MORGAN STANLEY — Capital/Financing Update 2017

Feb 15, 2017

The information in this pricing supplement is not complete and may be changed. We may not deliver these securities until a final pricing supplement is delivered. This pricing supplement and the accompanying prospectus, prospectus supplement and index supplement do not constitute an offer to sell these securities and we are not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.

Subject to Completion, Amendment No. 1 dated February 15, 2017 to Preliminary Pricing Supplement dated February 10, 2017

PROSPECTUS Dated February 16, 2016	Pricing Supplement No. 1,335 to
PROSPECTUS SUPPLEMENT Dated February 16, 2016	Registration Statement Nos. 333-200365; 333-200365-12
INDEX SUPPLEMENT Dated January 30, 2017	Dated March , 2017
	Rule 424(b)(2)

$

Morgan Stanley Finance LLC

GLOBAL MEDIUM-TERM NOTES, SERIES A Senior Notes

Fixed Income Buffered Securities with Upside Participation Based on the Value of the iShares ® MSCI EAFE ETF due March 8, 2021

Fully and Unconditionally Guaranteed by Morgan Stanley

Principal at Risk Securities

The Fixed Income Buffered Securities with Upside Participation Based on the Value of the iShares ® MSCI EAFE ETF (the “Fund”) due March 8, 2021, which we refer to as the securities, are unsecured obligations of Morgan Stanley Finance LLC (“MSFL”) and are fully and unconditionally guaranteed by Morgan Stanley. Unlike ordinary debt securities, the securities do not guarantee the return of any principal at maturity. The securities will pay a fixed semiannual coupon at an annual rate of at least 1.90% (to be determined on the pricing date). At maturity, in addition to the final semiannual coupon, you will receive for each security that you hold an amount in cash based on the performance of iShares ® MSCI EAFE ETF, which we refer to as the underlying shares, that will be calculated based on two measures of the performance of the underlying shares: (i) the average share return and (ii) the buffered downside return. The average share return reflects any appreciation of the underlying shares from the initial share price to the average share price, which is the arithmetic average of the closing prices of the underlying shares on the four quarterly averaging dates during the last year of the term of the securities. The buffered downside return reflects any depreciation in the share return (determined based not on an average price but solely on the closing price of the underlying shares on the final valuation date, as compared to the initial share price) by more than the buffer amount of 20% times the downside factor of 1.25.

(A) If the average share return and buffered downside return are both positive, you will receive a return at maturity that reflects the average share return. (B) If the average share return and buffered downside return are both negative, you will receive a return at maturity that reflects the negative buffered downside return, and you will lose some or all of your investment. (C) If the average share return is positive but the buffered downside return is negative, the average share return and buffered downside return will be set off against each other, and you will lose some or all of your investment at maturity to the extent of the decline in the buffered downside return, as offset by the positive average share return. This set-off of the two returns will also mean that if the positive average share return more than fully offsets the decline in the buffered downside return, you will not suffer a loss on your investment at maturity, but your gain on the securities will be less than the positive average share return, as this return will have been set off and reduced by the negative buffered downside return. (D) If the average share return is negative but the buffered downside return is positive, the payment at maturity will equal the stated principal amount regardless of any appreciation of the final share price above the initial share price. Therefore, an investment in the securities will be exposed on the upside to any appreciation in the average share return as reduced by any negative buffered downside return (which reduction can result in a loss even if the average share return is positive), and will be exposed on the downside to any negative buffered downside return subject to the set-off of the two returns described above.

There is no minimum payment at maturity on the securities. Accordingly, investors may lose their entire initial investment in the securities. The securities are for investors who are willing to forgo market interest rates and dividend payments, who seek exposure to an international equity fund at maturity and who are willing to lose some or all of their principal if the buffered downside return is negative.

The securities are notes issued as part of MSFL’s Series A Global Medium-Term Notes program.

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

· The stated principal amount and original issue price of each security is $1,000.

· At maturity, in addition to the final semiannual coupon payment, you will receive an amount of cash per security calculated as follows:

$1,000 × (1 + average share return + buffered downside return)

You will lose some or all of your stated principal amount at maturity if the average share return is not sufficient to fully offset any negative buffered downside return.

Please see the hypothetical examples illustrating the payment at maturity in “Hypothetical Payout on the Securities at Maturity” on PS-8.

· The average share return will be a fraction, the numerator of which will be the average share price minus the initial share price and the denominator of which will be the initial share price, provided that the average share return will not be less than 0%. The average share return will be calculated, as follows:

average share return
initial share price

, subject to a minimum of 0%.

· The average share price will be the arithmetic average of the following, calculated on each of the four averaging dates: the product of (1) the closing price of the underlying shares on such date and (2) the adjustment factor on such date

· The buffered downside return will reflect the depreciation, based on the share return, of the underlying shares by more than 20%, multiplied by the downside factor, provided that the buffered downside return will not be greater than 0%. The buffered downside return will be calculated, as follows:

buffered downside return = (share return + buffer amount) x downside factor, subject to a maximum of 0%

Because the buffered downside return is capped at 0%, the buffered downside return will not provide any positive contribution toward the return on the securities.

· The share return will be a fraction, the numerator of which will be the final share price minus the initial share price and the denominator of which will be the initial share price.

· The buffer amount is 20%.

· The downside factor is 1.25.

· The initial share price will equal the closing price of one underlying share on March 3, 2017, which is the day we price the securities for initial sale to the public, which we refer to as the pricing date.

· The final share price will equal the product of the closing price of the underlying shares on the final valuation date and the adjustment factor on such date.

· The adjustment factor will initially be set at 1.0 and may be adjusted to reflect certain events affecting the underlying shares.

· The averaging dates will be June 3, 2020, September 3, 2020, December 3, 2020 and March 3 2021, subject to postponement for non-trading days and certain market disruption events. We also refer to March 3, 2021 as the final valuation date.

· Investing in the securities is not equivalent to investing in the underlying shares or the stocks composing the MSCI EAFE Index SM .

· The securities will not be listed on any securities exchange.

· The estimated value of the securities on the pricing date is approximately $980.60 per security, or within $22.50 of that estimate. See “Summary of Pricing Supplement” beginning on PS-3.

· The CUSIP number for the securities is 61768CFG7. The ISIN for the securities is US61768CFG78.

You should read the more detailed description of the securities in this pricing supplement. In particular, you should review and understand the descriptions in “Summary of Pricing Supplement” and “Description of the Securities.”

The securities are riskier than ordinary debt securities. See “Risk Factors” beginning on PS-8.

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

PRICE $1,000 PER SECURITY

| | Price
to public | Agent’s
commissions and fees (1) | Proceeds
to us (2) |
| --- | --- | --- | --- |
| Per security | $1,000 | $0 | $1,000 |
| Total | $ | $ | $ |

(1) MS & Co. will act as the agent for this offering and will not receive a sales commission in connection with sales of the securities. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

(2) See “Description of the Securities—Use of Proceeds and Hedging” beginning on PS-32.

The Agent for this offering, Morgan Stanley & Co. LLC, is our affiliate. See “Description of the Securities––Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”

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

As used in this document, “we,” “us” and “our” refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as the context requires.

MORGAN STANLEY

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For a description of certain restrictions on offers, sales and deliveries of the securities and on the distribution of this pricing supplement and the accompanying prospectus supplement, index supplement and prospectus relating to the securities, see the section of this pricing supplement called “Description of the Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”

No action has been or will be taken by us, the Agent or any dealer that would permit a public offering of the securities or possession or distribution of this pricing supplement or the accompanying prospectus supplement, index supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. Neither this pricing supplement nor the accompanying prospectus supplement, index supplement and prospectus may be used for the purpose of an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it is unlawful to make such an offer or solicitation.

In addition to the selling restrictions set forth in “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement, the following selling restrictions also apply to the securities:

The securities have not been and will not be registered with the Comissão de Valores Mobiliários (The Brazilian Securities Commission). The securities may not be offered or sold in the Federative Republic of Brazil except in circumstances which do not constitute a public offering or distribution under Brazilian laws and regulations.

The securities have not been registered with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the securities or distribution of this pricing supplement or the accompanying prospectus supplement, index supplement or prospectus, may be made in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and regulations.

The securities have not been registered with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico. This pricing supplement and the accompanying prospectus supplement, index supplement and prospectus may not be publicly distributed in Mexico.

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SUMMARY OF PRICING SUPPLEMENT

The following summary describes the securities in general terms only. You should read the summary together with the more detailed information that is contained in the rest of this pricing supplement and in the accompanying prospectus supplement, index supplement and prospectus. You should carefully consider, among other things, the matters set forth in “Risk Factors.”

The securities are medium-term debt securities of MSFL and are fully and unconditionally guaranteed by Morgan Stanley. The securities do not guarantee the return of any principal at maturity. The securities will pay a fixed semiannual coupon at an annual rate of at least 1.90% (to be determined on the pricing date). The securities have been designed for investors who are willing to forgo market interest rates and dividend payments and seek a return at maturity based on the performance of the iShares ® MSCI EAFE ETF, which we refer to as the underlying shares, that will be calculated based on two measures of the performance of the underlying shares: (i) the average share return and (ii) the buffered downside return. The average share return reflects any appreciation of the underlying shares from the initial share price to the average share price, which is the arithmetic average of the closing prices of the underlying shares on the four quarterly averaging dates during the last year of the term of the securities. The buffered downside return reflects any depreciation in the share return (determined based not an an average price but solely on the closing price of the underlying shares on the final valuation date, as compared to the initial share price) by more than the buffer amount of 20% times the downside factor of 1.25.

(A) If the average share return and buffered downside return are both positive, you will receive a return at maturity that reflects the average share return. (B) If the average share return and buffered downside return are both negative, you will receive a return at maturity that reflects the negative buffered downside return, and you will lose some or all of your investment. (C) If the average share return is positive but the buffered downside return is negative, the average share return and buffered downside return will be set off against each other, and you will lose some or all of your investment at maturity to the extent of the decline in the buffered downside return, as offset by the positive average share return. This set-off of the two returns will also mean that if the positive average share return more than fully offsets the decline in the buffered downside return, you will not suffer a loss on your investment at maturity, but your gain on the securities will be less than the positive average share return, as this return will have been set off and reduced by the negative buffered downside return. (D) If the average share return is negative but the buffered downside return is positive, the payment at maturity will equal the stated principal amount regardless of any appreciation of the final share price above the initial share price. Therefore, an investment in the securities will be exposed on the upside to any appreciation in the average share return as reduced by any negative buffered downside return (which reduction can result in a loss even if the average share return is positive), and will be exposed on the downside to any negative buffered downside return, subject to the set-off of the two returns described above.

