Morgan Stanley Finance LLC filed a Free Writing Prospectus on November 2, 2026, disclosing preliminary terms for SPXF40D4 Jump Securities with an Auto-Callable Feature due November 28, 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 as guarantor, according to the filing.
  • Underlier: The securities are linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index (SPXF40D4), which was established on August 30, 2024.
  • Estimated value: The filing states an estimated value of $903.00 per security, or within $53.00 of that estimate, against an original issue price of $1,000.00 (implied by the maturity examples).
  • Auto-call thresholds: The call threshold level is 90% of the initial level; the downside threshold level is 60% of the initial level.
  • 48 early redemption dates: Determination dates run monthly from November 26, 2027 through October 24, 2031, with early redemption payments ranging from $1,177.50-$1,187.50 (date #1) up to $1,872.708-$1,921.875 (date #48).
  • Principal at risk: The filing states "the securities do not guarantee the return of any principal and do not pay interest," and a hypothetical -100% underlier move produces a $0.00 payment at maturity.
  • CUSIP: 61781TLC5; pricing date is November 24, 2026, and the maturity date is November 28, 2031.

Terms and Structure of the SPXF40D4 Auto-Callable Securities

According to the filing, the securities are issued by Morgan Stanley Finance LLC under Registration Statement Nos. 333-293641 and 333-293641-01, with Morgan Stanley serving as guarantor. The securities are structured as "Jump Securities with Auto-Callable Feature," linked to the S&P 500 Futures 40% Intraday 4% Decrement VT Index. The filing discloses that the index "was established on August 30, 2024 and therefore has very limited operating history," which the filing identifies as a risk factor.

The auto-call mechanism involves 48 monthly determination dates. If the closing level of the underlier is at or above the call threshold level of 90% of the initial level on any determination date, the securities are automatically redeemed at the applicable early redemption payment for that date. The filing provides a hypothetical example in which a +30% underlier change on determination date #2 (December 27, 2027) results in a payment of $1,192.292 per security. If the securities are not called and the underlier falls between 40% and 0% of its initial level at maturity, the filing's hypothetical table shows a $1,000.00 payment; declines beyond 40% result in payments below $1,000.00, and a -100% scenario produces $0.00.

The filing discloses that the estimated value of $903.00 per security is below the original issue price, attributing this to "costs associated with issuing, selling, structuring and hedging the securities in the original issue price." The filing also notes that the underlier carries a 4% per annum decrement deducted daily from the index level, which "will adversely affect the performance of the underlier in all cases, whether the underlier appreciates or depreciates." The securities will not be listed on any securities exchange, according to the filing. All payments are stated to be subject to the credit risk of Morgan Stanley Finance LLC and Morgan Stanley.

What Was Disclosed

Morgan Stanley Finance LLC filed a Free Writing Prospectus to Preliminary Pricing Supplement No. 19,684, disclosing terms for auto-callable structured securities linked to a futures-based decrement index, with a CUSIP of 61781TLC5, an estimated value of $903.00 per security, and a maturity date of November 28, 2031.