May
2017
Amendment No. 1 dated May 22,
2017 relating to
Pricing
Supplement No. 1,531
Registration
Statement Nos. 333-200365; 333-200365-12
Dated
May 12, 2017
Filed
pursuant to Rule 424(b)(2)
Morgan Stanley Finance
LLC
INTEREST RATE Structured
Investments
Floating Rate Notes due 2032
Fully and Unconditionally Guaranteed by Morgan
Stanley
6-Month USD LIBOR
and S&P 500
®
Index Range Accrual Notes
As further described below, interest
will accrue quarterly on the notes at a rate of 5.50% per annum for each day that (A) 6-Month USD LIBOR is
greater than or
equal to
0.00% and
less than or equal
to 5.00% (which we refer to as the LIBOR reference rate range)
and
(B)
the closing value of the S&P 500
®
Index is
greater than or equal to
75% of the initial index value (which
we refer to as the index reference level). If, on any calendar day during the term of the notes, the LIBOR reference rate is not
within the LIBOR reference rate range or the index closing value is less than the index reference level, interest will accrue
at a rate of 0.00% per annum for that day. We describe the basic features of the notes in the section of the accompanying prospectus
supplement called “Description of Notes” and in the section of the accompanying prospectus called “Description
of Debt Securities—Floating Rate Debt Securities,” in each case subject to and as modified by the provisions described
below. Investors will not participate in any appreciation of the index. These long-dated notes are for investors who seek an opportunity
to earn interest at a potentially above-market rate in exchange for the risk of receiving little or no interest on the notes during
the entire term of the notes.
All payments are subject to
our credit risk. If we default on our obligations, you could lose some or all of your investment. These notes 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.
|
FINAL TERMS
|
|
Issuer:
|
Morgan Stanley Finance LLC (“MSFL”)
|
|
Guarantor:
|
Morgan Stanley
|
|
Aggregate principal amount:
|
$3,600,000
|
|
Issue price:
|
At variable prices. The notes were offered
at a price equal to 100% of the stated principal amount per note until the initial pricing date of May 12, 2017. Thereafter,
the notes will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the
time of each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at negotiated
prices; provided, however, that such price will not be less than $970 per note and will not be more than $1,000 per note.
See “Commissions and issue price” below.
|
|
Stated principal amount:
|
$1,000 per note
|
|
Pricing date:
|
May 12, 2017
|
|
Original issue date:
|
May 24, 2017 (8 business days after
the pricing date)
|
|
Maturity date:
|
May 24, 2032
|
|
Interest accrual date:
|
May 24, 2017
|
|
Payment at maturity:
|
The payment at maturity per note will be the
stated principal amount
plus
accrued and unpaid interest, if any.
|
|
Interest:
|
For each interest payment
period:
(x) 5.50% per annum times (y) N/ACT; where,
·
“N”
= the total number of calendar days in the applicable interest payment period on which (i) the LIBOR reference rate is
within the LIBOR reference rate range
and
(ii) the index closing value is greater than or equal to the index
reference level (each such day, an “accrual day”); and
·
“ACT”
= the total number of calendar days in the applicable interest payment period.
It is possible that
you could receive little or no interest on the notes. If, on any calendar day during the term of the notes, the LIBOR
reference rate is not within the LIBOR reference rate range
or
the index closing value is less than the index reference
level, interest will accrue at a rate of 0.00% per annum for that day. The determination of the index closing value will
be subject to certain market disruption events. Please see “Annex A—The S&P 500
®
Index—Market
Disruption Event” below.
|
|
Interest payment
period:
|
Quarterly
|
|
Interest payment
period end dates:
|
Unadjusted
|
|
Interest payment
dates:
|
Each February 24, May
24, August 24 and November 24, beginning August 24, 2017;
provided
that if any such day is not a business day, that
interest payment will be made on the next succeeding business day and no adjustment will be made to any interest payment made
on that succeeding business day.
|
|
LIBOR
reference rate:
|
6-Month USD LIBOR. Please see “Additional
Provisions—LIBOR Reference Rate” below.
|
|
LIBOR
reference rate range:
|
Greater than or equal
to 0.00% and less than or equal to 5.00%
|
|
LIBOR
reference rate cutoff:
|
The LIBOR reference rate for any day from and including
the fifth New York banking day prior to the related interest payment date for any interest payment period shall be the LIBOR
reference rate as in effect for such fifth New York banking day prior to such interest payment date.
|
|
Index:
|
The S&P 500
®
Index
|
|
Underlying
index publisher
|
S&P Dow Jones Indices LLC
|
|
Index
closing value:
|
The daily closing value
of the index. Please see “Additional Provisions
—
The
S&P 500
®
Index” below.
|
|
Index
reference level:
|
1,786.298, which is approximately 75% of the initial
index value
|
|
Initial
index level:
|
2,381.73, which is the
index closing value on May 19, 2017, subject to adjustment due to non-index business days or certain market disruption events.
|
|
Index
cutoff:
|
The
index closing value for any day from and including the fifth index business day prior to the related interest payment date
for any interest payment period shall be the index closing value for such fifth index business day prior to such interest
payment date.
|
|
Agent:
|
Morgan Stanley & Co. LLC (“MS & Co.”), an affiliate of MSFL
and a wholly owned subsidiary of Morgan Stanley. See “Supplemental Information Concerning Plan of Distribution;
Conflicts of Interest.”