There is no minimum payment at maturity on the securities. Accordingly, investors may lose their entire initial investment in the securities. All payments on the securities are subject our credit risk.

iShares ® is a registered trademark of BlackRock Institutional Trust Company, N.A. (“BTC”). The securities are not sponsored, endorsed, sold, or promoted by BTC. BTC makes no representations or warranties to the owners of the securities or any member of the public regarding the advisability of investing in the securities. BTC has no obligation or liability in connection with the operation, marketing, trading or sale of the securities.

Each security costs $1,000

The original issue price includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date will be less than $1,000. We estimate that the value of each security on the pricing date will be approximately $980.60, or within $22.50 of that estimate. Our estimate of the value of the securities as

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| | determined on the pricing date will be set forth in the final
pricing supplement. What goes into the estimated value on the pricing date? In valuing the securities on the pricing date, we take into
account that the securities comprise both a debt component and a performance-based component linked to the 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. What determines the economic terms of the securities? In determining the economic terms of the securities, including
the semiannual coupon rate, the buffer amount and the downside factor, we use an internal funding rate, which is likely to be lower
than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs
borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would
be more favorable to you. What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities? The price at which Morgan Stanley & Co. LLC, which we refer
to as 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 pricing date, because the secondary market
price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would charge in a
secondary market transaction of this type and other factors. However, because the costs associated with issuing, selling, structuring
and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following the issue 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. may, but is not obligated to, make a market in
the securities, and, if it once chooses to make a market, may cease doing so at any time. |
| --- | --- |
| The securities do not guarantee the return of any principal at maturity | Unlike ordinary debt securities, the securities do not guarantee the return of any principal at maturity. The securities will pay a fixed semiannual coupon at an annual rate of at least 1.90% (to be determined on the pricing date). At maturity, you will receive, in addition to the final semiannual coupon, for each $1,000 stated principal amount of securities that you hold an amount in cash that will reflect (i) any appreciation in the underlying shares based on the average share return (determined based on the arithmetic average of the closing price of the underlying shares on the four quarterly averaging dates during the last year of the term of the securities) and (ii) any depreciation of the underlying shares reflected in the share return (determined based on the closing price of the underlying shares on the final valuation date) by more than the buffer amount of 20% times the downside factor of 1.25. Any positive average share return may be moderated, offset or more than offset by any negative buffered downside return, potentially resulting in a loss even |

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if the average share return is positive. There is no minimum payment at maturity on the securities. Accordingly, you could lose your entire initial investment in the securities. — At maturity, in addition to the final semiannual coupon payment, you will receive for each $1,000 stated principal amount of securities that you hold an amount in cash that will vary depending on the arithmetic average of the closing prices of the underlying shares on the four averaging dates and the closing price of the underlying shares on the final valuation date, determined as follows:
$1,000 × (1 + average share return + buffered downside return) where,
average share return =	average
share price – initial share price
	initial share price
	provided that
the average share return will not be less than 0%
average share price =	The arithmetic average of the following,
calculated on each of the four averaging dates: the product of (1) the closing price of the underlying shares on such date and
(2) the adjustment factor on such date
buffered downside return =	(share return + buffer amount) x downside
factor provided that the buffered downside return
will not be greater than 0%.
share return =	final
share price – initial share price
	initial share price
final share price =	The product of the closing price of the underlying shares on the final valuation date and the adjustment factor on such date.
initial share price =	The closing price of the underlying shares on March 3, 2017, which we refer to as the pricing date
buffer amount =	20%
downside factor =	1.25
The payment at maturity may be less
than the stated principal amount of $1,000 and could be zero. Specifically, if the buffered downside return is negative
and not fully offset by a sufficiently positive average share return, you will lose some or all of your investment. There
is no minimum payment at maturity on the securities. Accordingly, you could lose your

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	entire initial investment in the securities.
	All payments on the securities are subject to our credit risk.
	Beginning on PS-8, in the section titled “Hypothetical Payout on the Securities at Maturity,” we have provided hypothetical examples illustrating the payout on the securities at maturity over a range of hypothetical closing prices of the underlying shares on the four averaging dates and the final valuation date. The examples do not show every situation that can occur.
	You can review the historical values of the underlying shares in the section of this pricing supplement called “Description of the Securities—Historical Information” starting on PS-31. You cannot predict the future performance of the underlying shares based on their historical performance.
	Investing in the securities is not equivalent to investing in underlying shares or the stocks that constitute the MSCI EAFE Index SM .
Morgan Stanley & Co. LLC will be the calculation agent	We have appointed our affiliate, Morgan Stanley & Co. LLC, which we refer to as MS & Co., to act as calculation agent for The Bank of New York Mellon, a New York banking corporation, the trustee for our senior notes. As calculation agent, MS & Co. will determine the initial share price, the final share price, the share return, the buffered downside return, whether a market disruption event has occurred, whether to make any adjustments to the adjustment factor and the payment that you will receive at maturity, if any.
Morgan Stanley & Co. LLC will be the Agent; conflicts of interest	The Agent for the offering of the securities, MS & Co., a wholly owned subsidiary of Morgan Stanley and an affiliate of MSFL, 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. See “Description of the Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest” starting on PS-33.
You may revoke your offer to purchase the securities prior to our acceptance	We are using this pricing supplement to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will notify you.
Where you can find more information on the securities	The securities are unsecured debt securities issued as part of our Series A medium-term note program. You can find a general description of our Series A medium-term note program in the accompanying prospectus supplement dated February 16, 2016, the index supplement dated January 30, 2017 and the prospectus dated February 16, 2016. We describe the basic features of this type of debt security in the sections of the prospectus supplement called “Description of Notes—Notes Linked to Commodity Prices, Single Securities, Baskets of Securities or Indices” and in the section of the prospectus called “Description of Debt Securities—Fixed Rate Debt Securities.”

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Because this is a summary, it does not contain all of the information that may be important to you. For a detailed description of the terms of the securities, you should read the “Description of the Securities” section in this pricing supplement. You should also read about some of the risks involved in investing in the securities in the section called “Risk Factors.” The tax and accounting treatment of investments in equity-linked securities such as these may differ from that of investments in ordinary debt securities or common stock. See the section of this pricing supplement called “Description of the Securities—United States Federal Taxation.” We urge you to consult with your investment, legal, tax, accounting and other advisers with regard to any proposed or actual investment in the securities.

How to reach us

You may contact your local Morgan Stanley branch office or Morgan Stanley’s principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (212) 761-4000).

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HYPOTHETICAL PAYOUT ON THE SECURITIES AT MATURITY

The following tables and examples illustrate the hypothetical payment at maturity on the securities (aside from the final semiannual coupon), assuming a range of performances for the underlying shares, as measured on both the averaging dates and the final valuation date. The hypothetical returns set forth below assume an initial share price of $60.00 and that no adjustments are made to the adjustment factor, and reflect the buffer amount of 20% and the downside factor of 1.25. The hypothetical total returns set forth below are for illustrative purposes only.

Scenario A: Each of the average share price and the final share price is greater than or equal to the initial share price.

If each of the average share price and the final share price is greater than or equal to the initial share price, the average share return will reflect the performance of the underlying shares from the initial share price to the average share price, based on the arithmetic average of the closing prices of the underlying shares on the four quarterly averaging dates, and the buffered downside return will be equal to 0%, regardless of any appreciation of the final share price above the initial share price, because the buffered downside return is capped at 0%. In such a case, the return on the securities will reflect the average share return. The following table and example illustrate the hypothetical payment at maturity and total return at maturity on the securities under these circumstances.

| | Average Share
Price | Average Share Return | Final Share Price | Buffered Downside Return | Payment
at Maturity | Return on Securities |
| --- | --- | --- | --- | --- | --- | --- |
| Example 1--- | $108.00 $102.00 $96.00 $90.00 $84.00 $78.00 $72.00 $69.00 $66.00 $63.00 $61.50 | 80.000% 70.000% 60.000% 50.000% 40.000% 30.000% 20.000% 15.000% 10.000% 5.000% 2.500% | $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more $60.00 or more | 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% | $1,800.00 $1,700.00 $1,600.00 $1,500.00 $1,400.00 $1,300.00 $1,200.00 $1,150.00 $1,100.00 $1,050.00 $1,025.00 | 80.000% 70.000% 60.000% 50.000% 40.000% 30.000% 20.000% 15.000% 10.000% 5.000% 2.500% |

The following example illustrates how the payment at maturity is calculated.

Example 1 (indicated adjacent to the relevant line in the table above): The price of the underlying shares increases from the initial share price of $60.00 to an average share price of $63.00. Because the average share price of $63.00 is greater than the initial share price, the average share return is 5%. Because the final share price is greater than or equal to the initial share price, the buffered downside return is 0%. Accordingly, the investor receives a payment at maturity of $1,050.00 per $1,000 principal amount, calculated as follows :**

$1,000 × (1 + 5.00% + 0%) = $1,050.00

Scenario B: Each of the average share price and the final share price is equal to or less than the initial share price.

If each of the average share price and the final share price is equal to or less than the initial share price, the average share return will be equal to 0%, regardless of any depreciation of the average share price below the initial share price, because the average share return is floored at 0%, and the buffered downside return will reflect any depreciation of the final share price below the initial share price by more than the buffer amount, multiplied by the downside factor. In such a case, the return on the securities will reflect the buffered downside return, and investors will lose some or all of their investment if the buffered downside return is negative, meaning that the final share price has declined from the initial share price by an amount greater than the 20% buffer amount. The following table and examples illustrate the hypothetical payment at maturity and total return at maturity on the securities under these circumstances.

