Primary Offering Prospectus - Form 424B2

July 2024

Pricing Supplement No. 2,840
Registration Statement Nos. 333-275587; 333-275587-01
Dated July 3, 2024
Filed pursuant to Rule 424(b)(2)

MorganStanley Finance LLC

STRUCTURED INVESTMENTS

Opportunities in U.S. Equities

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The Dual Directional Buffered Participation Securities, or "Buffered Securities," are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered Securities will pay no interest, provide a minimum payment at maturity of only 15% of the stated principal amount and have the terms described in the accompanying product supplement for participation securities, index supplement and prospectus, as supplemented or modified by this document. The payment at maturity on the Buffered Securities will be based on the value of the worst performing of the Russell 2000® Index and the Vanguard Value ETF. At maturity, if the final level of each underlying is greater than its respective initial level, investors will receive the stated principal amount of their investment plus a return reflecting 100% participation in the positive performance of the worst performing underlying, subject to the maximum upside payment at maturity. If the final level of either underlying is less than or equal to its respective initial level, but the final level of each underlying is greater than or equal to 85% of its respective initial level, meaning that neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%, investors will receive the stated principal amount of their investment plus a positive return equal to 150% of the absolute value of the performance of the worst performing underlying, which will be inherently limited to a maximum return of 22.50%. However, if the final level of either underlying is less than 85% of its respective initial level, meaning that either underlyinghas decreased from its respective initial level by an amount greater than the buffer amount of 15%, the absolute return feature will no longer be available and instead investors will lose 1% for every 1% decline in the worst performing underlying beyond the specified buffer amount, subject to the minimum payment at maturity of 15% of the stated principal amount. Investors may lose up to 85% of the stated principal amount of the Buffered Securities. Because the payment at maturity of the Buffered Securities is based on the worst performing of two underlyings, a decline in either underlying beyond the buffer amount will result in a loss, and potentially a significant loss, of your investment even if the other underlying has appreciated or has not declined as much. The Buffered Securities are for investors who seek an equity-based return and who are willing to risk their principal, risk exposure to the worst performing of two underlyings and forgo current income and upside above the maximum upside payment at maturity in exchange for the buffer and absolute return features that in each case apply to a limited range of performance of the worst performing underlying. The Buffered Securities are notes issued as part of MSFL's Series A Global Medium-Term Notes program.

The Buffered Securities differ from the Participation Securities described in the accompanying product supplement for Participation Securities in that the Buffered Securities offer the potential for a positive return at maturity if the worst performing underlying depreciates by up to 15%.

All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These Buffered 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 Buffered Securities will be sold only to investors purchasing the Buffered Securities in fee-based advisory accounts.

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

(3)See "Use of proceeds and hedging" on page 19.

The Buffered Securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 7.

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

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

You should read this document together with the related product supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks below. When you read the accompanying product supplement and index supplement, please note that all references in such supplements to the prospectus dated November 16, 2023, or to any sections therein, should refer instead to the accompanying prospectus dated April 12, 2024 or to the corresponding sections of such prospectus, as applicable. Please also see "Additional Terms of the Buffered Securities" and "Additional Information About the Buffered Securities" at the end of this document.

As used in this document, "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

Product Supplement for Participation Securities dated November 16, 2023 ​ ​ ​Index Supplement dated November 16, 2023 ​Prospectus dated April 12, 2024

Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Investment Summary

Dual Directional Buffered Participation Securities

Principal at Risk Securities

The Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025 (the "Buffered Securities") offer 100% participation in the positive performance of the worst performing underlying, subject to the maximum upside payment at maturity, and can be used:

￭To gain exposure to the worst performing of two U.S. equity underlyings

￭To obtain a positive return equal to 150% of the absolute underlying return of the worst performing underlying for a limited range of negative performance of the worst performing underlying

If the final level of either underlying is less than 85% of its respective initial level, investors will be negatively exposed to the decline in the worst performing underlying beyond the buffer amount and will lose some or a substantial portion of their investment.

The original issue price of each Buffered Security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Buffered Securities, which are borne by you, and, consequently, the estimated value of the Buffered Securities on the pricing date is less than $1,000. We estimate that the value of each Buffered Security on the pricing date is $982.00.

