[Form 4] Total Return Securities Fund Insider Trading Activity

Rhea-AI Filing Summary

Morgan Stanley Finance LLC, guaranteed by Morgan Stanley, is marketing five-year, auto-callable “Worst-of” Jump Securities linked to the Dow Jones Industrial Average (INDU), Nasdaq-100 (NDX) and Russell 2000 (RTY).

• Issue price: $1,000 per security; estimated value: $956.70 (≈4.3% below issue price).
• Auto-call feature: If on the first determination date (5 Aug 2026) each index closes at or above its initial level, the note is redeemed early for $1,197.50-$1,227.50 (≈+20-23%) and terminates.
• Participation: 150% of any positive performance of the worst-performing index, payable at maturity if not auto-called.
• Protection: Principal is returned in full provided the worst index does not fall below its 70% downside threshold (-30%) on the final observation date. Below that level, repayment is reduced 1-for-1 with the index decline (e.g., -40% worst index ⇒ $600).
• Maturity & key dates: Pricing 31 Jul 2025; final determination 31 Jul 2030; maturity 5 Aug 2030; CUSIP 61778NCG4.

The securities do not pay periodic interest, are unsecured and unsubordinated MSFL obligations, and will not be listed. Investors face credit risk, market risk, liquidity constraints, and potential tax complexity. The worst-of structure amplifies downside exposure and caps upside via auto-call.

Positive

• 150% participation amplifies upside versus underlying indices if note is not auto-called.
• Early redemption payment of $1,197.50-$1,227.50 offers a potential 20-23% return after only one year, attractive in a flat or modestly rising market.
• Contingent principal protection up to a 30% decline in the worst-performing index shields investors from moderate market pullbacks.

Negative

• No principal guarantee; losses accelerate 1:1 once any index closes below 70% of its initial level.
• Worst-of structure exposes holders to the weakest of three indices, increasing probability of principal loss.
• Auto-call feature limits upside to one observation date, reducing long-term growth potential.
• Estimated value ($956.70) is ≈4.3% below issue price, indicating embedded fees and negative carry from day one.
• Unlisted, illiquid securities could trade at wide spreads; exit prior to call or maturity may be costly.
• Credit risk of Morgan Stanley and its finance subsidiary directly affects repayment.

Insights

Structured-Products Analyst

TL;DR – High coupon-like auto-call but material downside after −30%, worst-of triple-index risk and 4% issue premium make this a niche tactical trade.

The note offers an attractive 20-23% absolute return after one year if all three equity benchmarks are flat or positive, plus 150% upside participation thereafter. However, the payoff is materially capped by the single auto-call date; any rally beyond August 2026 forfeits additional upside. The 70% barrier provides only contingent protection—investors could lose up to 100% in a severe bear market. Pricing is standard for Morgan Stanley retail flow: an estimated value 4% below par and no exchange listing, implying potential 4-6% bid/offer friction. Because proceeds are immaterial to Morgan Stanley’s capital structure, the filing is not impactful to MS equity, but is relevant for yield-seeking retail investors.

SEC Form 4

FORM 4

UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

STATEMENT OF CHANGES IN BENEFICIAL OWNERSHIP

Filed pursuant to Section 16(a) of the Securities Exchange Act of 1934
or Section 30(h) of the Investment Company Act of 1940

OMB APPROVAL

OMB Number:			3235-0287
Estimated average burden
hours per response:			0.5

Check this box if no longer subject to Section 16. Form 4 or Form 5 obligations may continue. See Instruction 1(b).

Check this box to indicate that a transaction was made pursuant to a contract, instruction or written plan for the purchase or sale of equity securities of the issuer that is intended to satisfy the affirmative defense conditions of Rule 10b5-1(c). See Instruction 10.

