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

Structure and Terms of the Auto-Callable Securities

Morgan Stanley Finance LLC structured the securities with a stated principal amount of $1,000 per security, issued at par pricing. The disclosure indicates that 1,118 securities were issued with an aggregate principal amount of $1.118 million. The pricing date was July 16, 2026, with the original issue date five days later on July 21, 2026. The securities mature on July 21, 2031, providing a five-year investment horizon. The notes incorporate monthly coupon payment provisions, with distributions made on the 21st calendar day of each month, or the next succeeding business day if that date does not fall on a business day.

The securities reference the S&P 500 Futures 40% Intraday 4% Decrement VT Index as the underlier, with a strike date matching the pricing date of July 16, 2026. The initial level for determining performance is set at 3,504.76, which also serves as the call threshold level. This level represents 100% of the index's starting value, meaning the call threshold requires the index to remain at or above its initial level for automatic early redemption to occur. The observation date for determining the final level is set for July 16, 2031, subject to postponement for non-trading days and certain market disruption events as defined in the offering documents.

Fixed Coupon Payments and Early Redemption Mechanics

Investors in these securities receive a fixed coupon at an annual rate of 8.00%, paid monthly unless the securities have been automatically redeemed prior to maturity. The coupon payment structure provides consistent income regardless of underlying index performance, distinguishing the income component from the principal-at-risk mechanism. If the securities are automatically redeemed, no further coupon payments are made beyond the redemption event, as stated in the disclosure.

The automatic early redemption feature begins evaluation on July 16, 2027, the first redemption determination date, with subsequent monthly determination dates extending through June 17, 2031. On any redemption determination date, if the closing level of the underlier is greater than or equal to the call threshold level of 3,504.76, the securities automatically redeem for an early redemption payment equal to the stated principal amount plus the fixed coupon with respect to the related interest period. This feature provides investors with the potential to recover full principal plus accumulated coupon if the index maintains or exceeds its initial level. Under no circumstances will the securities be redeemed prior to the first redemption determination date in July 2027.

Principal-at-Risk Mechanism and Downside Exposure

The securities carry significant principal-at-risk characteristics that differentiate them from conventional debt instruments. If the securities have not been automatically redeemed prior to maturity and the final level measured on July 16, 2031 is greater than or equal to the downside threshold level, investors receive the stated principal amount at maturity in addition to the final period coupon payment. However, if the final level falls below the downside threshold level, investors face substantial losses despite receiving the fixed coupon payment for the final interest period.

The disclosure specifies that when the final level is less than the downside threshold level, investors lose 1% of principal for every 1% decline in the index level over the term of the securities. The pricing supplement notes that under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero. This loss mechanism means that investors bear the full downside exposure to the underlying index without any participation in index appreciation, as the securities do not participate in any appreciation of the underlier beyond the early redemption scenarios.

Pricing and Distribution Economics

The securities were priced to the public at $1,000 per security, representing par value, with an aggregate offering size of $1.118 million based on 1,118 securities. Agent Morgan Stanley & Co. LLC retained commissions and fees totaling $41.50 per security, with the total commissions amounting to $46,397 across the entire offering. Selected dealers and their financial advisors received from the agent a fixed sales commission of $41.50 for each security sold. The net proceeds to Morgan Stanley Finance LLC were $1,071,603, representing the gross offering proceeds minus total agent commissions.

The pricing supplement discloses an estimated value on the pricing date of $912.20 per security, representing a $87.80 discount to par value. This discount reflects the embedded cost of the automatic early redemption option and the principal-at-risk mechanics. Investors purchasing at the $1,000 issue price were acquiring securities estimated to be worth less than par on the pricing date, indicating that the valuation reflects the structural characteristics and embedded costs of the product.

Credit Risk and Guarantee Structure

The securities are unsecured obligations of Morgan Stanley Finance LLC and are fully and unconditionally guaranteed by Morgan Stanley, the parent company. The disclosure emphasizes that all payments under the securities are subject to Morgan Stanley's credit risk, meaning that if Morgan Stanley defaults on its obligations, investors could lose some or all of their investment. The securities are not secured obligations, and investors do not have any security interest in or access to any underlying reference asset.

