Morgan Stanley and MSFL have filed a registration statement (including
a prospectus, as supplemented by a product supplement) with the SEC for the offering to which this communication relates. In connection
with your investment, you should read the prospectus in that registration statement, the product supplement and any other documents
relating to this offering that Morgan Stanley and MSFL have filed with the SEC for more complete information about Morgan Stanley,
MSFL and this offering. You may get these documents for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively,
Morgan Stanley, MSFL, any underwriter or any dealer participating in this offering will arrange to send you the prospectus and
the product supplement if you so request by calling toll-free 1-(800)-584-6837.
You may access the accompanying product supplement and prospectus
on the SEC website at www.sec.gov as follows:
You should rely only on the information incorporated by reference
or provided in this pricing supplement or the accompanying prospectus and product supplement. We have not authorized anyone to
provide you with different information. We are not making an offer of these Securities in any state where the offer is not permitted.
You should not assume that the information in this pricing supplement or the accompanying prospectus and product supplement is
accurate as of any date other than the date on the front of this document.
If the terms described in this pricing supplement are inconsistent
with those described in the accompanying product supplement or prospectus, the terms described in this pricing supplement will
prevail.
The Issue Price of each Security is $10. 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 Trade Date is less than $10. We estimate that the value of each Security on the Trade Date is $9.703.
In valuing the Securities on the Trade Date, we take into account
that the Securities comprise both a debt component and a performance-based component linked to the Underlying Shares. The estimated
value of the Securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the
Underlying Shares, instruments based on the Underlying Shares, 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.
In determining the economic terms of the Securities, including
the Contingent Coupon Rate, the Coupon Barrier and the Downside Threshold, 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.
The price at which MS & Co. purchases the Securities in the
secondary market, absent changes in market conditions, including those related to the Underlying Shares, may vary from, and be
lower than, the estimated value on the Trade 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, for a period of up to 7 months following the Settlement Date, to the extent that MS & Co. may buy or sell the
Securities in the secondary market, absent changes in market conditions, including those related to the Underlying Shares, 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. currently intends, 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.
Observation Dates
(1)
and Coupon Payment Dates
(2)
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Observation Dates
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Coupon Payment Dates
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*07/21/2017
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07/25/2017
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10/23/2017
|
10/25/2017
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01/22/2018
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01/24/2018
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04/23/2018
|
04/25/2018
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07/23/2018
|
07/25/2018
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10/22/2018
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10/24/2018
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01/22/2019
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01/24/2019
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04/23/2019
|
04/25/2019
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07/22/2019
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07/24/2019
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10/21/2019
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10/23/2019
|
01/21/2020
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01/23/2020
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04/21/2020 (Final Observation Date)
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04/27/2020 (Maturity Date)
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* The Securities are not callable until the second Observation
Date, which is October 23, 2017.
(1) Subject to postponement in the event of a Market Disruption
Event or for non-Trading Days. See “Postponement of Determination Dates” in the accompanying product supplement.
(2) If, due to a Market Disruption Event or otherwise, any Observation
Date, including the Final Observation Date, is postponed so that it falls less than two business days prior to the scheduled Coupon
Payment Date, the Coupon Payment Date will be postponed to the second business day following that Observation Date as postponed.
An investment in the Securities involves significant risks. Some
of the risks that apply to the Securities are summarized here, but we urge you to also read the “Risk Factors” section
of the accompanying prospectus and product supplement. You should also consult your investment, legal, tax, accounting and other
advisers in connection with your investment in the Securities.
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The Securities do not guarantee the payment of regular interest
or the return of any principal.
The terms of the Securities differ from those of ordinary debt securities in that the Securities
do not guarantee the payment of regular interest or the return of any of the principal amount at maturity. In addition, while the
Securities will generally offer the possibility of a higher return if the Securities are automatically called than the potential
return payable on our ordinary debt securities with a similar maturity, this higher return potential reflects the risk that you
may not receive a positive return on the Securities and may lose a significant portion or all of your investment if the Securities
have not been called prior to maturity and if the Final Underlying Level is less than the Downside Threshold. In this case, you
will be exposed to the decline in the price of the Underlying Shares, as compared to the Initial Underlying Level, on a 1-to-1
basis, and the Payment at Maturity will result in a significant loss of your initial investment that is proportionate to the decline
of the Underlying Shares over the term of the Securities.
You could lose your entire principal amount.
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You will not receive any Contingent Coupon for any quarterly period
where the Observation Date Closing Level is less than or equal to the Coupon Barrier.
A Contingent Coupon will be made with
respect to a quarterly period only if the Observation Date Closing Level is greater than or equal to the Coupon Barrier. If the
Observation Date Closing Level remains below the Coupon Barrier on each Observation Date over the term of the Securities, you will
not receive any Contingent Coupons.
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The Contingent Coupon is based solely on the Observation Date Closing
Level.
Whether the Contingent Coupon will be paid with respect to an Observation Date will be based on the Observation Date
Closing Level. As a result, you will not know whether you will receive the Contingent Coupon with respect to any Coupon Payment
Date until the applicable Observation Date. Moreover, because the Contingent Coupon is based solely on the Observation Date Closing
Level on a specific Observation Date, if such Observation Date Closing Level is less than the Coupon Barrier, you will not receive
any Contingent Coupon with respect to such Observation Date, even if the closing price of the Underlying Shares was higher on other
days during the term of the Securities.
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Investors will not participate in any appreciation in the price
of the Underlying Shares.