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| | Final
Share Price | Share Return | Buffered Downside Return | Average Share Return | Payment at Maturity | Return on the Securities |
| --- | --- | --- | --- | --- | --- | --- |
| | $60.00 | 0.00% | 0.0000% | 0.00% | $1,000.00 | 0.0000% |
| | $57.00 | -5.00% | 0.0000% | 0.00% | $1,000.00 | 0.0000% |
| | $54.00 | -10.00% | 0.0000% | 0.00% | $1,000.00 | 0.0000% |
| Example 1 -- | $51.00 | -15.00% | 0.0000% | 0.00% | $1,000.00 | 0.0000% |
| | $48.00 | -20.00% | 0.0000% | 0.00% | $1,000.00 | 0.0000% |
| | $45.00 | -25.00% | -6.25% | 0.00% | $937.50 | -6.25% |
| | $42.00 | -30.00% | -12.50% | 0.00% | $875.00 | -12.50% |
| | $36.00 | -40.00% | -25.00% | 0.00% | $750.00 | -25.00% |
| Example 2-- | $30.00 | -50.00% | -37.50% | 0.00% | $625.00 | -37.50% |
| | $24.00 | -60.00% | -50.00% | 0.00% | $500.00 | -50.00% |
| | $18.00 | -70.00% | -62.50% | 0.00% | $375.00 | -62.50% |
| | $12.00 | -80.00% | -75.00% | 0.00% | $250.00 | -75.00% |
| | $6.00 | -90.00% | -87.50% | 0.00% | $125.00 | -87.50% |
| | $0.00 | -100.00% | -100.00% | 0.00% | $0.00 | -100.00% |

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1 (indicated adjacent to the relevant line in the table above): The price of the underlying shares decreases from the initial share price of $60.00 to a final share price of $51.00. Because the average share price is equal to or less than the initial share price, the average share return is 0%. Because the final share price of $51.00 is less than the initial share price of $60.00 by an amount less than or equal to the buffer amount of 20%, the share return and the buffered downside return are both equal to 0%. Accordingly, the investor receives a payment at maturity of $1,000 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 0% + 0%) = $1,000

Example 2 (indicated adjacent to the relevant line in the table above): The price of the underlying shares decreases from the initial share price of $60.00 to a final share price of $30.00. Because the average share price is equal to or less than the initial share price, the average share return is 0%. Because the final share price of $30.00 is less than the initial share price of $60.00 by an amount greater than the buffer amount of 20% and the share return is -50%, the buffered downside return is equal to -37.50%. Accordingly, the investor receives a payment at maturity of $625.00 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 0% + -37.50%) = $625.00

Scenario C: The average share price is greater than or equal to the initial share price, while the final share price is equal to or less than the initial share price.

If the average share price is greater than or equal to the initial share price, the average share return will reflect the performance of the underlying shares from the initial share price to the average share price, based on the arithmetic average of the closing prices of the underlying shares on the four quarterly averaging dates. If the final share price is equal to or less than the initial share price, the buffered downside return will reflect any depreciation of the final share price below the initial share price by more than the buffer amount, multiplied by the downside factor. Accordingly, under these circumstances, the average share return and the buffered downside return will be set off against each other. In this case, the investor will lose some or all of their principal amount at maturity if the average share return is not sufficient to fully offset any negative buffered downside return. Even if the positive average share return fully offsets the negative buffered downside return, the effect of the negative buffered downside return will be to partially or fully offset the upside return from the positive average share return. The following table and examples illustrate the hypothetical payment at maturity and total return at maturity on the securities under these circumstances.

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| | Average
Share Price | Average
Share Return | Final Share Price | Share Return | Buffered Downside Return | Payment at Maturity | Return
on the Securities |
| --- | --- | --- | --- | --- | --- | --- | --- |
| | 90.00 | 50.00% | $60.00 | 0.00% | 0.00% | $1,500.00 | 50.00% |
| | 90.00 | 50.00% | $57.00 | -5.00% | 0.00% | $1,500.00 | 50.00% |
| | 90.00 | 50.00% | $54.00 | -10.00% | 0.00% | $1,500.00 | 50.00% |
| | 90.00 | 50.00% | $45.00 | -25.00% | -6.25% | $1,437.50 | 43.75% |
| | 90.00 | 50.00% | $30.00 | -50.00% | -37.50% | $1,125.00 | 12.50% |
| | 90.00 | 50.00% | $0.00 | -100.00% | -100.00% | $500.00 | -50.00% |
| Example 1-- | 72.00 | 20.00% | $60.00 | 0.00% | 0.00% | $1,200.00 | 20.00% |
| | 72.00 | 20.00% | $57.00 | -5.00% | 0.00% | $1,200.00 | 20.00% |
| | 72.00 | 20.00% | $54.00 | -10.00% | 0.00% | $1,200.00 | 20.00% |
| | 72.00 | 20.00% | $45.00 | -25.00% | -6.25% | $1,137.50 | 13.75% |
| | 72.00 | 20.00% | $30.00 | -50.00% | -37.50% | $825.00 | -17.50% |
| | 72.00 | 20.00% | $0.00 | -100.00% | -100.00% | $200.00 | -80.00% |
| | 66.00 | 10.00% | $60.00 | 0.00% | 0.00% | $1,100.00 | 10.00% |
| | 66.00 | 10.00% | $57.00 | -5.00% | 0.00% | $1,100.00 | 10.00% |
| | 66.00 | 10.00% | $54.00 | -10.00% | 0.00% | $1,100.00 | 10.00% |
| Example 2-- | 66.00 | 10.00% | $45.00 | -25.00% | -6.25% | $1,037.50 | 3.75% |
| | 66.00 | 10.00% | $30.00 | -50.00% | -37.50% | $625.00 | -27.50% |
| | 66.00 | 10.00% | $0.00 | -100.00% | -100.00% | $100.00 | -90.00% |
| | 63.00 | 5.00% | $60.00 | 0.00% | 0.00% | $1,050.00 | 5.00% |
| | 63.00 | 5.00% | $57.00 | -5.00% | 0.00% | $1,050.00 | 5.00% |
| | 63.00 | 5.00% | $54.00 | -10.00% | 0.00% | $1,050.00 | 5.00% |
| | 63.00 | 5.00% | $45.00 | -25.00% | -6.25% | $987.50 | -1.25% |
| Example 3-- | 63.00 | 5.00% | $30.00 | -50.00% | -37.50% | $675.00 | -32.50% |
| | 63.00 | 5.00% | $0.00 | -100.00% | -100.00% | $50.00 | -95.00% |
| | 60.00 | 0.00% | $60.00 | 0.00% | 0.00% | $1,000.00 | 0.00% |
| | 60.00 | 0.00% | $57.00 | -5.00% | 0.00% | $1,000.00 | 0.00% |
| | 60.00 | 0.00% | $54.00 | -10.00% | 0.00% | $1,000.00 | 0.00% |
| | 60.00 | 0.00% | $45.00 | -25.00% | -6.25% | $375.00 | -6.25% |
| | 60.00 | 0.00% | $30.00 | -50.00% | -37.50% | $62.50 | -37.50% |
| | 60.00 | 0.00% | $0.00 | -100.00% | -100.00% | $0.00 | -100.00% |

The following examples illustrate how the payment at maturity in different hypothetical scenarios is calculated.

Example 1 (indicated adjacent to the relevant line in the table above): The price of the underlying shares increases from the initial share price of $60.00 to an average share price of $72.00, as measured on the four quarterly averaging dates, but ultimately decreases from the initial share price of $60.00 to final share price of $57.00. Because the average share price of $72.00 is greater than the initial share price of $60.00, the average share return is equal to 20%. Because the final share price of $57.00 is less than the initial share price of $60.00 by an amount less than or equal to the buffer amount of 20%, the share return is -5.00% and the buffered downside return is 0%. Accordingly, the investor receives a payment at maturity of $1,200 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 20.00% + 0%) = $1,200

Example 2 (indicated adjacent to the relevant line in the table above): The price of the underlying shares increases from the initial share price of $60.00 to an average share price of $66.00, as measured on the four quarterly averaging dates, but ultimately decreases from the initial share price of $60.00 to a final share price of $45.00. Because the average share price of $66.00 is greater than the initial share price of $60.00, the average share return is equal to 10%. Because the final share price of $45.00 is less than the initial share price of $60.00 by an amount greater than the buffer amount of 20% and the share return is -25.00%, the buffered downside return is equal to -6.25%.

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Accordingly, the investor receives a payment at maturity of $1,037.50 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 10.00% + -6.25%) = $1,037.50

In this example, the negative buffered downside return partially offsets the positive average share return, reducing the upside return based on the average share return.

Example 3 (indicated adjacent to the relevant line in the table above): The price of the underlying shares increases from the initial share price of $60.00 to an average share price of $63.00, as measured on the four quarterly averaging dates, but ultimately decreases from the initial share price of $60.00 to a final share price of $30.00. Because the average share price of $63.00 is greater than the initial share price of $60.00, the average share return is equal to 5%. Because the final share price of $30.00 is less than the initial share price of $60.00 by an amount greater than the buffer amount of 20% and the share return is -50.00%, the buffered downside return is equal to -37.50%. Accordingly, the investor receives a payment at maturity of $675.00 per $1,000 principal amount, calculated as follows:

$1,000 × (1 + 5.00% + -37.50%) = $675.00

In this example, the negative buffered downside return more than fully offsets the positive average share return, resulting in a significant loss of principal.

Scenario D: The average share price is equal to or less than the initial share price, while the final share price is greater than or equal to the initial share price.

If the average share price is equal to or less than the initial share price, the average share return will be equal to 0%, regardless of any depreciation of the average share price below the initial share price, because the average share return is floored at 0%. If the final share price is greater than or equal to the initial share price, the buffered downside return will be equal to 0%, regardless of any appreciation of the final share price above the initial share price, because the buffered downside return is capped at 0%.

Accordingly, under these circumstances, the investor receives a payment at maturity of $1,000 per $1,000 principal amount of securities, and does not benefit in any appreciation in the final share price as compared to the initial share price. The payment at maturity is calculated as follows:

$1,000 × (1 + 0% + 0%) = $1,000

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RISK FACTORS

The securities are not secured debt and, unlike ordinary debt securities, do not guarantee the return of any principal at maturity. Investing in the securities is not equivalent to investing in the underlying shares or the stocks that constitute the MSCI EAFE Index SM . This section describes the most significant risks relating to the securities. For a further discussion of risk factors, please see the accompanying prospectus supplement, index supplement and prospectus. You should carefully consider whether the securities are suited to your particular circumstances before you decide to purchase them.