|
|
|
Terms continued on the following page
|
|
Estimated value on the pricing date:
|
$964.00 per note. See “The Notes” on page 2.
|
|
Commissions and issue price:
|
Price to public
(1)(2)
|
Agent’s commissions
(2)
|
Proceeds
to us
(3)
|
|
Per note
|
At variable prices
|
$35
|
$965
|
|
Total
|
At variable prices
|
$126,000
|
$3,474,000
|
|
|
|
|
|
|
|
(1)
|
The notes were offered
at a price equal to 100% of the stated principal amount per note until the initial pricing date of May 12, 2017. Thereafter, the
notes will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the time
of each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices; provided,
however, that such price will not be less than $970 per note and will not be more than $1,000 per note. See “Risk Factors—The
price you pay for the notes may be higher than the prices paid by other investors.”
|
|
|
(2)
|
Morgan Stanley or one
of our affiliates will pay discounts and commissions to dealers, including Morgan Stanley Wealth Management (an affiliate of the
agent) and their financial advisors. These discounts and commissions will equal $35 per note and, following the initial pricing
date, will vary depending on market conditions. See “Supplemental Information Concerning Plan of Distribution; Conflicts
of Interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying
prospectus supplement.
|
|
|
(3)
|
See “Use of Proceeds
and Hedging” on page 13.
|
The notes involve risks not
associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 10.
The Securities and Exchange
Commission and state securities regulators have not approved or disapproved these securities, or determined if this pricing supplement
or the accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the
contrary is a criminal offense.
You should
read this document together with the related prospectus supplement, index supplement and prospectus, each of which can be
accessed via the hyperlinks below.
Prospectus Supplement dated February 16, 2016
Index
Supplement dated January 30, 2017
Prospectus dated February 16, 2016
References
to “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively,
as the context requires.
The
notes 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.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
|
Terms continued from previous page:
|
|
Day-count convention:
|
Actual/Actual
|
|
Early redemption:
|
Not applicable
|
|
Specified currency:
|
U.S. dollars
|
|
CUSIP
/ ISIN:
|
61766YBL4 / US61766YBL48
|
|
Book-entry or certificated
note:
|
Book-entry
|
|
Business day:
|
New York
|
|
Calculation
agent:
|
Morgan Stanley
Capital Services LLC.
All determinations
made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence of manifest
error, be conclusive for all purposes and binding on you, the trustee and us.
All values used
in the interest rate formula for the notes and all percentages resulting from any calculation of interest will be rounded
to the nearest one hundred-thousandth of a percentage point, with .000005% rounded up to .00001%. All dollar amounts used
in or resulting from such calculation on the notes will be rounded to the nearest cent, with one-half cent rounded upward.
Because the
calculation agent is our affiliate, the economic interests of the calculation agent and its affiliates may be adverse
to your interests as an investor in the notes, including with respect to certain determinations and judgments that the
calculation agent must make in determining the payment that you will receive on each interest payment date and at maturity
or whether a market disruption event has occurred. Please see Annex A—The S&P 500
®
Index—Market
Disruption Event” and “—Discontinuance of the S&P 500
®
Index; Alteration of Method
of Calculation” below. The calculation agent is obligated to carry out its duties and functions as calculation agent
in good faith and using its reasonable judgment.
|
|
Trustee:
|
The Bank of New York Mellon
|
|
Contact
information:
|
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office
or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All
other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley
Structured Investment Sales at (800) 233-1087.
|
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
The Notes
The notes are debt securities of Morgan Stanley Finance LLC (“MSFL”)
and are fully and unconditionally guaranteed by Morgan Stanley. Interest will accrue quarterly on the notes at a rate of 5.50%
per annum for each day that (a) 6-Month USD LIBOR is
greater than or equal to
0.00% and
less than or equal to
5.00%
and
(b) the closing value of the S&P 500
®
Index is greater than or equal to 75% of the initial
index value (which we refer to as the index reference level). If, on any calendar day during the term of the notes, the LIBOR
reference rate is not within the LIBOR reference rate range or the index closing value is less than the index reference level,
interest will accrue at a rate of 0.00% per annum for that day. We describe the basic features of the notes in the section of the
accompanying prospectus supplement called “Description of Notes” and in the section of the accompanying prospectus
called “Description of Debt Securities—Floating Rate Debt Securities,” in each case subject to and as modified
by the provisions described below. Investors will not participate in any appreciation of the index. All payments on the notes are
subject to our credit risk.
The stated principal amount of each note is $1,000. The issue
price was equal to 100% of the stated principal amount per note until the initial pricing date and, thereafter, will be variable.
This price includes costs associated with issuing, selling, structuring and hedging the notes, which are borne by you, and, consequently,
the estimated value of the notes on the pricing date is less than the issue price. We estimate that the value of each note on the
pricing date is $964.00.
What goes into the estimated value on the pricing date?
In valuing the notes on the pricing date, we take into account
that the notes comprise both a debt component and a performance-based component linked to the LIBOR reference rate and the index.
The estimated value of the notes is determined using our own pricing and valuation models, market inputs and assumptions relating
to the LIBOR reference rate and the index, instruments based on the LIBOR reference rate and the index, 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 notes?
