December 2024

Pricing Supplement No. 5,202
Registration Statement Nos. 333-275587; 333-275587-01
Dated December 30, 2024
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

STRUCTURED INVESTMENTS

Opportunities in U.S Equities

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The Buffered PLUS are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. The Buffered PLUS 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 PLUS, index supplement and prospectus, as supplemented or modified by this document. The payment at maturity on the Buffered PLUS will be based on the value of the worst performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1. 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 leveraged upside performance of the worst performing underlying, subject to the maximum 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. However, if the final level of either underlying is less than 85% of its respective initial level, meaning that either underlying has decreased from its respective initial level by an amount greater than the buffer amount of 15%, 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 PLUS. Because the payment at maturity of the Buffered PLUS is based on the worst performing of the 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 PLUS 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 returns above the maximum payment at maturity in exchange for the leverage and buffer features that in each case apply to a limited range of performance of the worst performing underlying. The Buffered PLUS are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These Buffered PLUS 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.

FINAL TERMS

Issuer:

Morgan Stanley Finance LLC

Guarantor:

Morgan Stanley

Maturity date:

July 6, 2026

Underlyings:

The S&P 500® Index (the “SPX Index”) and the Invesco QQQ TrustSM, Series 1 (the “QQQ Shares”)

Aggregate principal amount:

$740,000

Payment at maturity:

If the final level of each underlying is greater than its respective initial level,

 

$1,000 + ($1,000 × leverage factor × underlying percent change of the worst performing underlying)

In no event will the payment at maturity exceed the maximum 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%,

 

$1,000

 

If the final level of either underlying is less than 85% of its respective initial level, meaning that either underlying has decreased from its respective initial level by an amount greater than the buffer amount of 15%,

 

($1,000 × underlying performance factor of the worst performing underlying) + $150

 

Under these circumstances, the payment at maturity will be less than the stated principal amount of $1,000. However, under no circumstances will the Buffered PLUS pay less than $150 per Buffered PLUS at maturity.

Underlying percent change:

With respect to each underlying, (final level – initial level) / initial level

Worst performing underlying:

The underlying with the lesser underlying percent change

Underlying performance factor:

With respect to each underlying, final level / initial level

Initial level:

With respect to the SPX Index, 5,906.94, which is the index closing value of such underlying on the pricing date

With respect to the QQQ Shares, $515.61, which is the closing price of such underlying on the pricing date

Final level:

With respect to the SPX Index, the index closing value of such underlying on the valuation date

With respect to the QQQ Shares, the closing price of such underlying on the valuation date times the adjustment factor on such date

Valuation date:

June 30, 2026, subject to adjustment for non-index business days, non-trading days and certain market disruption events

Maximum payment at maturity:

$1,200 per Buffered PLUS

Minimum payment at maturity:

$150 per Buffered PLUS (15% of the stated principal amount)

Leverage factor:

125%

Adjustment factor:

With respect to the QQQ Shares, 1.0, subject to adjustment in the event of certain events affecting the QQQ Shares

Buffer amount:

15%. As a result of the buffer amount of 15%, the levels at or above which the underlyings must close on the valuation date so that investors do not suffer a loss on their initial investment in the Buffered PLUS are as follows:

With respect to the SPX Index, 5,020.899, which is 85% of its initial level

With respect to the QQQ Shares, $438.269, which is approximately 85% of its initial level

Stated principal amount:

$1,000 per Buffered PLUS

Issue price:

$1,000 per Buffered PLUS

Pricing date:

December 30, 2024

Original issue date:

January 3, 2025 (3 business days after the pricing date)

CUSIP / ISIN:

61777RBL6 / US61777RBL69

Listing:

The Buffered PLUS will not be listed on any securities exchange.

Agent:

Morgan Stanley & Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL. See “Supplemental information regarding plan of distribution; conflicts of interest.”

Estimated value on the pricing date:

$983.70 per Buffered PLUS. See “Investment Summary” on page 2.

Commissions and issue price:

Price to public(1)

Agent’s commissions and fees(2)

Proceeds to us(3)

Per Buffered PLUS

$1,000

$2.50

$997.50

Total

$740,000

$1,850

$738,150

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

(2)MS & Co. expects to sell all of the Buffered PLUS that it purchases from us to an unaffiliated dealer at a price of $997.50 per Buffered PLUS, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per Buffered PLUS. MS & Co. will not receive a sales commission with respect to the Buffered PLUS. 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 PLUS 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 PLUS 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 PLUS” and “Additional Information About the Buffered PLUS” 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 PLUS dated November 16, 2023 Index Supplement dated November 16, 2023 ​Prospectus dated April 12, 2024

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Investment Summary

Buffered Performance Leveraged Upside Securities

Principal at Risk Securities

The Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026 (the “Buffered PLUS”) can be used:

￭To gain exposure to the worst performing of two international equity underlyings

￭To potentially outperform the worst performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1, subject to the maximum payment at maturity, by taking advantage of the leverage factor

￭To obtain a buffer against a specified level 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.

Maturity:

Approximately 1.5 years

Leverage factor:

125%

Maximum payment at maturity:

$1,200 per Buffered PLUS (120% of the stated principal

amount)

 

Minimum payment at maturity:

$150 per Buffered PLUS (15% of the stated principal amount). Investors may lose up to 85% of the stated principal amount of the Buffered PLUS.

