Primary Offering Prospectus (Form 424B2)

Preliminary Pricing Supplement No. 19,961

Registration Statement Nos. 333-293641; 333-293641-01

Dated November 6, 2026

Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC

Structured Investments

Contingent Income Memory Auto-Callable Securities due December 4, 2031

Based on the Performance of the S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

￭The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The securities have the terms described in the accompanying product supplement, tax supplement and prospectus, as supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest.

￭Contingent coupon. The securities will pay a contingent coupon (as well as any previously unpaid contingent coupons) but only if the closing level of the underlier is greater than or equal to the coupon barrier level on the related observation date. However, if the closing level of the underlier is less than the coupon barrier level on any observation date, we will pay no interest with respect to the related interest period.

￭Automatic early redemption. The securities will be automatically redeemed if the closing level of the underlier is greater than or equal to the call threshold level on any redemption determination date for an early redemption payment equal to the stated principal amount plus the contingent coupon with respect to the related interest period and any previously unpaid contingent coupons. No further payments will be made on the securities once they have been automatically redeemed.

￭Payment at maturity. If the securities have not been automatically redeemed prior to maturity and the final level is greater than or equal to the downside threshold level, investors will receive (in addition to the contingent coupon with respect to the final observation date and any previously unpaid contingent coupons, if payable) the stated principal amount at maturity. If, however, the final level is less than the downside threshold level, investors will lose 1% for every 1% decline in the level of the underlier over the term of the securities. Under these circumstances, the payment at maturity will be significantly less than the stated principal amount and could be zero.

￭For additional information about the S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER, see the information set forth under "Annex A - S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER" below.

￭The securities are for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing a significant portion or all of their principal and the risk of receiving no coupons over the entire term of the securities. You will not participate in any appreciation of the underlier. Investors in the securities must be willing to accept the risk of losing their entire initial investment. The securities are notes issued as part of MSFL's Series A Global Medium-Term Notes program.

￭All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

(1)The securities will be sold only to investors purchasing the securities in fee-based advisory accounts.

(2)MS & Co. expects to sell all of the securities that it purchases from us to an unaffiliated dealer at a price of $ per security, for further sale to certain fee-based advisory accounts at the price to public of $1,000 per security. In addition, selected dealers and their financial advisors may receive a structuring fee of up to $6.25 for each security from the agent or its affiliates. MS & Co. will not receive a sales commission with respect to the securities. See "Supplemental information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement.

(3)See "Use of Proceeds and Hedging" in the accompanying product supplement.

The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 9.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the accompanying product supplement, tax supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

The securities are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.

You should read this document together with the related product supplement, tax supplement and prospectus, each of which can be accessed via the hyperlinks below. Please also see "Additional Terms of the Securities" and "Additional Information About the Securities" at the end of this document.

References to "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

Product Supplement for Principal at Risk Securities dated April 8, 2026

Tax Supplement dated April 8, 2026 Prospectus dated April 8, 2026

Morgan Stanley Finance LLC

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*As necessary, calculated levels will be rounded to three decimal places.

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Observation Dates and Coupon Payment Dates

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Estimated Value of the Securities

The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $1,000. Our estimate of the value of the securities as determined on the pricing date will be within the range specified on the cover hereof and will be set forth on the cover of the final pricing supplement.

What goes into the estimated value on the pricing date?

In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-based component linked to the underlier. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlier, instruments based on the underlier, volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.

What determines the economic terms of the securities?

In determining the economic terms of the securities, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?

The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the underlier, may vary from, and be lower than, the estimated value on the pricing date, because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, to the extent that MS & Co. may buy or sell the securities in the secondary market during the amortization period specified herein, absent changes in market conditions, including those related to the underlier, and to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account statements.

MS & Co. may, but is not obligated to, make a market in the securities, and, if it once chooses to make a market, may cease doing so at any time.

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Hypothetical Examples

The following hypothetical examples illustrate how to determine whether the securities will be automatically redeemed with respect to a redemption determination date, whether a contingent coupon is payable with respect to an observation date and how to calculate the payment at maturity if the securities have not been automatically redeemed prior to maturity. The following examples are for illustrative purposes only. Whether the securities are automatically redeemed prior to maturity will be determined by reference to the closing level of the underlier on each redemption determination date. Whether you receive a contingent coupon will be determined by reference to the closing level of the underlier on each observation date. The payment at maturity will be determined by reference to the closing level of the underlier on the final observation date. The actual initial level, call threshold level, coupon barrier level and downside threshold level will be determined on the strike date. All payments on the securities are subject to our credit risk. The numbers in the hypothetical examples below may have been rounded for ease of analysis. The below examples are based on the following terms:

*The hypothetical initial level of 100.00 for the underlier has been chosen for illustrative purposes only and does not represent the actual initial level of the underlier. Please see "Historical Information" below for historical data regarding the actual closing levels of the underlier.