1. Name and Address of Reporting Person^*

SELL MORITZ A

(Last) (First) (Middle)

C/O USBANCORP FUND SERVICES

777 E WISCONSIN AVE.

(Street)

MILWAUKEE WI 53202

(City) (State) (Zip)

2. Issuer Name and Ticker or Trading Symbol
Total Return Securities Fund [ SWZ ]

5. Relationship of Reporting Person(s) to Issuer
(Check all applicable)

X	Director		10% Owner
	Officer (give title below)		Other (specify below)

3. Date of Earliest Transaction (Month/Day/Year)
06/30/2025

4. If Amendment, Date of Original Filed (Month/Day/Year)

6. Individual or Joint/Group Filing (Check Applicable Line)

X	Form filed by One Reporting Person
	Form filed by More than One Reporting Person

Table I - Non-Derivative Securities Acquired, Disposed of, or Beneficially Owned
1. Title of Security (Instr. 3)	2. Transaction Date (Month/Day/Year)	2A. Deemed Execution Date, if any (Month/Day/Year)	3. Transaction Code (Instr. 8)		4. Securities Acquired (A) or Disposed Of (D) (Instr. 3, 4 and 5)			5. Amount of Securities Beneficially Owned Following Reported Transaction(s) (Instr. 3 and 4)	6. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	7. Nature of Indirect Beneficial Ownership (Instr. 4)
			Code	V	Amount	(A) or (D)	Price
Common Stock	06/30/2025		P		1,815	A	$6.34	3,400(1)	D

Table II - Derivative Securities Acquired, Disposed of, or Beneficially Owned (e.g., puts, calls, warrants, options, convertible securities)
1. Title of Derivative Security (Instr. 3)	2. Conversion or Exercise Price of Derivative Security	3. Transaction Date (Month/Day/Year)	3A. Deemed Execution Date, if any (Month/Day/Year)	4. Transaction Code (Instr. 8)		5. Number of Derivative Securities Acquired (A) or Disposed of (D) (Instr. 3, 4 and 5)		6. Date Exercisable and Expiration Date (Month/Day/Year)		7. Title and Amount of Securities Underlying Derivative Security (Instr. 3 and 4)		8. Price of Derivative Security (Instr. 5)	9. Number of derivative Securities Beneficially Owned Following Reported Transaction(s) (Instr. 4)	10. Ownership Form: Direct (D) or Indirect (I) (Instr. 4)	11. Nature of Indirect Beneficial Ownership (Instr. 4)
				Code	V	(A)	(D)	Date Exercisable	Expiration Date	Title	Amount or Number of Shares

Explanation of Responses:

1. Amount includes shares acquired through the Issuer's dividend reinvestment plan.

	/s/ Stephanie Darling, as Power of Attorney	06/30/2025
	** Signature of Reporting Person	Date
Reminder: Report on a separate line for each class of securities beneficially owned directly or indirectly.
* If the form is filed by more than one reporting person, see Instruction 4 (b)(v).
** Intentional misstatements or omissions of facts constitute Federal Criminal Violations See 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
Note: File three copies of this Form, one of which must be manually signed. If space is insufficient, see Instruction 6 for procedure.
Persons who respond to the collection of information contained in this form are not required to respond unless the form displays a currently valid OMB Number.

FAQ

What indices back Morgan Stanley’s Worst-of Jump Securities (CUSIP 61778NCG4)?

The note references the Dow Jones Industrial Average (INDU), Nasdaq-100 (NDX) and Russell 2000 (RTY).

How does the auto-call feature work on the MS Jump Securities?

If on 5 Aug 2026 each index is at or above its initial level, the security redeems early for $1,197.50-$1,227.50 per $1,000 invested.

What is the downside protection level on these Morgan Stanley structured notes?

Principal is protected unless the worst-performing index falls below its 70% downside threshold (a 30% drop) on 31 Jul 2030.

What happens if the worst index falls 40% by the final determination date?

Investors would receive $600 per note, reflecting a 40% loss, as shown in the hypothetical payoff table.

Do the securities pay periodic interest or coupons?

No. They are zero-coupon notes; returns come solely from early redemption or maturity settlement.

Why is the estimated value ($956.70) below the $1,000 issue price?

It reflects dealer fees, hedging costs and Morgan Stanley’s funding spread, reducing the note’s economic value at issuance.