Morgan Stanley Finance LLC Issues $415 Million Jump Securities with Auto-Callable Feature Linked to S&P 500 Futures Index

Structure of the Jump Securities Offering

The disclosure describes a structured investment product issued by Morgan Stanley Finance LLC and fully guaranteed by Morgan Stanley. The offering comprises $415 million in aggregate principal amount, with each security carrying a stated principal amount of $1,000. The securities are unsecured obligations linked to the performance of the S&P 500 Futures 40% Intraday 4% Decrement VT Index, commonly referred to as the underlier. The issue price and public price both equal $1,000 per security, though the filing discloses an estimated value on the pricing date of $923.10 per security, reflecting the embedded costs of issuing, selling, structuring and hedging the product. Morgan Stanley & Co. LLC serves as the agent for the offering and does not receive a direct sales commission but expects to purchase the securities at $997.50 per security for resale to fee-based advisory accounts.

The pricing date occurred on July 23, 2026, with the strike date also on July 23, 2026. The original issue date was July 28, 2026, and the securities have a five-year term, with the final determination date scheduled for July 23, 2031, subject to postponement for non-trading days and market disruption events. The maturity date is July 28, 2031. The filing indicates these securities are part of Morgan Stanley Finance LLC's Series A Global Medium-Term Notes program and have been registered under Registration Statement Nos. 333-293641 and 333-293641-01. The securities carry CUSIP number 61781GN56 and ISIN US61781GN563 and will not be listed on any securities exchange.

Automatic Early Redemption Mechanics and Early Payment Terms

The securities incorporate an automatic early redemption feature that creates the potential for accelerated exit from the investment. On the first determination date of July 26, 2027, if the closing level of the underlier is greater than or equal to 2,928.762—which represents 90 percent of the initial level of 3,254.18—the securities will be automatically redeemed. When this trigger is met, investors will receive an early redemption payment of $1,300 per security on the early redemption date of July 29, 2027, effectively providing a 30 percent return on the $1,000 principal in approximately one year if the market condition is satisfied. The filing states that no further payments will be made on the securities once they have been automatically redeemed, meaning investors would not participate in any additional upside performance beyond this fixed early redemption amount.

This auto-callable structure is designed to benefit from moderate market appreciation while providing issuer protection through the specific threshold mechanism. The 90 percent call level is below the initial index level, meaning the index must remain relatively stable or appreciate for early redemption to occur. Investors purchasing these securities must understand that if early redemption is triggered, their ability to capture additional gains is eliminated at that point, regardless of how much higher the index subsequently climbs before the scheduled maturity date.

Maturity Payment Structure and Principal-at-Risk Framework

The filing outlines a tiered payment structure at maturity that demonstrates the principal-at-risk nature of these securities. If the securities have not been automatically redeemed and the final level is greater than the initial level of 3,254.18, investors receive the stated principal amount of $1,000 plus an upside payment calculated as the stated principal amount multiplied by a 250 percent participation rate multiplied by the underlier percent change. This means investors capture 250 percent of any positive index movement, representing a significant leverage on upside performance. For example, if the index appreciates 10 percent, the upside payment would equal $1,000 × 250% × 0.10, or $250, bringing total payment to $1,250.

However, if the final level is equal to or less than the initial level but greater than or equal to the downside threshold level of 1,627.09 (which represents 50 percent of the initial level), investors receive only the stated principal amount with no additional payment. This creates a protective floor at the 50 percent decline level but provides no protection against losses between the initial level and this threshold. If the final level falls below the downside threshold level of 1,627.09, the payment at maturity equals the stated principal amount multiplied by the performance factor, which equals the final level divided by the initial level. Under these circumstances, investors experience a 1 percent loss for every 1 percent decline in the underlier level, and the filing explicitly states the payment could be zero.

Valuation and Pricing Methodology Disclosure

The filing provides transparency regarding the estimated value calculation and how it differs from the issue price. The disclosed estimated value of $923.10 per security on the pricing date represents a discount of $76.90 from the $1,000 issue price, reflecting the costs embedded within the security. Morgan Stanley's valuation methodology incorporates both a debt component and a performance-based component linked to the underlier. The company states it utilizes internal pricing and valuation models, market inputs, and assumptions relating to the underlier, instruments based on the underlier, volatility and other factors including current and expected interest rates, as well as an interest rate related to the company's secondary market credit spread.

The filing discloses that Morgan Stanley uses an internal funding rate in determining the economic terms of the securities, which the company states is likely to be lower than its secondary market credit spreads and therefore advantageous to the issuer. The disclosure explicitly notes that if the issuing, selling, structuring and hedging costs borne by investors were lower or if the internal funding rate were higher, one or more of the economic terms would be more favorable to investors. This transparency acknowledges the built-in economic advantage retained by the issuer through the structured product framework. The filing also indicates that the secondary market price at which Morgan Stanley & Co. purchases securities may vary from and potentially be lower than the estimated value on the pricing date, depending on changes in market conditions including those related to the underlier.

Distribution Terms and Commission Structure

The offering details reveal the commission structure and targeted distribution channel. The agent's commissions and fees total $2.50 per security, or $1,037.50 in the aggregate, resulting in proceeds to Morgan Stanley Finance LLC of $997.50 per security, or $413,962.50 in total. The securities are sold exclusively to investors purchasing through fee-based advisory accounts, which the filing indicates reflects a restricted distribution approach. Morgan Stanley & Co. expects to purchase all offered securities from the issuer at $997.50 per security for subsequent resale to unaffiliated dealers at the same per-security price, with final distribution to fee-based advisory accounts at the public price of $1,000 per security.