In determining the economic terms of the notes, including the
interest rate, the LIBOR reference rate range and the index reference level, 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 notes 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 notes?
The price at which MS & Co. purchases the notes in the secondary
market, absent changes in market conditions, including those related to interest rates, LIBOR and the index, 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, the
costs of unwinding the related hedging transactions and other factors.
MS & Co. may, but is not obligated to, make a market in the
notes and, if it once chooses to make a market, may cease doing so at any time.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Additional Provisions
LIBOR Reference Rate
“LIBOR” as defined in the accompanying prospectus
in the section called “Description of Debt Securities—Floating Rate Debt Securities” and “—Base Rates”
with an index maturity of 6 months and an index currency of U.S. dollars and as displayed on Reuters Page LIBOR01;
provided
that the LIBOR reference rate for any day from and including the fifth New York banking day prior to the related interest payment
date for any interest payment period shall be the LIBOR reference rate for such fifth New York banking day prior to such interest
payment date;
provided further
that for the determination of the LIBOR reference rate on any calendar day, the “interest
determination date” shall be that calendar day unless that calendar day is not a London banking day, in which case the LIBOR
reference rate shall be the LIBOR reference rate on the immediately preceding London banking day.
New York Banking Day
New York banking day means any day on which commercial banks
are open for general business (including dealings in foreign exchange and foreign currency deposits) in New York, New York.
The S&P 500
®
Index
The S&P 500
®
Index, which is calculated,
maintained and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks of 500 component companies
selected to provide a performance benchmark for the U.S. equity markets. The calculation of the index is based on the relative
value of the float adjusted aggregate market capitalization of the 500 component companies as of a particular time as compared
to the aggregate average market capitalization of 500 similar companies during the base period of the years 1941 through 1943.
For additional information about the S&P 500
®
Index, see the information set forth under “Annex
A—The S&P 500
®
Index” in this document and “S&P 500
®
Index”
in the accompanying index supplement.
Index Closing Value Fallback Provisions
The index closing value on any calendar day during the term of
the notes on which the index level is to be determined (each, an “index determination date”) will equal the official
closing value of the index as published by the underlying index publisher or its successor, or in the case of any successor index,
the official closing value for such successor index as published by the publisher of such successor index or its successor, at
the regular weekday close of trading on that calendar day, as determined by the calculation agent;
provided
that the index
closing value for any day from and including the fifth index business day prior to the related interest payment date for any interest
payment period shall be the index closing value in effect on such fifth index business day prior to such interest payment date;
provided further
that if a market disruption event with respect to the index occurs on any index determination date (other
than the day on which the initial index value is determined) or if any such index determination date is not an index business day,
the closing value of the index for such index determination date will be the closing value of the index on the immediately preceding
index business day on which no market disruption event has occurred.
If a market disruption event occurs on the day on which the initial
index value is determined, or if such date is not an index business day, the relevant date shall be the next succeeding index business
day on which there is no market disruption event;
provided
that if a market disruption event has occurred on each of the
five index business days immediately succeeding such scheduled date, then (i) such fifth succeeding index business day shall be
deemed to be the relevant date, notwithstanding the occurrence of a market disruption event on such day, and (ii) with respect
to any such fifth succeeding index business day on which a market disruption event occurs, the calculation agent shall determine
the index closing value on such fifth succeeding index business day in accordance with the formula for and method of calculating
the index last in effect prior to the commencement of the market disruption event, using the closing price (or, if trading in the
relevant securities has been materially suspended or materially limited, its good faith estimate of the closing price that would
have prevailed but for such suspension or limitation) at the close of the principal trading session of the relevant exchange on
such index business day of each security most recently constituting the index without any rebalancing or substitution of such securities
following the commencement of the market disruption event.
In certain circumstances, the index closing value shall be based
on the alternate calculation of the index described under “Annex A—The S&P 500
®
Index—Discontinuance
of the S&P 500
®
Index; Alteration of Method of Calculation.”
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
“Index business day” means a day, as determined by
the calculation agent, on which trading is generally conducted on each of the relevant exchange(s) for the index, other than a
day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday closing
price.
“Relevant exchange” means the primary exchange(s)
or market(s) of trading for (i) any security then included in the index, or any successor index, and (ii) any futures or options
contracts related to the index or to any security then included in the index.
For more information regarding market disruption events with
respect to the index, discontinuance of the index and alteration of the method of calculation, see “Annex A—The S&P
500
®
Index—Market Disruption Event” and “—Discontinuance of the S&P 500
®
Index; Alteration of Method of Calculation” herein.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Hypothetical Examples
How to calculate interest payments
The table below presents examples of the hypothetical interest
rate that would accrue on the notes based on the total number of calendar days in a quarterly interest payment period on which
the LIBOR reference rate is within the LIBOR reference rate range
and
the index closing value is greater than or equal to
the index reference level. The table assumes that the interest payment period contains 90 calendar days.