What goes into the estimated value on the pricing date?

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

In determining the economic terms of the Buffered Securities, including the buffer amount, the participation rate, the maximum upside payment at maturity and the minimum payment at maturity, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the Buffered 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 Buffered Securities?

The price at which MS & Co. purchases the Buffered 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 Buffered 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 Buffered 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 Buffered Securities, and, if it once chooses to make a market, may cease doing so at any time.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Key Investment Rationale

The Buffered Securities offer the potential for a positive return at maturity equal to 150% of the absolute underlying return of the worst performing underlying for a limited range of percentage changes of the worst performing underlying. At maturity, if the final level of each underlying is greater than its respective initial level, investors will receive the stated principal amount of their investment plus a return reflecting 100% participation in the positive performance of the worst performing underlying, subject to the maximum upside payment at maturity. If the final level of either underlying is less than or equal to its respective initial level but the final level of each underlying is greater than or equal to 85% of its respective initial level, investors will receive the stated principal amount of their investment plus a positive return reflecting 150% of the absolute value of the performance of the worst performing underlying. However, if the final level of either underlying is less than 85% of its respective initial level, the absolute return feature will no longer be available and instead investors will lose 1% for every 1% decline in the worst performing underlying beyond the specified buffer amount, subject to the minimum payment at maturity. Investors may lose up to 85% of the stated principal amount of the Buffered Securities. All payments on the Buffered Securities are subject to our credit risk.

Because the payment at maturity of the Buffered Securities is based on the worst performing of the underlyings, a decline in either underlying to less than 85% of its respective initial level will result in a loss, and potentially a significant loss, of your investment, even if the other underlying has appreciated or has not declined as much.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Hypothetical Examples

The following hypothetical examples illustrate how to calculate the payment at maturity on the Buffered Securities. The following examples are for illustrative purposes only. The actual initial level for each underlying is set forth on the cover of this document. Any payment at maturity on the Buffered Securities is subject to our credit risk. The below examples are based on the following terms:

EXAMPLE 1: The final level of each underlying is greater than its respective initial level.

In example 1, the final levels of both the RTY Index and VTV Shares are greater than their initial levels. The RTY Index has appreciated by 5% while the VTV Shares has appreciated by 60%. Therefore, investors receive at maturity the stated principal amount plus 100% of the appreciation of the worst performing underlying, which is the RTY Index in this example, subject to the maximum upside payment at maturity. Investors receive $1,050‬ per Buffered Security at maturity.

EXAMPLE 2: The final level of each underlying is greater than its respective initial level.

In example 2, the final levels of both the RTY Index and VTV Shares are greater than their initial levels. The RTY Index has appreciated by 70% while the VTV Shares has appreciated by 60%. Therefore, investors receive at maturity the stated principal amount plus 100% of the appreciation of the worst performing underlying, which is the VTV Shares in this example, subject to the maximum upside payment at maturity. Because the payment at maturity cannot exceed the maximum upside payment at maturity, investors receive $1,131.50 per Buffered Security at maturity.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

EXAMPLE 3: The final level of one underlying is greater than its respective initial level while the final level of the other underlying is less than its respective initial level, but neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%.

In example 3, the final level of the RTY Index is greater than its respective initial level while the final level of the VTV Shares is less than its respective initial level. The RTY Index has appreciated by 40% while the VTV Shares has declined by 5%, but neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%. Therefore, investors receive at maturity the stated principal amount plus a return reflecting 150% of the absolute value of the performance of the worst performing underlying, which is the VTV Shares in this example. Investors receive $1,075 per Buffered Security at maturity. In this example, investors receive a positive return even though one of the underlyings has declined in value by 5%, due to the absolute return feature of the Buffered Securities and because neither underlying has declined to below 85% of its initial level.

EXAMPLE 4: The final level of one underlying is greater than its respective initial level while the final level of the other underlying is less than 85% of its respective initial level.

In example 4, the final level of the RTY Index is greater than its respective initial level, while the final level of the VTV Shares is less than 85% of its respective initial level. While the RTY Index has appreciated by 10%, the VTV Shares has declined by 50%. Therefore, investors are exposed to the negative performance of the VTV Shares, which is the worst performing underlying in this example, beyond the buffer amount of 15%, and receive a payment at maturity of $650 per Buffered Security. In this example, investors lose the benefit of the absolute return feature and are instead exposed to the negative performance of the worst performing underlying even though the other underlying has appreciated in value by 10%.