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How to determine whether the securities will be automatically redeemed with respect to a redemption determination date:

On hypothetical redemption determination date #1, because the closing level of the underlier is less than the call threshold level, the securities are not automatically redeemed on the related early redemption date.

On hypothetical redemption determination date #2, because the closing level of the underlier is greater than or equal to the call threshold level, the securities are automatically redeemed on the related early redemption date for an early redemption payment equal to the stated principal amount plus the contingent coupon with respect to the related interest period and any previously unpaid contingent coupons. No further payments are made on the securities once they have been automatically redeemed.

If the closing level of the underlier is less than the call threshold level on each redemption determination date, the securities will not be automatically redeemed prior to maturity.

How to determine whether a contingent coupon is payable with respect to an observation date (if the securities have not been previously automatically redeemed):

On hypothetical observation date #1, because the closing level of the underlier is greater than or equal to the coupon barrier level, the contingent coupon is paid on the related coupon payment date.

On hypothetical observation date #2, because the closing level of the underlier is less than the coupon barrier level, no contingent coupon is paid on the related coupon payment date.

On hypothetical observation date #3, because the closing level of the underlier is greater than or equal to the coupon barrier level, investors receive the contingent coupon with respect to hypothetical observation date #3 as well as the previously unpaid contingent coupon with respect to hypothetical observation date #2.

On hypothetical observation date #4, because the closing level of the underlier is less than the coupon barrier level, no contingent coupon is paid on the related coupon payment date.

If the closing level of the underlier is less than the coupon barrier level on each observation date, you will not receive any contingent coupons for the entire term of the securities.

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How to calculate the payment at maturity (if the securities have not been automatically redeemed):

The hypothetical examples below illustrate how to calculate the payment at maturity if the securities have not been automatically redeemed prior to maturity.

In example #1, the final level is greater than or equal to the downside threshold level. Therefore, investors receive at maturity the stated principal amount. Because the final level is also greater than or equal to the coupon barrier level, investors receive the contingent coupon with respect to the final observation date and any previously unpaid contingent coupons. Investors do not participate in any appreciation of the underlier.

In example #2, the final level is less than the downside threshold level. Therefore, investors receive at maturity a payment that reflects a loss of 1% of principal for each 1% decline in the level of the underlier. Moreover, because the final level is also less than the coupon barrier level, investors do not receive a contingent coupon with respect to the final observation date or any previously unpaid contingent coupons.

If the securities have not been automatically redeemed prior to maturity and the final level is less than the downside threshold level, you will be exposed to the negative performance of the underlier at maturity, and your payment at maturity will be significantly less than the stated principal amount of the securities and could be zero.

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Risk Factors

This section describes the material risks relating to the securities. For further discussion of these and other risks, you should read the section entitled "Risk Factors" in the accompanying product supplement, tax supplement and prospectus. We also urge you to consult with your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

Risks Relating to an Investment in the Securities

￭The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that they do not guarantee the repayment of any principal. If the securities have not been automatically redeemed prior to maturity and the final level is less than the downside threshold level, the payout at maturity will be an amount in cash that is significantly less than the stated principal amount of each security, and you will lose an amount proportionate to the full decline in the level of the underlier over the term of the securities. There is no minimum payment at maturity on the securities, and, accordingly, you could lose your entire initial investment in the securities.

￭The securities do not provide for the regular payment of interest. The terms of the securities differ from those of ordinary debt securities in that they do not provide for the regular payment of interest. Instead, the securities will pay a contingent coupon on a coupon payment date but only if the closing level of the underlier is greater than or equal to the coupon barrier level on the related observation date. However, if the closing level of the underlier is less than the coupon barrier level on any observation date, we will pay no coupon with respect to the applicable interest period. Any such unpaid contingent coupon will be paid on a subsequent coupon payment date but only if the closing level of the underlier is greater than or equal to the coupon barrier level on the related observation date. You will not receive payment for any such unpaid contingent coupon if the closing level of the underlier is less than the coupon barrier level on each subsequent observation date. It is possible that the closing level of the underlier will remain below the coupon barrier level for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent coupons. If you do not earn sufficient contingent coupons over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.

￭Payment of the contingent coupon is based on the closing level of the underlier on only the related observation date at the end of the related interest period. Whether the contingent coupon will be paid on any coupon payment date will be determined at the end of the related interest period based on the closing level of the underlier on the related observation date. As a result, you will not know whether you will receive the contingent coupon on a coupon payment date until near the end of the relevant interest period. Moreover, because the contingent coupon is based solely on the closing level of the underlier on the observation dates, if the closing level of the underlier on any observation date is less than the coupon barrier level, you will not receive a contingent coupon with respect to the related interest period (or any previously unpaid contingent coupons), even if the closing level of the underlier was greater than or equal to the coupon barrier level on other days during that interest period.