Buffer amount:

15%, with 1-to-1 downside exposure to the worst performing underlying below the buffer

Coupon:

None

Listing:

The Buffered PLUS will not be listed on any securities exchange

The original issue price of each Buffered PLUS is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the Buffered PLUS, which are borne by you, and, consequently, the estimated value of the Buffered PLUS on the pricing date is less than $1,000. We estimate that the value of each Buffered PLUS on the pricing date is $983.70.

What goes into the estimated value on the pricing date?

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

In determining the economic terms of the Buffered PLUS, including the leverage factor, the buffer amount, the maximum 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 PLUS 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 PLUS?

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

December 2024 Page 2

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Key Investment Rationale

The Buffered PLUS offer leveraged exposure to the worst performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1, subject to the maximum payment at maturity, to the extent that the final level of each underlying is greater than its respective initial level. 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 leveraged upside performance of the worst performing underlying, subject to the maximum 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. However, if the final level of either underlying is less than 85% of its respective initial level, 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 PLUS. All payments on the Buffered PLUS are subject to our credit risk.

Leveraged Performance Up to a Cap

The Buffered PLUS offer investors an opportunity to receive 125% of the positive return of the worst performing of the underlyings, subject to the maximum payment at maturity, if both underlyings have appreciated in value.

Upside Scenario if Both Underlyings Appreciate

Both underlyings increase in value, and, at maturity, the Buffered PLUS redeem for the stated principal amount of $1,000 plus 125% of the underlying percent change of the worst performing underlying, subject to the maximum payment at maturity of $1,200 per Buffered PLUS (120% of the stated principal amount).

Par Scenario

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. At maturity, the Buffered PLUS redeem for the stated principal amount of $1,000.

Downside Scenario

The final level of either underlying is less than 85% of its respective initial level. In this case, the Buffered PLUS redeem for less than the stated principal amount by an amount proportionate to the percentage decrease of the worst performing underlying over the term of the Buffered PLUS, plus the buffer amount of 15%. For example, if the final level of the worst performing underlying is 70% less than its initial level, the Buffered PLUS will be redeemed at maturity for a loss of 55% of principal at $450, or 45% of the stated principal amount. The minimum payment at maturity is $150 per Buffered PLUS.

Because the payment at maturity of the Buffered PLUS 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.

December 2024 Page 3

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Hypothetical Examples

The following hypothetical examples illustrate how to calculate the payment at maturity on the Buffered PLUS. 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 PLUS is subject to our credit risk. The below examples are based on the following terms:

Stated principal amount:

$1,000 per Buffered PLUS

Leverage factor:

125%

Maximum payment at maturity:

$1,200 per Buffered PLUS

Hypothetical initial level:

With respect to the SPX Index: 4,000

With respect to the QQQ Shares: $500

Minimum payment at maturity:

$150 per Buffered PLUS (15% of the stated principal amount)

Buffer amount:

15%

 

 

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

 

Final level

 

SPX Index: 5,800

 

 

QQQ Shares: $750

Underlying percent change

 

SPX Index: (5,800 – 4,000) / 4,000 = 45%

QQQ Shares: ($750 – $500) / $500 = 50%

Payment at maturity

=

$1,000 + ($1,000 × leverage factor × underlying percent change of the worst performing underlying), subject to the maximum payment at maturity

 

=

$1,000 + ($1,000 × 125% × 45%), subject to the maximum payment at maturity

 

=

$1,200

In example 1, the final levels of both the SPX Index and QQQ Shares are greater than their initial levels. The SPX Index has appreciated by 45% while the QQQ Shares have appreciated by 50%. Therefore, investors receive at maturity the stated principal amount plus 125% of the appreciation of the worst performing underlying, which is the SPX Index in this example, subject to the maximum payment at maturity. Because the payment at maturity cannot exceed the maximum payment at maturity, investors receive $1,200 per Buffered PLUS at maturity.

 

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

 

Final level

 

SPX Index: 4,400

 

 

QQQ Shares: $700

Underlying percent change

 

SPX Index: (4,400 – 4,000) / 4,000 = 10%

QQQ Shares: ($700 – $500) / $500 = 40%

Payment at maturity

=

$1,000 + ($1,000 × leverage factor × underlying percent change of the worst performing underlying), subject to the maximum payment at maturity

 

=

$1,000 + ($1,000 × 125% × 10%), subject to the maximum payment at maturity

 

=

$1,125

 

December 2024 Page 4

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

 

In example 2, the final levels of both the SPX Index and QQQ Shares are greater than their initial levels. The SPX Index has appreciated by 10% while the QQQ Shares have appreciated by 40%. Therefore, investors receive at maturity the stated principal amount plus 125% of the appreciation of the worst performing underlying, which is the SPX Index in this example, subject to the maximum payment at maturity. Investors receive $1,125 per Buffered PLUS at maturity.

 

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%.

 

Final level

 

SPX Index: 5,600

 

 

QQQ Shares: $475

Underlying percent change

 

SPX Index: (5,600 – 4,000) / 4,000 = 40%

QQQ Shares: ($475 – $500) / $500 = -5%

Payment at maturity

=

$1,000

 

In example 3, the final level of the SPX Index is greater than its respective initial level, while the final level of the QQQ Shares is less than its respective initial level. The SPX Index has appreciated by 40%, while the QQQ Shares have 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. Investors receive $1,000 per Buffered PLUS at maturity.