Investors will not participate in any appreciation in the price of the Underlying Shares from the
Initial Underlying Level, and the return on the Securities will be limited to the Contingent Coupon that is paid with respect to
each Observation Date on which the Observation Date Closing Level is greater than the Coupon Barrier prior to an automatic call
or maturity, if any. The return on the Securities will be limited to the Contingent Coupons regardless of the appreciation of the
Underlying Shares, which could be significant. It is possible that the closing price of the Underlying Shares could be below the
Coupon Barrier on most or all of the Observation Dates so that you may receive few or no Contingent Coupons. In addition, if the
Securities are not called prior to maturity, you may be exposed to the full downside market risk of the Underlying Shares and lose
a significant portion or all of your investment despite not being able to participate in any potential appreciation of the Underlying
Shares. 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.
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You may incur a loss on your investment if you sell your Securities
prior to maturity.
The Downside Threshold is observed only on the Final Observation Date and the contingent downside market
exposure applies only at maturity. If you are able to sell your Securities in the secondary market prior to maturity, you may have
to sell them at a loss relative to your initial investment even if the Underlying Share price is above the Downside Threshold at
that time. If you hold the Securities to maturity and the Securities have not been called, MSFL will either repay you the full
principal amount per Security plus the Contingent Coupon, or if the price of the Underlying Shares closes below the Downside Threshold
on the Final Observation Date, MSFL will repay significantly less than the principal amount, if anything, at maturity, resulting
in a loss on your principal amount that is proportionate to the decline in the price of the Underlying Shares from the Trade Date
to the Final Observation Date.
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Early redemption risk.
The term of your investment in the Securities
may be limited to as short as approximately six months by the automatic call feature of the Securities. If the Securities are called
prior to maturity, you will not be able to receive any further Contingent Coupons for any future Observation Dates and you may
be forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or for similar returns.
Generally, the longer the Securities have been outstanding, the less likely it is that they will be automatically called, because
the level of the Underlying Shares will necessarily have declined from the Initial Underlying Level if the Securities were not
called following an Observation Date, and there will be less time remaining until maturity in which the level of the Underlying
Shares can recover.
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The Securities are subject to our credit risk, and any actual or
anticipated changes to our credit ratings or our 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, including Contingent Coupons, if any, and any payments upon
an automatic call or at maturity, and therefore you are subject to our credit risk. 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.
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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.
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Market price influenced by many unpredictable factors.
Several
factors 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. Although we expect that generally the closing price of the Underlying
Shares on any day will affect the value of the Securities more than any other single factor, other factors that may influence the
value of the Securities include:
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the trading price and volatility (frequency and magnitude
of changes in value) of the Underlying Shares,
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whether the Observation Date Closing Level has been below the Coupon Barrier on any Observation Date,
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o
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interest and yield rates in the market,
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time remaining until the Securities mature,
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geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the Underlying Shares
or equities markets generally and which may affect the Final Underlying Level,
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the occurrence of certain events affecting the Underlying Shares that may or may not require an adjustment to the Adjustment
Factor, and
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any actual or anticipated changes in our credit ratings or credit spreads.
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Some or all of these factors will
influence the terms of the Securities at the time of issuance and the price that you will receive if you are able to sell your
Securities prior to maturity, as the Securities are comprised of both a debt component and a performance-based component linked
to the Underlying Shares, and these are the types of factors that also generally affect the values of debt securities and derivatives
linked to the Underlying Shares. The price of the Underlying Shares may be, and has recently been, volatile, and we can give you
no assurance that the volatility will lessen. See “SPDR
®
S&P
®
Regional Banking ETF”
below. You may receive less, and possibly significantly less, than the Principal Amount per Security if you try to sell your Securities
prior to maturity.
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A higher Contingent Coupon Rate and/or a lower Downside Threshold
may reflect greater expected volatility of the Underlying Shares, and greater expected volatility generally indicates an increased
risk of declines in the level of the Underlying Shares and, potentially, a significant loss at maturity.
The economic terms
for the Securities, including the Contingent Coupon Rate and the Downside Threshold, are based, in part, on the expected volatility
of the Underlying Shares at the time the terms of the Securities are set. “Volatility” refers to the frequency and
magnitude of changes in the level of the Underlying Shares. Higher expected volatility with respect to the Underlying Shares as
of the Trade Date generally indicates a greater expectation as of that date that the Final Underlying Level of the Underlying Shares
could ultimately be less than the Downside Threshold on the Final Observation Date, which would result in a loss of a significant
portion or all of the Principal Amount. At the time the terms of the Securities are set, higher expected volatility will generally
be reflected in a higher Contingent Coupon Rate and/or a lower Downside Threshold, as compared to otherwise comparable securities.
Therefore, a relatively higher Contingent Coupon Rate, which would increase the upside return if the Observation Date Closing Level
is greater than or equal to the Coupon Barrier on the quarterly Observation Dates, may indicate an increased risk that the level
of the Underlying Shares will decrease substantially, which would result in a significant loss at maturity. In addition, and as
described above in "The Securities do not guarantee the payment of regular interest or the return of any principal,"
in general, the higher potential return on the Securities as compared to the return payable on our ordinary debt securities with
a comparable maturity indicates the risk that you may not receive a positive return on the Securities and may lose a significant
portion or all of your investment. Further, a relatively lower Downside Threshold may not indicate that the Securities have a greater
likelihood of a return of principal at maturity. You should be willing to accept the downside market risk of the Underlying Shares
and the potential to lose a significant portion or all of your Principal Amount at maturity.