￭Investors will not participate in any appreciation in the value of the underlier. Investors will not participate in any appreciation in the value of the underlier from the strike date to the final observation date, and the return on the securities will be limited to the contingent coupons that are paid with respect to the observation dates on which the closing level of the underlier is greater than or equal to the coupon barrier level. It is possible that the closing level of the underlier will remain below the coupon barrier level for extended periods of time or even throughout the entire term of the securities so that you will receive few or no contingent coupons.

￭The securities are subject to early redemption risk. The term of your investment in the securities may be shortened due to the automatic early redemption feature of the securities. If the securities are automatically redeemed prior to maturity, you will receive no further payments on the securities, may be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns. However, under no circumstances will the securities be redeemed prior to the first redemption determination date.

￭The market price of the securities may be influenced by many unpredictable factors. Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the value of the underlier at any time will affect the value of the securities more than any other single factor. Other factors that may influence the value of the securities include:

othe volatility (frequency and magnitude of changes in value) of the underlier;

ointerest and yield rates in the market;

ogeopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlier or markets generally;

othe availability of comparable instruments;

othe composition of the underlier and changes in such composition;

othe time remaining until the securities mature; and

oany actual or anticipated changes in our credit ratings or credit spreads.

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Some or all of these factors will influence the price that you will receive if you sell your securities prior to maturity. Generally, the longer the time remaining to maturity, the more the market price of the securities will be affected by the other factors described above. For example, you may have to sell your securities at a substantial discount from the stated principal amount if, at the time of sale, the closing level of the underlier is at, below or not sufficiently above the downside threshold level and/or coupon barrier level, or if market interest rates rise.

You can review the historical closing levels of the underlier in the section of this document called "Historical Information." You cannot predict the future performance of the underlier based on its historical performance. The value of the underlier may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen. There can be no assurance that the closing level of the underlier will be greater than or equal to the coupon barrier level on any observation date so that you will receive a contingent coupon with respect to the applicable interest period, or that the final level will be greater than or equal to the downside threshold level so that you do not suffer a significant loss on your initial investment in the securities.

￭The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities. You are dependent on our ability to pay all amounts due on the securities, and, therefore, you are subject to our credit risk. The securities are not guaranteed by any other entity. If we default on our obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market's view of our creditworthiness. Any actual or anticipated decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the market value of the securities.

￭As a finance subsidiary, MSFL has no independent operations and will have no independent assets. As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.

￭The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms of the securities less favorable to you than they otherwise would be.

However, because the costs associated with issuing, selling, structuring and hedging the securities are not fully deducted upon issuance, to the extent that MS & Co. may buy or sell the securities in the secondary market during the amortization period specified herein, absent changes in market conditions, including those related to the underlier, and to our secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account statements.

￭The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price. These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also "The market price of the securities may be influenced by many unpredictable factors" above.

￭The securities will not be listed on any securities exchange and secondary trading may be limited. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is

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not obligated to, make a market in the securities and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Since other broker-dealers may not participate significantly in the secondary market for the securities, the price at which you may be able to trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.

￭As discussed in more detail in the accompanying product supplement, investing in the securities is not equivalent to investing in the underlier(s).

￭The U.S. federal income tax consequences of an investment in the securities offered by this pricing supplement are uncertain. There is no direct legal authority regarding the proper U.S. federal income tax treatment of the securities, and significant aspects of the tax treatment of the securities are uncertain. Moreover, non-U.S. investors should note that persons having withholding responsibility in respect of the securities are, absent an exception, expected to withhold on any coupon paid to a non-U.S. investor, generally at a rate of 30%. We will not pay any additional amounts in respect of such withholding. You should review carefully the section entitled "United States Federal Income Tax Considerations" herein, in combination with the section entitled "United States Federal Taxation" in the accompanying tax supplement, and consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities.

Risks Relating to the Underlier(s)

￭Because your return on the securities will depend upon the performance of the underlier(s), in addition to any risks described further below, the securities are subject to the following risk(s) discussed in more detail in the accompanying product supplement. Capitalized terms used but not defined below have the meanings assigned to them under "Annex A - S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER."

oAdjustments to the underlying index could adversely affect the value of the securities.

￭No assurance can be given that the investment strategy used to construct the underlying index will achieve its intended results or that the underlying index will be successful or will outperform any alternative index or strategy that might reference the E-mini S&P 500 futures contracts and gold futures contracts. The underlying index has been developed based on predetermined rules that may not prove to be advantageous or successful. In addition, the underlying index is not actively managed in response to discretionary market views, although S&P Dow Jones Indices LLC may make methodology changes, determinations or exceptions in accordance with its index policies.

￭The decrement of 6% per annum will adversely affect the performance of the underlying index in all cases, whether the underlying index appreciates or depreciates. The underlying index includes a decrement feature, whereby 6% per annum is deducted daily from the level of the underlying index. Because of the deduction of the decrement, the underlying index will underperform the performance of an identical index without such a decrement feature. The level of the underlying index may decline even if the prices of the E-mini S&P 500 futures contracts and gold futures contracts increase.

