Morgan Stanley Finance LLC Launches Jump Securities With Auto-Callable Feature Linked to Russell 2000 Index

Structured Investment Terms and Pricing Details

Morgan Stanley Finance LLC issued the Jump Securities with Auto-Callable Feature as unsecured obligations fully and unconditionally guaranteed by Morgan Stanley. The disclosure states that the securities were priced on July 23, 2026, with an original issue date of July 28, 2026, and a maturity date of July 26, 2029. Each security carries a stated principal amount of $1,000, with aggregate principal of $1,335,000. The securities were issued at $1,000 per security but the filing notes that the estimated value on the pricing date was $968.20 per security, reflecting costs associated with issuing, selling, structuring, and hedging borne by investors.

The pricing structure involved a price to public of $1,000 per security, with agent commissions and fees totaling $20 per security ($28,035 in aggregate). Selected dealers and their financial advisors receive a fixed sales commission of $20 for each security sold, plus a structuring fee of $1 per security payable by the agent or its affiliates. The proceeds to Morgan Stanley Finance LLC totaled $1,306,965 after accounting for all commissions and fees. Morgan Stanley & Co. LLC, an affiliate of MSFL and wholly owned subsidiary of Morgan Stanley, served as the agent for distribution.

Automatic Early Redemption Mechanism and Conditions

The securities incorporate an automatic early redemption feature that triggers if the Russell 2000 Index meets specified performance criteria. The initial level of the index was established at 2,940.163, representing the closing level on the strike date of July 23, 2026. The call threshold level is set at 2,940.163, which equals 100 percent of the initial level. If the closing level of the underlier is greater than or equal to this call threshold level on the first determination date of July 30, 2027, the securities will be automatically redeemed.

Upon automatic early redemption, investors receive an early redemption payment of $1,134.50 per security on the early redemption date of August 4, 2027. The disclosure emphasizes that no further payments will be made on the securities once they have been automatically redeemed. This early redemption payment represents approximately 13.45 percent above the stated principal amount. The first determination date is subject to postponement for non-trading days and certain market disruption events, as disclosed in the filing.

Maturity Payment Structure and Performance Scenarios

If the securities are not automatically redeemed prior to maturity, investors receive payment at maturity determined by comparing the final level of the Russell 2000 Index to the initial level. The final level is defined as the closing level of the underlier on the final determination date of July 23, 2029. The filing discloses three distinct payment scenarios at maturity based on index performance relative to the initial level of 2,940.163.

In the most favorable scenario, if the final level exceeds the initial level, investors receive the stated principal amount plus an upside payment calculated using a participation rate of 150 percent. The upside payment formula is stated principal amount multiplied by the participation rate (150 percent) multiplied by the underlier percent change. The underlier percent change is calculated as (final level minus initial level) divided by initial level. If the final level equals or falls below the initial level but remains at or above the downside threshold level of 2,352.130 (80 percent of initial level), investors receive only the stated principal amount.

Principal-at-Risk Structure and Loss Provisions

The securities carry significant principal risk if the Russell 2000 Index declines substantially during the three-year term. The downside threshold level is set at 2,352.130, representing 80 percent of the initial level. If the final level falls below this downside threshold level on the final determination date, investors do not receive the stated principal amount but instead receive a payment calculated using a performance factor equal to the final level divided by the initial level.

Under these adverse market conditions, the payment at maturity will be significantly less than the stated principal amount and could potentially be zero, according to the disclosure. For example, if the Russell 2000 Index declines by 20 percent or more from the initial level, the performance factor drops below 1.0, and investors lose 1 percent for every 1 percent decline in the level of the underlier over the term of the securities. The disclosure explicitly states that investors must be willing to accept the risk of losing their entire initial investment.

Credit Risk and Guarantor Protections

All payments on the securities are subject to Morgan Stanley's credit risk, as emphasized in the filing. If Morgan Stanley defaults on its obligations as guarantor, investors could lose some or all of their investment. The securities are not secured obligations, and investors will not have any security interest in or access to any underlying reference asset. The guarantee is provided by Morgan Stanley, the parent company of the issuer Morgan Stanley Finance LLC.

The filing specifies that the securities are unsecured obligations of MSFL fully and unconditionally guaranteed by Morgan Stanley. However, the strength of this guarantee depends entirely on Morgan Stanley's creditworthiness and ability to meet its obligations. The disclosure notes that these 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 in that capacity.

Estimated Value and Pricing Methodology

The disclosure explains that the estimated value of the securities on the pricing date of $968.20 per security is less than the original issue price of $1,000 due to costs associated with issuing, selling, structuring, and hedging. Morgan Stanley determined the estimated value using its own pricing and valuation models, market inputs, and assumptions relating to the Russell 2000 Index, instruments based on the index, volatility, and other factors including current and expected interest rates and an interest rate related to Morgan Stanley's secondary market credit spread.

The filing discloses that Morgan Stanley used an internal funding rate to determine the economic terms of the securities, which is likely to be lower than its secondary market credit spreads and therefore advantageous to Morgan Stanley. The filing further states 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. The secondary market price at which Morgan Stanley & Co. purchases the securities may vary from and be lower than the estimated value on the pricing date due to secondary market credit spread, bid-offer spread, and other factors.

Product Registration and Index Specifications

The securities were issued pursuant to Registration Statement Nos. 333-293641 and 333-293641-01, with the pricing supplement filed under Rule 424(b)(2) on July 27, 2026. The securities are part of Morgan Stanley Finance LLC's Series A Global Medium-Term Notes program. The securities are identified by CUSIP 61781GZ53 and ISIN US61781GZ534. The filing notes that the securities will not be listed on any securities exchange.

The Russell 2000 Index serves as the underlying index for measuring performance. The strike date and pricing date were both July 23, 2026, establishing the initial level at 2,940.163. All determination dates and maturity date are subject to postponement for non-trading days and certain market disruption events, as contemplated in the accompanying product supplement, index supplement, tax supplement, and prospectus documents that accompany the pricing supplement.

Investor Suitability and Risk Disclosures

The filing explicitly states that 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. The disclosure emphasizes that investors must be willing to accept the risk of losing their entire initial investment. The securities involve risks not associated with an investment in ordinary debt securities, and a dedicated "Risk Factors" section appears beginning on page 6 of the accompanying documentation.

The absence of regular interest payments is a key structural feature of these securities. Instead of receiving periodic coupon payments, investors depend entirely on appreciation of the Russell 2000 Index relative to the initial level to generate returns above principal, or face the possibility of principal loss. The three-year investment horizon extends from July 28, 2026, to July 26, 2029, with the critical first determination date falling on July 30, 2027. Investors must carefully evaluate whether the potential early redemption payment and upside participation justify the principal risk exposure.

Documentation and Additional Terms

The securities' complete terms are described in the accompanying product supplement for Principal at Risk Securities dated April 8, 2026, index supplement dated April 8, 2026, tax supplement dated April 8, 2026, and prospectus dated April 8, 2026. The filing references additional terms and information sections appearing at the end of the pricing supplement document. Investors are advised to read the pricing supplement together with all related documents to fully understand the securities' characteristics, risks, and features before making an investment decision.

Morgan Stanley disclosed that the SEC and state securities regulators have not approved or disapproved these securities or determined if the pricing supplement or accompanying documents are truthful or complete. The filing emphasizes that any representation to the contrary is a criminal offense. All documentation available through hyperlinks within the filing provides comprehensive information about the securities' terms, conditions, and associated risks that investors should review carefully.