Morgan Stanley Finance Introduces Buffered Jump Securities with Auto-Callable Feature Linked to S&P 500 Futures Index

Structured Notes’ Framework and Guarantee Details

Morgan Stanley Finance LLC issued the Buffered Jump Securities as unsecured obligations fully and unconditionally guaranteed by Morgan Stanley, the parent company. These securities are part of MSFL's Series A Global Medium-Term Notes program with a stated principal amount of $1,000 each. Morgan Stanley & Co. LLC, an MSFL affiliate and wholly owned Morgan Stanley subsidiary, acts as the offering agent. Although guaranteed by Morgan Stanley, the securities carry the credit risk of the guarantor, meaning investors may lose some or all of their investment if Morgan Stanley defaults.

The securities do not pay regular interest; instead, returns are delivered through potential early redemption payments or a lump-sum maturity payment. The structure includes a buffer feature to protect investors from moderate declines in the underlying index while offering returns that can exceed the principal. Investors must accept principal risk and forego current income for these benefits. The securities are not exchange-listed and are unsecured by underlying reference assets.

Auto-Callable Feature and Early Redemption Timeline

The securities incorporate an automatic early redemption mechanism effective from the first determination date on August 13, 2027. If the S&P 500 Futures 40% Intraday 4% Decrement VT Index closes at or above 100% of its initial level on any determination date before maturity, the securities will be automatically redeemed on the corresponding early redemption date, ending further payments. No redemption occurs before August 13, 2027.

Early redemption payments increase over time. If triggered on August 13, 2027, the first payment is $1,193.00 per security. Subsequent monthly determination dates offer higher payments, such as approximately $1,209.08 on September 13, 2027, and $1,386.00 on August 14, 2028. Later automatic redemptions yield substantially higher returns, with an approximate 19.30% annualized gain through the escalating payment schedule.

Maturity Payment and Buffer Protection Explained

At maturity, payment depends on the final index level on August 12, 2031, compared to the call threshold and buffer levels. If the final index equals or exceeds 100% of the initial level, investors receive $1,965.00 per security, a 96.5% gain over five years. If the index is below 100% but at or above 85%, investors get the $1,000 principal back with no gain.

The 85% buffer shields investors from moderate declines but does not eliminate risk. If the final index falls below 85%, the maturity payment equals the principal multiplied by the index performance plus the 15% buffer. For example, a 75% final index level results in a $900 payment ($1,000 × 0.75 + 0.15). The product guarantees a minimum payment of 15% of principal ($150), providing a floor against total loss.

Underlying Index Composition and Performance Details

The securities track the S&P 500 Futures 40% Intraday 4% Decrement VT Index, with both strike and pricing dates on August 12, 2026. The initial index level on the strike date serves as the performance baseline. The final determination date is August 12, 2031, subject to adjustments for non-trading days or market disruptions. Maturity follows five business days later on August 15, 2031.

The index’s methodology includes a 40% allocation and a 4% intraday decrement, differentiating it from standard equity benchmarks and influencing early redemption triggers and maturity payments. Index levels are rounded to three decimal places for accuracy. The securities’ original issue date is August 17, 2026, allowing settlement post-pricing.

Investor Suitability and Risk Factors

These securities target investors willing to risk principal and forego income in exchange for buffer protection and potential early redemption or maturity payments exceeding principal. Investors do not benefit from index appreciation beyond the capped maximum payment of $1,965.00 per security, even if the index rises substantially. Thus, those seeking full equity upside are not ideal candidates.

Key risks include principal loss if the index falls well below the buffer, credit risk of Morgan Stanley Finance LLC and Morgan Stanley, unsecured status with no underlying asset claims, lack of investor control over early redemption timing, and absence of exchange listing limiting liquidity. Investors should understand these complexities before investing.

Pricing and Estimated Value Information

The securities are offered at $1,000 each, their stated principal. The estimated value on August 12, 2026, is approximately $908.10 per security, within a $55 range. This difference reflects embedded costs for structured features, buffer protection, the auto-call mechanism, and issuer profit. The premium over estimated value covers these benefits.

Commissions and fees paid to Morgan Stanley & Co. LLC and selected dealers are noted but not detailed in the filing excerpt. Selected dealers and their advisors receive fixed sales commissions per security sold. Net proceeds to Morgan Stanley Finance LLC after fees are unspecified. Investors should consult the full pricing supplement for comprehensive cost and compensation information.

Index Allocation and Product Classification

Classified as Principal at Risk Securities, the Buffered Jump Securities with Auto-Callable Feature combine buffer protection with early redemption opportunities. The "Jump" label suggests the index incorporates volatility or jump performance elements tied to its 40% allocation and 4% decrement.

Issued under Morgan Stanley Finance LLC's Series A Global Medium-Term Notes program, registered with SEC under numbers 333-293641 and 333-293641-01, the preliminary pricing supplement is dated July 22, 2026, filed under SEC Rule 424(b)(2). The securities have CUSIP 61781GW72 and ISIN US61781GW721 for identification.

Documentation and Supplementary Materials

Investors should review the securities’ full terms in conjunction with the pricing supplement, including the Product Supplement for Principal at Risk Securities dated April 8, 2026; the Index Supplement dated April 8, 2026, detailing the S&P 500 Futures 40% Intraday 4% Decrement VT Index; the Tax Supplement dated April 8, 2026; and the Prospectus dated April 8, 2026. These documents collectively provide comprehensive information on terms, risks, and tax treatment.

The pricing supplement also references additional terms in sections titled "Additional Terms of the Securities" and "Additional Information About the Securities." The SEC and state regulators have neither approved nor disapproved these securities nor verified the completeness or accuracy of the filing.

Secondary Market Limitations and Investor Protections

The securities are not exchange-listed, resulting in no organized secondary market and limited liquidity. Investors seeking to sell before maturity must rely on private transactions or dealer-facilitated markets, which may be limited or unavailable. This illiquidity complicates valuation and sale compared to exchange-traded securities.

These securities are not bank deposits or savings accounts, carry no FDIC or government insurance, and receive no bank guarantees. The sole guarantee is from Morgan Stanley. This structure exposes investors to full credit risk of Morgan Stanley Finance LLC and Morgan Stanley and is intended for sophisticated investors able to understand and accept these risks and illiquidity.