￭The underlying index is subject to risks associated with the use of significant leverage. At times, the underlying index will use significant leverage in an effort to achieve its target volatility. When the underlying index employs leverage for either of its Index Components, any declines in the prices of the E-mini S&P 500 futures contracts or gold futures contracts will be magnified, resulting in accelerated losses.

￭The underlying index may have limited aggregate exposure to both Index Components during the term of the securities. During the term of the securities, the underlying index may adjust its aggregate exposure to both Index Components to be below the maximum 500%. The underlying index may also reduce its aggregate exposure to the Index Components to below 100%. The underlying index adjusts its exposure to the Index Components based on the volatility of the E-mini S&P 500 futures contracts and gold futures contracts and the correlation between the two types of futures contracts. If the aggregate exposure of the underlying index to the Index Components is less than 100%, the portion by which aggregate exposure is below 100% will not be allocated to a cash component and will not earn interest or any other return. As a result, the underlying index will participate less than one-for-one in any appreciation of the Index Components, all else being equal. Any unused leverage or exposure capacity below the maximum 500% will likewise not generate a separate return. The 6.0% per annum decrement will continue to be deducted regardless of the level of aggregate exposure.

￭The realized volatility of the underlying index may differ, perhaps significantly, from the 40% target volatility. This may occur due to a number of factors, including but not limited to: differences between the volatility and correlation estimates used by the methodology and the actual realized volatility of the underlying index, inherent limitations relating to the parameters used in the

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underlying index's volatility and correlation estimates, differences in official price publication times for the Equity Index and the Gold Index, the underlying index's 5% no-rebalance rule, the 20-percentage-point per index calculation day cap on changes in the target weight of the Gold Index, the 50-percentage-point per index calculation day cap on changes in the final weight of the Equity Index, floors and caps on the underlying index's exposure to the Index Components, and the implementation of the Equity Index back-solve when the Gold Index target weight is constrained by the 20-percentage-point corridor, including circumstances in which the recalculated Equity Index target weight may not fully restore the portfolio to the 40% target volatility level because of the applicable floors, caps and other methodology constraints.

￭There is a daily weight change cap on each of the Index Components, which may adversely affect the performance of the underlying index. The underlying index may not achieve its target volatility level due to a daily weight change cap on each of the Index Components. Because of the daily weight change cap on each of the Index Components, the change in the exposure of that Index Component to the relevant underlying futures contracts cannot exceed a certain amount from one index calculation day to the next. If there is a sudden significant change in the volatility of the relevant underlying futures contracts, a significantly greater change than the daily weight change cap of that Index Component may be required to maintain the underlying index's volatility target, but the change implemented by the underlying index for that Index Component will in no event exceed 50 percentage points per index calculation day for the S&P 500 Futures (3-Day Roll) Index (USD) ER or 20 percentage points per index calculation day for the S&P GSCI Gold ER. As a result, the Index Component may retain significantly greater exposure to the relevant underlying futures contracts in a sharply falling market and, in turn, experience significantly greater losses, or may miss out on the potential for more highly leveraged participation in the appreciation of the relevant underlying futures contracts, than would be the case without the daily weight change cap. Any weight change of an Index Component may also affect the weight of the other Index Component under the methodology of the underlying index and thus both Index Components may be adversely affected by one Index Component's daily weight change cap.

In addition, if the sum of the absolute changes from the final weights of both Index Components on the previous index calculation day to the target weights of both Index Components on the current index calculation day is 5% or less, the final weights of both Index Components will remain unchanged, which may cause the underlying index to retain exposures that differ from the target weights of each Index Component on the current index calculation day. All of the above factors may, in turn, adversely affect the performance of the underlying index.

￭The underlying index has very limited operating history. The underlying index was launched on June 12, 2026 and therefore has very limited live operating history. All index values for periods prior to that date are hypothetical and back-tested. A retrospective simulation means that no actual investment which allowed a tracking of the performance of the underlying index existed at any time during the period of the retrospective simulation. The methodology used for the calculation and retrospective simulation of the underlying index has been developed with the advantage of hindsight. In reality, it is not possible to invest with the advantage of hindsight and therefore this historical performance is purely theoretical and may not be indicative of future performance.

￭As the underlying index is new and has very limited historical performance, any investment in the underlying index may involve greater risk than an investment in an index with longer actual historical performance and a proven track record. All information regarding the performance of the underlying index prior to June 12, 2026 is hypothetical and back-tested. It is important to understand that hypothetical back-tested index performance information is subject to significant limitations, in addition to the fact that past performance is never a guarantee of future performance. In particular:

oS&P Dow Jones Indices LLC developed the rules of the underlying index with the benefit of hindsight - that is, with the benefit of being able to evaluate how the underlying index rules would have caused the underlying index to perform had it existed during the hypothetical back-tested period.

oThe hypothetical back-tested performance of the underlying index might look different if it covered a different historical period. The market conditions that existed during the historical period covered by the hypothetical back-tested index performance information in this document are not necessarily representative of the market conditions that will exist in the future.

oIt is impossible to predict whether the underlying index will rise or fall. The actual future performance of the underlying index may bear little relation to the historical or hypothetical back-tested levels of the underlying index.