The securities do not guarantee any return of principal	The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee to pay you any of the principal amount of the securities at maturity. At maturity, you will receive, in addition to the final semiannual coupon, for each $1,000 stated principal amount of securities that you hold an amount in cash based on two measures of performance of the underlying shares: (i) the average share return and (ii) the buffered downside return. The average share return reflects any appreciation in the underlying shares reflected in the average share return (determined based on the arithmetic average of the closing price of the underlying shares on the four quarterly averaging dates during the last year of the term of the securities), The buffered downside return reflects any depreciation of the underlying shares reflected in the share return (determined based not on an average price but solely on the closing price of the underlying shares on the final valuation date) by more than the buffer amount, times the downside factor. If the final share price is less than the initial share price, you will be exposed to any depreciation of the underlying shares in excess of the buffer amount times the downside factor, unless the average share return is sufficiently positive to fully offset the negative buffered downside return. In this circumstance, for every 1% that the final share price is less than the initial share price by more than 20%, the buffered downside return will decline by 1.25%, which will offset against any positive average share return (if the average share return is positive) and will reduce the return on the securities in all cases. There is no minimum payment at maturity. If the final share price is less than the initial share price by an amount greater than the buffer amount of 20%, the buffered downside return will be negative. Under these circumstances, you will lose some or all of your initial investment in the securities if the average share return is not sufficient to fully offset the negative buffered downside return. See “Hypothetical Payout on the Securities at Maturity” on PS-8.
Any positive upside return from the average share return may be moderated or fully or more than fully offset by any negative buffered downside return	The payment at maturity on the securities
will be reduced by any negative buffered downside return, which reflects any depreciation of the underlying shares in excess of
the buffer amount from the initial share price to the final share price, which is equal to the closing price of the underlying
shares on the final valuation date. This will be true even if the underlying shares appreciate from the initial share price to
the average share price, which will be the arithmetic average of the closing prices of the underlying shares on the four quarterly
averaging dates during the final year of the securities. Therefore, in calculating the payment at maturity, any positive average
share return may be moderated, or fully or more than fully offset, by any negative buffered downside return. Even if the positive
average share return fully offsets the negative buffered downside return, the effect of the negative buffered downside return will
be to partially or fully offset the upside return from the positive average share return.
With respect to the calculation of the buffered	Even if the final share price is greater
than the initial share price or is less than the initial share price by an amount less than or equal to the buffer amount, the

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downside return, you will not benefit from any appreciation in the underlying shares, or any depreciation of the underlying shares in an amount less than the buffer amount, based solely on the final share price	buffered downside return will not be greater than 0%. Accordingly, the buffered downside return will not provide any positive contribution toward the return on the securities at maturity. The upside return on the securities (aside from the semi-annual interest payments) will reflect only any positive average share return, as reduced by any negative buffered downside return.
The market price of the securities will be influenced by many unpredictable factors	Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market, including the trading price, volatility (frequency and magnitude of changes in value) and dividends of the underlying shares and of the stocks composing the MSCI EAFE Index SM , interest and yield rates in the market, time remaining until the securities mature, 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 share price of the underlying shares, the exchange rates relative to the U.S. dollar with respect to each of the currencies in which the shares comprising the MSCI EAFE Index SM trade, the occurrence of certain events affecting the underlying shares that may or may not require an adjustment to the adjustment factor, and any actual or anticipated changes in our credit ratings or credit spreads. 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 “iShares ® MSCI EAFE ETF; Public Information” below. You may receive less, and possibly significantly less, than the stated principal amount per securities if you try to sell your securities prior to maturity.
The securities are subject to our credit risk, and any actual or anticipated changes to our credit ratings or credit spreads may adversely affect the market value of the securities	You are dependent on our ability to pay all amounts due on the securities on the coupon payment dates and 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.
As a finance subsidiary, MSFL has no independent operations and will have no independent assets	As a finance subsidiary, MSFL has no independent operations beyond the issuance and administration of its securities and will have no independent assets available for distributions to holders of MSFL securities if they make claims in respect of such securities in a bankruptcy, resolution or similar proceeding. Accordingly, any recoveries by such holders will be limited to those available under the related guarantee by Morgan Stanley and that guarantee will rank pari passu with all other unsecured, unsubordinated obligations of Morgan Stanley. Holders will have recourse only to a single claim against Morgan Stanley and its assets under the guarantee. Holders of securities issued by MSFL should accordingly assume that in any such proceedings they would not have any priority over and should be treated pari passu with the claims of other unsecured, unsubordinated creditors of Morgan Stanley, including holders of Morgan Stanley-issued securities.
The amount payable at maturity, if any, is based	The amount payable at maturity, if any, will be calculated by reference to both the average share return, which reflects any appreciation of the underlying shares from

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in part on the arithmetic average of the closing price of the underlying shares on each of the four quarterly averaging dates during the last year of the term of the securities, and therefore the payment at maturity may be less than if it were based solely on the closing price on the final valuation date the initial share price to the average share price, which is the arithmetic average of the closing prices of the underlying shares on the four quarterly averaging dates during the last year of the term of the securities, and the buffered downside return, which reflects any depreciation in the share return (determined based on the closing price of the underlying shares on the final valuation date, as compared to the initial share price) by more than the buffer amount of 20% times the downside factor of 1.25. Therefore, in calculating the average share price, positive performance of the underlying shares as of some averaging dates may be moderated, or wholly offset, by lesser or negative performance as of other averaging dates. Similarly, the average share price, calculated based on the closing price of the underlying shares on the four averaging dates, may be less than the closing price of the underlying shares on the final valuation date, and as a result, the payment at maturity you receive may be less than if it were based solely on the closing price of the underlying shares on the final valuation date for both upside and downside exposure to the underlying shares. Additionally, any declines in the price of the underlying shares prior to or on the final valuation date will reduce the buffered downside return, which can partially, fully or more than fully offset any increases in the price of the underlying shares as of the other averaging dates, potentially resulting in a loss even if the average share return is positive. Investing in the securities is not the same as investing in securities that offer 1-to-1 upside exposure to the performance of the underlying shares.

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

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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 original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices | Assuming no change in market conditions or any other relevant
factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market
transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the
issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because
the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge
in a secondary market transaction of this type as well as other factors. The inclusion of the costs of issuing, selling, structuring
and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms
of the securities less favorable to you than they otherwise would be. However, because the costs associated with issuing,
selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 6 months following
the issue 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. |
| --- | --- |
| The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price | These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your notes in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this document will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price of the securities will be influenced by many unpredictable factors” above. |
| Investing in the securities is not equivalent to investing in the underlying shares or the stocks composing the MSCI EAFE Index SM | Investing in the securities is not equivalent to investing in the underlying shares, the MSCI EAFE Index SM (the “share underlying index”) or the stocks that constitute the MSCI EAFE Index SM . Investors in the securities will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying shares or the stocks that constitute the MSCI EAFE Index SM . |
| The price of the underlying shares is subject to currency exchange risk | Because the price of the underlying shares is related to the U.S. dollar value of stocks underlying the MSCI EAFE Index SM , holders of the securities will be exposed to currency exchange rate risk with respect to each of the currencies in which such component securities trade. Exchange rate movements for a particular currency are volatile and are the result of numerous factors including the supply of, and the demand for, those currencies, as well as relevant government policy, intervention or actions, but are also influenced significantly from time to time by political or economic developments, and by macroeconomic factors and speculative actions related to the relevant region. An investor’s net exposure will depend on the extent to which the currencies of the component securities strengthen or weaken against the U.S. dollar and the relative weight of each currency. If, taking into account such |

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| | weighting, the dollar strengthens against the currencies of
the component securities represented in the MSCI EAFE Index SM , the price of the underlying shares will be adversely
affected and the payment at maturity on the securities may be reduced. Of particular importance to potential currency exchange risk
are: · existing and expected rates of inflation; · existing and expected interest rate levels; · the balance of payments; and · the
extent of governmental surpluses or deficits in the countries represented in the MSCI EAFE Index SM and the United States. All of these factors are in turn sensitive to the monetary,
fiscal and trade policies pursued by the governments of various countries represented in the MSCI EAFE Index SM and the
United States and other countries important to international trade and finance. |
| --- | --- |
| There are risks associated with investments in securities linked to the value of foreign equity securities | The underlying shares track the performance of the MSCI EAFE Index SM , which is linked to the value of foreign equity securities. Investments in securities linked to the value of foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting requirements of the Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries, or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may differ unfavorably from the economy in the United States in such respects as growth of gross national product, rate of inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions between countries. |
| Adjustments to the underlying shares or to the MSCI EAFE Index SM could adversely affect the value of the securities | As the investment adviser to the iShares ® MSCI EAFE ETF, BlackRock Fund Advisors (the “Investment Adviser”), seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI EAFE Index SM . Pursuant to its investment strategy or otherwise, the Investment Adviser may add, delete or substitute the stocks composing the iShares ® MSCI EAFE ETF. Any of these actions could adversely affect the price of the underlying shares and, consequently, the value of the securities. MSCI Inc. (“MSCI”) is responsible for calculating and maintaining the MSCI EAFE Index SM . MSCI may add, delete or substitute the stocks constituting the MSCI EAFE Index SM or make other methodological changes that could change the value of the MSCI EAFE Index SM . MSCI may discontinue or suspend calculation or publication of the MSCI EAFE 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 MSCI EAFE Index SM and is permitted to consider indices that are calculated and |

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	published by the calculation agent or any of its affiliates.
The performance and market price of the Fund, 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 Fund	The Fund does 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 Fund 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 Fund and the share underlying
index. In addition, corporate actions (such as mergers and spin-offs) with respect to the equity securities underlying the
Fund may impact the variance between the performances of the Fund and the share underlying index. Finally, because the shares
of the Fund are traded on an exchange and are subject to market supply and investor demand, the market price of one share
of the Fund may differ from the net asset value per share of the Fund. In particular, during periods of market volatility, or unusual
trading activity, trading in the securities underlying the Fund may be disrupted or limited, or such securities may be unavailable
in the secondary market. Under these circumstances, the liquidity of the Fund may be adversely affected, market participants
may be unable to calculate accurately the net asset value per share of the Fund, and their ability to create and redeem shares
of the Fund may be disrupted. Under these circumstances, the market price of shares of the Fund may vary substantially from the
net asset value per share of the Fund or the level of the share underlying index. For all of the foregoing reasons, the performance of the Fund
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 Fund. Any of these events could materially and adversely affect
the price of the shares of the Fund and, therefore, the value of the securities. Additionally, if market volatility or these
events were to occur on any of the averaging dates, including the final valuation 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 Fund on each of the
four averaging dates, including the final valuation date, even if the Fund’s 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 Fund.
The antidilution adjustments the calculation agent is required to make do not cover every event that could affect the shares of the iShares ® MSCI EAFE ETF	MS & Co., as calculation agent, will adjust the adjustment
factor for certain events affecting the shares of the iShares ® MSCI EAFE ETF. However, the calculation agent will
not make an adjustment for every event that could affect the shares of the iShares ® MSCI EAFE ETF. 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.
The calculation agent, which is a subsidiary of Morgan Stanley and an affiliate of MSFL, will make determinations with respect to the securities	As calculation agent, MS & Co. will determine the initial share price, the share return, the average share return, the average share price, the final share price, whether to make any adjustments to the adjustment factor and the amount of cash, if any, you will receive at maturity. 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 non-occurrence of market disruption events, certain adjustments to the adjustment factor and the