 

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.

 

Final level

 

SPX Index: 4,400

 

 

QQQ Shares: $250

Underlying percent change

 

SPX Index: (4,400 – 4,000) / 4,000 = 10%

QQQ Shares: ($250 – $500) / $500 = -50%

Underlying performance factor

 

SPX Index: 4,400 / 4,000 = 110%

QQQ Shares: $250 / $500 = 50%

Payment at maturity

=

($1,000 × underlying performance factor of the worst performing underlying) + $150

 

=

($1,000 × 50%) + $150

 

=

$650

 

In example 4, the final level of the SPX Index is greater than its respective initial level, while the final level of the QQQ Shares is less than 85% of its respective initial level. While the SPX Index has appreciated by 10%, the QQQ Shares have declined by 50%. Therefore, investors are exposed to the negative performance of the QQQ Shares, which represent the worst performing underlying in this example, beyond the buffer amount of 15%, and receive a payment at maturity of $650 per Buffered PLUS. In this example, investors are exposed to the negative performance of the worst performing underlying even though the other underlying has appreciated in value by 10%, because the final level of each underlying is not greater than or equal to 85% of its respective initial level.

 

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%.

 

Final level

 

SPX Index: 3,800

 

 

QQQ Shares: $460

Underlying percent change

 

SPX Index: (3,800 – 4,000) / 4,000 = -5%

QQQ Shares: ($460 – $500) / $500 = -8%

December 2024 Page 5

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Payment at maturity

=

$1,000

 

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 SPX Index has declined by 5% while the QQQ Shares have declined by 8%. Therefore, investors receive at maturity the stated principal amount. Investors receive $1,000 per Buffered PLUS at maturity.

 

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

 

Final level

 

SPX Index: 1,200

 

 

QQQ Shares: $28

Underlying percent change

 

SPX Index: (1,200 – 4,000) / 4,000 = -70%

QQQ Shares: ($200 – $500) / $500 = -60%

Underlying performance factor

 

SPX Index: 1,200 / 4,000 = 30%

QQQ Shares: $200 / $500 = 40%

Payment at maturity

=

($1,000 × underlying performance factor of the worst performing underlying) + $150

 

=

($1,000 × 30%) + $150

 

=

$450

 

In example 6, the final levels of both the SPX Index and the QQQ Shares are less than their respective initial levels by an amount greater than the buffer amount of 15%. The SPX Index has declined by 70% while the QQQ Shares have declined by 60%. Therefore, investors are exposed to the negative performance of the SPX Index, which is the worst performing underlying in this example, beyond the buffer amount of 15%, and receive a payment at maturity of $400 per Buffered PLUS.

 

Because the payment at maturity of the Buffered PLUS 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.

December 2024 Page 6

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Risk Factors

This section describes the material risks relating to the Buffered PLUS. For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product supplement for PLUS, 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 PLUS.

Risks Relating to an Investment in the Buffered PLUS

￭The Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 15% of the stated principal amount. The terms of the Buffered PLUS differ from those of ordinary debt securities in that the Buffered PLUS do not pay interest and provide a minimum payment at maturity of only 15% of the stated principal amount of the Buffered PLUS. If the final level of either underlying is less than 85% of its initial level, you will receive for each Buffered PLUS that you hold a payment at maturity that is less than the stated principal amount of each Buffered PLUS by an amount proportionate to the decline in the value of the worst performing underlying from its initial level, plus $150 per Buffered PLUS. Accordingly, investors may lose up to 85% of the stated principal amount of the Buffered PLUS.

￭The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity. The appreciation potential of the Buffered PLUS is limited by the maximum payment at maturity of $1,200 per Buffered PLUS, or 120% of the stated principal amount. Although the leverage factor provides 125% exposure to any increase in the final level of the worst performing underlying over its initial level, because the payment at maturity will be limited to 120% of the stated principal amount for the Buffered PLUS, any increase in the final level of the worst performing underlying over its initial level by more than 16% of its initial level will not further increase the return on the Buffered PLUS.

￭The market price of the Buffered PLUS will be influenced by many unpredictable factors. Several factors will influence the value of the Buffered PLUS in the secondary market and the price at which MS & Co. may be willing to purchase or sell the Buffered PLUS in the secondary market, including the value, volatility and dividend yield of each of the underlyings, interest and yield rates in the market, time remaining until the Buffered PLUS mature, geopolitical conditions and economic, financial, political, regulatory or judicial events and any actual or anticipated changes in our credit ratings or credit spreads. Generally, the longer the time remaining to maturity, the more the market price of the Buffered PLUS will be affected by the other factors described above. 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 “S&P 500® Index Overview” and “Invesco QQQ TrustSM, Series 1 Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per Buffered PLUS if you try to sell your Buffered PLUS prior to maturity.

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

￭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 PLUS 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 closing level of such underlying on the valuation date,

December 2024 Page 7

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

subject to postponement for non-index business days, non-trading days 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 values of the underlyings on the stated maturity date or at other times during the term of the Buffered PLUS may be higher than their respective final levels, the payment at maturity will be based solely on the closing levels on the valuation date.