￭Higher future prices of a futures contract to which the underlying index is linked relative to its current prices may adversely affect the value of the underlying index and the value of the securities. The E-mini S&P 500 futures contracts are currently listed for trading on the Chicago Mercantile Exchange and the gold futures contracts are currently traded on the Commodity Exchange, also known as the COMEX, operated by the CME Group. As either of the individual contracts approaches expiration, it is replaced by a contract that has a later expiration. Thus, for example, a contract purchased and held in September may specify a December expiration. As time passes, the contract expiring in December is replaced by a contract for delivery in

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March. This process is referred to as "rolling." If the market for these contracts is (putting aside other considerations) in "backwardation," where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the December contract would take place at a price that is higher than the price of the March contract, thereby creating a "roll yield." While many futures contracts have historically exhibited consistent periods of backwardation, backwardation will most likely not exist at all times. It is also possible for the market for these contracts to be in "contango." Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The presence of contango and absence of backwardation in the market for these contracts could result in negative "roll yields," which could adversely affect the value of the underlying index, and, accordingly, the value of the securities.

￭Suspensions or disruptions of market trading in futures markets could adversely affect the price of the securities. Securities, commodity and futures markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as "daily price fluctuation limits" and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a "limit price." Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the value of the underlying index, and, therefore, the value of the securities.

￭Legal and regulatory changes could adversely affect the return on and value of your securities. Futures contracts and options on futures contracts, including those related to the underlying index, are subject to extensive statutes, regulations, and margin requirements. The Commodity Futures Trading Commission, commonly referred to as the "CFTC," and the exchanges on which such futures contracts trade, are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely affect the market prices of relevant futures and options contracts and forward contracts.

￭The securities are subject to risks associated with gold. One of the Index Components tracks the futures contracts of gold, which in turn are principally affected by the price of gold. The market for gold bullion is global, and gold prices are subject to volatile price movements over short periods of time. Specific factors affecting the price of gold include economic factors, such as, among other things, the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (as the currency in which the price of gold is generally quoted), interest rates and gold borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events, as well as wars and political and civil upheavals. Gold prices may also be affected by industry factors such as industrial and jewelry demand, lending, sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions that hold gold, sales of gold recycled from jewelry, as opposed to newly produced gold, in particular as the result of financial crises, levels of gold production and production costs in major gold-producing nations such as South Africa, the United States and Australia, non-concurrent trading hours of gold markets and short-term changes in supply and demand because of trading activities in the gold markets. It is not possible to predict the aggregate effect of any or all of these factors. The price of gold may be, and has recently been, extremely volatile, and we can give you no assurance that such volatility will lessen.

￭If the Index is discontinued and no successor index is available, at maturity, Morgan Stanley will pay an alternate payment amount, if any, in lieu of the payment due at maturity. If S&P Dow Jones Indices LLC, as the Index Sponsor, discontinues publication of the underlying index and MS & Co., as the calculation agent, determines in its sole discretion that no successor index is available, then, on the date of that determination, the calculation agent will determine, in good faith and in a commercially reasonable manner, an alternate payment amount, which will equal its estimate of the value, if any, of the investors' forgone opportunity to receive any payment at maturity, determined by reference to the calculation agent's pricing models, inputs, assumptions about future market conditions including, without limitation, the volatility of the Index and its components and current and expected interest rates. The alternate payment amount, if any, will be paid at maturity. As a result, investors will have no more exposure to the Index once the calculation agent determines that no successor index is available to replace the discontinued Index, but will not receive the alternate payment amount until the maturity date. See "Additional Terms of the Securities-Discontinuance of the underlier" below.

Risks Relating to Conflicts of Interest

In engaging in certain activities described below and as discussed in more detail in the accompanying product supplement, our affiliates may take actions that may adversely affect the value of and your return on the securities, and in so doing they will have no obligation to consider your interests as an investor in the securities.

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￭The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities. As calculation agent, MS & Co. will make any determinations necessary to calculate any payment(s) on the securities. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, which may adversely affect your return on the securities. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

￭Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities.

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Historical Information

S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER Overview

Bloomberg Ticker Symbol: SPXGN406

The S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER (the "underlying index") is a rules-based index that was developed by S&P Dow Jones Indices LLC and was established on June 12, 2026. The underlying index dynamically allocates its exposure between the S&P 500 Futures (3-Day Roll) Index (USD) ER and the S&P GSCI Gold ER, based on underlying index component volatility and correlation while seeking to maintain a 40% target volatility level. The underlying index is subject to a 6.0% per annum daily decrement. The underlying index is reported by Bloomberg Financial Markets under ticker symbol "SPXGN406." For additional information about the S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER, see the information set forth under "Annex A - S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER" below.