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	selection of a successor index or calculation of the average share price and final share price in the event of a market disruption event or discontinuance of MSCI EAFE Index SM . These potentially subjective determinations may adversely affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description of the Securities—Antidilution Adjustments,” “—Calculation Agent and Calculations,” “—Market Disruption Event,” “—Postponement of Averaging Date(s),” “—Alternate Exchange Calculation in Case of an Event of Default,” “—Discontinuance of the Underlying Shares and/or Share Underlying Index; Alteration of Method of Calculation” and related definitions. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.
Hedging and trading activity by our affiliates could potentially adversely affect the value of the securities	One or more of our affiliates and/or third-party dealers expect to carry out hedging activities related to the securities (and to other instruments linked to the underlying shares or the MSCI EAFE Index SM ), including trading in the underlying shares and in other instruments related to the underlying shares or the MSCI EAFE Index SM . 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 averaging dates approach. Some of our affiliates also trade the underlying shares or the stocks that constitute the MSCI EAFE Index SM and other financial instruments related to the MSCI EAFE Index SM 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 pricing date could potentially increase the initial share price, and, therefore, could increase the price at or above which the shares of the iShares ® MSCI EAFE ETF must close on the averaging dates, including the final valuation date, so that investors do not suffer a loss on their initial investment in the securities. Additionally, such hedging or trading activities during the term of the securities, including on the averaging dates, could adversely affect the final share price, and, accordingly, the amount of cash an investor will receive at maturity, if any.
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. Please read the discussion under “United States Federal
Taxation” 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. Because the securities are linked to shares of an exchange-traded
fund, although the matter is not clear, there is a substantial risk that an investment in the securities will be treated as a “constructive
ownership transaction.” If this treatment applies, all or a portion of any long-term capital gain of a U.S. Holder in respect
of the securities could be recharacterized as ordinary income (in which case an interest charge would be imposed). U.S. investors should read the section entitled “Tax Consequences to

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U.S. Holders-Tax Treatment of the Securities-Potential Application of the Constructive Ownership Rule” in this pricing supplement. 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 issued 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.

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DESCRIPTION OF THE SECURITIES

Terms not defined herein have the meanings given to such terms in the accompanying prospectus supplement. The term “Security” refers to each $1,000 Stated Principal Amount of our Fixed Income Buffered Securities with Upside Participation Based on the Value of the iShares ® MSCI EAFE ETF due March 8, 2021.

Aggregate Principal Amount	$
Pricing Date	March 3, 2017
Original Issue Date (Settlement Date)	March 8, 2017 (3 Business Days after the Pricing
Date)
Maturity Date	March 8, 2021, subject to extension as described
in the following paragraph.
	If, due to a Market Disruption Event or otherwise, the Final
Valuation Date is postponed so that it falls less than two Business Days prior to the scheduled Maturity Date, the Maturity
Date will be postponed to the second Business Day following the Final Valuation Date as postponed. See “Postponement
of Averaging Dates” below.
Issue Price	100% ($1,000 per Security)
Stated Principal Amount	$1,000 per Security
Denominations	$1,000 and integral multiples thereof
CUSIP Number	61768CFG7
ISIN	US61768CFG78
Specified Currency	U.S. dollars
Payment at Maturity	At maturity, upon delivery of the Securities
to the Trustee, we will pay, in addition to the final Semiannual Coupon, with respect to the $1,000 Stated Principal Amount
of each Security, an amount in cash, as determined by the Calculation Agent, equal to:
	$1,000 × (1 + Average Share Return + Buffered Downside
Return)
	We will, or will cause the Calculation Agent to, (i) provide
written notice to the Trustee and to The Depository Trust Company, which we refer to as DTC, of the amount of cash to be delivered
with respect to the $1,000 Stated Principal Amount of each Security, on or prior to 10:30 a.m. (New York City time) on the
Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount due with respect to the Securities to
the Trustee for delivery to DTC, as holder of the Securities, on or prior to the Maturity Date. We expect such
amount of cash will be distributed to investors on the Maturity Date in accordance with the standard rules and procedures
of DTC and its direct and indirect participants. See “—Book Entry Security or Certificated Security”
below, and see “Forms of Securities—The Depositary” in the accompanying prospectus.
Semiannual Coupon	The Semiannual Coupon payable on this Security
on each Coupon Payment Date will be payable at an annual rate of at least 1.90% for

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| | the related Interest Period (computed
on the basis of a year of 360 days and twelve 30-day months). The actual Semiannual Coupon rate will be determined on the
Pricing Date. |
| --- | --- |
| | We will, or will cause the Calculation Agent to, (i) provide
written notice to the Trustee, on which notice the Trustee may conclusively rely, and to the Depositary of the amount of cash
to be delivered as Semiannual Coupon pursuant to the preceding paragraph with respect to each Stated Principal Amount of each
Security on or prior to 10:30 a.m. (New York City time) on the Business Day preceding each Coupon Payment Date, and (ii) deliver
the aggregate cash amount due with respect to the applicable Semiannual Coupon to the Trustee for delivery to the Depositary,
as holder of the Securities, on the applicable Coupon Payment Date. |
| Interest Period | The semiannual period from and including the
Original Issue Date (in the case of the first Interest Period) or the previous scheduled Coupon Payment Date, as applicable,
to but excluding the following scheduled Coupon Payment Date, with no adjustment for any postponement thereof. |
| Coupon Payment Dates | Semiannually, on the 8 th day of
each March and September, beginning September 8, 2017; provided that if any scheduled Coupon Payment Date is not a
Business Day, that Semiannual Coupon, if any, will be paid on the next succeeding Business Day and no adjustment will be made
to any coupon payment made on that succeeding Business Day; provided further that the final Semiannual Coupon will
be paid on the Maturity Date. |
| Record Date | One Business Day prior to the related scheduled
Coupon Payment Date; provided that the Semiannual Coupon payable at maturity will be payable to the person to whom the Payment
at Maturity will be payable. |
| Average Share Return | A fraction, as determined by the Calculation
Agent, the numerator of which is the Average Share Price minus the Initial Share Price and the denominator of which is the
Initial Share Price, subject to a minimum of 0%, as described by the following formula: |

Average Share Return = Average Share Price – Initial Share Price Initial Share Price

| | provided that the Average Share Return
will not be less than 0% |
| --- | --- |
| Average Share Price | The arithmetic average of the following, calculated
on each of the four Averaging Dates: the product of (i) the Closing Price of the Underlying Shares on such date and (ii) the
Adjustment Factor on such date, each as determined by the Calculation Agent. |
| Buffered Downside Return | The product of (i) the sum of
the Share Return and the Buffer Amount and, (ii) the Downside Factor, provided that the Buffered Downside Return will not
be greater than 0%. |

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| | Buffered Downside Return = (Share Return + Buffer
Amount) x Downside Factor |
| --- | --- |
| | provided that the Buffered Downside Return will not be
greater than 0%. |
| Share Return | A fraction, as determined by the Calculation
Agent, the numerator of which is the Final Share Price minus the Initial Share Price and the denominator of which is the Initial
Share Price, as described by the following formula: |

Share Return = Final Share Price – Initial Share Price Initial Share Price

Buffer Amount	20%
Downside Factor	1.25
Initial Share Price	$ ,
which is the Closing Price of one Underlying Share on the Pricing Date. See “Discontinuance of the Underlying Shares
and/or Share Underlying Index; Alteration of Method of Calculation” below.
Final Share Price	The product of the Closing Price of the Underlying
Shares on the Final Valuation Date and the Adjustment Factor on such date, each as determined by the Calculation Agent.
Closing Price	Subject to the provisions set out under “Discontinuance
of the Underlying Shares and/or Share Underlying Index; Alteration of Method of Calculation” below, the Closing Price
for one Underlying Share (or one unit of any other security for which a Closing Price must be determined) on any Trading Day
shall be determined by the Calculation Agent and shall mean:
	(i) if the Underlying Shares (or any such other security)
are listed on a national securities exchange (other than The NASDAQ Stock Market LLC (“NASDAQ”)), the last reported
sale price, regular way, of the principal trading session on such day on the principal national securities exchange registered
under the Securities Exchange Act of 1934, as amended, on which the Underlying Shares (or any such other security) are listed,
	(ii) if the Underlying Shares (or any such other security)
are securities of NASDAQ, the official closing price published by NASDAQ on such day, or
	(iii) if the Underlying Shares (or any such other security)
are not listed on any national securities exchange but are included in the OTC Bulletin Board Service (the “OTC Bulletin
Board”) operated by the Financial Industry Regulatory Authority, Inc. (“FINRA”), the last reported sale
price of the principal trading session on the OTC Bulletin Board on such day.

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| | If the Underlying Shares (or any such other security)
are listed on any national securities exchange but the last reported sale price or the official closing price published by
such exchange, or by NASDAQ, as applicable, is not available pursuant to the preceding sentence, then the Closing Price for
one Underlying Share (or one unit of any such other security) on any Trading Day shall mean the last reported sale price of
the principal trading session on the over-the-counter market as reported on NASDAQ or the OTC Bulletin Board on such day. If
a Market Disruption Event (as defined below) occurs with respect to the Underlying Shares (or any such other security) or
the last reported sale price or the official closing price published by NASDAQ, as applicable, for the Underlying Shares (or
any such other security) is not available pursuant to either of the two preceding sentences, then the Closing Price for any
Trading Day shall be the mean, as determined by the Calculation Agent, of the bid prices for the Underlying Shares (or any
such other security) for such Trading Day obtained from as many recognized dealers in such security, but not exceeding three,
as shall make such bid prices available to the Calculation Agent. Bids of Morgan Stanley & Co. LLC and its
successors (“MS & Co.”) or any of its affiliates may be included in the calculation of such mean, but only
to the extent that any such bid is the highest of the bids obtained. If no bid prices are provided from any third
party dealers, the Closing Price shall be determined by the Calculation Agent in its sole and absolute discretion (acting
in good faith) taking into account any information that it deems relevant. The term “OTC Bulletin Board Service”
shall include any successor service thereto, or, if applicable, the OTC Reporting Facility operated by FINRA. See
“Discontinuance of the Underlying Shares and/or Share Underlying Index; Alteration of Method of Calculation” below. |
| --- | --- |
| Underlying Shares | Shares of the iShares ® MSCI
EAFE ETF |
| Share Underlying Index | MSCI EAFE Index SM |
| Share Underlying Index Publisher | MSCI Inc. or any successor thereof |
| Final Valuation Date | March 3, 2021, subject to postponement
as set forth under “Postponement of Averaging Dates” below. |
| Averaging Dates | June 3, 2020, September 3, 2020, December 3, 2020 and the Final valuation date. |
| | If a Market Disruption Event occurs on any
scheduled Averaging Date or any Averaging Date, including the Final Valuation Date, is not otherwise a Trading Day, such scheduled
Averaging Date, including the Final Valuation Date, shall be subject to postponement as described under “Postponement
of Averaging Dates.” |
| Adjustment Factor | 1.0, subject to adjustment in the event of
certain events affecting the Underlying Shares. See “Antidilution Adjustments” below. |
| Business Day | Any day, other than a Saturday or Sunday,
that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to
close in The City of New York. |