The example below is for purposes of illustration only and would
provide different results if different assumptions were made. The actual interest rate and payments for each interest payment period
will depend on the actual number of calendar days in such interest payment period and the actual index closing value and LIBOR
reference rate level on each day during such interest payment period. The applicable interest rate for each quarterly interest
payment period will be determined on a per-annum basis, but will apply only to that interest payment period.
|
N
|
Hypothetical
Interest Rate
|
|
0
|
0.0000%
|
|
15
|
0.9167%
|
|
30
|
1.8333%
|
|
45
|
2.7500%
|
|
60
|
3.6667%
|
|
75
|
4.5833%
|
|
90
|
5.5000%
|
It is possible that you could receive little or no interest
on the notes. If, on any calendar day during the term of the notes, the LIBOR reference rate is not within the LIBOR reference
rate range or the index closing value is less than the index reference level, interest will accrue at a rate of 0.00% per annum
for that day.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Historical Information
LIBOR Reference Rate
The following graph sets forth the historical percentage levels
of the LIBOR reference rate for the period from January 1, 2002 to May 19, 2017. The historical performance of the LIBOR reference
rate should not be taken as an indication of its future performance. We cannot give you any assurance that the LIBOR reference
rate will be within the LIBOR reference rate range on any day during any interest payment period during the term of the notes.
The graph below does not reflect the return the notes would have yielded during the period presented, including because it does
not take into account the index closing value. We obtained the information in the graph below from Bloomberg Financial Markets,
without independent verification.
*The bold green line in the graph above
represents the lower end of the LIBOR reference rate range (0.00%) and the bold red line represents the upper end of the LIBOR
reference rate range (5.00%).
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
The S&P 500
®
Index
The following table sets forth the published high and low closing
values, as well as end-of-quarter closing values, of the SPX Index for each quarter for the period from January 1, 2012 through
May 19, 2017. The related graph sets forth the daily closing values of the SPX Index for the period from January 1, 2007 through
May 19, 2017. The index closing value of the SPX Index on May 19, 2017 was 2,381.73. The historical index closing values should
not be taken as an indication of future performance. We cannot give you any assurance that the index will be greater than the index
reference level on any day during any interest payment period during the term of the notes. The payment of dividends on the stocks
that constitute the index are not reflected in its level and, therefore, have no effect on the calculation of interest on the notes.
The graph below does not reflect the return the notes would have yielded during the period presented, including because it does
not take into account the LIBOR reference rate. We obtained the information in the table and graph below from Bloomberg Financial
Markets, without independent verification.
|
S&P
500
®
Index
|
High
|
Low
|
Period
End
|
|
2012
|
|
|
|
|
First Quarter
|
1,416.51
|
1,277.06
|
1,408.47
|
|
Second Quarter
|
1,419.04
|
1,278.04
|
1,362.16
|
|
Third Quarter
|
1,465.77
|
1,334.76
|
1,440.67
|
|
Fourth Quarter
|
1,461.40
|
1,353.33
|
1,426.19
|
|
2013
|
|
|
|
|
First Quarter
|
1,569.19
|
1,457.15
|
1,569.19
|
|
Second Quarter
|
1,669.16
|
1,541.61
|
1,606.28
|
|
Third Quarter
|
1,725.52
|
1,614.08
|
1,681.55
|
|
Fourth Quarter
|
1,848.36
|
1,655.45
|
1,848.36
|
|
2014
|
|
|
|
|
First Quarter
|
1,878.04
|
1,741.89
|
1,872.34
|
|
Second Quarter
|
1,962.87
|
1,815.69
|
1,960.23
|
|
Third Quarter
|
2,011.36
|
1,909.57
|
1,972.29
|
|
Fourth Quarter
|
2,090.57
|
1,946.16
|
2,058.90
|
|
2015
|
|
|
|
|
First Quarter
|
2,117.39
|
1,992.67
|
2,067.89
|
|
Second Quarter
|
2,130.82
|
2,057.64
|
2,063.11
|
|
Third Quarter
|
2,128.28
|
1,867.61
|
1,920.03
|
|
Fourth Quarter
|
2,109.79
|
1,923.82
|
2,043.94
|
|
2016
|
|
|
|
|
First Quarter
|
2,063.95
|
1,829.08
|
2,059.74
|
|
Second Quarter
|
2,119.12
|
2,000.54
|
2,098.86
|
|
Third Quarter
|
2,190.15
|
2,088.55
|
2,168.27
|
|
Fourth Quarter
|
2,271.72
|
2,085.18
|
2,238.83
|
|
2017
|
|
|
|
|
First Quarter
|
2,395.96
|
2,257.83
|
2,362.72
|
|
Second Quarter (through May 19, 2017)
|
2,402.32
|
2,328.95
|
2,381.73
|
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
*The bold red line in the graph indicates
the index reference level of 1,786.298, which is approximately 75% of the initial index value
.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Risk Factors
The notes involve risks not associated with an investment
in ordinary floating rate notes. An investment in the notes entails significant risks not associated with similar investments in
a conventional debt security, including, but not limited to, fluctuations in the LIBOR reference rate and the index, and other
events that are difficult to predict and beyond our control. This section describes the most significant risks relating to the
notes. For a complete list of risk factors, please see the accompanying prospectus supplement, index supplement and prospectus.
Investors should consult their financial and legal advisers as to the risks entailed by an investment in the notes and the suitability
of the notes in light of their particular circumstances.
|
|
§
|
If there are no accrual days in any interest payment period during the term of the notes,
we will not pay any interest on the notes for that interest payment period and the market value of the notes may decrease significantly.