The inception date for the underlying index was June 12, 2026. The information regarding the underlying index prior to June 12, 2026 is a hypothetical retrospective simulation calculated by the underlying index publisher using the same methodology as is currently employed for calculating the underlying index based on historical data. Investors should be aware that no actual investment which allowed a tracking of the performance of the underlying index was possible at any time prior to June 12, 2026. Such data must be considered illustrative only.

"S&P®" is a trademark of S&P® Global, Inc. For more information, see "Annex A - S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER" below.

The closing level of the underlying index‬‬ on November 5, 2026 was 3,624.24. The following graph sets forth the hypothetical retrospective and daily closing levels of the underlying index‬‬ for the period noted below. No assurance can be given as to the closing level of the underlying index‬‬ at any time.

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Additional Terms of the Securities

Please read this information in conjunction with the terms on the cover of this document.

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Additional Information About the Securities

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Annex A - S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER

Overview

The S&P 500 Gold Navigator 40% VT 6% Decrement Index (USD) ER (the "underlying index") is a rules-based index that was developed by S&P Dow Jones Indices LLC ("S&P DJI") and was established on June 12, 2026. The underlying index dynamically allocates its exposure between the S&P 500 Futures (3-Day Roll) Index (USD) ER and the S&P GSCI Gold ER, based on underlying index component volatility and correlation while seeking to maintain a 40% target volatility level. The underlying index is subject to a 6.0% per annum daily decrement. The underlying index is reported by Bloomberg Financial Markets under ticker symbol "SPXGN406."

Underlying Index Strategy

The underlying index was developed to provide exposure to positions in E-mini S&P 500 futures contracts and gold futures contracts (for more information about futures contracts, see "Overview of Futures Markets"), with a rules-based methodology that dynamically allocates exposure between the two underlying index components that respectively represent futures contracts on different asset classes. The S&P 500 Futures (3-Day Roll) Index (USD) ER is referred to as the "Equity Index" and the S&P GSCI Gold ER is referred to as the "Gold Index". Each of the underlying index components below is also referred to as an "Index Component" and together as the "Index Components."

The underlying index is an excess return index, which means that its performance will be based on changes in the settlement prices of the underlying futures contracts tracked by its Index Components. An excess return index is distinct from a total return index, which, in addition to changes in the settlement prices of the underlying futures contracts, would reflect interest on a hypothetical cash position collateralizing that futures contract. The underlying index does not include such a total return feature.

S&P 500 Futures (3-Day Roll) Index (USD) ER

The S&P 500 Futures (3-Day Roll) Index (USD) ER is an equity futures index that measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract trading on the Chicago Mercantile Exchange (the "CME"). E-mini S&P 500 futures contracts are U.S. dollar-denominated futures contracts based on the performance of the S&P 500 Index.

The S&P 500 Futures (3-Day Roll) Index (USD) ER is the excess return version of the S&P 500 Futures Index, which measures the performance of the nearest maturing quarterly E-mini S&P 500 futures contract trading on the CME. The S&P 500 Futures (3-Day Roll) Index (USD) ER includes a provision for the replacement of the E-mini S&P 500 futures contract as the contract approaches maturity (also referred to as "rolling" or "the roll"). This replacement occurs over a three-day rolling period every March, June, September and December, effective after the close of the sixth, seventh, and eighth business day preceding the last trading date of the futures contract. The S&P 500 Futures (3-Day Roll) Index (USD) ER rolls quarterly and distributes the weights equally each day over a three-day roll period.

The S&P 500 Index, which is calculated, maintained and published by S&P DJI, is intended to provide a benchmark for performance measurement of the large capitalization segment of the U.S. equity markets by tracking the stock price movement of 500 companies with large market capitalizations. Newly added component stocks of the S&P 500 Index are required to have a total company level market capitalization that reflects approximately the 85th percentile of the S&P Total Market Index. The S&P 500 Index measures the relative performance of the common stocks of 500 companies as of a particular time as compared to the performance of the common stocks of 500 similar companies during the base period of the years 1941 through 1943.

E-mini S&P 500 Futures

E-mini S&P 500 futures are U.S. dollar-denominated futures contracts based on the S&P 500 Index. Each contract is valued at $50 times the level of the S&P 500 Index. Contract prices are quoted in index points, with a minimum price increment of 0.25 index points, equal to $12.50 per contract.

E-mini S&P 500 Futures contracts are listed in quarterly March, June, September and December expirations in accordance with the applicable CME rules. Trading of the E-mini S&P 500 Futures contracts terminates at 9:30 A.M. Eastern time on the third Friday of the contract month.

