000 Futures Excess Return Index and the S&P 500® Futures Excess Return Index
Principal at Risk Securities

Annex A — Russell 2000 Futures Excess Return Index

The Russell 2000 Futures Excess Return Index (the “underlying index”) is an index calculated, published and disseminated by FTSE Russell. The Russell 2000 Futures Excess Return Index launch date was May 20, 2024. The Russell 2000® Index is reported by Bloomberg under the ticker symbol “RTYFPE.” All information contained in this document regarding the underlying index has been derived from publicly available information, without independent verification.

The underlying index is the excess return version of the Russell 2000 Futures Index, which measures the performance of the nearest maturing quarterly E-mini Russell 2000 futures contract trading on the Chicago Mercantile Exchange (“CME”). The underlying index includes a provision for the replacement of the E-mini futures contract as the contract approaches maturity (also referred to as “rolling” or “the roll”). This replacement occurs over a one-day rolling period every March, June, September and December, effective after the close of trading five business days preceding the last trading date of the E-mini Russell futures contract.

E-Mini Russell 2000 Futures Contract

The underlying index is constructed from the front-month E-mini Russell 2000 futures contract (the “futures contract”). Futures contracts are contracts that legally obligate the holder to buy or sell an asset at a predetermined delivery price during a specified future time period. The futures contract is rolled forward once a quarter, with one-third of the contract being rolled forward on each of the fourth, third, and second day prior to expiration.

E-mini Russell 2000 futures (“QR”) contracts are U.S. dollar-denominated futures contracts, based on the Russell 2000® Index, traded on the CME, representing a contract unit of $50 multiplied by the Russell 2000® Index, measured in cents per index point. The QR trades in increments of 0.10 index points with each tick equaling five dollars. QR contracts listed for the nearest five quarters, for each March, June, September and December, and the nearest three Decembers are available for trading. Trading of the ES contracts terminates at 9:30 A.M. Eastern time on the third Friday of the contract month. The daily settlement prices of the QR contracts are based on trading activity in the relevant contract (and in the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on the CME during a specified settlement period. The final settlement price of QR contracts is based on the opening prices of the component stocks in the Russell 2000® Index, determined on the third Friday of the contract month. For more information on the Russell 2000® Index, see “Russell Indices—Russell 2000® Index” in the accompanying index supplement.

Underlying Index Calculation

The underlying index, calculated from the price change of the futures contract, reflects the excess return of the Russell 2000 Futures Index. The level of the underlying index on a trading day is calculated as follows:

1.For total return indices:

2.For excess return indices:

December 2024  Page 42