It is possible that the LIBOR reference rate will not be within the LIBOR reference rate range
or
that the index closing
value will be less than the index reference level for so many days during any
quarterly
interest payment period during the
term of the notes that the interest payment for that
quarterly
interest payment period will be less than the amount that
would be paid on an ordinary debt security and may be zero. To the extent that the LIBOR reference rate is not within the LIBOR
reference rate range
or
that the index closing value is less than the index reference level, the market value of the notes
is expected decrease and you may receive substantially less than 100% of the issue price if you are able to sell your notes at
such time.
|
|
|
§
|
Investors will not participate in any appreciation in the value of the index.
Investors
will not participate in any appreciation in the value of the index from the initial index value, and the return on the notes will
be limited to the quarterly interest payments that are paid with respect to each interest payment period during the term of the
notes, if any.
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The LIBOR reference rate for any day from and including the fifth New York banking day prior
to the interest payment date of an interest payment period during the term of the notes will be the LIBOR reference rate for such
fifth day.
Because the LIBOR reference rate for any day from and including the fifth New York banking day prior to the interest
payment date of an interest payment period will be the LIBOR reference rate for such fifth day, if the LIBOR reference rate on
that New York banking day is not within the LIBOR reference rate range, you will not receive any interest in respect of those five
days even if the LIBOR reference rate as actually calculated on any of those days were to be within the LIBOR reference rate range.
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The index closing value for any day from and including the fifth index business day prior
to the interest payment date of an interest payment period during the term of the notes will be the index closing value for such
fifth index business day.
Because the index closing value for any day from and including the fifth index business day prior
to the interest payment date of an interest payment period will be the index closing value for such fifth index business day, if
the index closing value on that index business day is less than the index reference level, you will not receive any interest in
respect of those five days even if the index closing value as actually calculated on any of those days were to be greater than
or equal to the index reference level.
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The historical performance of the LIBOR reference rate and the index are not an indication
of their future performance.
The historical performance of the LIBOR reference rate and the index should not be taken as indications
of their future performance during the term of the notes. Changes in the levels of the LIBOR reference rate and the index will
affect the trading price of the notes, but it is impossible to predict whether such levels will rise or fall. There can be no assurance
that the LIBOR reference rate will remain within the LIBOR reference rate range or that the index closing value will be equal to
or greater than the index reference level on any day during the term of the notes.
Furthermore, the historical performance of
each of the LIBOR reference rate and the index does not reflect the return the securities would have yielded, including because
each does not take into account the other’s performance.
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Investors are subject to our credit risk, and any actual or anticipated changes to our credit
ratings and credit spreads may adversely affect the market value of the notes.
Investors are dependent on our ability to pay
all amounts due on the notes on interest payment dates and at maturity and therefore investors are subject to our credit risk.
If we default on our obligations under the notes, your investment would be at risk and you could lose some or all of your investment.
As a result, the market value of the notes 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 value of the notes.
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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
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Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
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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The price at which the notes may be sold prior to maturity will depend on a number of factors
and may be substantially less than the amount for which they were originally purchased.
Some of these factors include, but
are not limited to: (i) actual or anticipated changes in the level of the LIBOR reference rate, (ii) changes in the level of the
index closing value, (iii) volatility of the LIBOR reference rate, (iv) volatility of the index, (v) changes in interest and yield
rates, (vi) geopolitical conditions and economic, financial, political and regulatory or judicial events that affect the securities
underlying the index, or equity markets generally, and that may affect the index, (vii) any actual or anticipated changes in our
credit ratings or credit spreads, and (viii) time remaining to maturity. Generally, the longer the time remaining to maturity and
the more tailored the exposure, the more the market price of the notes will be affected by the other factors described in the preceding
sentence. This can lead to significant adverse changes in the market price of securities like the notes. Primarily, to the extent
that the LIBOR reference rate level remains outside the LIBOR reference rate range or the index closing value is less than the
index reference level, the market value of the notes is expected to decrease and you may receive substantially less than 100% of
the issue price if you are able to sell your notes at such time.
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The rate we are willing to pay for notes 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 notes in the original issue price reduce the economic terms
of the notes, cause the estimated value of the notes 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., are willing to purchase the notes 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, the
costs of unwinding the related hedging transactions as well as other factors.
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The inclusion of the costs of issuing,
selling, structuring and hedging the notes in the original issue price and the lower rate we are willing to pay as issuer make
the economic terms of the notes less favorable to you than they otherwise would be.
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The price you pay for the notes may be higher than the prices paid by other investors.
The agent proposes to offer the notes from time to time for sale to investors in one or more negotiated transactions, or otherwise,
at market prices prevailing at the time of sale, at prices related to then-prevailing prices, at negotiated prices, or otherwise.
Accordingly, there is a risk that the price you pay for the notes will be higher than the prices paid by other investors based
on the date and time you make your purchase, from whom you purchase the notes (e.g., directly from the agent or through a broker
or dealer), any related transaction cost (e.g., any brokerage commission), whether you hold your notes in a brokerage account,
a fiduciary or fee-based account or another type of account and other market factors.
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The notes will not be listed on any securities exchange and secondary trading may be limited.
The notes will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the notes.
MS & Co. may, but is not obligated to, make a market in the notes 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 notes, 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 notes. Even if there is a secondary market, it may not provide enough liquidity
to allow you to trade or sell the notes easily. Since other broker-dealers may not participate significantly in the secondary
market for the notes, the price at which you may be able to trade your notes 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 notes, it is likely
that there would be no secondary market for the notes. Accordingly, you should be willing to hold your notes to maturity.