The daily settlement prices of the E-mini S&P 500 Futures contracts are based on trading activity in the relevant contract (and in the case of a lead month also being the expiry month, together with trading activity on lead month-second month spread contracts) on the CME during a specified settlement period. The final settlement price of the futures contract is based on the opening prices of the component stocks in the S&P 500 Index, determined on the third Friday of the contract month.

S&P GSCI Gold ER

The S&P GSCI Gold ER is a sub-index of the S&P GSCI ER. It represents only the gold component of the S&P GSCI ER, a composite index of commodity sector returns, calculated, maintained and published daily by S&P. The S&P GSCI is a world production-weighted index that is designed to reflect the relative significance of principal non-financial commodities (i.e., physical commodities) in the world economy. The S&P GSCI represents the return of a portfolio of the futures contracts for the underlying commodities. The S&P GSCI Gold ER references gold futures contracts traded on the Commodity Exchange, also known as the COMEX, operated by the CME

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Group. The COMEX trades gold futures contracts with monthly expiration dates. The S&P GSCI Gold ER is an excess return index and not a total return index.

Underlying Index Closing Level Calculation

On any day on which the level of the underlying index is calculated (an "index calculation day"), the underlying index updates its view of the degree of risk embedded within the Equity Index and the Gold Index and its view of the correlation between the two Index Components. The underlying index calculates short-term and long-term volatility estimates for each Index Component and short-term and long-term correlation estimates between the Index Components and, in each case, uses the estimate indicating the higher degree of risk. The goal is to use conservative estimates so that the underlying index will adjust its exposures if either measurement horizon indicates elevated risk.

Each index calculation day, the closing level of the underlying index will equal (i) the closing level of the underlying index on the previous index calculation day multiplied by (ii) the sum of one plus (x) the change in the closing level of the Equity Index, adjusted by its final weight on the previous index calculation day, and (y) the change in the closing level of the Gold Index, adjusted by its final weight on the previous index calculation day, (z) minus a 6.0% per annum daily decrement. The prior final weights used in the daily index-level calculation are the final weights from the previous index calculation day. The 6.0% per annum decrement is prorated by the actual number of calendar days between index calculation days on an Actual/365 basis (see "Decrement Deduction"). The underlying index looks to achieve a 40% target volatility level by balancing the final weights of both Index Components using the overall risk estimate for each Index Component obtained as described in the preceding paragraph. The final weight of each Index Component is determined, in turn, based on the respective target weight of that Index Component.

The final weight for each Index Component is calculated as follows:

1.The absolute change from each Index Component's final weight on the previous index calculation day to the target weight on the index calculation day is calculated. If the sum of the absolute target weight changes for both Index Components is within 5% (inclusive), the final weights for both Index Components will not be adjusted and remain the same as on the previous index calculation day (the "5% no-rebalance rule").

2.Otherwise, the final weight of the Gold Index will equal its target weight. The final weight of the Equity Index will equal its target weight, subject to a limit of 50 percentage points above or below the final weight of the Equity Index on the previous index calculation day.

The target weight of each Index Component is calculated separately according to whether certain conditions are met and takes into consideration various factors such as the volatility of each Index Component and the correlation between the two Index Components. In general, the underlying index seeks to maintain at least 100% exposure to the Equity Index by applying a 100% floor in the calculation of the Equity Index target weight and, where feasible, making corresponding adjustments to the target weight of the Gold Index. The target-weight calculations for the two Index Components are interdependent, such that a change in the target weight of one Index Component may result in a change in the target weight calculation of the other. However, the target weight of the Equity Index may fall below 100% in specified risk-control circumstances. In addition, there is a 20-percentage-point cap on the change in the target weight of the Gold Index from its final weight on the previous index calculation day. The change in the target weight of the Gold Index is generally more restricted than the change in the target weight of the Equity Index. A number of intermediate weights are also calculated as part of the target-weight process to apply the methodology's floors, caps, corridor and other constraints while seeking to achieve the intended target volatility level.

Specifically, the target weight of each Index Component is calculated as follows:

Calculating the weight for each Index Component

Target weight of the Equity Index

On the initial calculation date, the target weights are calculated under the methodology's separate initial target-weight provisions. On subsequent index calculation days, the target weight of the Equity Index is calculated as follows:

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The target weight of the Equity Index calculated based on the table above will be used in the final weight calculation for the relevant index calculation day.

For more information on how the target weight of the Gold Index, the floor weight of the Equity Index and the corridor weight of the Equity Index are derived, see "Target weight of the Gold Index" and "Corridor weight, floor weight and optimal weight of the Equity Index."

Corridor weight, floor weight and optimal weight of the Equity Index

The corridor weight, floor weight and optimal weight of the Equity Index are calculated based on, among other factors, a risk estimate and volatility of the Equity Index for the previous index calculation day, a risk estimate and volatility of the Gold Index for the previous index calculation day and the correlation of the Index Components for the previous index calculation day.

