Morgan Stanley Finance Issues Buffered PLUS Gold Trust Securities Due 2028 With Leveraged Upside and Principal Protection

Security Structure and Payment Mechanics at Maturity

The Buffered PLUS securities are unsecured obligations of Morgan Stanley Finance LLC with a full guarantee from Morgan Stanley. At maturity on February 3, 2028, the payment structure is designed to provide varying levels of return depending on how the SPDR Gold Trust performs relative to its initial level on the strike date. The securities will pay no interest during the term, with all returns realized through the payment at maturity. Investors receive the stated principal amount of $1,000 plus a leveraged upside payment if the final level of the underlier exceeds the initial level, subject to a maximum payment cap of $1,263.70 per security.

If the final level equals or falls below the initial level but remains at or above the buffer level (set at 90% of the initial level), investors will receive only their stated principal amount of $1,000 with no additional upside payment. However, if the final level drops below the buffer level, investors face losses on a one-to-one basis for every percentage point decline beyond the 10% buffer threshold. The minimum payment at maturity is capped at 10% of the stated principal amount, meaning investors' potential loss is limited to 90% of their initial investment under the worst-case scenario. The final level is determined by the closing level of the SPDR Gold Trust on the observation date, scheduled for January 31, 2028, subject to postponement for non-trading days and certain market disruption events.

Leveraged Upside and Buffer Protection Features

The securities incorporate a 125% leverage factor applied to upside performance, which means investors benefit from enhanced gains when the SPDR Gold Trust appreciates beyond its initial level. The leveraged upside payment is calculated by multiplying the stated principal amount of $1,000 by the leverage factor of 125% and the underlier percent change. For example, if the gold trust appreciates by 2% from the initial level, the leveraged upside payment would reflect a 2.5% gain (2% multiplied by 125%), before being subject to the maximum payment cap. This leverage mechanism allows investors to capture amplified returns during periods of gold price appreciation within the specified range.

The buffer protection feature is designed to protect investors from the immediate impact of moderate declines in the underlying fund. The buffer level is set at 90% of the initial level, meaning investors can tolerate a 10% decline in the SPDR Gold Trust without experiencing losses on their principal. This protection does not come free; it is reflected in the pricing of the securities and the estimated value of approximately $984.20 per security on the pricing date. Once the underlying fund declines below the 90% buffer threshold, investors bear losses on a dollar-for-dollar basis, subject to the minimum payment floor of $1,000 multiplied by the performance factor plus the 10% buffer amount, which establishes the lowest possible payout at 10% of stated principal.

Pricing, Commissions, and Distribution Channel

The securities are priced at $1,000 per security to the public, with Morgan Stanley & Co. receiving a commission and fees of $9 per security, leaving Morgan Stanley Finance LLC with net proceeds of $991 per security. The disclosure indicates that MS & Co. expects to purchase all securities from Morgan Stanley Finance LLC at $991 per security and then sell them to an unaffiliated dealer at the same $991 price, with the dealer handling further distribution to fee-based advisory accounts at the public price of $1,000 per security. This structure means MS & Co. does not receive a traditional sales commission with respect to these securities, as the $9 per-security cost is borne by the issuer.

An important limitation on the distribution of these securities is that they will be sold exclusively to investors purchasing in fee-based advisory accounts. The securities will not be listed on any securities exchange, meaning they are not publicly traded instruments. The stated principal amount under which the securities are being offered is not disclosed in the filing. The aggregate principal amount, pricing date, and strike date are all confirmed as July 30, 2026, with an original issue date of August 4, 2026. The estimated value on the pricing date is approximately $984.20 per security, or within $25.00 of that estimate, reflecting the costs associated with issuance, structuring, and hedging that are borne by investors.

Estimated Value and Internal Pricing Methodology

Morgan Stanley's estimated value of the securities on the pricing date incorporates both a debt component and a performance-based component linked to the SPDR Gold Trust. The company utilizes its own pricing and valuation models, combined with market inputs and assumptions relating to the underlying fund, instruments based on the underlier, volatility, current and expected interest rates, and an interest rate related to Morgan Stanley's secondary market credit spread. This credit spread represents the implied interest rate at which Morgan Stanley's conventional fixed-rate debt trades in the secondary market. The disclosure indicates that the estimated value of approximately $984.20 reflects the allocation of costs to investors and the company's assessment of fair value using these internal methodologies.

The filing reveals that Morgan Stanley uses an internal funding rate in determining the economic terms of the securities, which the company discloses is likely to be lower than its secondary market credit spreads and therefore advantageous to Morgan Stanley. The company notes that if the issuing, selling, structuring, and hedging costs borne by investors were lower, or if the internal funding rate were higher, the economic terms would be more favorable to investors. The secondary market price at which MS & Co. might purchase these securities absent changes in market conditions could vary from and potentially be lower than the estimated pricing-date value, as it would incorporate the company's secondary market credit spread and bid-offer spread that MS & Co. would charge in secondary market transactions, among other factors.

Credit Risk and Guarantee Structure

All payments on the Buffered PLUS securities are subject to Morgan Stanley's credit risk, as disclosed in the pricing supplement. The securities are fully and unconditionally guaranteed by Morgan Stanley, meaning that Morgan Stanley stands behind the obligations of its financing subsidiary, Morgan Stanley Finance LLC. However, the disclosure explicitly warns investors that if Morgan Stanley defaults on its obligations, investors could lose some or all of their investment. This guarantee does not eliminate credit risk; rather, it ensures that the full faith and credit of Morgan Stanley stands behind the payments owed to investors, but only to the extent that Morgan Stanley remains able to meet those obligations.