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| Trading Day | A day, as determined by the Calculation
Agent, on which trading is generally conducted on the New York Stock Exchange LLC, NASDAQ, the Chicago Mercantile Exchange,
the Chicago Board of Options Exchange and in the over-the-counter market for equity securities in the United States. |
| --- | --- |
| Relevant Exchange | Relevant Exchange means the primary exchange
or market of trading for any security (or any combination thereof) then included in the Share Underlying Index or any Successor
Index (as defined below). |
| Antidilution Adjustments | If the Underlying Shares are subject to a
stock split or reverse stock split, then once such split has become effective, the Adjustment Factor shall be adjusted by
the Calculation Agent to equal the product of the prior Adjustment Factor and the number of shares issued in such stock split
or reverse stock split with respect to one Underlying Share. |
| | No adjustment to the Adjustment Factor pursuant
to the paragraph above shall be required unless such adjustment would require a change of at least 0.1% in the amount being
adjusted as then in effect. Any number so adjusted shall be rounded to the nearest one hundred-thousandth with
five one-millionths being rounded upward. |
| | The Calculation Agent shall be solely responsible
for the determination and calculation of any adjustments to the Adjustment Factor or method of calculating the Adjustment
Factor and of any related determinations, and its determinations and calculations with respect thereto shall be conclusive
in the absence of manifest error. |
| Book Entry Security or Certificated Security | Book
Entry. The Securities will be issued in the form of one or more fully registered global securities which will be deposited
with, or on behalf of, DTC and will be registered in the name of a nominee of DTC. DTC’s nominee will be the
only registered holder of the Securities. Your beneficial interest in the Securities will be evidenced solely by entries
on the books of the Securities intermediary acting on your behalf as a direct or indirect participant in DTC. In this
pricing supplement, all references to actions taken by “you” or to be taken by “you” refer to actions
taken or to be taken by DTC and its participants acting on your behalf, and all references to payments or notices to you will
mean payments or notices to DTC, as the registered holder of the Securities, for distribution to participants in accordance with
DTC’s procedures. For more information regarding DTC and book-entry securities, please read “Forms of Securities—The
Depositary” and “Forms of Securities—Global Securities—Registered Global Securities” in the accompanying
prospectus. |
| Senior Security or Subordinated Security | Senior |
| Trustee | The Bank of New York Mellon, a New York banking
corporation |
| Agent | Morgan Stanley & Co. LLC (“MS &
Co.”) |
| Calculation Agent | MS & Co. and its successors |
| | All determinations made by the Calculation Agent will be at
the sole discretion of the Calculation Agent and will, in the absence of |

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| | manifest error, be conclusive for all purposes and
binding on you, the Trustee and us. |
| --- | --- |
| | All calculations with respect to the Payment at Maturity, if
any, will be made by the Calculation Agent and will be rounded to the nearest one hundred-thousandth, with five one-millionths
rounded upward (e.g., .876545 would be rounded to .87655); all dollar amounts related to determination of the amount of cash
payable per Security will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g.,
.76545 would be rounded up to .7655); and all dollar amounts paid on the aggregate number of Securities 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 Securities, including
with respect to certain determinations and judgments that the Calculation Agent must make in determining the Initial Share
Price, the Final Share Price, the Average Share Return, the Buffered Downside Return, whether a Market Disruption Event has
occurred or whether to make any adjustments to the Adjustment Factor. See “—Antidilution Adjustments,”
“—Market Disruption Event,” “—Postponement of Averaging Date(s),” “—Alternate
Exchange Calculation in Case of an Event of Default” and “—Discontinuance of the Underlying Shares and/or
Share Underlying Index; Alteration of Method of Calculation” below. MS & Co. is obligated to carry out
its duties and functions as Calculation Agent in good faith and using its reasonable judgment. |
| Market Disruption Event | Market Disruption Event means, with respect
to the Underlying Shares |
| | (i) the occurrence or existence of: |
| | (a) a suspension, absence or material limitation of trading of the Underlying Shares
on the primary market for the Underlying Shares for more than two hours of trading or during the one-half hour period preceding
the close of the principal trading session in such market; or a breakdown or failure in the price and trade reporting systems
of the primary market for the Underlying Shares as a result of which the reported trading prices for the Underlying Shares
during the last one-half hour preceding the close of the principal trading session in such market are materially inaccurate;
or the suspension, absence or material limitation of trading on the primary market for trading in futures or options contracts
related to the Underlying Shares, if available, during the one-half hour period preceding the close of the principal trading
session in the applicable market, in each case as determined by the Calculation Agent in its sole discretion, or |
| | (b) a suspension, absence or material limitation of trading of stocks then constituting
20 percent or more of the value of the Share Underlying Index on the Relevant Exchanges 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
Exchanges, in each case as determined by the Calculation Agent in its sole discretion, or |

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| | (c) the suspension, material limitation or absence
of trading on any major U.S. securities market for trading in futures or options contracts related to the Share Underlying
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 |
| | (ii) 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 these Securities. |
| | For the purpose of determining whether a Market Disruption Event exists at any time, if
trading in a security included in the Share Underlying Index is materially suspended or materially limited at that time, then
the relevant percentage contribution of that security to the level of the Share Underlying Index will be based on a comparison
of (x) the portion of the level of the Share Underlying Index attributable to that security relative to (y) the overall level
of the Share Underlying Index, in each case immediately before that suspension or limitation. |
| | For the purpose of determining whether a Market Disruption Event
has occurred: (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 futures or options contract related to the Share Underlying Index or the Underlying
Shares will not constitute a Market Disruption Event, (3) a suspension of trading in futures or options contracts on the Share
Underlying Index or the Underlying Shares by the primary securities market trading in such contracts 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
(c) a disparity in bid and ask quotes relating to such contracts will constitute a suspension, absence or material limitation
of trading in futures or options contracts related to the Share Underlying Index or the Underlying Shares 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 related to the Share Underlying Index or the Underlying Shares are traded will not include any time when such securities
market is itself closed for trading under ordinary circumstances. |
| Postponement of Averaging Dates | If a Market Disruption Event occurs on any scheduled Averaging
Date, or if any such scheduled Averaging Date is not a Trading Day, the Share Closing Price for such scheduled Averaging Date
shall be determined on the immediately succeeding Trading Day on which no Market Disruption Event shall have occurred; provided that the Share Closing Price for any Averaging Date shall not be determined on a date later than the fifth scheduled Trading
Day after the scheduled Averaging Date, and if such date is not a Trading Day, or if there is a Market Disruption Event on
such date, the Calculation Agent shall determine the Share Closing Price on such date as the mean, as |

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| | determined by the Calculating Agent, of the bid
prices for the Underlying Shares for such date obtained from as many recognized dealers in such security, but not exceeding
three, as shall make such bid prices available to the Calculation Agent. Bids of MS & Co. or any of its affiliates may
be included in the calculation of such mean, but only to the extent that any such bid is the highest of the bids obtained.
If no bid prices are provided from any third-party dealers, the Share Closing Price shall be determined by the Calculation
Agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant. |
| --- | --- |
| Alternate
Exchange Calculation in Case of an Event of Default | If an Event of Default with respect to the Securities will have occurred and be continuing, the amount declared due and payable upon any acceleration of the Securities (the “Acceleration Amount”) will be an amount, determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial Institution, of the kind and selected as described below, expressly assume all our payment and other obligations with respect to the Securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to the Securities. That cost will equal: |
| | • the lowest amount that a Qualified Financial
Institution would charge to effect this assumption or undertaking, plus |
| | • the reasonable expenses, including reasonable
attorneys’ fees, incurred by the holders of the Securities in preparing any documentation necessary for this assumption
or undertaking. |
| | During the Default Quotation Period for the
Securities, which we describe below, the holders of the Securities and/or we may request a Qualified Financial Institution
to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party
obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the
first bullet point above will equal the lowest—or, if there is only one, the only—quotation obtained, and as to
which notice is so given, during the Default Quotation Period. With respect to any quotation, however, the party
not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the Qualified
Financial Institution providing the quotation and notify the other party in writing of those grounds within two Business Days
after the last day of the Default Quotation Period, in which case that quotation will be disregarded in determining the Acceleration
Amount. |
| | Notwithstanding the foregoing, if a voluntary
or involuntary liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to MSFL or Morgan
Stanley, then depending on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration
Amount. |
| | If the maturity of the Securities is accelerated
because of an Event of Default as described above, we will, or will cause the Calculation |

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| | Agent to, provide written notice
to the Trustee at its New York office, on which notice the Trustee may conclusively rely, and to DTC of the Acceleration Amount
and the aggregate cash amount due, if any, with respect to the Securities as promptly as possible and in no event later than
two Business Days after the date of such acceleration. |
| --- | --- |
| | Default Quotation Period |
| | The Default Quotation Period is the period
beginning on the day the Acceleration Amount first becomes due and ending on the third Business Day after that day, unless: |
| | • no
quotation of the kind referred to above is obtained, or |
| | • every
quotation of that kind obtained is objected to within five Business Days after the due date as described above. |
| | If either of these two events occurs, the
Default Quotation Period will continue until the third Business Day after the first Business Day on which prompt notice of
a quotation is given as described above. If that quotation is objected to as described above within five Business
Days after that first Business Day, however, the Default Quotation Period will continue as described in the prior sentence
and this sentence. |
| | In any event, if the Default Quotation Period
and the subsequent two Business Day objection period have not ended before the Final Valuation Date, then the Acceleration
Amount will equal the principal amount of the Securities. |
| | Qualified Financial Institutions |
| | For the purpose of determining the Acceleration
Amount at any time, a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction
in the United States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or
less from the date of issue and rated either: |
| | • A-2
or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating
agency, or |
| | • P-2
or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency. |
| Discontinuance of the Underlying Shares and/or
Share Underlying Index; Alteration of Method of Calculation | If the exchange-traded fund relating to the
Underlying Shares is liquidated or otherwise terminated (a “Liquidation Event”), the Closing Price of the Underlying
Shares on any Averaging Date following the Discontinuance or Liquidation Event shall be determined by the Calculation Agent
and shall be deemed to equal the product of (i) the closing value of the Share Underlying Index (or any Successor Index, as
described below) on such Date (taking into account any material changes in the method of calculating the Share |

