Morgan Stanley Finance LLC Prices Enhanced Trigger Jump Securities Linked to DJIA, Russell 2000 and S&P 500 with 9.75% Upside Payment and 75% Downside Threshold

Structure and Mechanics of the Enhanced Trigger Jump Securities

The securities are structured as a "worst-of" linked note, meaning that their payout at maturity depends entirely on the performance of the single worst-performing underlier among the Dow Jones Industrial Average, the Russell 2000 Index, and the S&P 500 Index over the term of the investment. The filing explicitly states that this multi-index linkage does not provide asset diversification benefits. Instead, a meaningful decline in any one of the three indexes — even if the other two have appreciated — can trigger a loss scenario for investors.

Payment at maturity operates under a binary conditional framework. If the final closing level of each underlier on the observation date of August 30, 2027 is greater than or equal to 75% of its initial level (its downside threshold level), investors receive the stated principal amount of $1,000 plus the upside payment of $97.50 per security, representing a 9.75% return on stated principal. However, if the final level of any underlier falls below its 75% downside threshold level, investors instead receive the stated principal amount multiplied by the performance factor of the worst performing underlier, which the filing notes could result in a payment significantly less than the stated principal amount and could be zero.

The Three Underliers and Their Downside Threshold Levels

The three underliers — the Dow Jones Industrial Average (INDU Index), the Russell 2000 Index (RTY Index), and the S&P 500 Index (SPX Index) — each carry a downside threshold level set at 75% of their respective initial levels, as established on the strike date of July 29, 2026. The specific closing levels for each index on the strike date, and therefore the precise downside threshold levels, were not populated in the preliminary supplement as filed on July 15, 2026. The filing confirms these figures will be set forth on the cover of the final pricing supplement following the strike date.

The worst performing underlier is defined in the filing as the underlier with the lowest percentage return from its initial level to its final level as of the observation date. This definition means that investors bear exposure to the weakest equity index among the three, regardless of how the other two perform. The filing emphasizes that this structure is designed for investors who are specifically willing to accept this worst-of risk in exchange for the upside payment feature and the limited downside protection provided by the 75% threshold.

Issuer and Guarantor Credit Risk Disclosures

The securities are issued by Morgan Stanley Finance LLC and are fully and unconditionally guaranteed by Morgan Stanley. The filing is explicit, however, that all payments are subject to the credit risk of the issuer and guarantor. If Morgan Stanley Finance LLC or Morgan Stanley were to default on their obligations, investors could lose some or all of their investment. The supplement states clearly that the securities are not secured obligations and that investors will not have any security interest in, or any access to, any underlying reference asset or assets.

Furthermore, the filing confirms 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. These disclosures are material to any investor assessing the risk profile of the product, as the return of principal is contingent on both index performance and the continued financial health of Morgan Stanley and its finance subsidiary.

Pricing Gap Between Issue Price and Estimated Value

One of the more notable disclosures in the preliminary supplement concerns the relationship between the issue price and the estimated value of the securities. The issue price is $1,000 per security. However, the filing discloses that the estimated value of the securities on the pricing date is approximately $973.10 per security, or within $35.00 of that estimate. This means that at the moment of purchase, investors are acquiring securities whose estimated market value is below what they pay for them.

The filing explains that this gap exists because the $1,000 issue price includes costs associated with issuing, selling, structuring, and hedging the securities. These costs are borne by the investor at the time of purchase. The supplement also notes that in determining the economic terms of the securities, Morgan Stanley uses an internal funding rate that is likely to be lower than its secondary market credit spreads, which is described in the filing as advantageous to the issuer. The filing adds that if these costs were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be more favorable to investors.

Secondary Market Pricing and Liquidity Considerations

The filing addresses the likely behavior of secondary market prices in considerable detail. It notes that the price at which Morgan Stanley & Co. LLC would purchase the securities in the secondary market — absent changes in market conditions — may vary from and be lower than the estimated value on the pricing date. This is because the secondary market price takes into account Morgan Stanley's secondary market credit spread, as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type, along with other factors.

Critically, the filing confirms that the securities will not be listed on any securities exchange. This means there is no established exchange-based secondary market for the product. Any investor seeking to sell the securities prior to maturity would need to do so through MS & Co. in an over-the-counter capacity, subject to the pricing dynamics described above. This illiquidity represents a meaningful consideration for investors who may need access to capital before the September 2, 2027 maturity date.