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The equity securities included in the
share underlying index are concentrated in the regional banking sector.
The Underlying Shares track the performance of the
S&P
@
Regional Banks Select Industry Index (the “share underlying index”). Each of the equity securities
included in the share underlying index has been issued by a company whose business is associated with the regional banking sector.
Because the value of the Securities is determined based on the performance of the Underlying Shares, an investment in the Securities
will be concentrated in this sector. As a result, the value of the Securities may be subject to greater volatility and may be more
adversely affected by a single economic, political or regulatory occurrence affecting this sector than a different investment linked
to securities of a more broadly diversified group of issuers.
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The stocks represented in the
share underlying index are issued by companies whose primary lines of business are directly associated with the regional banking
sector. The performance of bank stocks may be affected by governmental regulation that may limit the amount and types of loans
and other financial commitments that banks can make, the interest rates and fees they can charge and the amount of capital they
must maintain. Profitability is largely dependent on the availability and cost of capital funds, and can fluctuate significantly
when interest rates change. Credit losses resulting from financial difficulties of borrowers can negatively impact the banking
sector. Banks may also be subject to severe price competition. The regional banking industry is highly competitive, and thus, failure
to maintain or increase market share may adversely affect profitability.
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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. currently intends, 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. 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
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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.
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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 Issue
Price reduce the economic terms of the Securities, cause the estimated value of the Securities to be less than the 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 Issue Price, because secondary market prices will exclude the issuing, selling, structuring
and hedging-related costs that are included in the 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.
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The inclusion of the costs of issuing,
selling, structuring and hedging the Securities in the 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, for a period of up to 7 months
following the Settlement Date, to the extent that MS & Co. may buy or sell the Securities in the secondary market, absent changes
in market conditions, including those related to the Underlying Shares, 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.
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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 Trade
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
pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes
in market conditions. See also “Market price influenced by many unpredictable factors” above.
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Adjustments to the SPDR
®
S&P
®
Regional Banking ETF could adversely affect the value of the Securities.
The investment adviser to the SPDR
®
S&P
®
Regional Banking ETF seeks investment results that correspond generally to the price and yield performance,
before fees and expenses, of the S&P
@
Regional Banks Select Industry Index. Pursuant to its investment strategy
or otherwise, the investment adviser may add, delete or substitute the components of the Underlying Shares. Any of these actions
could adversely affect the price of the Underlying Shares and, consequently, the value of the Securities. In addition, the publisher
of the share underlying index is responsible for calculating and maintaining the share underlying index. The index publisher may
add, delete or substitute the stocks constituting the share underlying index or make other methodological changes required by certain
corporate events relating to the component stocks, such as stock dividends, stock splits, spin-offs, rights offerings and extraordinary
dividends that could change the value of the share underlying indices. The index publisher may also discontinue or suspend calculation
or publication of the share underlying index at any time. If this discontinuance or suspension occurs following the termination
of the Underlying Shares, the calculation agent will have the sole discretion to substitute a successor index that is comparable
to the discontinued index, and is permitted to consider indices that are calculated and published by the calculation agent or any
of its affiliates. Any of these actions could adversely affect the values of the Underlying Shares and, consequently, the value
of the Securities.
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The performance and market price of the Underlying Shares, particularly
during periods of market volatility, may not correlate with the performance of the share underlying index, the performance of the
component securities of the share underlying index or the net asset value per share of the Underlying Shares.
The Underlying
Shares do not fully replicate the share underlying index and may hold securities that are different than those included in the
share underlying index. In addition, the performance of the Underlying Shares will reflect additional transaction costs and
fees that are not included in the calculation of the share underlying index. All of these factors may lead to a lack of correlation
between the performance of the Underlying Shares and the share underlying index. In addition, corporate actions (such as
mergers and spin-offs) with respect to the equity securities underlying the Underlying Shares may impact the variance between the
performances of the Underlying Shares and the share underlying index. Finally, because the Underlying Shares are traded on an exchange
and are subject to market supply and investor demand, the market price of one share of the Underlying Shares may differ from the
net asset value per share of the Underlying Shares.
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In particular, during periods of
market volatility, or unusual trading activity, trading in the securities underlying the Underlying Shares may be disrupted or
limited, or such securities may be unavailable in the secondary market. Under these circumstances, the liquidity of the Underlying
Shares may be adversely affected, market participants may be unable to calculate accurately the net asset value per share of the
Underlying Shares, and their ability to create and redeem shares of the Underlying Shares may be disrupted. Under these circumstances,
the market price of the Underlying Shares may vary substantially from the net asset value per share of the Underlying Shares or
the level of the share underlying index.
For all of the foregoing reasons, the performance of
the Underlying Shares may not correlate with the performance of the share underlying index, the performance of the component securities
of the share underlying index or the net asset value per share of the Underlying Shares. Any of these events could materially
and adversely affect the price of the Underlying Shares and, therefore, the value of the Securities. Additionally, if market
volatility or these events were to occur on the Final Observation Date, the Calculation Agent would maintain discretion to determine
whether such market volatility or events have caused a Market Disruption Event to occur, and such determination would affect the
Payment at Maturity of the Securities. If the Calculation Agent determines that no Market Disruption Event
has taken place, the Payment at Maturity would be based
solely on the published closing price per share of the Underlying Shares on the Final Observation Date, even if the Underlying
Shares are underperforming the share underlying index or the component securities of the share underlying index and/or trading
below the net asset value per share of the Underlying Shares.
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The antidilution adjustments the calculation agent is required to
make do not cover every event that could affect the Underlying Shares.