The filing notes that Morgan Stanley & Co. will not receive a sales commission with respect to the securities, as the compensation structure operates through the spread between the issuer proceeds and the public offer price. This distribution methodology targets a specific investor class and reflects the structured products market's customary approach of limiting sales through licensed advisory channels. The filing directs readers to supplemental information regarding the plan of distribution and conflicts of interest for additional details on how these dynamics operate in practice.

Credit Risk and Guarantor Obligations

The securities carry full credit risk of Morgan Stanley, as they are unsecured obligations of Morgan Stanley Finance LLC that are fully and unconditionally guaranteed by Morgan Stanley. The filing explicitly states that all payments are subject to Morgan Stanley's credit risk and that if Morgan Stanley defaults on its obligations, investors could lose some or all of their investment. These securities are not secured obligations, meaning investors will not have any security interest in or otherwise have access to any underlying reference asset. The disclosure emphasizes this credit exposure prominently, noting that investors must be willing to accept the risk of losing their entire initial investment under the principal-at-risk structure.

The filing makes clear that 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 language distinguishes these structured products from traditional depository instruments and ensures investors understand the nature of the credit exposure they assume. The unconditional guarantee by Morgan Stanley provides one layer of protection but does not eliminate credit risk, as the value of a guarantee depends on the financial condition of the guarantor.

Underlier Index Definition and Initial Level Parameters

The securities are linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index, a customized index variant designed for this structured product offering. The initial level, established on the strike date of July 23, 2026, is 3,254.18. This initial level serves as the reference point for all performance calculations throughout the security's term. The 90 percent call threshold is set at 2,928.762, derived from 90 percent of the initial level, while the 50 percent downside threshold is set at 1,627.09, representing exactly half of the initial level. These reference levels remain fixed throughout the life of the securities, creating a clearly defined framework for determining investor outcomes at early redemption or maturity.

The final level determination occurs on the final determination date of July 23, 2031, based on the closing level of the underlier on that date, subject to postponement for non-trading days and certain market disruption events. The filing does not provide detailed specifications regarding how the underlying index is constructed, its historical performance, or its volatility characteristics, referring instead to the accompanying index supplement for such information. The choice of this specific index variant with the 40 percent intraday component and 4 percent decrement feature represents the issuer's selection of an underlier for this particular offering.

Investment Suitability and Risk Profile Disclosure

The filing describes these securities as appropriate for investors meeting a specific risk profile. The disclosure states the securities are for investors who are willing to risk their principal and forgo current income in exchange for the possibility of receiving an early redemption payment or payment at maturity that exceeds the stated principal amount. This language indicates the securities provide no regular interest payments and instead offer returns only through potential index appreciation or early redemption triggers. The product is explicitly designed for investors comfortable with the possibility of principal loss and the accompanying volatility that comes with structured equity-linked products.

The filing emphasizes repeatedly that investors in these securities must be willing to accept the risk of losing their entire initial investment. This warning appears prominently in the cover page summary and is reinforced throughout the document. The downside protection provided by the 50 percent floor only applies at the maturity date; if the index experiences dramatic declines at any point during the term and remains below the downside threshold at maturity, investors will experience significant losses calculated on a dollar-for-dollar basis relative to the index decline. The structured features—the 250 percent participation rate for upside and the early redemption opportunity—are designed to compensate investors for bearing this principal-at-risk exposure.

Commissions, Costs, and Secondary Market Considerations

The pricing supplement details the commissions and costs embedded within the securities. Beyond the explicit agent's commission of $2.50 per security, the estimated value discount of $76.90 per security reflects additional costs associated with issuance, structuring, and hedging that are borne by purchasers. The filing indicates these costs include structuring fees for designing the product, hedging costs for Morgan Stanley to manage its exposure to the underlier performance, and other transaction costs. The comparison between the $1,000 issue price and the $923.10 estimated value provides investors with a quantified measure of the cost of entry into this structured product.

Regarding secondary market trading, the filing discloses that the securities will not be listed on any securities exchange, meaning they trade in the over-the-counter market through Morgan Stanley or other dealers. The secondary market price will reflect changes in market conditions, including changes in the value of the underlier, as well as the credit spreads associated with Morgan Stanley. The filing notes that secondary market prices may be lower than the estimated value on the pricing date, and investors seeking to exit before maturity should anticipate potentially significant discounts depending on market conditions at the time of sale.

Product Documentation and Regulatory Filing Status

The offering is governed by multiple supplemental documents that provide additional terms and conditions beyond those presented in the pricing supplement itself. The filing references the Product Supplement for Principal at Risk Securities dated April 8, 2026, the Index Supplement dated April 8, 2026, the Tax Supplement dated April 8, 2026, and the Prospectus dated April 8, 2026. These documents are accessible via hyperlinks noted in the pricing supplement and contain additional information regarding the securities' terms, tax treatment, and the specific characteristics of the underlying index. The pricing supplement filed on July 23, 2026, was filed pursuant to Securities and Exchange Commission Rule 424(b)(2), indicating it is a final pricing amendment to an effective registration statement.

The document emphasizes that the Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities or determined whether the disclosure documents are truthful or complete, noting that any representation to the contrary would constitute a criminal offense. This disclaimer reflects standard regulatory language required for securities offerings and indicates that regulatory review does not constitute an endorsement of the investment merits of these securities. Investors are directed to read the entire disclosure package together with the related supplemental documents to fully understand the terms and risks of their investment.