￭Investing in the Buffered PLUS is not equivalent to investing in either underlying or the stocks composing the SPX Index or the Nasdaq-100 Index®. Investing in the Buffered PLUS is not equivalent to investing in either underlying or the component stocks of either the SPX Index or the Nasdaq-100 Index®. As an investor in the Buffered PLUS, you will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute either the SPX Index or the Nasdaq-100 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 PLUS in the original issue price reduce the economic terms of the Buffered PLUS, cause the estimated value of the Buffered PLUS 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 PLUS 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 PLUS in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the Buffered PLUS less favorable to you than they otherwise would be.

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

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

December 2024 Page 8

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

your Buffered PLUS 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 PLUS, it is likely that there would be no secondary market for the Buffered PLUS. Accordingly, you should be willing to hold your Buffered PLUS to maturity.

￭Hedging and trading activity by our affiliates could potentially adversely affect the value of the Buffered PLUS. One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the Buffered PLUS (and to other instruments linked to either underlying or the Nasdaq-100 Index®), including taking positions in stocks constituting the SPX Index or the Nasdaq-100 Index® or taking positions in the QQQ Shares, futures and/or options contracts on the SPX Index, the QQQ Shares, the Nasdaq-100 Index® or their component stocks listed on major securities markets. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Buffered PLUS, 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 underlyings and other financial instruments related to the underlyings 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 an 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 PLUS (depending also on the performance of the other underlying). Additionally, such hedging or trading activities during the term of the Buffered PLUS, including on the valuation date, could adversely affect the closing value 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 PLUS. 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 index closing value of the SPX Index or the closing price of the QQQ 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 PLUS—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 PLUS on the pricing date.

￭The U.S. federal income tax consequences of an investment in the Buffered PLUS 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 PLUS (together, the “Tax Disclosure Sections”) concerning the U.S. federal income tax consequences of an investment in the Buffered PLUS. 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 PLUS, 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 PLUS are uncertain, and the IRS or a court might not agree with the tax treatment of a Buffered PLUS 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 PLUS, the tax consequences of the ownership and disposition of the Buffered PLUS, 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. Moreover, future legislation, Treasury regulations or IRS guidance could adversely affect the U.S. federal tax treatment of the Buffered PLUS, 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 PLUS, 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

December 2024 Page 9

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

￭You are exposed to the price risk of both underlyings. Your return on the Buffered PLUS it 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 PLUS 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 PLUS 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 PLUS 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 PLUS were linked to only one underlying. Therefore it is more likely that you will suffer a loss on your investment.

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

￭Adjustments to the QQQ Shares or the index tracked by the QQQ Shares could adversely affect the value of the Buffered PLUS. The investment adviser to the Invesco QQQ TrustSM, Series 1, Invesco Capital Management LLC (the “Investment Adviser”), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Nasdaq-100 Index®. Pursuant to its investment strategies or otherwise, the Investment Adviser may add, delete or substitute the stocks composing Invesco QQQ TrustSM, Series 1. Any of these actions could adversely affect the price of the QQQ Shares and, consequently, the value of the Buffered PLUS. Nasdaq, Inc. is responsible for calculating and maintaining the Nasdaq-100 Index®. Nasdaq, Inc. may add, delete or substitute the stocks constituting the Nasdaq-100 Index® or make other methodological changes that could change the level of the Nasdaq-100 Index®. Nasdaq, Inc. may discontinue or suspend calculation or publication of the Nasdaq-100 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 Nasdaq-100 Index® and is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. Any of these actions could adversely affect the price of the QQQ Shares and, consequently, the value of the Buffered PLUS.

￭The performance and market price of the QQQ Shares, particularly during periods of market volatility, may not correlate with the performance of the Nasdaq-100 Index®, the performance of the component securities of the Nasdaq-100 Index® or the net asset value per share of the QQQ Shares. The QQQ Shares do not fully replicate the Nasdaq-100 Index® and may hold securities that are different than those included in the Nasdaq-100 Index®.  In addition, the performance of the QQQ Shares will reflect additional transaction costs and fees that are not included in the calculation of the Nasdaq-100 Index®.  All of these factors may lead to a lack of correlation between the performance of QQQ Shares and the Nasdaq-100 Index®.  In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the QQQ Shares may impact the variance between the performances of QQQ Shares and the Nasdaq-100 Index®.  Finally, because the shares of the QQQ Shares are traded on  an exchange and are subject to market supply and investor demand, the market price of one share of the QQQ Shares may differ from the net asset value per share of the QQQ Shares.

In particular, during periods of market volatility, or unusual trading activity, trading in the securities underlying the QQQ Shares may be disrupted or limited, or such securities may be unavailable in the secondary market.  Under these circumstances, the liquidity of the QQQ Shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of the QQQ Shares, and their ability to create and redeem shares of the QQQ Shares may be disrupted. Under these circumstances, the market price of shares of the QQQ Shares may vary substantially from the net asset value per share of the QQQ Shares or the level of the Nasdaq-100 Index®.