MS & Co., as Calculation Agent, will adjust the
Adjustment Factor for the purpose of determining whether any Contingent Coupon will be paid, whether the Securities will be automatically
called and the amount payable at maturity, in each case for certain events affecting the Underlying Shares, such as stock splits
and reverse stock splits. However, the Calculation Agent will not make an adjustment for every event that can affect the Underlying
Shares. If an event occurs that does not require the Calculation Agent to adjust the Adjustment Factor, the market price of the
Securities may be materially and adversely affected.
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Hedging and trading activity by our affiliates could potentially
affect the value of the Securities.
One or more of our affiliates and/or third-party dealers have carried out, and will continue
to carry out, hedging activities related to the Securities (and to other instruments linked to the Underlying Shares), including
trading in the Underlying Shares. As a result, these entities may be unwinding or adjusting hedge positions during the term of
the Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the Final Observation
Date approaches. Some of our affiliates also trade the Underlying Shares and other financial instruments related to the Underlying
Shares on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities
on or prior to the Trade Date could have increased the Initial Underlying Level, and, as a result, could have increased the Coupon
Barrier and Downside Threshold, which is the price at or above which the Underlying Shares must close on each Observation Date
in order for you to earn a Contingent Coupon, and, if the Securities are not called prior to maturity, in order for you to avoid
being exposed to the negative price performance of the Underlying Shares at maturity. Additionally, such hedging or trading activities
during the term of the Securities could potentially affect the price of the Underlying Shares on the Observation Dates, and, accordingly,
whether the Contingent Coupon is payable or whether the Securities are automatically called prior to maturity, and, if the Securities
are not called prior to maturity, the payout to you at maturity, if any.
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The Calculation Agent, which is our affiliate, will make determinations
with respect to the Securities.
As Calculation Agent, MS & Co. has determined the Initial Underlying Level, the Coupon
Barrier and the Downside Threshold, and will determine the Final Underlying Level, whether the Securities will be called following
any Observation Date, whether a Contingent Coupon is payable with respect to an Observation Date, whether a market disruption event
has occurred, whether to make any adjustments to the Adjustment Factor and the payment that you will receive upon a call, on each
Coupon Payment Date, if any, or at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as
Calculation Agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence
or nonoccurrence of market disruption events and certain adjustments to the Adjustment Factor. These potentially subjective determinations
may affect the payout to you upon a call, on each Coupon Payment Date, if any, or at maturity, if any. For further information
regarding these types of determinations, see “Description of Auto-Callable Securities—Auto-Callable Securities Linked
to Underlying Shares” and “—Calculation Agent and Calculations” in the accompanying product supplement.
In addition, MS & Co. has determined the estimated value of the Securities on the Trade Date.
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Potentially inconsistent research, opinions or recommendations by
Morgan Stanley, UBS or our or their respective affiliates
. Morgan Stanley, UBS and our or their respective affiliates may publish
research from time to time on financial markets and other matters that may influence the value of the Securities, or express opinions
or provide recommendations that are inconsistent with purchasing or holding the Securities. Any research, opinions or recommendations
expressed by Morgan Stanley, UBS or our or their respective affiliates may not be consistent with each other and may be modified
from time to time without notice. Investors should make their own independent investigation of the merits of investing in the Securities
and the Underlying Shares to which the Securities are linked.
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The U.S. federal income tax consequences of an investment in the
Securities are uncertain.
There is no direct legal authority as to the proper treatment of the Securities for U.S. federal
income tax purposes, and, therefore, significant aspects of the tax treatment of the Securities are uncertain.
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Please read the discussion under “What Are the
Tax Consequences of the Securities” in this pricing supplement concerning the U.S. federal income tax consequences of an
investment in the Securities. We intend to treat a Security for U.S. federal income tax purposes as a single financial contract
that provides for a coupon that will be treated as gross income to you at the time received or accrued, in accordance with your
regular method of tax accounting. Under this treatment, the ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the Securities, could result in adverse
tax consequences to holders of the Securities because the deductibility of capital losses is subject to limitations. We do not
plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the Securities,
and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative
treatment for the Securities, the timing and character of income or loss on the Securities might differ significantly from the
tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the Securities
as debt instruments. In that event, U.S. Holders would be required to accrue into income original issue discount on the Securities
every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any,
between the actual and the projected amount of any contingent payments on the Securities) and recognize all income and gain in
respect of the Securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside
protection features, such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization for
comparable financial instruments that do not have such features.
Non-U.S. Holders should note that we currently intend to withhold
on any coupon paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an applicable income tax treaty
under an “other income” or similar provision, and will not be required to pay any additional amounts with respect to
amounts withheld.
In 2007, the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
While it is not clear whether the Securities would be viewed as similar to the prepaid
forward contracts described in the notice, it is possible
that any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely
affect the tax consequences of an investment in the Securities, possibly with retroactive effect. The notice focuses on a number
of issues, the most relevant of which for holders of the Securities are the character and timing of income or loss and the degree,
if any, to which income realized by non-U.S. investors should be subject to withholding tax. Both U.S. and Non-U.S. Holders (as
defined below) should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Securities,
including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws
of any state, local or non-U.S. taxing jurisdiction.