EXAMPLE 5: The final level of each underlying is less than its respective initial level, butneither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

In example 5, the final level of each underlying is less than its respective initial level, but neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%. The RTY Index has declined by 6% while the VTV Shares has declined by 5%. Therefore, investors receive at maturity the stated principal amount plus a return reflecting 150% of the absolute value of the performance of the worst performing underlying, which is the RTY Index in this example. Investors receive $1,090 per Buffered Security at maturity.

EXAMPLE 6: The final level of each underlying is less than 85% of its respective initial level.

In example 6, the final levels of both the RTY Index and the VTV Shares are less than their respective initial levels by an amount greater than the buffer amount of 15%. The RTY Index has declined by 70% while the VTV Shares has declined by 60%. Therefore, investors lose the benefit of the absolute return feature and instead are instead exposed to the negative performance of the RTY Index, which is the worst performing underlying in this example, beyond the buffer amount of 15%, and receive a payment at maturity of $450 per Buffered Security.

Because the payment at maturity of the Buffered Securities is based on the worst performing of the underlyings, a decline in either underlying by an amount greater than the buffer amount of 15% will result in a loss, and potentially a significant loss, of your investment, even if the other underlying has appreciated or has not declined as much.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Risk Factors

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

Risks Relating to an Investment in the Buffered Securities

￭The Buffered Securities do not pay interest and provide a minimum payment at maturity of only 15% of the stated principal amount. The terms of the Buffered Securities differ from those of ordinary debt securities in that the Buffered Securities do not pay interest and provide a minimum payment at maturity of only 15% of the stated principal amount of the Buffered Securities. If the final level of either underlying is less than 85% of its initial level, the absolute return feature will no longer be available and you will instead receive for each Buffered Security that you hold a payment at maturity that is less than the stated principal amount of each Buffered Security by an amount proportionate to the decline in the value of the worst performing underlying from its initial level, plus $150 per Buffered Security. Accordingly, investors may lose up to 85% of the stated principal amount of the Buffered Securities.

￭The appreciation potential of the Buffered Securities is limited by the maximum upside payment at maturity. The appreciation potential of the Buffered Securities is limited by the maximum upside payment at maturity of $1,131.50 per Buffered Security, or 113.15% of the stated principal amount. Because the payment at maturity will be limited to 113.15% of the stated principal amount for the Buffered Securities, any increase in the final level of the worst performing underlying over its initial level by more than 13.15% of its initial level will not further increase the return on the Buffered Securities. The maximum return you can receive if the worst performing underlying depreciates is similarly limited because of the buffer amount. If the final level of either underlying is less than or equal to its respective initial level, but the final level of each underlying is greater than or equal to 85% of its respective initial level, meaning that neither underlying has decreased from its initial level by an amount greater than the buffer amount of 15%, you will receive the stated principal amount of your investment plus a positive return equal to 150% of the absolute value of the performance of the worst performing underlying, which will be inherently limited to a maximum return of 22.50%. However, if the worst performing underlying depreciates by more than the buffer amount of 15%, you will lose some or a significant portion of your investment.

￭The market price of the Buffered Securities will be influenced by many unpredictable factors. Several factors will influence the value of the Buffered Securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the Buffered Securities in the secondary market, including the value, volatility and dividend yield of the underlyings, interest and yield rates in the market, time remaining until the Buffered Securities mature, geopolitical conditions and economic, financial, political, regulatory or judicial events and any actual or anticipated changes in our credit ratings or credit spreads. The levels of the underlyings may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. See "Russell 2000® Index Overview" and "Vanguard Value ETF Overview" below. You may receive less, and possibly significantly less, than the stated principal amount per Buffered Security if you try to sell your Buffered Securities prior to maturity.

￭The Buffered 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 Buffered Securities. You are dependent on our ability to pay all amounts due on the Buffered Securities at maturity and therefore you are subject to our credit risk. If we default on our obligations under the Buffered 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 Buffered 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 Buffered 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.