December 2024 Page 10

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

For all of the foregoing reasons, the performance of the QQQ Shares may not correlate with the performance of the Nasdaq-100 Index®, the performance of the component securities of the Nasdaq-100 Index® or the net asset value per share of the QQQ Shares.  Any of these events could materially and adversely affect the price of the shares of the QQQ Shares and, therefore, the value of the Buffered PLUS.  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 on the Buffered PLUS.  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 QQQ Shares on the valuation date, even if the QQQ Shares’ shares are underperforming the Nasdaq-100 Index® or the component securities of the Nasdaq-100 Index® and/or trading below the net asset value per share of the QQQ Shares.

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

 

December 2024 Page 11

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

S&P 500® Index Overview

The S&P 500® Index, which is calculated, maintained and published by S&P® Dow Jones Indices LLC (“S&P®”), is intended to provide a benchmark for performance measurement of the large capitalization segment of the U.S. equity markets by tracking the stock price movement of 500 companies with large market capitalizations. Component stocks of the S&P 500® Index are required to have a total company level market capitalization that reflects approximately the 85th percentile of the S&P® Total Market Index. The S&P 500® Index measures the relative performance of the common stocks of 500 companies as of a particular time as compared to the performance of the common stocks of 500 similar companies during the base period of the years 1941 through 1943. For additional information about the S&P 500® Index, see the information set forth under “S&P® U.S. Indices—S&P 500® Index” in the accompanying index supplement.

 

Information as of market close on December 30, 2024:

Bloomberg Ticker Symbol:

SPX

Current Index Value:

5,906.94

52 Weeks Ago:

4,742.83

52 Week High (on 12/6/2024):

6,090.27

52 Week Low (on 1/4/2024):

4,688.68

The following graph sets forth the daily closing values of the SPX Index for the period from January 1, 2019 through December 30, 2024. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the SPX Index for each quarter in the same period. The closing value of the SPX Index on December 30, 2024 was 5,906.94. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The SPX Index has at times experienced periods of high volatility, and you should not take the historical values of the SPX Index as an indication of its future performance.

SPX Index Daily Closing Values
January 1, 2019 to December 30, 2024

December 2024 Page 12

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

 

S&P 500® Index

High

Low

Period End

2019

 

 

 

First Quarter

2,854.88

2,447.89

2,834.40

Second Quarter

2,954.18

2,744.45

2,941.76

Third Quarter

3,025.86

2,840.60

2,976.74

Fourth Quarter

3,240.02

2,887.61

3,230.78

2020

 

 

 

First Quarter

3,386.15

2,237.40

2,584.59

Second Quarter

3,232.39

2,470.50

3,100.29

Third Quarter

3,580.84

3,115.86

3,363.00

Fourth Quarter

3,756.07

3,269.96

3,756.07

2021

 

 

 

First Quarter

3,974.54

3,700.65

3,972.89

Second Quarter

4,297.50

4,019.87

4,297.50

Third Quarter

4,536.95

4,258.49

4,307.54

Fourth Quarter

4,793.06

4,300.46

4,766.18

2022

 

 

 

First Quarter

4,796.56

4,170.70

4,530.41

Second Quarter

4,582.64

3,666.77

3,785.38

Third Quarter

4,305.20

3,585.62

3,585.62

Fourth Quarter

4,080.11

3,577.03

3,839.50

2023

 

 

 

First Quarter

4,179.76

3,808.10

4,109.31

Second Quarter

4,450.38

4,055.99

4,450.38

Third Quarter

4,588.96

4,273.53

4,288.05

Fourth Quarter

4,783.35

4,117.37

4,769.83

2024

 

 

 

First Quarter

5,254.35

4,688.68

5,254.35

Second Quarter

5,487.03

4,967.23

5,460.48

Third Quarter

5,762.48

5,186.33

5,762.48

Fourth Quarter (through December 30, 2024)

6,090.27

5,695.94

5,906.94

“Standard & Poor’s®,” “S&P®,” “S&P 500®,” “Standard & Poor’s 500” and “500” are trademarks of Standard and Poor’s Financial Services LLC. For more information, see “S&P® U.S. Indices” in the accompanying index supplement.

December 2024 Page 13

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Invesco QQQ TrustSM, Series 1 Overview

Invesco QQQ TrustSM, Series 1 is an exchange-traded fund managed by Invesco Capital Management LLC (“Invesco”), which seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Nasdaq-100 Index®. Effective June 4, 2018, the name of the Fund was changed from PowerShares QQQ TrustSM, Series 1 to its current name, and effective on or about June 4, 2018, the name of the sponsor of Invesco QQQ TrustSM, Series 1 was changed to Invesco Capital Management LLC. Information provided to or filed with the Securities and Exchange Commission (the “Commission”) by Invesco Capital Management LLC pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be located by reference to Commission file numbers 333-61001 and 811-08947, 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 Invesco QQQ TrustSM, Series 1 is accurate or complete.

Information as of market close on December 30, 2024:

Bloomberg Ticker Symbol:

QQQ UP

Current Share Price:

$515.61

52 Weeks Ago:

$402.59

52 Week High (on 12/16/2024):

$538.17

52 Week Low (on 1/4/2024):

$396.28

The following graph sets forth the daily closing prices of the QQQ Shares for the period from January 1, 2019 through December 30, 2024. The related table sets forth the published high and low closing prices, as well as end-of-quarter closing prices, of the QQQ Shares for each quarter in the same period. The closing price of the QQQ Shares on December 30, 2024 was $515.61. We obtained the information in the graph and table below from Bloomberg Financial Markets, without independent verification. The QQQ Shares have at times experienced periods of high volatility, and you should not take the historical values of the QQQ Shares as an indication of future performance.