Hypothetical Payments on the Securities at Maturity
|
The examples below illustrate the payment upon a call, on the
Coupon Payment Dates and at maturity for a $10 Security on a hypothetical offering of the Securities, with the following assumptions
(the actual terms for the Securities are listed on the cover hereof and were determined on the Trade Date; amounts may have been
rounded for ease of reference):
|
t
|
Principal Amount: $10.00
|
|
t
|
Term: Approximately 3 years
|
|
t
|
Hypothetical Initial Underlying Level: $50.00
|
|
t
|
Contingent Coupon Rate: 8.00% per annum
|
|
t
|
Contingent Coupon: $0.20 per quarter
|
|
t
|
Observation Dates: Quarterly
|
|
t
|
Coupon Barrier and Downside Threshold: $36.10, which is 72.20% of the
hypothetical Initial Underlying Level
|
Example 1 — Securities are Called on the Fourth Observation
Date
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$43 (at or above Coupon Barrier; not callable)
|
$0.20 (Contingent Coupon — Not Callable)
|
Second Observation Date
|
$44 (at or above Coupon Barrier; below Initial Underlying Level)
|
$0.20 (Contingent Coupon — Not Callable)
|
Third Observation Date
|
$42 (at or above Coupon Barrier; below Initial Underlying Level)
|
$0.20 (Contingent Coupon — Not Callable)
|
Fourth Observation Date
|
$60 (at or above Initial Underlying Level)
|
$10.20 (Settlement Amount)
|
|
Total Payment:
|
$10.80 (8% return)
|
|
|
|
Since the Securities are called on the fourth Observation Date
(which is approximately one year after the Trade Date), MSFL will pay you on the call settlement date a total of $10.20 per Security,
reflecting your principal amount plus the Contingent Coupon. When added to the Contingent Coupon payments of $0.60 received in
respect of prior Observation Dates, MSFL will have paid you a total of $10.80 per Security for a 8% total return on the Securities
over a 1-year term. No further amount will be owed to you under the Securities, and you will not participate in the appreciation
of the Underlying Shares.
Example 2 — Securities are NOT Called and the Final Underlying
Level of the Underlying Shares is at or above the Downside Threshold
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$40 (at or above Coupon Barrier; not callable)
|
$0.20 (Contingent Coupon — Not Callable)
|
Second Observation Date
|
$27 (below Coupon Barrier and Initial Underlying Level)
|
$0.00 (Not Callable)
|
Third to Seventh Observation Dates
|
Various (all below Coupon Barrier and Initial Underlying Level)
|
$0.00 (Not Callable)
|
Final Observation Date
|
$40 (at or above Downside Threshold and Coupon Barrier; below Initial Underlying Level)
|
$10.20 (Payment at Maturity)
|
|
Total Payment:
|
$10.40 (4% return)
|
|
|
|
Since the Securities are not called and the Final Underlying Level
is greater than or equal to the Downside Threshold, at maturity, MSFL will pay you a total of $10.20 per Security, reflecting your
principal amount plus the Contingent Coupon. When added to the Contingent Coupon payment of $0.20 received in respect of prior
Observation Dates, MSFL will have paid you a total of $10.40 per Security for a 4% total return on the Securities over the 3-year
term. You will not participate in any appreciation of the Underlying Shares.
Example 3 — Securities are NOT Called and the Final Underlying
Level of the Underlying Shares is below the Downside Threshold
Date
|
Closing Price
|
Payment (per Security)
|
First Observation Date
|
$44 (at or above Coupon Barrier; not callable)
|
$0.20 (Contingent Coupon — Not Callable)
|
Second Observation Date
|
$40 (at or above Coupon Barrier; below Initial Underlying Level)
|
$0.20 (Contingent Coupon — Not Callable)
|
Third to Seventh Observation Dates
|
Various (all below Coupon Barrier; below Initial Underlying Level)
|
$0.00 (Not Callable)
|
Final Observation Date
|
$15 (below Downside Threshold and Coupon Barrier; below Initial Underlying Level)
|
$10 + [$10 × Share Return] =
$10 + [$10 × -70%] = $3 (Payment at Maturity)
|
|
Total Payment:
|
$3.40 (-66% return)
|
|
|
|
Since the Securities are not called and the Final Underlying Level
of the Underlying Shares is below the Downside Threshold, at maturity MSFL will pay you $3.00 per Security. When added to the Contingent
Coupon payments of $0.40 received in respect of prior Observation Dates, MSFL will have paid you $3.40 per Security over the 3-year
term, for a loss on the Securities of 66%.
The Securities differ from ordinary debt securities in that,
among other features, MSFL is not necessarily obligated to repay the full amount of your initial investment. If the Securities
are not called on any Observation Date, you may lose a significant portion or all of your initial investment. Specifically, if
the Securities are not called and the Final Underlying Level is less than the Downside Threshold, you will lose 1% (or a fraction
thereof) of your principal amount for each 1% (or a fraction thereof) that the Share Return is less than zero. Any payment on the
Securities, including any payment upon an automatic call, any Contingent Coupon or the Payment at Maturity, is dependent on our
ability to satisfy our obligations when they come due. If we are unable to meet our obligations, you may not receive any amounts
due to you under the Securities.
What Are the Tax Consequences of the Securities?
|
Prospective investors should note that the discussion under
the section called “United States Federal Taxation” in the accompanying product supplement does not apply to the Securities
issued under this pricing supplement and is superseded by the following discussion.