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| | Underlying Index following such
Liquidation Event) times (ii) a fraction, the numerator of which is the Closing Price of the Underlying Shares and the denominator
of which is the closing value of the Share Underlying Index (or any Successor Index, as described below), each determined
as of the last day prior to the occurrence of the Liquidation Event on which a Closing Price of the Underlying Shares was
available. |
| --- | --- |
| | If the Share Underlying Index Publisher discontinues
publication of the Share Underlying Index and the Share 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 comparable
to the discontinued Share Underlying Index (such index being referred to herein as a “Successor Index”), then
any subsequent Closing Price following a Liquidation Event shall be determined by reference to the published value of such
Successor Index at the regular weekday close of trading on the Trading Day on which any Closing Price is to be determined. |
| | Upon any selection by the Calculation Agent
of a Successor Index, the Calculation Agent will cause written notice thereof to be furnished to the Trustee, to Morgan Stanley
and to DTC, as holder of the Securities, within three Business Days of such selection. We expect that such notice
will be made available to you, as a beneficial owner of the Securities, in accordance with the standard rules and procedures
of DTC and its direct and indirect participants. |
| | If, subsequent to a Discontinuance or Liquidation
Event, the Share Underlying Index Publisher discontinues publication of the Share Underlying Index prior to, and such discontinuance
is continuing on, any Averaging Date and the Calculation Agent determines, in its sole discretion, that no Successor Index
is available at such time, then the Calculation Agent shall determine the Closing Price for such date. The Closing
Price shall be computed by the Calculation Agent in accordance with the formula for calculating the Share Underlying 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
composing the Share Underlying Index without any rebalancing or substitution of such securities following such discontinuance. |
| iShares ® MSCI EAFE ETF; Public
Information | The iShares ® MSCI EAFE
ETF is an exchange-traded fund that seeks investment results that correspond generally to the price and yield performance,
before fees and expenses, of the MSCI EAFE Index SM . The iShares ® MSCI EAFE ETF is managed by iShares ® ,
Inc. (“iShares”), a registered investment company that consists of numerous separate investment portfolios, including
the iShares ® MSCI EAFE ETF. Information provided to or filed with the Securities and Exchange Commission (the
“Commission”) by iShares pursuant to the Securities Act of 1933 and the Investment Company Act of 1940 can be
located by reference to Commission file numbers 333-92935 and 811-09729, respectively, through the Commission’s website
at.www.sec.gov. In addition, information may be obtained from other |

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| | 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 iShares ® MSCI EAFE ETF is accurate or complete. |
| --- | --- |
| | This document relates only to the Securities offered hereby
and does not relate to the Underlying Shares. We have derived all disclosures contained in this document regarding iShares
from the publicly available documents described in the preceding paragraph. In connection with the offering of the Securities,
neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect
to iShares. Neither we nor the agent makes any representation that such publicly available documents or any other publicly
available information regarding iShares is accurate or complete. Furthermore, we cannot give any assurance that all events
occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available
documents described in the preceding paragraph) that would affect the trading price of the Underlying Shares (and therefore
the price of the Underlying Shares at the time we price the Securities) have been publicly disclosed. Subsequent disclosure
of any such events or the disclosure of or failure to disclose material future events concerning iShares could affect the
value received at maturity with respect to the Securities and therefore the value of the Securities. |
| | Neither we nor any of our affiliates makes any representation
to you as to the performance of the Underlying Shares. |
| | We and/or our affiliates may presently or from time to time
engage in business with iShares. In the course of such business, we and/or our affiliates may acquire non-public information
with respect to iShares, 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 prospective
purchaser of the Securities, you should undertake an independent investigation of iShares as in your judgment is appropriate
to make an informed decision with respect to an investment linked to the Underlying Shares. |
| | iShares ® is a registered trademark of BlackRock
Institutional Trust Company, N.A. (“BTC”). The Securities are not sponsored, endorsed, sold, or promoted by BTC.
BTC makes no representations or warranties to the owners of the Securities or any member of the public regarding the advisability
of investing in the Securities. BTC has no obligation or liability in connection with the operation, marketing, trading or
sale of the Securities. |
| The MSCI EAFE Index SM | The MSCI EAFE Index SM is a stock
index calculated, published and disseminated daily by MSCI Inc. (“MSCI”). The index is a free float-adjusted market
capitalization index that is designed to measure the |

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| | equity market performance of developed
markets, excluding the United States and Canada, and it consists of the following 21 developed market country indices: Australia,
Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand,
Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the United Kingdom. For additional information about the MSCI
EAFE Index, SM see the information set forth under “MSCI EAFE Index SM ” and “MSCI Global
Investable Market Indices Methodology” in the accompanying index supplement. |
| --- | --- |
| Historical Information | The following table sets forth the published
high and low Closing Prices, as well as end-of-quarter Closing Prices, of the Underlying Shares for each quarter in the period
from January 1, 2012 through February 13, 2017. The Closing Price of the Underlying Shares on February 13, 2017
was $60.38. The graph following the table sets forth the historical performance of the Underlying Shares for the
period from January 1, 2012 through February 13, 2017. We obtained the information in the table below from Bloomberg
Financial Markets, without independent verification. |
| | The historical values of the Underlying Shares should not be taken as an indication of
future performance, and no assurance can be given as to the Closing Price of the Underlying Shares on the four Averaging Dates. The
Final Share Price may decline below the Initial Share Price by an amount greater than the Buffer Amount so that the Payment
at Maturity will be less, and possibly significantly less, than the Stated Principal Amount of the Securities. |
| | We cannot give you any assurance that the Final Share Price, as measured on the four
Averaging Dates, will increase from the Initial Share Price so that you will receive a Payment at Maturity that exceeds the
Stated Principal Amount of the Securities. |

| iShares ® MSCI EAFE ETF | High
($) | Low
($) | Period
End ($) |
| --- | --- | --- | --- |
| 2012 | | | |
| First Quarter | 55.80 | 49.15 | 54.90 |
| Second Quarter | 55.51 | 46.55 | 49.96 |
| Third Quarter | 55.15 | 47.62 | 53.00 |
| Fourth Quarter | 56.88 | 51.96 | 56.82 |
| 2013 | | | |
| First Quarter | 59.89 | 56.90 | 58.98 |
| Second Quarter | 63.53 | 57.03 | 57.38 |
| Third Quarter | 65.05 | 57.55 | 63.79 |
| Fourth Quarter | 67.06 | 62.71 | 67.06 |
| 2014 | | | |
| First Quarter | 68.03 | 62.31 | 67.17 |
| Second Quarter | 70.67 | 66.26 | 68.37 |
| Third Quarter | 69.25 | 64.12 | 64.12 |
| Fourth Quarter | 64.51 | 59.53 | 60.84 |
| 2015 | | | |
| First Quarter | 65.99 | 58.48 | 64.17 |
| Second Quarter | 68.42 | 63.49 | 63.49 |
| Third Quarter | 65.46 | 56.25 | 57.32 |
| Fourth Quarter | 62.06 | 57.50 | 58.75 |

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| iShares ® MSCI EAFE ETF | High
($) | Low
($) | Period
End ($) |
| --- | --- | --- | --- |
| 2016 | | | |
| First Quarter | 57.80 | 51.38 | 57.13 |
| Second Quarter | 59.87 | 52.64 | 55.81 |
| Third Quarter | 59.86 | 54.44 | 59.13 |
| Fourth Quarter | 59.20 | 56.20 | 57.73 |
| 2017 | | | |
| First Quarter (through February 13, 2017) | 60.38 | 58.09 | 60.38 |

Historical Daily Closing Prices of the iShares ® MSCI EAFE ETF
January 1, 2012 through February 13, 2017
●

| Use of Proceeds and Hedging |
| --- |
| On or prior to the Pricing Date, we will hedge our anticipated
exposure in connection with the Securities, by entering into hedging transactions with our affiliates and/or third party dealers.
We expect our hedging counterparties to take positions in the Underlying Shares, futures and options contracts on the Underlying
Shares, and any component stocks of the Share Underlying Index listed on major securities markets or positions in any other
available securities or instruments that they may wish to use in connection with such hedging. Such purchase activity could
potentially increase the price of the Underlying Shares on the Pricing Date, and, therefore, could increase the price at or
above which the Underlying Shares must close on the Averaging Dates, including the Final Valuation Date, so that investors
do not suffer a loss on their initial investment in the Securities. In addition, through our affiliates, we are likely to
modify our hedge position throughout the term of the Securities, including on |

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| | the Averaging Dates, by purchasing and selling the
Underlying Shares, futures or options contracts on the Underlying Shares or component stocks of the Share Underlying Index
listed on major securities markets or positions in any other available securities or instruments that we may wish to use in
connection with such hedging activities. 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 Averaging Dates approach. We cannot give any assurance that our hedging activities will not affect the value of the
Underlying Shares, and, therefore, adversely affect the value of the Securities or the payment you will receive at maturity,
if any. |
| --- | --- |
| Supplemental Information Concerning Plan
of Distribution; Conflicts of Interest | MS & Co. will act as the agent for this offering and will not receive a sales commission in connection with sales of the Securities. |
| | MS & Co. is an affiliate 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 Securities. When MS & Co. prices this offering of Securities, it will determine
the economic terms of the Securities, including the Semiannual Coupon rate, such that for each Security the estimated value
on the Pricing Date will be no lower than the minimum level described in “Summary of Pricing Supplement” beginning
on PS-3. |
| | 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. |
| | In order to facilitate the offering of the Securities, the Agent
may engage in transactions that stabilize, maintain or otherwise affect the price of the Securities or the price of the Underlying
Shares. Specifically, the Agent may sell more securities than it is obligated to purchase in connection with the
offering, creating a naked short position in the Securities for its own account. The Agent must close out any naked
short position by purchasing the Securities in the open market after the offering. A naked short position in the
Securities is more likely to be created if the Agent is concerned that there may be downward pressure on the price of the
Securities in the open market after pricing that could adversely affect investors who purchase in the offering. As
an additional means of facilitating the offering, the Agent may bid for, and purchase, the Securities in the open market to
stabilize the price of the Securities. Any of these activities may raise or maintain the market price of the Securities
above independent market prices or prevent or retard a decline in the market price of the Securities. The Agent
is not required to engage in these activities, and may end any of these activities at any time. An affiliate of
the Agent has entered into a hedging transaction in connection with this offering of the Securities. See “—Use
of Proceeds and Hedging” above. |

