Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,729 on November 2, 2026, relating to Worst-of NDX, RTY and SPX Trigger PLUS securities due December 4, 2031.

Key Highlights

  • Issuer and guarantor: Morgan Stanley Finance LLC is the issuer; Morgan Stanley is the guarantor of all payments, which are subject to Morgan Stanley's credit risk.
  • Underliers: The securities are linked to three indexes: the Nasdaq-100 Index (NDX), the Russell 2000 Index (RTY), and the S&P 500 Index (SPX), with returns based solely on the worst performing underlier.
  • Maximum payment at maturity: $1,820 to $1,870 per security, representing 182% to 187% of the stated principal amount, with a leverage factor of 400%.
  • Downside threshold level: 70% of the initial level for each underlier; if breached, investors are exposed to full downside loss proportional to the worst performing underlier.
  • Estimated value: $951.70 per security, or within $55.00 of that estimate, as determined by reference to Morgan Stanley's pricing and valuation models.
  • Key dates: Pricing date is November 30, 2026; observation date is December 1, 2031; maturity date is December 4, 2031.
  • CUSIP: 61781TNL3; the securities will not be listed on any securities exchange.

Structure and Payment Terms of the Trigger PLUS Securities

According to the filing, the securities are issued under Registration Statement Nos. 333-293641 and 333-293641-01. The payment at maturity is determined solely by the performance of the worst performing underlier among the NDX, RTY, and SPX, measured on the observation date of December 1, 2031. The filing states that if the worst performing underlier appreciates 5%, investors receive $1,200 per security, or 120% of the stated principal amount. If the worst performing underlier depreciates 5%, investors receive $1,000 per security. If the worst performing underlier depreciates 85%, investors receive only $150 per security, or 15% of the stated principal amount.

The filing discloses that the appreciation potential is capped at the maximum payment at maturity of $1,820 to $1,870 per security. The downside threshold level is set at 70% of the initial level for each underlier. As the filing notes, "because the securities are linked to the performance of the worst performing underlier, you are exposed to a greater risk of not receiving a positive return on the securities and/or sustaining a significant loss on your investment than if the securities were linked to just one underlier." The filing also states that the securities "do not guarantee the return of any principal and do not pay interest."

The filing further discloses that the estimated value of $951.70 per security is less than the original issue price, as costs associated with "issuing, selling, structuring and hedging the securities" are included in the original issue price. Morgan Stanley Finance LLC is described as having "no independent operations and will have no independent assets" as a finance subsidiary. The filing notes that U.S. federal income tax consequences of an investment in these securities are uncertain, and investors are directed to consult their tax advisers.

What Was Disclosed

Morgan Stanley Finance LLC filed a Free Writing Prospectus for structured notes linked to the worst performing of three equity indexes, maturing December 4, 2031, with a maximum payment of $1,820 to $1,870 per security, an estimated value of $951.70, and a downside threshold of 70% of each underlier's initial level.