The following is a general discussion of the material U.S. federal
income tax consequences and certain estate tax consequences of the ownership and disposition of the Securities. This discussion
applies only to investors in the Securities who:
|
t
|
purchase the Securities in the original offering; and
|
|
t
|
hold the Securities as capital assets within the meaning of Section
1221 of the Internal Revenue Code of 1986, as amended (the “Code”).
|
This discussion does not describe all of the
tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject
to special rules, such as:
|
t
|
certain financial institutions;
|
|
t
|
certain dealers and traders in securities or commodities;
|
|
t
|
investors holding the Securities as part of a “straddle,”
wash sale, conversion transaction, integrated transaction or constructive sale transaction;
|
|
t
|
U.S. Holders (as defined below) whose functional currency is not the
U.S. dollar;
|
|
t
|
partnerships or other entities classified as partnerships for U.S.
federal income tax purposes;
|
|
t
|
regulated investment companies;
|
|
t
|
real estate investment trusts; or
|
|
t
|
tax-exempt entities, including “individual retirement accounts”
or “Roth IRAs” as defined in Section 408 or 408A of the Code, respectively.
|
If an entity that is classified as a partnership
for U.S. federal income tax purposes holds the Securities, the U.S. federal income tax treatment of a partner will generally depend
on the status of the partner and the activities of the partnership. If you are a partnership holding the Securities or a partner
in such a partnership, you should consult your tax adviser as to the particular U.S. federal tax consequences of holding and disposing
of the Securities to you.
As the law applicable to the U.S. federal income
taxation of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general
summary. Moreover, the effect of any applicable state, local or non-U.S. tax laws is not discussed, nor are any alternative minimum
tax consequences or consequences resulting from the Medicare tax on investment income.
This discussion is based on the Code, administrative
pronouncements, judicial decisions and final, temporary and proposed Treasury regulations, all as of the date hereof, changes to
any of which subsequent to the date hereof may affect the tax consequences described herein. Persons considering the purchase of
the Securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular
situations as well as any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.
General
Due to the absence of statutory, judicial or
administrative authorities that directly address the treatment of the Securities or instruments that are similar to the Securities
for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described
herein. We intend to treat a Security for U.S. federal income tax purposes as a single financial contract that provides for a coupon
that will be treated as gross income to you at the time received or accrued in accordance with your regular method of tax accounting.
In the opinion of our counsel, Davis Polk & Wardwell LLP, this treatment of the Securities is reasonable under current law;
however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to
be upheld, and that alternative treatments are possible.
You should consult your tax adviser regarding
all aspects of the U.S. federal tax consequences of an investment in the Securities (including possible alternative treatments
of the Securities). Unless otherwise stated, the following discussion is based on the treatment of each Security as described in
the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are
a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal
income tax purposes:
|
t
|
a citizen or individual resident of the United States;
|
|
t
|
a corporation, or other entity taxable as a corporation, created or
organized in or under the laws of the United States, any state thereof or the District of Columbia; or
|
|
t
|
an estate or trust the income of which is subject to U.S. federal income
taxation regardless of its source.
|
Tax Treatment of the Securities
Assuming the treatment of the Securities as
set forth above is respected, the following U.S. federal income tax consequences should result.
Tax Basis
. A U.S. Holder’s tax
basis in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Tax Treatment of Coupon Payments
. Any coupon payment on
the Securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued, in accordance with the U.S.
Holder’s regular method of accounting for U.S. federal income tax purposes.
Sale, Exchange or Settlement of the Securities
.
Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between
the amount realized on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities sold, exchanged
or settled. For this purpose, the amount realized does not include any coupon paid at settlement and may not include sale proceeds
attributable to an accrued coupon, which may be treated as a coupon payment. Any such gain or loss recognized should be long-term
capital gain or loss if the U.S. Holder has held the Securities for more than one year at the time of the sale, exchange or settlement,
and should be short-term capital gain or loss otherwise. The ordinary income treatment of the coupon payments, in conjunction with
the capital loss treatment of any loss recognized upon the sale, exchange or settlement of the Securities, could result in adverse
tax consequences to holders of the Securities because the deductibility of capital losses is subject to limitations.
Possible Alternative Tax Treatments of an Investment in
the Securities
Due to the absence of authorities that directly address the proper
tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the treatment
described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities
under Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the
IRS were successful in asserting that the Contingent Debt Regulations applied to the Securities, the timing and character of income
thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue into income original issue
discount on the Securities every year at a “comparable yield” determined at the time of their issuance, adjusted upward
or downward to reflect the difference, if any, between the actual and the projected amount of any contingent payments on the Securities.
Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the Securities would
be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s
prior accruals of original issue discount and as capital loss thereafter. The risk that financial instruments providing for buffers,
triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than the
risk of recharacterization for comparable financial instruments that do not have such features.
Other
alternative federal income tax treatments of the Securities are possible, which, if applied, could significantly affect the timing
and character of the income or loss with respect to the Securities. In 2007, the U.S. Treasury Department and the IRS released
a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments.
The notice focuses on whether to require holders of “prepaid forward contracts” and similar instruments to accrue
income over the term of their investment. It also asks for comments on a number of related topics, including the character of
income or loss with respect to these instruments; whether short-term instruments should be subject to any such accrual regime;
the relevance of factors such as the exchange–traded status of the instruments and the nature of the underlying property
to which the instruments are linked; whether these instruments are or should be subject to the “constructive ownership”
rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest
charge; and appropriate transition rules and effective dates. While it is not clear whether instruments such as the Securities
would be viewed as similar to the prepaid forward contracts described in the notice, any Treasury regulations or other guidance
promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in
the Securities, possibly with retroactive effect. U.S. Holders should consult their tax advisers regarding the U.S. federal income
tax consequences of an investment in the Securities, including possible alternative treatments and the issues presented by this
notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of payments on the Securities
and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless a U.S. Holder provides proof of
an applicable exemption or a correct taxpayer identification number and otherwise complies with applicable requirements of the
backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded,
or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely
furnished to the IRS. In addition, information returns will be filed with the IRS in connection with payments on the Securities
and the payment of proceeds from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof
of an applicable exemption from the information reporting rules.
