Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,715 on November 2, 2026, covering Contingent Income Memory Auto-Callable Securities due December 4, 2031, linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index.

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 carry a contingent coupon of 13.60% to 14.60% per annum, with a memory feature, paid monthly.
  • 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 filing states an estimated value of $926.40 per security, or within $55.00 of that estimate, against a face value of $1,000.00.
  • Pricing and maturity dates: The pricing date is November 30, 2026, with a final observation date of December 1, 2031, and a maturity date of December 4, 2031.
  • Auto-call feature: Beginning after one year, the securities may be automatically redeemed monthly if the underlier closes at or above 100% of the initial level on any redemption determination date.
  • CUSIP: The securities carry CUSIP 61781TLG6 and will not be listed on any securities exchange.

Structure and Terms of the SPXF40D4-Linked Securities

According to the filing, the securities are issued by Morgan Stanley Finance LLC (MSFL), a finance subsidiary that, as the document discloses, "has no independent operations and will have no independent assets." The guarantor is Morgan Stanley (NYSE:MS), and the underlying index is the S&P 500 Futures 40% Intraday 4% Decrement VT Index (SPXF40D4), which was established on August 30, 2024. The filing notes that because the underlier is new, it has very limited operating history, which may involve greater risk compared to an index with a longer track record.

The contingent coupon, ranging from 13.60% to 14.60% per annum, is paid monthly and includes a memory feature as described in the accompanying preliminary pricing supplement. The filing specifies that coupon payment depends on the closing level of the underlier on the observation date at the end of each interest period. A key structural element is the 4% per annum decrement, which the filing states "will adversely affect the performance of the underlier in all cases, whether the underlier appreciates or depreciates," as it is deducted daily from the underlier's level.

The hypothetical payment table in the filing illustrates that principal is returned in full at maturity only if the underlier's closing level has not fallen below the 60% downside threshold. If the underlier declines by 41%, for example, the filing shows a payment of $590.00 per security, and a full 100% decline would result in a $0.00 payment. The filing also discloses that the estimated value of $926.40 per security is below the original issue price because issuance, selling, structuring, and hedging costs are included in the original issue price, and that the estimated value is determined by reference to Morgan Stanley's own pricing and valuation models.

What Was Disclosed

Morgan Stanley Finance LLC filed a free writing prospectus for auto-callable structured securities linked to the SPXF40D4 index, disclosing coupon terms of 13.60% to 14.60% per annum, a 60% barrier level, an estimated value of $926.40 per security, and a maturity date of December 4, 2031.