QQQ Shares Daily Closing Prices
January 1, 2019 to December 30, 2024

December 2024 Page 14

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Invesco QQQ TrustSM, Series 1 (CUSIP 46090E103)

High ($)

Low ($)

Period End ($)

2019

 

 

 

First Quarter

182.57

149.82

179.66

Second Quarter

191.11

170.12

186.74

Third Quarter

195.29

180.73

188.81

Fourth Quarter

213.79

184.05

212.61

2020

 

 

 

First Quarter

236.98

169.30

190.40

Second Quarter

248.84

182.31

247.60

Third Quarter

302.76

250.49

277.84

Fourth Quarter

313.74

269.38

313.74

2021

 

 

 

First Quarter

336.45

299.94

319.13

Second Quarter

354.99

316.89

354.43

Third Quarter

382.11

354.57

357.96

Fourth Quarter

403.99

352.62

397.85

2022

 

 

 

First Quarter

401.68

318.17

362.54

Second Quarter

369.30

271.39

280.28

Third Quarter

333.06

267.26

267.26

Fourth Quarter

293.72

260.10

266.28

2023

 

 

 

First Quarter

320.93

261.58

320.93

Second Quarter

370.26

309.99

369.42

Third Quarter

385.74

354.21

358.27

Fourth Quarter

411.50

343.66

409.52

2024

 

 

 

First Quarter

446.38

396.28

444.01

Second Quarter

485.21

414.65

479.11

Third Quarter

502.96

434.77

488.07

Fourth Quarter (through December 30, 2024)

538.17

481.27

515.61

 

This document relates only to the Buffered PLUS referenced hereby and does not relate to the QQQ Shares. We have derived all disclosures contained in this document regarding Invesco from the publicly available documents described above. In connection with the offering of the Buffered PLUS, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Invesco. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Invesco 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 QQQ Shares (and therefore the price of the QQQ Shares at the time we priced the Buffered PLUS) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Invesco could affect the value received with respect to the Buffered PLUS and therefore the value of the Buffered PLUS.

 

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

 

We and/or our affiliates may presently or from time to time engage in business with Invesco. In the course of such business, we and/or our affiliates may acquire non-public information with respect to Invesco, 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 QQQ Shares. The statements in the preceding two sentences are not intended to affect the rights of investors in the Buffered PLUS under the securities laws. As a purchaser of the Buffered PLUS, you should undertake an independent investigation of Invesco as in your judgment is appropriate to make an informed decision with respect to an investment linked to the QQQ Shares.

 

December 2024 Page 15

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

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

Nasdaq-100 Index®. The Nasdaq-100 Index®, which is calculated, maintained and published by Nasdaq, Inc., is a modified capitalization-weighted index of 100 of the largest and most actively traded equity securities of non-financial companies listed on The Nasdaq Stock Market LLC. The Nasdaq-100 Index® includes companies across a variety of major industry groups. At any moment in time, the value of the Nasdaq-100 Index® equals the aggregate value of the then-current Nasdaq-100 Index® share weights of each of the Nasdaq-100 Index® component securities, which are based on the total shares outstanding of each such Nasdaq-100 Index® component security, multiplied by each such security’s respective last sale price on Nasdaq (which may be the official closing price published by Nasdaq), and divided by a scaling factor, which becomes the basis for the reported Nasdaq-100 Index® value. The Nasdaq-100 Index® underwent a Special Rebalance, which became effective prior to market open on July 24, 2023. No securities were added to or removed from the Nasdaq-100 Index® as a result of this Special Rebalance. The Nasdaq-100 Index® is described in “Nasdaq-100 Index®” in the accompanying index supplement.

December 2024 Page 16

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Additional Terms of the Buffered PLUS

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

Additional Terms:

 

If the terms described herein are inconsistent with those described in the accompanying product supplement, index supplement or prospectus, the terms described herein shall control.

Underlying index publisher:

S&P® Dow Jones Indices LLC or any successor thereof

Share underlying index:

Nasdaq-100 Index®

Share underlying index publisher:

Nasdaq, Inc. or any successor thereof

Denominations:

$1,000 per Buffered PLUS and integral multiples thereof

Postponement of maturity date:

If the scheduled valuation date is not an index business day or a trading day, as applicable, with respect to either underlying or if a market disruption event occurs with respect to either underlying on that day so that the valuation date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the Buffered PLUS will be postponed to the second business day following the latest valuation date as postponed with respect to either underlying.

Trustee:

The Bank of New York Mellon

Calculation agent:

MS & Co.

