Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,730 on November 2, 2026, relating to "Worst-of RTY and SPX Trigger PLUS" securities due December 5, 2029, issued under Registration Statement Nos. 333-293641 and 333-293641-01.

Key Highlights

  • Underliers: The securities are linked to the Russell 2000 Index (RTY) and the S&P 500 Index (SPX), with payoff based solely on the worst performing underlier.
  • Leverage factor: 135% to 140% applies to any upside performance of the worst performing underlier.
  • Downside threshold: Set at 75% of the initial level for each underlier; breaching it exposes investors to full proportional losses below that level.
  • Estimated value: $967.60 per security, or within $45.00 of that estimate, which is less than the original issue price.
  • Key dates: Pricing date is November 30, 2026; observation date is November 30, 2029; maturity date is December 5, 2029.
  • CUSIP: 61781TNK5; the securities will not be listed on any securities exchange.
  • No principal guarantee: According to the filing, "the securities do not guarantee the return of any principal and do not pay interest."

Structure and Payment Terms of the Worst-of RTY/SPX Trigger PLUS Securities

According to the filing, the securities are issued by Morgan Stanley Finance LLC (MSFL), with Morgan Stanley serving as guarantor. The payment at maturity depends entirely on the performance of the worst performing underlier between the Russell 2000 Index and the S&P 500 Index, measured from the pricing date to the observation date of November 30, 2029. All payments are described as subject to the credit risk of the issuer.

The filing provides hypothetical payment scenarios. If the worst performing underlier appreciates 5%, investors would receive $1,067.50 per security. If it depreciates up to 25%, investors would receive $1,000 per security. If it falls 26%, the payment would be $740.00, reflecting principal loss once the 75% downside threshold is breached. A hypothetical 85% decline would result in a payment of only $150 per security, representing a loss of 85% of principal. At a 100% decline, the payment would be $0.00. At a hypothetical gain of 100%, the payment would be $2,350.00, assuming a leverage factor of 135%.

The filing states that the estimated value of $967.60 per security is determined by reference to Morgan Stanley's pricing and valuation models, "which may differ from those of other dealers and is not a maximum or minimum secondary market price." The filing further discloses that costs associated with issuing, selling, structuring, and hedging the securities are included in the original issue price, which reduces the economic terms. The filing also notes that MSFL "has no independent operations and will have no independent assets" as a finance subsidiary. Secondary market trading may be limited, and U.S. federal income tax consequences are described as uncertain.

What Was Disclosed

Morgan Stanley Finance LLC disclosed the terms of structured notes linked to the worst performing of the RTY and SPX indexes, with a leverage factor of 135% to 140%, a 75% downside threshold, an estimated value of $967.60 per security, and a maturity date of December 5, 2029.