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§
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Morgan Stanley & Co. LLC, which is a subsidiary of Morgan Stanley and an affiliate of
MSFL, has determined the estimated value on the pricing date.
MS & Co. has determined the estimated value of the notes
on the pricing date.
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Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
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Our subsidiaries or affiliates may publish research that could affect the market value of
the notes. They also expect to hedge the issuer’s obligations under the notes.
One or more of our affiliates may, at
present or in the future, publish research reports with respect to movements in interest rates generally or the LIBOR reference
rate specifically, or with respect to the index. This research is modified from time to time without notice to you and
may express opinions or provide recommendations that are inconsistent with purchasing or holding the notes. Any of these
activities may affect the market value of the notes. In addition, our affiliates expect to hedge the issuer’s
obligations under the notes and they may realize a profit from that expected hedging activity even if investors do not receive
a favorable investment return under the terms of the notes or in any secondary market transaction.
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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 notes.
Any of these determinations made by the calculation agent may adversely affect
the payout to investors. Moreover, certain determinations made by the calculation agent may require it to exercise discretion and
make subjective judgments, such as with respect to the LIBOR reference rate, the index closing value, the occurrence or non-occurrence
of market disruption events and the selection of a successor index or calculation of the index closing value in the event of a
market disruption event or discontinuance of the index. These potentially subjective determinations may adversely affect the payout
to you on the notes. For further information regarding these types of determinations, see “Annex A—The S&P 500
®
Index—Market Disruption Event,” “—Discontinuance of the S&P 500
®
Index; Alteration of
Method of Calculation” and the related definitions.
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Adjustments to the index could adversely affect the value of the notes.
The underlying
index publisher can add, delete or substitute the stocks underlying the index, and can make other methodological changes required
by certain events relating to the underlying stocks, such as stock dividends, stock splits, spin-offs, rights offerings and extraordinary
dividends, that could change the value of the index. Any of these actions could adversely affect the value of the notes. The underlying
index publisher may discontinue or suspend calculation or publication of the index at any time. In these circumstances, the calculation
agent will have the sole discretion to substitute a successor index that is comparable to the discontinued index. The calculation
agent could have an economic interest that is different than that of investors in the notes insofar as, for example, the calculation
agent is permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates. If
the calculation agent determines that there is no appropriate successor index, on any day on which the index closing value is to
be determined, the index closing value for such day will be based on the stocks underlying the discontinued index at the time of
such discontinuance, without rebalancing or substitution, computed by the calculation agent, in accordance with the formula for
calculating the index closing value last in effect prior to the discontinuance of the index.
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You have no shareholder rights.
As an investor in the notes, you will not have voting
rights, rights to receive dividends or other distributions or any other rights with respect to the stocks that underlie the index.
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Investing in the notes is not equivalent to investing in the index or the stocks underlying
the index.
Investing in the notes is not equivalent to investing in the index or its component stocks.
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§
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Hedging and trading activity by our affiliates could potentially adversely affect the value
of the index.
One or more of our affiliates expect to carry out hedging activities related to the notes (and possibly to other
instruments linked to the index or its component stocks), including trading in the stocks underlying the index as well as in other
instruments related to the index. As a result, we may be unwinding or adjusting hedge positions during the term of the notes, and
our hedging strategy may involve greater and more frequent dynamic adjustments to our hedge as we approach the maturity date. Some
of our affiliates also trade in the stocks underlying the index and other financial instruments related to the index on a regular
basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities could potentially
decrease the index closing value, thus increasing the risk that the index closing value will be less than the index reference level
on any day during the term of the notes.
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Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Use of Proceeds and Hedging
The proceeds from the sale of the notes will be used by us for
general corporate purposes. We will receive, in aggregate, $1,000 per note issued, because, when we enter into hedging transactions
in order to meet our obligations under the notes, our hedging counterparty will reimburse the cost of the Agent’s commissions.
The costs of the notes borne by you and described on page 2 above comprise the Agent’s commissions and the cost of issuing,
structuring and hedging the notes.
Supplemental Information Concerning Plan of Distribution;
Conflicts of Interest
We expect to deliver the notes against payment
therefor in New York, New York on May 24, 2017, which will be the eighth scheduled business day following the date of the pricing
of the notes. Under Rule 15c6-1 of the Exchange Act, trades in the secondary market generally are required to settle in three business
days, unless the parties to any such trade expressly agree otherwise. Accordingly, purchasers who wish to trade notes on the date
of pricing or on or prior to the third business day prior to the original issue date will be required to specify alternative settlement
arrangements to prevent a failed settlement.
The notes were offered at a price equal to 100% of the stated
principal amount per note until the initial pricing date. Thereafter, the notes will be offered from time to time in one or more
negotiated transactions at varying prices to be determined at the time of each sale, which may be at market prices prevailing,
at prices related to such prevailing prices or at negotiated prices; provided, however, that such price will not be less than $970
per note and will not be more than $1,000 per note.
Morgan Stanley or one of our affiliates will pay discounts and
commissions to dealers, including Morgan Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”) and their financial
advisors. These discounts and commissions will equal $35 per note and, following the initial pricing date, will vary depending
on market conditions. The agent may distribute the notes through Morgan Stanley Wealth Management, as selected dealer, or other
dealers, which may include Morgan Stanley & Co. International plc (“MSIP”) and Bank Morgan Stanley AG. Morgan Stanley
Wealth Management, MSIP and Bank Morgan Stanley AG are affiliates of Morgan Stanley.