Issuer notice to registered security holders, the trustee and the depositary: 

In the event that the maturity date is postponed due to postponement of the valuation date, the issuer shall give notice of such postponement and, once it has been determined, of the date to which the maturity date has been rescheduled (i) to each registered holder of the Buffered PLUS by mailing notice of such postponement by first class mail, postage prepaid, to such registered holder’s last address as it shall appear upon the registry books, (ii) to the trustee by facsimile confirmed by mailing such notice to the trustee by first class mail, postage prepaid, at its New York office and (iii) to The Depository Trust Company (the “depositary”) by telephone or facsimile, confirmed by mailing such notice to the depositary by first class mail, postage prepaid. Any notice that is mailed to a registered holder of the Buffered PLUS in the manner herein provided shall be conclusively presumed to have been duly given to such registered holder, whether or not such registered holder receives the notice. The issuer shall give such notice as promptly as possible, and in no case later than (i) with respect to notice of postponement of the maturity date, the business day immediately preceding the scheduled maturity date, and (ii) with respect to notice of the date to which the maturity date has been rescheduled, the business day immediately following the actual valuation date.

The issuer shall, or shall cause the calculation agent to, (i) provide written notice to the trustee and to the depositary of the amount of cash to be delivered with respect to each stated principal amount of the Buffered PLUS, on or prior to 10:30 a.m. (New York City time) on the business day preceding the maturity date, and (ii) deliver the aggregate cash amount due with respect to the Buffered PLUS to the trustee for delivery to the depositary, as holder of the Buffered PLUS, on the maturity date.

December 2024 Page 17

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

Additional Information About the Buffered PLUS

Additional Information:

 

Minimum ticketing size:

$1,000 / 1 Buffered PLUS

Tax considerations:

Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Buffered PLUS due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP, under current law, and based on current market conditions, it is reasonable to treat a Buffered PLUS as a single financial contract that is an “open transaction” for U.S. federal income tax purposes.

Assuming this treatment of the Buffered PLUS is respected and subject to the discussion in “United States Federal Taxation” in the accompanying product supplement for PLUS, the following U.S. federal income tax consequences should result based on current law:

￭A U.S. Holder should not be required to recognize taxable income over the term of the Buffered PLUS prior to settlement, other than pursuant to a sale or exchange.

￭Upon sale, exchange or settlement of the Buffered PLUS, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized and the U.S. Holder’s tax basis in the Buffered PLUS. Subject to the discussion below concerning the potential application of the “constructive ownership” rule, such gain or loss should be long-term capital gain or loss if the investor has held the Buffered PLUS for more than one year, and short-term capital gain or loss otherwise.

Because the Buffered PLUS are linked to shares of an exchange-traded fund, although the matter is not clear, there is a risk that an investment in the Buffered PLUS will be treated as a “constructive ownership transaction” under Section 1260 of the Internal Revenue Code of 1986, as amended (the “Code”). If this treatment applies, all or a portion of any long-term capital gain of the U.S. Holder in respect of the Buffered PLUS could be recharacterized as ordinary income (in which case an interest charge will be imposed). As a result of certain features of the Buffered PLUS, including the leveraged upside payment and the fact that the Buffered PLUS are linked to an index in addition to an exchange-traded fund, it is unclear how to calculate the amount of gain that would be recharacterized if an investment in the Buffered PLUS were treated as a constructive ownership transaction. Due to the lack of governing authority, our counsel is unable to opine as to whether or how Section 1260 of the Code applies to the Buffered PLUS. U.S. investors should read the section entitled “United States Federal Taxation—Tax Consequences to U.S. Holders—Possible Application of Section 1260 of the Code” in the accompanying product supplement for PLUS for additional information and consult their tax advisers regarding the potential application of the “constructive ownership” rule.

We do not plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the treatment of the Buffered PLUS. An alternative characterization of the Buffered PLUS could materially and adversely affect the tax consequences of ownership and disposition of the Buffered PLUS, including the timing and character of income recognized. In addition, the U.S. Treasury Department and the IRS have requested comments on various issues regarding the U.S. federal income tax treatment of “prepaid forward contracts” and similar financial instruments and have indicated that such transactions may be the subject of future regulations or other guidance. Furthermore, members of Congress have proposed legislative changes to the tax treatment of derivative contracts. Any legislation, Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the Buffered PLUS, possibly with retroactive effect.

As discussed in the accompanying product supplement for PLUS, Section 871(m) of the Code and Treasury regulations promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax on dividend equivalents

December 2024 Page 18

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m) generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, pursuant to an IRS notice, Section 871(m) will not apply to securities issued before January 1, 2027 that do not have a delta of one with respect to any Underlying Security. Based on our determination that the Buffered PLUS do not have a delta of one with respect to any Underlying Security, our counsel is of the opinion that the Buffered PLUS should not be Specified Securities and, therefore, should not be subject to Section 871(m).

Our determination is not binding on the IRS, and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances, including whether you enter into other transactions with respect to an Underlying Security. If withholding is required, we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser regarding the potential application of Section 871(m) to the Buffered PLUS.

Both U.S. and non-U.S. investors considering an investment in the Buffered PLUS should read the discussion under “Risk Factors” in this document and the discussion under “United States Federal Taxation” in the accompanying product supplement for PLUS and consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Buffered PLUS, including possible alternative treatments, the potential application of the constructive ownership rule, and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

The discussion in the preceding paragraphs under “Tax considerations” and the discussion contained in the section entitled “United States Federal Taxation” in the accompanying product supplement for PLUS, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the Buffered PLUS.