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| General |
| --- |
| No action has been or will be taken by us, the Agent or any
dealer that would permit a public offering of the Securities or possession or distribution of this pricing supplement or the
accompanying prospectus supplement, index supplement or prospectus in any jurisdiction, other than the United States, where
action for that purpose is required. No offers, sales or deliveries of the Securities, or distribution of this
pricing supplement or the accompanying prospectus supplement, index supplement or prospectus or any other offering material
relating to the Securities, may be made in or from any jurisdiction except in circumstances which will result in compliance
with any applicable laws and regulations and will not impose any obligations on us, the Agent or any dealer. |
| The Agent has represented and agreed, and each dealer through
which we may offer the Securities has represented and agreed, that it (i) will comply with all applicable laws and regulations
in force in each non-U.S. jurisdiction in which it purchases, offers, sells or delivers the Securities or possesses or distributes
this pricing supplement and the accompanying prospectus supplement, index supplement and prospectus and (ii) will obtain any
consent, approval or permission required by it for the purchase, offer or sale by it of the Securities under the laws and
regulations in force in each non-U.S. jurisdiction to which it is subject or in which it makes purchases, offers or sales
of the Securities. We will not have responsibility for the Agent’s or any dealer’s compliance with
the applicable laws and regulations or obtaining any required consent, approval or permission. |
| In addition to the selling restrictions set forth in “Plan
of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement, the following selling restrictions
also apply to the Securities: |
| Brazil |
| The Securities have not been and will not be registered with
the Comissão de Valores Mobiliários (The Brazilian Securities Commission). The Securities may not
be offered or sold in the Federative Republic of Brazil except in circumstances which do not constitute a public offering
or distribution under Brazilian laws and regulations. |
| Chile |
| The Securities have not been registered with the Superintendencia
de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of
the Securities or distribution of this pricing supplement or the accompanying prospectus supplement, index supplement or prospectus,
may be made in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and
regulations. |

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	Mexico
	The Securities have not been registered with the National Registry
of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly
in Mexico. This pricing supplement, the accompanying prospectus supplement, index supplement and the accompanying
prospectus may not be publicly distributed in Mexico.
Benefit Plan Investor Considerations	Each fiduciary of a pension, profit-sharing
or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”),
which we refer to as a “plan,” should consider the fiduciary standards of ERISA in the context of the plan’s
particular circumstances before authorizing an investment in these securities. Accordingly, among other factors, the fiduciary
should consider whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent
with the documents and instruments governing the plan.
	In addition, we and certain of our affiliates, including MS
& Co., may each be considered “parties in interest” within the meaning of ERISA or “disqualified persons”
within the meaning of the Code with respect to many plans, as well as many individual retirement accounts and Keogh plans
(also “plans”). ERISA Section 406 and Code Section 4975 generally prohibit transactions between plans and parties
in interest or disqualified persons. Prohibited transactions within the meaning of ERISA or the Code would likely arise, for
example, if these securities are acquired by or with the assets of a plan with respect to which MS & Co. or any of its
affiliates is a service provider or other party in interest, unless the Securities are acquired pursuant to an exemption from
the “prohibited transaction” rules. A violation of these “prohibited transaction” rules could result
in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for those persons, unless exemptive relief
is available under an applicable statutory or administrative exemption.
	The U.S. Department of Labor has issued five prohibited transaction
class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions resulting
from the purchase or holding of these securities. Those class exemptions are PTCE 96-23 (for certain transactions determined
by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38
(for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance
company separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified asset managers). In
addition, ERISA Section 408(b)(17) and Section 4975(d)(20) of the Code provide an exemption for the purchase and sale of securities
and the related lending transactions, provided that neither the issuer of the Securities nor any of its affiliates has or
exercises any discretionary authority or control or renders any investment advice with respect to the assets of any plan involved
in the transaction and provided further that the plan pays no more than adequate consideration in connection with the transaction
(the so-

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| called “service provider” exemption).
There can be no assurance that any of these class or statutory exemptions will be available with respect to transactions involving
these securities. |
| --- |
| Because we may be considered a party in interest with respect
to many plans, unless otherwise specified in the applicable prospectus supplement, these securities may not be purchased,
held or disposed of by any plan, any entity whose underlying assets include “plan assets” by reason of any plan’s
investment in the entity (a “plan asset entity”) or any person investing “plan assets” of any plan,
unless such purchase, holding or disposition is eligible for exemptive relief, including relief available under PTCEs 96-23,
95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase, holding or disposition is otherwise not prohibited.
Unless otherwise specified in the applicable prospectus supplement, any purchaser, including any fiduciary purchasing on behalf
of a plan, transferee or holder of these securities will be deemed to have represented, in its corporate and its fiduciary
capacity, by its purchase and holding thereof that either (a) it is not a plan or a plan asset entity, is not purchasing such
securities on behalf of or with “plan assets” of any plan, or with any assets of a governmental or church plan
that is subject to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406
of ERISA or Section 4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition are eligible
for exemptive relief or such purchase, holding or disposition are not prohibited by ERISA or Section 4975 of the Code or any
Similar Law. |
| Due to the complexity of these rules and the penalties that
may be imposed upon persons involved in nonexempt prohibited transactions, it is particularly important that fiduciaries or
other persons considering purchasing these securities on behalf of or with “plan assets” of any plan consult with
their counsel regarding the availability of exemptive relief. |
| The Securities are contractual financial instruments. The
financial exposure provided by the Securities is not a substitute or proxy for, and is not intended as a substitute or proxy
for, individualized investment management or advice for the benefit of any purchaser or holder of the Securities. The
Securities have not been designed and will not be administered in a manner intended to reflect the individualized needs and
objectives of any purchaser or holder of the Securities. |
| Each purchaser or holder of any securities acknowledges and
agrees that: |
| (i) the purchaser or holder or its fiduciary has made and
will make all investment decisions for the purchaser or holder and the purchaser or holder has not relied and will not rely
in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with respect to (A) the design
and terms of the Securities, (B) the purchaser or holder’s investment in the Securities, or (C) the exercise of or failure
to exercise any rights we have under or with respect to the Securities; |

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| | (ii) we and our affiliates have acted and will
act solely for our own account in connection with (A) all transactions relating to the Securities and (B) all hedging transactions
in connection with our obligations under the Securities; |
| --- | --- |
| | (iii) any and all assets and positions relating to hedging
transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for
the benefit of the purchaser or holder; |
| | (iv) our interests are adverse to the interests of the purchaser
or holder; and |
| | (v) neither we nor any of our affiliates is a fiduciary
or adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that
we or any of our affiliates may provide is not intended to be impartial investment advice. |
| | Each purchaser and holder of these securities has exclusive
responsibility for ensuring that its purchase, holding and disposition of the Securities do not violate the prohibited transaction
rules of ERISA or the Code or any Similar Law. The sale of any of these securities to any plan or plan subject to Similar
Law is in no respect a representation by us or any of our affiliates or representatives that such an investment meets all
relevant legal requirements with respect to investments by plans generally or any particular plan, or that such an investment
is appropriate for plans generally or any particular plan. |
| | However, individual retirement accounts, individual retirement
annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts,
will not be permitted to purchase or hold the Securities if the account, plan or annuity is for the benefit of an employee
of Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such as, for example, an
addition to bonus) based on the purchase of the Securities by the account, plan or annuity. |
| | Client accounts over which Morgan Stanley, Morgan Stanley Wealth
Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the Securities,
either directly or indirectly. |
| United States Federal Taxation | Prospective investors should note that the discussion under the
section called “United States Federal Taxation” in the accompanying prospectus 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: |
| | · purchase
the securities in the original offering; and |

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| · 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: |

| · certain
financial institutions; |
| --- |
| · insurance
companies; |
| · certain
dealers and traders in securities or commodities; |
| · investors
holding the securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction or constructive
sale transaction; |
| · U.S.
Holders (as defined below) whose functional currency is not the U.S. dollar; |
| · partnerships
or other entities classified as partnerships for U.S. federal income tax purposes; |
| · regulated
investment companies; |
| · real
estate investment trusts; or |
| · 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 |

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| 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: |
| · a
citizen or individual resident of the United States; |
| · 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 |
| · 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. Subject to the discussion
below |

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| concerning the potential application of the “constructive
ownership” rule under Section 1260 of the Code, 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. |
| --- |
| Potential Application of the Constructive Ownership Rule. Because
the securities are linked to shares of an exchange-traded fund, although the matter is not clear, there is a substantial risk
that an investment in the securities will be treated as a “constructive ownership transaction.” A “constructive
ownership transaction” includes a contract under which an investor will receive payment equal to or credit for the future
value of any equity interest in a regulated investment company (such as shares of the iShares MSCI EAFE Index Fund (the “ETF
Shares”)). If an investment in the securities is treated as a “constructive ownership transaction,”
all or a portion of any long-term capital gain recognized by a U.S. Holder in respect of a securities could be recharacterized
as ordinary income (the “Recharacterized Gain”). In addition, an interest charge would be imposed on
any deemed underpayment of tax for each year that the constructive ownership transaction was outstanding. The amount
of the interest charge is determined by treating any Recharacterized Gain as having accrued such that the gain in each successive
year is equal to the gain in the prior year increased by the applicable federal rate (determined as of the date of sale, exchange
or settlement of the securities) during the term of the constructive ownership transaction. |
| The amount of the Recharacterized Gain
(if any) that would be treated as ordinary income in respect of a security will equal the excess of (i) any long-term capital
gain recognized by the U.S. Holder in respect of a security over (ii) the “net underlying long-term capital gain”
(as defined in Section 1260 of the Code). Even if an investment in a security is treated as a “constructive
ownership transaction,” the amount of “net underlying long-term capital gain,” and therefore the amount
of Recharacterized Gain, is unclear. Under Section 1260 of the Code, the amount of net underlying long-term capital
gain will be treated as zero unless otherwise “established by clear and convincing evidence.” Due to the lack
of governing authority, our counsel is unable to opine as to whether or how Section 1260 of the Code applies to the securities. U.S.
Holders should consult their tax advisers regarding the potential application of the “constructive ownership”
rule to the securities. |
| 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 |

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| 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, as discussed above; 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 |

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| 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: |
| · an individual who is classified as a nonresident alien; |
| · a
foreign corporation; or |
| · a
foreign estate or trust. |
| The term “Non-U.S. Holder” does not include any of the
following holders: |
| · 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; |
| · certain former citizens or residents of the United States; or |
| · 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 |

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| 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 |

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| 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, 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. |

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