Morgan Stanley Finance Issues $1.3M Auto-Callable Structured Notes Linked to S&P 500 Futures Index

Structure and Contingent Coupon Details

Morgan Stanley Finance LLC’s newly issued contingent income auto-callable notes are principal-at-risk structured products with embedded optionality linked to equity index performance. Each unit carries a stated principal of $1,000, issued on July 22, 2026, following pricing on July 17, 2026. The total issuance of 1,319 units raised $1,319,000 at par. These unsecured obligations are backed by an unconditional guarantee from Morgan Stanley, ensuring credit support from the parent company’s financial strength.

The 8.00% annual contingent coupon is payable only if the S&P 500 Futures 40% Intraday 4% Decrement VT Index closes at or above the coupon barrier of 1,850.613 on observation dates. If the index falls below this threshold, no coupon is paid for that period. Unpaid coupons may accumulate and be paid later if the barrier is met, but they do not earn additional interest. Investors risk receiving no coupons over the five-year term if the index remains below 55% of its initial level.

Automatic Early Redemption Mechanism

Starting April 19, 2027, the notes include an automatic early redemption feature triggered quarterly by index performance. If the index closes at or above 2,742.271 (81.50% of the initial level) on any redemption determination date, the notes will redeem automatically three business days later. Upon redemption, investors receive the stated principal plus any contingent coupons earned during the final period and any unpaid coupons, ending the investment.

Redemption dates occur quarterly from April 19, 2027, through April 17, 2031. No redemption occurs before the first determination date. The 81.50% call threshold requires approximately an 18.50% increase from the strike date level, allowing relatively accessible early exit if the index performs well. Redemption decisions are automatic and at Morgan Stanley’s discretion based on index performance.

Maturity and Downside Risk Exposure

At maturity on July 22, 2031, if the notes have not been auto-called and the index closes at or above 1,850.613 (55% of initial level), investors receive full principal plus any contingent coupons due. However, if the index finishes below this level, investors incur principal losses proportional to the index decline—losing 1% of principal for every 1% drop below the threshold. For example, a 45% index decline results in a 45% principal loss. In extreme cases, investors could lose their entire initial investment. The notes do not provide upside participation beyond the early redemption threshold.

Underlying Index and Observation Schedule

The notes are linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index, a specialized benchmark combining S&P 500 futures with quantitative adjustments, including a 40% intraday component and a 4% decrement. The strike date for performance measurement is July 17, 2026, establishing the baseline for calculating call and downside thresholds.

Index closing levels are observed on specific coupon payment and quarterly redemption dates throughout the term. Observation dates may be postponed due to non-trading days or market disruptions, adding timing risk. Outcomes depend on index levels across approximately 23 observation dates, introducing path dependency to the investment results.

Pricing, Distribution, and Commissions

Priced at $1,000 per unit, Morgan Stanley & Co. LLC acted as distribution agent. Selected dealers received a fixed sales commission of $41.50 per note, or 4.15% of the issue price, paid from proceeds to Morgan Stanley Finance LLC. Total agent commissions amounted to $54,738.50, with net proceeds to MSFL of $1,264,261.50.

The estimated value of the notes at pricing was $906.20 per unit, reflecting the embedded option features and principal risk discount. Morgan Stanley & Co. LLC is an affiliate of MSFL and a wholly owned Morgan Stanley subsidiary, providing an integrated distribution channel. Additional details on distribution and conflicts of interest are available in the product supplement.

Credit Risk and Guarantee Structure

The notes are unsecured obligations of Morgan Stanley Finance LLC, without pledged collateral, but carry an unconditional guarantee from Morgan Stanley. Investors’ payments depend on the creditworthiness of Morgan Stanley as guarantor. The notes are not FDIC insured and are not deposits or savings accounts. Investors have no security interest in underlying assets and rely solely on Morgan Stanley’s ability to meet obligations.

This dual risk profile exposes investors to both market risk from index performance and credit risk from the guarantor’s financial condition.

Risk Factors and Investor Suitability

The offering documents highlight risks beyond those of ordinary debt securities. These notes suit investors seeking potentially above-market income via the 8.00% contingent coupon, accepting significant principal risk. Investors must be prepared to lose all principal and accept contingent coupon payments that are not guaranteed.

Target investors are those with high risk tolerance who can afford substantial capital loss, understand contingent income structures, and prefer potential early redemption over holding to maturity. Upside participation is capped at the 81.50% call threshold, while downside exposure extends fully below the 55% floor. Distribution through selected dealers indicates a focus on institutional and accredited retail investors with sophistication to assess complex structured products.

Issue and Maturity Timeline

The notes were issued on July 22, 2026, with maturity on July 22, 2031, establishing a five-year horizon. The final observation date is July 17, 2031, with payments made at maturity. Quarterly redemption observations begin April 19, 2027, offering multiple early redemption opportunities over four years. Postponements for holidays or market disruptions may affect observation and payment dates, introducing timing uncertainty.

Investment outcomes depend on index levels across 18 redemption dates plus five coupon observation dates, creating a path-dependent risk profile where early strong performance triggers redemption with principal return, while sustained weakness or mid-term declines may cause principal loss at maturity.

Regulatory Filings and Documentation

This pricing supplement (No. 17,297) was filed under Rule 424(b)(2) pursuant to the Securities Act of 1933, referencing registration statements 333-293641 and 333-293641-01. The offering operates under a shelf registration allowing multiple structured product issuances. Supporting documents include a product supplement, index supplement, tax supplement, and prospectus all dated April 8, 2026, incorporated by reference to provide full legal, tax, and risk details.

The SEC and state regulators have neither approved nor disapproved the securities or determined the completeness or accuracy of the offering documents. Investors are advised to review all related documents carefully. Hyperlinks in the filing provide access to these materials, with the pricing supplement serving as the primary offering document for these terms.

Morgan Stanley’s Structured Product Platform

These contingent income auto-callable notes are issued under Morgan Stanley Finance LLC’s Series A Global Medium-Term Notes program, a platform for diverse structured products with varying risk-return profiles and underlying assets. The program enables efficient market offerings with individual pricing supplements defining terms within a broader regulatory framework.

The use of MSFL as issuer with Morgan Stanley’s guarantee is a standard capital markets structure. Morgan Stanley & Co. LLC manages distribution through selected dealers, creating an integrated system. The customized S&P 500 Futures 40% Intraday 4% Decrement VT Index reflects Morgan Stanley’s index design capabilities, differentiating these notes from simpler equity-linked products. The $1,319,000 principal amount represents a single issuance within a larger portfolio of structured offerings by the platform across market cycles and asset classes.