Morgan Stanley Finance LLC filed a Free Writing Prospectus on October 28, 2026, for SPX Trigger Participation Securities due November 15, 2030, offering a 103% participation rate on the S&P 500 Index with a 70% downside threshold level.

Key Highlights

  • Issuer and Guarantor: Morgan Stanley Finance LLC is the issuer; Morgan Stanley (NYSE:MS) is the guarantor.
  • Participation Rate: The securities carry a 103% participation rate linked to the S&P 500 Index (SPX).
  • Downside Threshold: The downside threshold level is set at 70% of the initial level; losses apply below that level.
  • Estimated Value: The estimated value is $976.10 per security, or within $45.00 of that estimate, according to the filing.
  • Pricing and Maturity Dates: The pricing date is November 12, 2026, and the maturity date is November 15, 2030.
  • CUSIP: The securities carry CUSIP 61781TPN7 and will not be listed on any securities exchange.
  • No Principal Guarantee: The filing states that "the securities do not guarantee the return of any principal and do not pay interest."

SPX Trigger Participation Securities: Structure and Hypothetical Payoffs

According to the filing, Morgan Stanley Finance LLC is offering SPX Trigger Participation Securities due November 15, 2030, under Registration Statement Nos. 333-293641 and 333-293641-01. The securities are linked to the S&P 500 Index and apply a 103% participation rate to any index appreciation measured on the observation date of November 12, 2030. All payments are described as subject to the credit risk of the issuer and its guarantor, Morgan Stanley.

The filing provides hypothetical payment scenarios at maturity based on a $1,000 stated principal amount. If the underlier appreciates 5%, investors would receive $1,051.50 per security, or 105.15% of the stated principal amount. If the underlier depreciates up to 30%, investors would receive $1,000 per security, as the downside threshold level of 70% of the initial level would not have been breached. However, if the underlier depreciates 31%, the payment falls to $690.00 per security, reflecting full exposure to losses below the threshold. In a scenario of 85% depreciation, investors would receive only $150 per security, representing a loss of 85% of principal.

The filing discloses that the estimated value of $976.10 per security is less than the original issue price, noting that costs associated with "issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities." The securities will not be listed on any securities exchange, and secondary trading may be limited. The filing also notes that U.S. federal income tax consequences of investing in the securities "are uncertain," and investors are directed to consult a tax adviser.

What Was Disclosed

Morgan Stanley Finance LLC filed a Free Writing Prospectus for Preliminary Pricing Supplement No. 19,772, describing the terms, hypothetical payoffs, risk factors, and estimated value of SPX Trigger Participation Securities maturing November 15, 2030, with a 103% participation rate and a 70% downside threshold.