MS & Co. is an affilitate of MSFL and a wholly owned subsidiary
of Morgan Stanley, and it and other affiliates of ours expect to make a profit by selling, structuring and, when applicable, hedging
the notes.
MS & Co. will conduct this offering in compliance with the
requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding
a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any
of our other affiliates may not make sales in this offering to any discretionary account.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Validity of the Notes
In the opinion of Davis Polk & Wardwell LLP, as special counsel
to MSFL and Morgan Stanley, when the notes offered by this pricing supplement have been executed and issued by MSFL, authenticated
by the trustee pursuant to the MSFL Senior Debt Indenture (as defined in the accompanying prospectus) and delivered against payment
as contemplated herein, such notes will be valid and binding obligations of MSFL and the related guarantee will be a valid and
binding obligation of Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency
and similar laws affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith),
provided
that such counsel
expresses no opinion as to (i) the effect of fraudulent conveyance, fraudulent transfer or similar provision of applicable law
on the conclusions expressed above and (ii) any provision of the MSFL Senior Debt Indenture that purports to avoid the effect of
fraudulent conveyance, fraudulent transfer or similar provision of applicable law by limiting the amount of Morgan Stanley’s
obligation under the related guarantee. This opinion is given as of the date hereof and is limited to the laws of the State of
New York, the General Corporation Law of the State of Delaware and the Delaware Limited Liability Company Act. In addition, this
opinion is subject to customary assumptions about the trustee’s authorization, execution and delivery of the MSFL Senior
Debt Indenture and its authentication of the notes and the validity, binding nature and enforceability of the MSFL Senior Debt
Indenture with respect to the trustee, all as stated in the letter of such counsel dated February 16, 2016, which is Exhibit 5-a
to Post-Effective Amendment No. 1 to the Registration Statement on Form S-3 filed by Morgan Stanley on February 16, 2016.
Acceleration Amount in Case of an Event of Default
In case an event of default with respect to the notes shall have
occurred and be continuing, the amount declared due and payable per note upon any acceleration of the notes shall be an amount
in cash equal to the stated principal amount plus accrued and unpaid interest.
Contact Information
Morgan
Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585
Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Tax Considerations
In the opinion of our counsel, Davis Polk & Wardwell LLP,
based on current market conditions, the notes should be treated as “variable rate debt instruments” for U.S. federal
tax purposes, as described in the section of the accompanying prospectus supplement called “United States Federal Taxation―Tax
Consequences to U.S. Holders—Notes—Floating Rate Notes.”
Section 871(m) of the Internal Revenue Code of 1986, as amended,
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 notes do not have a delta of one with respect to any Underlying Security, our counsel
is of the opinion that the notes should not be Specified Securities and, therefore, should not be subject to Section 871(m).
Our determination is not binding on the Internal Revenue Service
(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 notes.
Both U.S. and non-U.S. holders should read the section of the
accompanying prospectus supplement entitled “United States Federal Taxation.”
You should consult your tax adviser regarding all aspects
of the U.S. federal tax consequences of an investment in the notes, as well as any tax consequences arising under the laws of any
state, local or non-U.S. taxing jurisdiction.
The discussion in the preceding paragraphs under “Tax
Considerations,” and the discussion contained in the section entitled “United States Federal Taxation” in the
accompanying prospectus supplement, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions
with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences
of an investment in the notes.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Where You Can Find More Information
MSFL and Morgan Stanley have filed a registration statement (including
a prospectus, as supplemented by a prospectus supplement and an index supplement) with the Securities and Exchange Commission,
or SEC, for the offering to which this pricing supplement relates. You should read the prospectus in that registration statement,
the prospectus supplement, the index supplement and any other documents relating to this offering that MSFL and Morgan Stanley
have filed with the SEC for more complete information about MSFL, Morgan Stanley and this offering. You may get these documents
without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, MSFL or Morgan Stanley will arrange to send you
the prospectus and the prospectus supplement if you so request by calling toll-free 800-584-6837.
You may access these documents on the SEC web site at
.
www.sec.gov
as follows:
Prospectus Supplement dated February 16, 2016
Index Supplement dated January 30, 2017
Prospectus dated February 16, 2016
Terms used but not defined in this pricing supplement are defined
in the prospectus supplement, in the index supplement or in the prospectus. As used in this pricing supplement, the “Company,”
“we,” “us” and “our” refer to Morgan Stanley.
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
Annex A—The S&P 500
®
Index
The S&P 500
®
Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC (“S&P”), consists of stocks
of 500 component companies selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P
500
®
Index is based on the relative value of the float adjusted aggregate market capitalization of the 500 component
companies as of a particular time as compared to the aggregate average market capitalization of 500 similar companies during the
base period of the years 1941 through 1943.
For additional information
about the S&P 500
®
Index, see the information set forth under “S&P 500
®
Index”
in the accompanying index supplement.
“Standard & Poor’s
®
,” “S&P
®
,”
“S&P 500
®
,” “Standard & Poor’s 500” and “500” are trademarks of
Standard & Poor’s Financial Services LLC. For more information, see “S&P 500
®
Index” in
the accompanying index supplement.
