Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,687, dated November 2, 2026, for Contingent Income Memory Auto-Callable Securities linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index (SPXF40D4) and maturing November 28, 2031.

Key Highlights

  • Issuer and guarantor: Morgan Stanley Finance LLC is the issuer, with Morgan Stanley serving as guarantor; all payments are subject to Morgan Stanley's credit risk.
  • Contingent coupon range: The securities offer a contingent coupon of 11.70% to 12.70% per annum, paid monthly, with a memory feature, contingent on the underlier's closing level at the relevant observation date.
  • Coupon and downside barrier: Both the coupon barrier level and the downside threshold level are set at 60% of the initial level.
  • Estimated value: The estimated value is $896.70 per security, or within $46.70 of that estimate, against an original issue price of $1,000 per security.
  • Auto-call feature: Beginning after one year, the securities will be automatically redeemed monthly if the underlier closes at or above 100% of the initial level on a redemption determination date.
  • Pricing and maturity dates: The pricing date is November 24, 2026, with a final observation date of November 24, 2031, and a maturity date of November 28, 2031.
  • No exchange listing: According to the filing, "the securities will not be listed on any securities exchange and secondary trading may be limited."

Terms and Structure of the SPXF40D4-Linked Securities

According to the filing, Morgan Stanley Finance LLC is offering Contingent Income Memory Auto-Callable Securities (CUSIP: 61781TLF8) linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index (SPXF40D4). The securities were filed under Registration Statement Nos. 333-293641 and 333-293641-01 pursuant to Rule 433. The underlier was established on August 30, 2024 and, as the filing notes, "has very limited operating history."

The filing discloses that if the securities are not automatically redeemed and the underlier declines by more than 40% from its initial level at the final observation date, investors receive a payment at maturity reflecting the full loss below the 60% downside threshold. The hypothetical payment table in the filing illustrates that a 41% decline results in a $590.00 payment per security, a 50% decline results in $500.00, and a 100% decline results in $0.00. If the underlier is at or above 60% of its initial level at maturity, the filing indicates the payment per security would be $1,000.00. The filing also states that the securities "do not guarantee the return of any principal."

The filing highlights several risk factors specific to this structure. The underlier incorporates a 4% per annum decrement deducted daily, which the filing states "will adversely affect the performance of the underlier in all cases, whether the underlier appreciates or depreciates." Additionally, the estimated value of $896.70 per security is below the $1,000 original issue price, which the filing attributes in part to "costs associated with issuing, selling, structuring and hedging the securities." The filing also notes that U.S. federal income tax consequences of an investment in these securities are uncertain.

What Was Disclosed

Morgan Stanley Finance LLC filed a Free Writing Prospectus for auto-callable structured notes linked to the SPXF40D4 index, with a contingent coupon of 11.70% to 12.70% per annum, a 60% barrier level, an estimated value of $896.70 per security, and a maturity date of November 28, 2031.