Morgan Stanley Finance LLC operates as the issuer within Morgan Stanley's Series A Global Medium-Term Notes program. The guarantee from the parent company Morgan Stanley provides a layer of credit protection, though this guarantee remains subject to Morgan Stanley's own financial condition and creditworthiness. The disclosure further notes 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.

Investor Risk Profile and Suitability Considerations

The disclosure indicates that these securities are designed for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing a significant portion or all of their principal. The 8.00% fixed coupon is positioned as potentially above-market, compensating investors for accepting principal-at-risk mechanics. The offering documents explicitly state that investors in the securities must be willing to accept the risk of losing their entire initial investment, underscoring the concentration of risk in the principal component.

The securities involve risks not associated with investments in ordinary debt securities, as noted in the disclosure. Investors do not participate in any appreciation of the underlier, meaning that even if the S&P 500 Futures index appreciates significantly above the call threshold level, investors receive only the stated principal amount plus coupon upon automatic redemption. This asymmetric payoff structure means investors forgo upside participation while bearing full downside exposure below the downside threshold level, creating a risk-return profile fundamentally different from traditional fixed income or equity investments.

Index Specification and Performance Measurement

The underlying reference index is the S&P 500 Futures 40% Intraday 4% Decrement VT Index, a proprietary index constructed with specific performance characteristics. The index name indicates a 40% allocation to intraday S&P 500 Futures contracts with a 4% daily decrement mechanism, creating a modified return profile relative to the standard S&P 500 Index. The strike date establishing the initial level is July 16, 2026, at which the closing level was 3,504.76.

The final level for determining payment at maturity will be the closing level of the underlier on July 16, 2031, the observation date. This single measurement point creates a discrete outcome for the principal-at-risk determination, meaning the entire five-year performance evaluation depends on the index level on that specific date. Investors have no protection against temporary declines that might recover before the observation date, as the final level alone determines whether principal losses apply at maturity.

Monthly Coupon Payment Schedule and Dates

The securities pay monthly coupons on the 21st calendar day of each month at an 8.00% annual rate. If any coupon payment date is not a business day, the coupon payment is made on the next succeeding business day without adjustment to the coupon amount. The final coupon payment, corresponding to the final interest period, is made on the maturity date of July 21, 2031. This monthly payment frequency provides regular income distributions throughout the five-year term, with expected coupon payment dates listed in the offering documentation.

The monthly coupon structure creates twelve annual coupon payment events per calendar year, providing investors with consistent income cash flow. Each monthly distribution is calculated at the stated 8.00% annual rate divided by twelve months, delivered on a regular cadence unless the securities are called early. The final coupon payment on maturity date includes any accrued interest for the final partial interest period, ensuring investors receive compensation for the full holding period regardless of when the securities mature or are redeemed.

Redemption Determination Schedule and Timeline

The disclosure provides a comprehensive list of 48 redemption determination dates beginning July 16, 2027 and extending through June 17, 2031. These dates are scheduled monthly with adjustments for non-trading days and market disruption events. On each determination date, the closing level of the underlier is evaluated against the call threshold level of 3,504.76. If the index closes at or above this threshold, the securities automatically redeem five business days later on the corresponding early redemption date, with the earliest possible redemption occurring July 21, 2027.

The redemption schedule creates a series of optional early exit points for Morgan Stanley Finance LLC, the issuer, allowing the company to call the securities if the index appreciates or remains stable. This structure protects the issuer's downside while capping upside participation for investors. From an investor perspective, the redemption mechanics create uncertainty regarding the securities' ultimate maturity date, with potential early calls any time after July 2027 if market conditions favor the issuer.

Regulatory Status and Disclosure Framework

The securities were filed pursuant to Rule 424(b)(2) with Registration Statement Nos. 333-293641 and 333-293641-01, with the pricing supplement dated July 16, 2026. The offering is structured under Morgan Stanley Finance LLC's Series A Global Medium-Term Notes program. The disclosure documentation includes cross-references to the product supplement 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.

The SEC and state securities regulators have not approved or disapproved the securities, nor have they determined if the offering documents are truthful or complete, as stated in standard SEC disclaimer language. The disclosure emphasizes that investors should read the pricing supplement together with the related product supplement, index supplement, tax supplement, and prospectus to fully understand the securities' terms and risks. Investors bear responsibility for reviewing all relevant offering documents and understanding the principal-at-risk mechanics and credit exposure before purchasing the securities.