The corridor weight of the Equity Index is used when the Gold target-weight corridor is binding, meaning that the Gold target weight is equal to the final Gold weight on the previous index calculation day plus or minus 20 percentage points. For more information on how the target weight of the Gold Index is derived, see "Target weight of the Gold Index".

The floor weight of the Equity Index is generally used to maintain at least 100% exposure to the Equity Index in cases when the optimal weight of the Equity Index is calculated to be below 100%. The optimal weight of the Equity Index is itself subject to a cap of 500% and a minimum floor of 0%.

However, neither the corridor weight nor the floor weight of the Equity Index is a guarantee that the exposure to the Equity Index will always be at least 100%.

Target weight of the Gold Index

On the initial calculation date, the target weight of the Gold Index is equal to its floor weight. On subsequent index calculation days, the target weight of the Gold Index is derived from its floor weight and is constrained to lie within a corridor of 20 percentage points above or below the final weight of the Gold Index on the previous index calculation day. Accordingly, the Gold target weight equals its floor weight if that floor weight falls within the corridor and otherwise equals the applicable corridor boundary. If the 5% no-rebalance rule is satisfied, the final weight of the Gold Index will equal its final weight from the prior index calculation day. Otherwise, the target weight of the Gold Index will be used as the final weight. For more information on how the floor weight of the Gold Index is derived, see "Floor weight and optimal weight of the Gold Index".

Floor weight and optimal weight of the Gold Index

The floor weight and optimal weight of the Gold Index are calculated based on, among other factors, a risk estimate and volatility of the Equity Index for the previous index calculation day, a risk estimate and volatility of the Gold Index for the previous index calculation day and the correlation of the Index Components for the previous index calculation day.

The floor weight of the Gold Index is used as a variable to adjust the target weight of the Gold Index depending on the optimal weight of the Equity Index. If the optimal weight of the Equity Index is at least 100%, the floor weight of the Gold Index equals its optimal weight. If the optimal weight of the Equity Index is below 100%, the floor weights of the Equity Index and Gold Index are determined under the methodology's floor-weight calculations, subject to the applicable caps, minimums and feasibility conditions. For more information on how the optimal weight of the Equity Index is derived, see "Corridor weight, floor weight and optimal weight of the Equity Index."

Decrement Deduction

The underlying index applies a 6.0% per annum daily decrement that will adversely affect the performance of the underlying index in all cases, regardless of whether the underlying index appreciates or depreciates. The 6.0% per annum decrement is prorated by the actual number of calendar days between index calculation days on an Actual/365 basis. The decrement feature is applied so that 6.0% per

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annum is deducted daily from the closing level of the underlying index. The decrement is applied daily after any leverage has been applied and is not itself leveraged. Because of the deduction of the decrement, the underlying index will underperform the performance of an identical index without such a decrement feature.

Overview of Futures Markets

Futures contracts are traded on regulated futures exchanges, in the over-the-counter market and on various types of electronic trading facilities and markets. As of the date of this document, the futures contracts are exchange-traded futures contracts. A futures contract provides for a specified settlement month in which the cash settlement is made by the seller (whose position is therefore described as "short") and acquired by the purchaser (whose position is therefore described as "long").

No purchase price is paid or received on the purchase or sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as "initial margin." This amount varies based on the requirements imposed by the exchange clearing houses, but it may be lower than 5% of the notional value of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.

By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to earn interest on its margin funds, thereby increasing the total return that it may realize from an investment in futures contracts. However, the underlying index is not a total return index and does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts.

At any time prior to the expiration of a futures contract, a trader may elect to close out its position by taking an opposite position on the exchange on which the trader obtained the position, subject to the availability of a liquid secondary market. This operates to terminate the position and fix the trader's profit or loss. Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm that is a member of the clearing house.

Futures exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading halts and suspensions and requiring liquidation of contracts in certain circumstances.

The securities are not sponsored, endorsed, sold or promoted by S&P DJI. S&P DJI makes no representation or warranty, express or implied, to the owners of the securities or any member of the public regarding the advisability of investing in the securities or the ability of the underlying index to track general stock market performance. The underlying index is determined, composed and calculated by S&P DJI without regard to us or the securities. S&P DJI has no obligation to take our needs or the needs of the owners of the securities into consideration in determining, composing or calculating the underlying index. S&P DJI is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the securities to be issued or in the determination or calculation of the equation by which the securities are to be converted into cash. S&P DJI has no obligation or liability in connection with the administration, marketing or trading of the securities.

S&P DJI DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE UNDERLYING INDEX, THE INDEX COMPONENTS OR ANY DATA INCLUDED THEREIN. S&P DJI MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY US, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE UNDERLYING INDEX, THE INDEX COMPONENTS OR ANY DATA INCLUDED THEREIN. S&P DJI MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE UNDERLYING INDEX, THE INDEX COMPONENTS OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P DJI HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

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