Market Disruption Event
With respect to the index, market disruption event means:
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(i)
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the occurrence or existence of any of:
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(a) a suspension, absence or material
limitation of trading of securities then constituting 20 percent or more of the value of the index (or the successor index) on
the relevant exchange(s) for such securities for more than two hours of trading or during the one-half hour period preceding the
close of the principal trading session on such relevant exchange(s), or
(b) a breakdown or failure in the
price and trade reporting systems of any relevant exchange as a result of which the reported trading prices for securities then
constituting 20 percent or more of the value of the index (or the successor index) during the last one-half hour preceding the
close of the principal trading session on such relevant exchange(s) are materially inaccurate, or
(c) the suspension, material limitation
or absence of trading on any major U.S. securities market for trading in futures or options contracts or exchange-traded funds
related to the index (or the successor index) for more than two hours of trading or during the one-half hour period preceding the
close of the principal trading session on such market,
in each case, as determined by the
calculation agent in its sole discretion; and
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(ii)
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a determination by the calculation agent in its sole discretion that any event described in clause (i) above materially interfered
with our ability or the ability of any of our affiliates to unwind or adjust all or a material portion of the hedge position with
respect to the notes.
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For the purpose of determining
whether a market disruption event exists at any time, if trading in a security included in the index is materially suspended or
materially limited at that time, then the relevant percentage contribution of that security to the value of the index shall be
based on a comparison of (x) the portion of the value of the index attributable to that security relative to (y) the overall value
of the index, in each case immediately before that suspension or limitation.
For the purpose of determining
whether a market disruption event exists at any time: (1) a limitation on the hours or number of days of trading will not constitute
a market disruption event if it results from an announced change in the regular business hours of the relevant exchange or market,
(2) a decision to permanently discontinue trading in the relevant futures or options contract or exchange-traded fund will not
constitute a market disruption event, (3) a suspension of trading in futures or options contracts or exchange-traded funds on the
index by the primary securities market trading in such contracts or funds by reason of (a) a price change exceeding limits set
by such securities exchange or market, (b) an imbalance of orders relating to such contracts or funds or (c) a disparity in bid
and ask quotes relating to such contracts or funds will constitute a suspension, absence or material limitation of trading in futures
or options contracts or exchange-traded funds related to the index and (4) a “suspension, absence or material limitation
of trading” on any relevant exchange or on the primary market on which futures or options contracts or exchange-traded funds
related to the index are traded will not include any time when such securities market is itself closed for trading under ordinary
circumstances.
Discontinuance of the S&P 500
®
Index;
Alteration of Method of Calculation
If the underlying index publisher
discontinues publication of the index and the underlying index publisher or another entity (including MS & Co.) publishes a
successor or substitute index that the calculation agent determines, in its sole discretion, to be
Morgan Stanley Finance LLC
Floating Rate Notes due 2032
6-Month USD LIBOR and S&P 500
®
Index Range Accrual Notes
comparable to the discontinued
index (such index being referred to herein as the “successor index”), then any subsequent index closing value will
be determined by reference to the published value of such successor index at the regular weekday close of trading on any index
business day that the index closing value is to be determined, and, to the extent that the index closing value of the successor
index differs from the index closing value at the time of such substitution, proportionate adjustments will be made by the calculation
agent to the initial index value and index reference level.
Upon any selection by the calculation
agent of the successor index, the calculation agent will cause written notice thereof to be furnished to the trustee, to us and
to the depositary, as holder of the notes, within three business days of such selection. We expect that such notice will be made
available to you, as a beneficial owner of the notes, in accordance with the standard rules and procedures of the depositary and
its direct and indirect participants.
If the underlying index publisher
discontinues publication of the index or the successor index prior to, and such discontinuance is continuing on, any date on which
the index closing value is to be determined and the calculation agent determines, in its sole discretion, that no successor index
is available at such time, then the calculation agent will determine the index closing value for such date. The index closing value
of the index or the successor index will be computed by the calculation agent in accordance with the formula for and method of
calculating such index last in effect prior to such discontinuance, using the closing price (or, if trading in the relevant securities
has been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but
for such suspension or limitation) at the close of the principal trading session of the relevant exchange on such date of each
security most recently constituting such index without any rebalancing or substitution of such securities following such discontinuance.
Notwithstanding these alternative arrangements, discontinuance of the publication of the index may adversely affect the value of
the notes.
If at any time, the method of calculating the index or the successor
index, or the value thereof, is changed in a material respect, or if the index or the successor index is in any other way modified
so that such index does not, in the opinion of the calculation agent, fairly represent the value of such index had such changes
or modifications not been made, then, from and after such time, the calculation agent will, at the close of business in New York
City on each date on which the index closing value is to be determined, make such calculations and adjustments as, in the good
faith judgment of the calculation agent, may be necessary in order to arrive at a value of a stock index comparable to the index
or the successor index, as the case may be, as if such changes or modifications had not been made, and the calculation agent will
calculate the index closing value with reference to the index or the successor index, as adjusted. Accordingly, if the method of
calculating the index or the successor index is modified so that the value of such index is a fraction of what it would have been
if it had not been modified (e.g., due to a split in the index), then the calculation agent will adjust such index in order to
arrive at a value of the index or the successor index as if it had not been modified (e.g., as if such split had not occurred).
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