Key Dates Governing the Offering Timeline

The preliminary supplement sets out a clear sequence of key dates governing the lifecycle of the securities. The strike date and pricing date are both scheduled for July 29, 2026, the date on which the initial levels of the three underliers will be determined and the final economic terms of the offering will be set. The original issue date — the date on which the securities are expected to be delivered and payment received — is August 3, 2026.

The observation date, on which the final closing levels of the three underliers will be measured to determine the payout at maturity, is August 30, 2027, subject to postponement for non-trading days and certain market disruption events as described in the accompanying supplements. The maturity date — the date on which investors will receive their payment — is September 2, 2027. The term of the securities from original issue date to maturity is therefore approximately thirteen months.

Upside Payment Mechanics and the Conditional Return Profile

The upside payment is fixed at $97.50 per security, equivalent to 9.75% of the $1,000 stated principal amount. This payment is only available to investors if all three underliers — the DJIA, the Russell 2000, and the S&P 500 — close at or above 75% of their respective initial levels on the observation date. The filing describes this outcome as the "trigger" condition, and the structure as a whole is therefore designed to deliver a capped, fixed return in exchange for the investor bearing the downside risk of all three equity indexes over the term.

The filing makes clear that investors forgo any returns above the upside payment. Even if one or more underliers perform strongly and appreciate significantly above their initial levels during the term, investors receive only the fixed 9.75% upside payment in addition to the return of principal, provided the threshold condition is met. This capped return structure means the product is designed for a specific market outlook — one in which the investor believes none of the three indexes will fall more than 25% over the investment horizon, but does not expect to benefit from potentially larger market gains.

Agent, Distribution, and Conflicts of Interest

Morgan Stanley & Co. LLC, an affiliate of MSFL and a wholly owned subsidiary of Morgan Stanley, is acting as the sole agent for the offering. The filing directs readers to the "Supplemental information regarding plan of distribution; conflicts of interest" section of the supplement for further detail on the distribution arrangement. The filing notes that selected dealers and their financial advisors will collectively receive from the agent a fixed sales commission per security they sell, though the specific dollar amount of that commission was not populated in the preliminary supplement as filed.

The disclosure of this arrangement is significant because it means that the agent distributing the securities is an affiliate of the issuer, creating a potential conflict of interest that the filing flags explicitly. The agent's economic interest in completing the sale of securities, combined with its role as the likely sole provider of any secondary market liquidity, are factors that investors are directed to consider when reviewing the product supplement. The proceeds to the issuer figure per security and in total were also not disclosed in the preliminary filing, as these figures depend on the aggregate principal amount, which was not specified at the time of the preliminary filing.

Risk Factors Highlighted for Principal-at-Risk Investors

The filing categorizes these securities as "Principal at Risk Securities" and identifies them as involving risks not associated with an investment in ordinary debt securities. The supplement directs investors to the risk factors section beginning on page 5 of the document. Among the risks highlighted on the cover page and in the terms section, the most significant is that investors could lose their entire initial investment if any one of the three underliers falls below 75% of its initial level by the observation date. The loss in that scenario is calculated on a 1% decline for every 1% decline in the worst performing underlier, with no floor other than zero.

The filing also reiterates that the securities pay no interest during their term, meaning investors forgo any current income from holding the product. This is a meaningful opportunity cost consideration relative to interest-bearing instruments available over a comparable time horizon. Taken together, the principal-at-risk nature, the no-interest structure, the below-issue-price estimated value at inception, the worst-of linkage across three indexes, and the illiquid secondary market all represent a constellation of risk factors that the preliminary supplement places squarely before prospective investors.

Registration, CUSIP, and Governing Documentation

The securities are registered under Registration Statement Nos. 333-293641 and 333-293641-01. The assigned CUSIP number is 61781G6U0 and the ISIN is US61781G6U07. These identifiers allow investors and their custodians to track and reference the securities in standard financial systems, although the absence of an exchange listing means they will not appear in conventional equity or bond market data feeds in the same manner as listed securities.

The preliminary pricing supplement is intended to be read in conjunction with a suite of accompanying documents, including 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. The filing notes that these documents contain additional terms, conditions, risk factors, and disclosures that govern the securities, and prospective investors are directed to review all of them before making any investment decision. The aggregate principal amount of the offering and the final per-security commission figures were not disclosed in the preliminary supplement and are expected to be included in the final pricing supplement.