￭The amount payable on the Buffered Securities is not linked to the values of the underlyings at any time other than the valuation date. The final level of each underlying will be based on the underlying closing level on the valuation date, subject to postponement for non-index business days and non-trading days, as applicable, and certain market disruption events. Even if both underlyings appreciate prior to the valuation date but the value of either underlying drops by the valuation date to less than 85% of its initial level, the payment at maturity will be less than it would have been had the payment at maturity been linked to the values of the underlyings prior to such drop. Although the actual levels of the underlyings on the stated maturity date or at other times during

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Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

the term of the Buffered Securities may be higher than their respective final levels, the payment at maturity will be based solely on the underlying closing levels on the valuation date.

￭Investing in the Buffered Securities is not equivalent to investing in either underlying. Investing in the Buffered Securities is not equivalent to investing in either of the underlyings or the component stocks of the RTY Index or the share underlying index. As an investor in the Buffered Securities, you 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 index.

￭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 Buffered Securities in the original issue price reduce the economic terms of the Buffered Securities, cause the estimated value of the Buffered 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 Buffered Securities in secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.

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

However, because the costs associated with issuing, selling, structuring and hedging the Buffered 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 Buffered 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 Buffered 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 Buffered Securities than those generated by others, including other dealers in the market, if they attempted to value the Buffered 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 Buffered Securities in the secondary market (if any exists) at any time. The value of your Buffered 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 of the Buffered Securities will be influenced by many unpredictable factors" above.

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

￭Hedging and trading activity by our affiliates could potentially adversely affect the value of the Buffered Securities. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the Buffered Securities (and possibly to other instruments linked to the underlyings and the share underlying index), including trading in the VTV Shares, the stocks that constitute the RTY Index or the share underlying 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 Buffered Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. Some of our affiliates also trade the stocks that constitute the RTY Index or the share underlying index 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 potentially affect the initial level of either underlying, and, therefore, could increase the value at or above which such underlying must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered Securities (depending also on the performance of the other underlying). Additionally, such hedging or trading activities during the term of the Buffered Securities, including on the valuation date, could

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Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

adversely affect the closing level of either underlying on the valuation date, and, accordingly, the amount of cash an investor will receive at maturity (depending also on the performance of the other underlying).

￭The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the Buffered Securities. As calculation agent, MS & Co. will determine the initial levels and the final levels, including whether any underlying has decreased to below 85% of its respective initial level, and will calculate the amount of cash you receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events, whether to make any adjustments to the adjustment factor and the selection of a successor index or calculation of the final index value of the RTY Index or the closing price of the VTV Shares, as applicable, in the event of a market disruption event or discontinuance of an underlying. These potentially subjective determinations may adversely affect the payout to you at maturity. For further information regarding these types of determinations, see "Description of Participation Securities-Postponement of Valuation Date(s)," "-Alternate Exchange Calculation in case of an Event of Default" and "-Calculation Agent and Calculations" and related definitions in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the Buffered Securities on the pricing date.

￭The U.S. federal income tax consequences of an investment in the Buffered Securities are uncertain. Please read the discussion under "Additional Information-Tax considerations" in this document and the discussion under "United States Federal Taxation" in the accompanying product supplement for participation securities(together, the "Tax Disclosure Sections") concerning the U.S. federal income tax consequences of an investment in the Buffered Securities. As discussed in the Tax Disclosure Sections, there is a risk that the "constructive ownership" rule could apply, in which case all or a portion of any long-term capital gain recognized by a U.S. Holder could be recharacterized as ordinary income and an interest charge could be imposed. In addition, there is no direct legal authority regarding the proper U.S. federal tax treatment of the Buffered Securities, and we do not plan to request a ruling from the Internal Revenue Service (the "IRS"). Consequently, significant aspects of the tax treatment of the Buffered Securities are uncertain, and the IRS or a court might not agree with the tax treatment of a Buffered Security as a single financial contract that is an "open transaction" for U.S. federal income tax purposes. If the IRS were successful in asserting an alternative treatment of the Buffered Securities, the tax consequences of the ownership and disposition of the Buffered Securities, including the timing and character of income recognized by U.S. Holders and the withholding tax consequences to Non-U.S. Holders, might be materially and adversely affected. For example, due to the terms of the Buffered Securities and current market conditions, there is a substantial risk that the IRS could seek to recharacterize the Buffered Securities as debt instruments. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the Buffered Securities, possibly retroactively.