 

 

 

 

Use of proceeds and hedging:

The proceeds from the sale of the Buffered PLUS will be used by us for general corporate purposes. We will receive, in aggregate, $1,000 per Buffered PLUS issued, because, when we enter into hedging transactions in order to meet our obligations under the Buffered PLUS, our hedging counterparty will reimburse the cost of the agent’s commissions. The costs of the Buffered PLUS borne by you and described beginning on page 2 above comprise the agent’s commissions and the cost of issuing, structuring and hedging the Buffered PLUS.

On or prior to the pricing date, we will hedge our anticipated exposure in connection with the Buffered PLUS by entering into hedging transactions with our affiliates and/or third-party dealers. We expect our hedging counterparties to take positions in the QQQ Shares, in stocks constituting the SPX Index or the Nasdaq-100 Index®, in futures and/or options contracts on the SPX Index, the QQQ Shares, the Nasdaq-100 Index® or their component stocks listed on major securities markets, or positions in any other available securities or instruments that they may wish to use in connection with such hedging. Such purchase activity could potentially increase the level of either underlying on the pricing date, and therefore could increase the level 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 PLUS (depending also on the performance of the other underlying). In addition, through our affiliates, we are likely to modify our hedge position throughout the term of the Buffered PLUS, including on the valuation, by purchasing and

December 2024 Page 19

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

selling the QQQ Shares, the stocks constituting the SPX Index or the Nasdaq-100 Index®, futures or options contracts on the SPX Index, the QQQ Shares, the Nasdaq-100 Index® or their component stocks listed on major securities markets or positions in any other available securities or instruments that we may wish to use in connection with such hedging activities. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Buffered PLUS, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the valuation date approaches. We cannot give any assurance that our hedging activities will not affect the value of either underlying, and, therefore, adversely affect the value of the Buffered PLUS or the payment you will receive at maturity (depending also on the performance of the other underlying). For further information on our use of proceeds and hedging, see “Use of Proceeds and Hedging” in the accompanying product supplement for PLUS.

Additional considerations:

Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the Buffered PLUS, either directly or indirectly.

Supplemental information regarding plan of distribution; conflicts of interest:

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

MS & Co. is an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging the Buffered PLUS.

MS & Co. will conduct this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account. See “Plan of Distribution (Conflicts of Interest)” and “Use of Proceeds and Hedging” in the accompanying product supplement for PLUS.

Validity of the Buffered PLUS:

In the opinion of Davis Polk & Wardwell LLP, as special counsel to MSFL and Morgan Stanley, when the Buffered PLUS offered by this pricing supplement have been executed and issued by MSFL, authenticated by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment as contemplated herein, such Buffered PLUS will be valid and binding obligations of MSFL and the related guarantee will be a valid and binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability (including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such counsel expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior Debt Indenture and its authentication of the Buffered PLUS and the validity, binding nature

December 2024 Page 20

Morgan Stanley Finance LLC

Buffered PLUS Based on the Value of the Worst Performing of the S&P 500® Index and the Invesco QQQ TrustSM, Series 1 due July 6, 2026

Buffered Performance Leveraged Upside SecuritiesSM

Principal at Risk Securities

 

and enforceability of the MSFL Senior Debt Indenture with respect to the trustee, all as stated in the letter of such counsel dated February 26, 2024, which is Exhibit 5-a to Post-Effective Amendment No. 2 to the Registration Statement on Form S-3 filed by Morgan Stanley on February 26, 2024.

Where you can find more information:

Morgan Stanley and MSFL have filed a registration statement (including a prospectus, as supplemented by the product supplement for PLUS and the index supplement) with the Securities and Exchange Commission, or SEC, for the offering to which this communication relates. You should read the prospectus in that registration statement, the product supplement for PLUS, the index supplement and any other documents relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley, MSFL and this offering. 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. You may get these documents without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, Morgan Stanley, MSFL, any underwriter or any dealer participating in the offering will arrange to send you the product supplement for PLUS, index supplement and prospectus if you so request by calling toll-free 800-584-6837.

You may access these documents on the SEC web site at www.sec.gov.as follows:

Product Supplement for PLUS dated November 16, 2023

Index Supplement dated November 16, 2023

Prospectus dated April 12, 2024

Terms used but not defined in this document are defined in the product supplement for PLUS, in the index supplement or in the prospectus.

“Performance Leveraged Upside SecuritiesSM” and “PLUSSM” are our service marks.

 

December 2024 Page 21

0000895421 0000895421 2025-01-02 2025-01-02 iso4217:USD xbrli:shares iso4217:USD xbrli:shares xbrli:pure

 

EX-FILING FEES

CALCULATION OF FILING FEE TABLES

S-3

MORGAN STANLEY

Submission Type:

SEC File No.

Final Prospectus:

Narrative Disclosure

The maximum aggregate offering price of the securities to which the prospectus relates is $740,000.00. The prospectus is a final prospectus for the related offering.

 

 

v3.24.4
Submission
Jan. 02, 2025
Submission [Line Items]  
Central Index Key 0000895421
Registrant Name MORGAN STANLEY
Registration File Number 333-275587
Form Type S-3
Submission Type 424B2
Fee Exhibit Type EX-FILING FEES
v3.24.4
Fees Summary
Jan. 02, 2025
USD ($)
Fees Summary [Line Items]  
Narrative Disclosure The prospectus is a final prospectus for the related offering.
Narrative - Max Aggregate Offering Price $ 740,000.00
Final Prospectus true
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