The securities are unsecured obligations, meaning investors do not have any security interest in, or access to, any underlying reference asset or assets. Unlike secured debt, these securities are not backed by collateral or specific assets; they represent general unsecured claims against Morgan Stanley Finance LLC, with a guarantee from Morgan Stanley. The securities are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of or guaranteed by a bank. This distinction underscores that investors in these securities are extending unsecured credit to Morgan Stanley Finance LLC and relying on Morgan Stanley's creditworthiness and willingness to honor its guarantee.

Product Classification and Target Investor Profile

The Buffered PLUS securities are classified as Principal at Risk Securities, reflecting their structural characteristics. The disclosure states that the securities are intended for investors who seek a return based on the performance of the SPDR Gold Trust and who are willing to risk their principal and forgo current income and returns above the maximum payment at maturity in exchange for the upside leverage feature and the buffer feature. The warning is explicit: investors must be willing to accept the risk of losing a significant portion of their initial investment. The securities involve risks not associated with an investment in ordinary debt securities, including the principal-at-risk structure, the leverage component, the buffer feature, and the dependence on the performance of a specific underlying fund.

These securities are designed for sophisticated investors with a specific outlook on gold prices and a willingness to accept enhanced volatility in exchange for potential outsized gains. The combination of the 125% leverage factor and the buffer protection creates a non-linear payoff profile that may be suitable for investors with tactical allocations to gold or those seeking leveraged exposure to gold prices within a structured wrapper. The restriction to fee-based advisory accounts suggests that these securities are anticipated to be primarily distributed through financial advisors who can help ensure that the product is suitable for individual investors' risk tolerance and investment objectives.

Underlying Asset and Performance Measurement

The SPDR Gold Trust, the underlying asset for these securities, is a widely traded exchange-traded fund designed to track the price of gold bullion. The final level of the underlier on the observation date (January 31, 2028) will determine the payment to be received at maturity on February 3, 2028. The initial level is the closing level of the SPDR Gold Trust on the strike date of July 30, 2026, though the filing does not specify the exact dollar value of this initial level. The underlier percent change is calculated as (final level minus initial level) divided by the initial level, expressed as a percentage. This performance metric drives all calculations for the leveraged upside payment, buffer protection assessment, and any losses investors may experience.

The calculation of all relevant levels, including the initial level, buffer level, and final level, will be rounded to three decimal places as necessary. The observation date is subject to postponement for non-trading days and certain market disruption events, meaning that if January 31, 2028 falls on a non-trading day or if market disruption events occur, the calculation date would be moved to the next available date. This provision protects both Morgan Stanley and investors by ensuring that the final level is determined using a reliable, tradeable closing price for the SPDR Gold Trust.

Risk Factors and Investor Considerations

The pricing supplement identifies multiple risk factors that distinguish these securities from conventional debt instruments. Investors face credit risk from Morgan Stanley, performance risk tied to the SPDR Gold Trust, volatility risk inherent in gold prices, and leverage risk due to the 125% uplift factor. The leverage feature amplifies both gains and losses within the applicable ranges; while upside is capped at $1,263.70 per security, downside protection is limited to the buffer level, meaning losses accelerate once the underlying fund declines beyond 90% of its initial level. The filing warns that the securities are not suitable for investors seeking stable, predictable returns or those unwilling to accept the possibility of principal loss.

Investors should also be aware that the estimated value of the securities on the pricing date ($984.20) is approximately $15.80 below the stated principal amount, reflecting the costs embedded in the structure. This discount captures the issuer's hedging costs, structural costs, and the benefit to Morgan Stanley of the internal funding rate applied in determining the economic terms. Additionally, investors should understand that the secondary market for these securities may be limited or illiquid, given that they are not listed on any exchange and are designed for specific distribution channels. If investors wish to exit their position before maturity, they would need to sell back to Morgan Stanley & Co. or another market maker, potentially at unfavorable pricing.

Registration and Regulatory Framework

The securities are offered pursuant to Registration Statement Nos. 333-293641 and 333-293641-01, filed with the Securities and Exchange Commission. The preliminary pricing supplement is dated July 29, 2026, and is filed pursuant to Rule 424(b)(2) under the Securities Act of 1933. The securities are issued as part of Morgan Stanley Finance LLC's Series A Global Medium-Term Notes program, which provides a framework for issuing various structured investment products. The prospectus for this program is dated April 8, 2026, as is the accompanying product supplement for principal-at-risk securities and the tax supplement.

The SEC and state securities regulators have not approved or disapproved these securities or determined whether the pricing supplement, product supplement, tax supplement, and prospectus are truthful or complete, as is standard for Rule 424(b)(2) offerings. The filing emphasizes that any representation to the contrary would constitute a criminal offense. Investors are directed to review the complete documentation, including the product supplement, tax supplement, and prospectus, in conjunction with the preliminary pricing supplement to understand the full terms, conditions, and risks associated with these securities. The CUSIP for the securities is 61781DGW2, and the ISIN is US61781DGW20.