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 Buffered Securities, including possible alternative treatments, as well as any 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 both underlyings. Your return on the Buffered Securities is not linked to a basket consisting of both underlyings. Rather, it will be based 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 both underlyings. Poor performance by either underlying over the term of the securities will negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying. If either underlying declines to below 85% of its respective initial level as of the valuation date, you will lose some or a substantial portion of your investment, even if the other underlying has appreciated or has not declined as much. Accordingly, your investment is subject to the price risk of both underlyings.

￭Because the Buffered Securities are linked to the performance of the worst performing underlying, you are exposed to greater risk of sustaining a loss on your investment than if the Buffered Securities were linked to just one underlying. The risk that you will suffer a loss on your investment is greater if you invest in the Buffered Securities as opposed to substantially similar securities that are linked to the performance of just one underlying. With two underlyings, it is more likely that either underlying will decline to below 85% of its initial level as of the valuation date than if the Buffered Securities were linked to only one underlying. Therefore, it is more likely that you will suffer a loss on your investment.

￭The investment strategy represented by the Vanguard Value ETF may not be successful. The Vanguard Value ETF is intended to represent a "value" investment strategy. The Vanguard Value ETF seeks to track, before fees and expenses, the performance of a benchmark index that measures the investment return of large-capitalization value stocks, which is currently the CRSP US Large Cap Value Index. The CRSP US Large Cap Value Index measures the capitalization-weighted price performance of the stocks included in the CRSP US Large Cap Index that are determined by The Center for Research in Security Prices to be value oriented, using the following factors: book to price, forward earnings to price, historic earnings to price, dividend-to-price ratio and sales-to-price ratio. A "value" investment strategy is premised on the goal of investing in stocks that are determined to be relatively cheap or "undervalued" under the assumption that the value of those stocks will increase over time as the market comes to reflect the "fair" market value of those stocks. However, the value characteristics referenced by the CRSP US Large Cap Value

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Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Index may not be accurate predictors of undervalued stocks, and there is no guarantee that undervalued stocks will appreciate. In addition, the CRSP US Large Cap Value Index's selection methodology includes an inherent bias against stocks with strong growth characteristics, and stocks with strong growth characteristics may outperform stocks with weak growth characteristics. There is no assurance that the Vanguard Value ETF will outperform any other index, exchange-traded fund or strategy that tracks U.S. stocks selected using other criteria and may underperform the CRSP US Large Cap Index as a whole. It is possible that the stock selection methodology of the CRSP US Large Cap Value Index will adversely affect its return and, therefore, the value of the Buffered Securities.

￭The Buffered Securities 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 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 or funds that consist of stocks issued by large-capitalization companies. Stock prices of small-capitalization companies are also more vulnerable than those of large-capitalization companies to adverse business and economic developments, and the stocks of small-capitalization companies may be thinly traded. In addition, small capitalization companies are typically less well-established and less stable financially than large-capitalization companies and may depend on a small number of key personnel, making them more vulnerable to loss of personnel. Such companies tend to have smaller revenues, less diverse product lines, smaller shares of their product or service markets, fewer financial resources and less competitive strengths than large-capitalization companies and are more susceptible to adverse developments related to their products.

￭The performance and market price of the VTV 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 VTV Shares. The VTV 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 VTV 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 VTV Shares and the share underlying index. In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the VTV Shares may impact the variance between the performances of VTV Shares and the share underlying index. Finally, because the shares of the VTV Shares are traded on an exchange and are subject to market supply and investor demand, the market price of one share of the VTV Shares may differ from the net asset value per share of the VTV Shares.

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

For all of the foregoing reasons, the performance of the VTV 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 VTV Shares. Any of these events could materially and adversely affect the price of the shares of the VTV Shares and, therefore, the value of the securities. Additionally, if market volatility or these events were to occur on the valuation 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 VTV Shares on the valuation date, even if the VTV 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 VTV Shares.