Tax
Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S. Holder.
As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is for U.S. federal income tax
purposes:
|
t
|
an individual who is classified as a nonresident alien;
|
|
t
|
a foreign corporation; or
|
|
t
|
a foreign estate or trust.
|
The term “Non-U.S. Holder” does
not include any of the following holders:
|
t
|
a holder who is an individual present in the United States for 183
days or more in the taxable year of disposition and who is not otherwise a resident of the United States for U.S. federal income
tax purposes;
|
|
t
|
certain former citizens or residents of the United States; or
|
|
t
|
a holder for whom income or gain in respect of the Securities is effectively
connected with the conduct of a trade or business in the United States.
|
Such holders should consult their tax advisers
regarding the U.S. federal income tax consequences of an investment in the Securities.
Although significant aspects of the tax treatment
of each Security are uncertain, we intend to withhold on any coupon paid to a Non-U.S. Holder generally at a rate of 30% or at
a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision. We will not
be required to pay any additional amounts with respect to amounts withheld. In order to claim an exemption from, or a reduction
in, the 30% withholding tax, a Non-U.S. Holder of the Securities must comply with certification requirements to establish that
it is not a U.S. person and is eligible for such an exemption or reduction under an applicable tax treaty. If you are a Non-U.S.
Holder, you should consult your tax adviser regarding the tax treatment of the Securities, including the possibility of obtaining
a refund of any withholding tax and the certification requirement described above.
Section 871(m) Withholding Tax on Dividend Equivalents
Section 871(m) of the Code and Treasury regulations
promulgated thereunder (“Section 871(m)”) generally impose a 30% (or a lower applicable treaty rate) withholding tax
on dividend equivalents paid or deemed paid to Non-U.S. Holders with respect to certain financial instruments linked to U.S. equities
or indices that include U.S. equities (each, an “Underlying Security”). Subject to certain exceptions, Section 871(m)
generally applies to securities that substantially replicate the economic performance of one or more Underlying Securities, as
determined based on tests set forth in the applicable Treasury regulations (a “Specified Security”). However, the regulations
exempt securities issued before January 1, 2018 that do not have a delta of one with respect to any Underlying Security. Based
on our determination that the Securities do not have a delta of one with respect to any Underlying Security, our counsel is of
the opinion that the Securities should not be Specified Securities and, therefore, should not be subject to Section 871(m).
Our determination is not binding on the IRS,
and the IRS may disagree with this determination. Section 871(m) is complex and its application may depend on your particular circumstances,
including whether you enter into other transactions with respect to an Underlying Security. If Section 871(m) withholding is required,
we will not be required to pay any additional amounts with respect to the amounts so withheld. You should consult your tax adviser
regarding the potential application of Section 871(m) to the Securities.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the
property of which is potentially includible in such an individual’s gross estate for U.S. federal estate tax purposes (for
example, a trust funded by such an individual and with respect to which the individual has retained certain interests or powers)
should note that, absent an applicable treaty exemption, the Securities may be treated as U.S.-situs property subject to U.S. federal
estate tax. Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their
tax advisers regarding the U.S. federal estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns will be filed with the
IRS in connection with any coupon payment and may be filed with the IRS in connection with the payment at maturity on the Securities
and the payment of proceeds from a sale, exchange or other disposition. A Non-U.S. Holder may be subject to backup withholding
in respect of amounts paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish
that it is not a U.S. person for U.S. federal income tax purposes or otherwise establishes an exemption. The amount of any backup
withholding from a payment to a Non-U.S. Holder will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income
tax liability and may entitle the Non-U.S. Holder to a refund, provided that the required information is timely furnished to the
IRS.
FATCA
Legislation
Legislation commonly referred to as “FATCA”
generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect
to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied.
An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements.
This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source
“fixed or determinable annual or periodical” income (“FDAP income”). Withholding (if applicable) applies
to payments of U.S.-source FDAP income and, for dispositions after December 31, 2018, to payments of gross proceeds of the disposition
(including upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends. While
the treatment of the Securities is unclear, you should assume that any coupon payment with respect to the Securities will be subject
to the FATCA rules. It is also possible in light of this uncertainty that an applicable withholding agent will treat gross proceeds
of a disposition (including upon retirement) of the Securities after 2018 as being subject to the FATCA rules. If withholding applies
to the Securities, we will not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S.
Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.
The
discussion in the preceding paragraphs under “What Are the Tax Consequences of the Securities,” insofar as it purports
to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitutes the full opinion
of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the Securities.
SPDR
®
S&P
®
Regional Banking ETF
|
The SPDR
®
S&P
®
Regional Banking
ETF is an exchange-traded fund managed by SSgA Funds Management, Inc., which seeks to provide investment results that correspond
generally to the price and yield performance, before fees and expenses, of the S&P
®
Regional Banks Select Industry
Index. SPDR
®
Series Trust (the “Trust”) is a registered investment company that consists of numerous
separate investment portfolios, including the SPDR
®
S&P
®
Regional Banking ETF. Information provided
to or filed with the Securities and Exchange Commission (the “SEC”) under the Securities Act of 1933, as amended, and
the Investment Company Act of 1940, as amended, can be located by reference to SEC file numbers 333-57793 and 811-08839, respectively,
through the SEC’s website at http://www.sec.gov. In addition, information may be obtained from other sources including,
but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent
makes any representation that such publicly available documents or any other publicly available information regarding the SPDR
®
S&P
®
Regional Banking ETF is accurate or complete. The Underlying Shares are listed on The NYSE Arca Exchange
under the ticker symbol “KRE.”
