Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,877 on November 2, 2026, disclosing terms for a structured note linked to the worst-performing of the Russell 2000 Index and the S&P 500 Index, due December 5, 2030.

Key Highlights

  • Issuer and guarantor: Morgan Stanley Finance LLC is the issuer, with Morgan Stanley as guarantor.
  • Underliers: The securities are linked to the Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with payment based solely on the worst-performing of the two.
  • Leverage factor: 122% on the upside, applied to the performance of the worst-performing underlier above zero.
  • Buffer amount: 20%, meaning investors are protected against the first 20% of decline, with a maximum loss of 80% of principal.
  • Estimated value: $970.60 per security, or within $45.00 of that estimate, against an original issue price of $1,000.
  • Key dates: Pricing date of November 30, 2026; observation date of December 2, 2030; maturity date of December 5, 2030.
  • CUSIP: 61781TTG8; the securities will not be listed on any securities exchange.

Terms and Payoff Structure of the Buffered PLUS Notes

According to the filing, Morgan Stanley Finance LLC is offering structured securities described as "Worst-of RTY and SPX Buffered PLUS due December 5, 2030," registered under Registration Statement Nos. 333-293641 and 333-293641-01. The filing discloses that the payment at maturity "will be based solely on the performance of the worst performing underlier, which could be either underlier." The securities carry a 122% leverage factor on gains and a 20% buffer against losses, with a stated maximum loss of 80% of principal.

The filing provides a hypothetical payoff table illustrating outcomes across a range of scenarios. If the worst-performing underlier appreciates 100%, investors would receive $2,220.00 per security. If it depreciates 20% or less, investors would still receive $1,000.00 per security. Beyond the 20% buffer, losses accumulate: a 50% decline would result in a $700.00 payment, and a full 100% decline would yield only $200.00 per security. In a cited downside scenario, the filing states that a 95% decline would cause investors to "lose 75% of their principal and receive only $250 per security at maturity."

The filing notes that the estimated value of $970.60 per security is less than the original issue price, attributing this difference to "costs associated with issuing, selling, structuring and hedging the securities." The filing further discloses that the securities pay no interest, are subject to Morgan Stanley's credit risk, and that "the U.S. federal income tax consequences of an investment in the securities offered by the accompanying preliminary pricing supplement are uncertain." The calculation agent is described as "a subsidiary of Morgan Stanley and an affiliate of MSFL."

What Was Disclosed

Morgan Stanley Finance LLC disclosed the preliminary terms of a structured note linked to the worst-performing of two equity indexes, with a 20% downside buffer, 122% upside leverage, an estimated value of $970.60 per security, and a maturity date of December 5, 2030.