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

￭Adjustments to the VTV Shares or the share underlying index could adversely affect the value of the Buffered Securities.The investment adviser to the Vanguard Value ETF, Vanguard Group, Inc. (the "Investment Adviser"), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the CRSP US Large Cap Value Index. Pursuant to its investment strategy or otherwise, the Investment Advisor may add, delete or substitute the stocks composing the Vanguard Value ETF. Any of these actions could adversely affect the price of the VTV Shares and, consequently, the value of the Buffered Securities. The Center for Research in Security Prices ("CRSP") is responsible for calculating and maintaining the CRSP US Large Cap Value Index. CRSP may add, delete or substitute the stocks constituting CRSP US Large Cap Value Index or make other methodological changes that could change the value of the CRSP US Large Cap Value Index. CRSP may discontinue or suspend calculation or publication of the CRSP US Large Cap Value Index at any time. In these circumstances, the calculation

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

agent will have the sole discretion to substitute a successor index that is comparable to the discontinued CRSP US Large Cap Value 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 VTV Shares, and consequently, the value of the Buffered Securities.

￭Adjustments to the RTY Index could adversely affect the value of the Buffered Securities. The publisher of the RTY Index may add, delete or substitute the stocks constituting the RTY Index or make other methodological changes that could change the value of such underlying. The publisher of the RTY Index may discontinue or suspend calculation or publication of such underlying 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 underlying and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Russell 2000® Index Overview

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

Information as of market close on July 3, 2024:

The following graph sets forth the daily closing values of the RTY Index for the period from January 1, 2019 through July 3, 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 July 3, 2024 was 2,036.625. We obtained the information in the table and graph 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.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

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.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Vanguard Value ETF Overview

The Vanguard Value ETF is an exchange-traded fund that seeks to track, before fees and expenses, the performance of the CRSP US Large Cap Value Index, which measures the investment return of large-capitalization value stocks. The Vanguard Value ETF is managed by Vanguard Group, Inc. ("Vanguard"), a registered investment company that consists of numerous separate investment portfolios, including the Vanguard Value ETF. Information provided to or filed with the Securities and Exchange Commission (the "Commission") by Vanguard pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 002-56846 and 811-02652, respectively, through the Commission's website at www.sec.gov. In addition, information may be obtained from other publicly available sources.

Information as of market close on July 3, 2024:

The following graph sets forth the daily closing prices of the VTV Shares for the period from January 1, 2019 through July 3, 2024. The related table sets forth the published high and low closing prices, as well as end-of-quarter closing prices, of the VTV Shares for each quarter in the same period. The closing price of the VTV Shares on July 3, 2024 was $160.47. We obtained the information in the table below from Bloomberg Financial Markets, without independent verification. The VTV Shares has at times experienced periods of high volatility, and you should not take the historical prices of the VTV Shares as an indication of its future performance.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

This document relates only to the Buffered Securities referenced hereby and does not relate to the VTV Shares. We have derived all disclosures contained in this document regarding Vanguard from the publicly available documents described above. In connection with the offering of the Buffered Securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Vanguard. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Vanguard 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 VTV Shares (and therefore the price of the VTV 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 Vanguard could affect the value received with respect to the securities and therefore the value of the Buffered Securities.

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

We and/or our affiliates may presently or from time to time engage in business with Vanguard. In the course of such business, we and/or our affiliates may acquire non-public information with respect to Vanguard, 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 VTV 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 Vanguard as in your judgment is appropriate to make an informed decision with respect to an investment linked to the VTV Shares.

"Vanguard®" is a registered trademark of The Vanguard Group, Inc. ("Vanguard"). The securities are not sponsored, endorsed, sold, or promoted by Vanguard. Vanguard makes no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. Vanguard has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

CRSP US Large Cap Value Index. The CRSP US Large Cap Value Index measures the capitalization-weighted price performance of the stocks included in the CRSP US Large Cap Index that are determined by The Center for Research in Security Prices to be value oriented, using the following factors: book to price, forward earnings to price, historic earnings to price, dividend-to-price ratio and sales-to-price ratio.

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Additional Terms of the Buffered Securities

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

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

Additional Information About the Buffered Securities

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

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Morgan Stanley Finance LLC

Dual Directional Buffered Participation Securities Based on the Value of the Worst Performing of the Russell 2000® Index and the Vanguard Value ETF due October 8, 2025

Principal at Risk Securities

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