We and/or our affiliates may presently or from time to time engage
in business with the Trust. In the course of such business, we and/or our affiliates may acquire non-public information with respect
to the Trust, and neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, one or
more of our affiliates may publish research reports with respect to the Underlying Shares. The statements in the preceding two
sentences are not intended to affect the rights of investors in the Securities under the securities laws. As a purchaser of the
Securities, you should undertake an independent investigation of the Trust as in your judgment is appropriate to make an informed
decision with respect to an investment linked to the Underlying Shares.
“Standard & Poor’s
®
”,
“S&P
®
”, “S&P 500
®
”, “SPDR
®
” and “SPDR
®
Series Trust” are trademarks of Standard & Poor’s Financial Services LLC (“S&P”), an affiliate
of The McGraw-Hill Companies, Inc. (“MGH”). The Securities are not sponsored, endorsed, sold, or promoted by S&P,
MGH or the Trust. S&P, MGH and the Trust make no representations or warranties to the owners of the Securities or any member
of the public regarding the advisability of investing in the Securities. S&P, MGH and the Trust have no obligation or liability
in connection with the operation, marketing, trading or sale of the Securities.
The following table sets forth the published high and low closing
prices, as well as the end-of-quarter closing prices, of the SPDR
®
S&P
®
Regional Banking ETF
for each quarter in the period from January 1, 2012 through April 21, 2017. The closing price of the SPDR
®
S&P
®
Regional Banking ETF on April 21, 2017 was $53.64. We obtained the information in the table below from Bloomberg Financial Markets,
without independent verification. The historical closing prices of the SPDR
®
S&P
®
Regional Banking
ETF should not be taken as an indication of future performance, and no assurance can be given as to the closing price of the SPDR
®
S&P
®
Regional Banking ETF on any Observation Date, including the Final Observation Date.
Quarter Begin
|
Quarter End
|
Quarterly High ($)
|
Quarterly Low ($)
|
Quarterly Close ($)
|
1/1/2012
|
3/31/2012
|
29.10
|
25.00
|
28.47
|
4/1/2012
|
6/30/2012
|
28.71
|
24.94
|
27.38
|
7/1/2012
|
9/30/2012
|
29.95
|
26.44
|
28.64
|
10/1/2012
|
12/31/2012
|
29.20
|
26.25
|
27.97
|
1/1/2013
|
3/31/2013
|
31.91
|
28.93
|
31.79
|
4/1/2013
|
6/30/2013
|
33.97
|
29.91
|
33.88
|
7/1/2013
|
9/30/2013
|
37.54
|
34.49
|
35.65
|
10/1/2013
|
12/31/2013
|
40.77
|
35.04
|
40.61
|
1/1/2014
|
3/31/2014
|
42.47
|
36.84
|
41.38
|
4/1/2014
|
6/30/2014
|
42.16
|
37.30
|
40.32
|
7/1/2014
|
9/30/2014
|
41.14
|
37.61
|
37.86
|
10/1/2014
|
12/31/2014
|
41.18
|
36.05
|
40.70
|
1/1/2015
|
3/31/2015
|
41.58
|
36.54
|
40.83
|
4/1/2015
|
6/30/2015
|
45.37
|
40.78
|
44.16
|
7/1/2015
|
9/30/2015
|
45.03
|
38.56
|
41.18
|
10/1/2015
|
12/31/2015
|
45.93
|
40.47
|
41.92
|
1/1/2016
|
3/31/2016
|
40.89
|
32.89
|
37.64
|
4/1/2016
|
6/30/2016
|
41.98
|
35.51
|
38.35
|
7/1/2016
|
9/30/2016
|
43.09
|
36.85
|
42.27
|
10/1/2016
|
12/31/2016
|
56.46
|
41.71
|
55.57
|
1/1/2017
|
3/31/2017
|
59.36
|
52.59
|
54.61
|
4/1/2017
|
4/21/2017*
|
54.12
|
51.71
|
53.64
|
* Available information for the indicated period includes
data for less than the entire calendar quarter, and accordingly, the “Quarterly High,” “Quarterly Low”
and “Quarterly Close” data indicated are for this shortened period.
The graph below illustrates the performance of the SPDR
®
S&P
®
Regional Banking ETF from January 1, 2008 through April 21, 2017, based on information from Bloomberg.
Past performance of the SPDR
®
S&P
®
Regional Banking ETF is not indicative of the future performance
of the SPDR
®
S&P
®
Regional Banking ETF.
* The dashed line indicates the Coupon Barrier and Downside Threshold
of $38.73, which is approximately 72.20% of the Initial Underlying Level.
Past performance is not indicative of future results.
Additional Terms of the Securities
|
The accompanying product supplement refers to the Principal
Amount as the “Stated Principal Amount,” the Initial Underlying Level as the “Initial Share Price,” the
Trade Date as the “Pricing Date,” the Observation Dates as the “Determination Dates,” the Final Observation
Date as the “Final Determination Date,” the Coupon Barrier/Downside Threshold as the “Downside Threshold Level”
and the day on which any automatic call occurs as the “Early Redemption Date.”