MORGAN STANLEY — Capital/Financing Update 2017

May 1, 2017

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MORGAN STANLEY MAP TREND INDEX SUPPLEMENT (To Prospectus dated February 16, 2016) Filed Pursuant to Rule 424{b ){ 2) Registration Statement No. 333-200365; 333-200365-12

IMAGE OMITTEDIMAGE OMITTED IMAGE OMITTEDIMAGE OMITTED IMAGE OMITTED IMAGE OMITTED GLOBAL MEDIUM-TERM NOTES, SERIES I Senior Notes IMAGE OMITTED Morgan Stanley Finance LLC GLOBAL MEDIUM-TERM NOTES, SERIES A Senior Notes Fully and Unconditionally Guaranteed by Morgan Stanley IMAGE OMITTED Morgan Stanley MAP Trend Index Information For a summary of the Morgan Stanley MAP Trend Index, see “Summary of the Index” on page 11. Investing in the securities involves risks not associated with an investment in ordinary debt securities. See “Risk Factors” beginning on page 11 and in the relevant preliminary terms or pricing supplement, the accompanying product supplement and the accompanying prospectus. The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this index supplement, the accompanying product supplement or the accompanying prospectus is truthful or complete. Any representation to the contrary is a criminal offense. These 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. MORGAN STANLEY May 1, 2017

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Table of Contents Harnessing Positive Trends in a Diversified and Risk-Controlled Way 2 Overview 2 Why is Dynamic Allocation Important? 3 The Trend-Following Philosophy: "Cut Your Losses" and "Let Your Profits Run On" 3 The Trend-Following Philosophy is Largely Behavioral 3 Constructing the Index 4 What Are the Index Components? 5 How Diversified Has the Index Been Historically? 6 How Does the Volatility Target Work? 7 Index Performance {Simulated and Actual) 8 Morgan Stanley MAP Trend Index vs. Major Benchmark Indices 9 How Does the MAP Trend Index Compare to Modern Portfolio Theory-Based Indices Such as Morgan Stanley's ETF-MAP 2 Index 10 Summary of the Index 11 Risk Factors 11

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Har n es s i ng Pos i t i ve T rends i n a D i ver s i fied a n d R i sk-Contro l led Way The Morgan Stanley MAP Trend Index (the "Index") uses portfolio construction concepts to seek positive-return opportunities in different market environments. With potentia l for diversif ied exposure to a wide range of asset classes, the MAP Trend Index utilizes a rules-based approach and seeks to invest in assets with upward trends using Liquid U.S.-Listed ETFs that represent equities, treasuries, bonds and alternatives. A da i ly risk management mecha nism is then applied with the aim of stabilizing the overa ll risk of the Index. Creating and managi ng a portfolio based on these pri nci ples can be challenging and impractica l. As an alternative, taking exposure to the Morgan Stanley MAP Trend Index can offer the benef its of this approach in one simple investment, with the following key features: IMAGE OMITTEDIMAGE OMITTED IMAGE OMITTEDIMAGE OMITTED IMAGE OMITTED IMAGE OMITTEDIMAGE OMITTED The Index is calculated on an excess retu rn basis, meaning that the index Levels represent the performance of the portfolio in excess of the 3-month LIBOR rate. A servici ng f ee of 0.85% per annum (calculated on a daily basis) is included in the published Level of the Index. This material is not a solicitation of any offer to buy or sell any security or other financi al instrumen t or to participate in any trading strategy This material was not prepared by the Morgan Stanley Research Department Please refer to importan t information and qualifications at the e nd of this material The information contained herein does not constitute advice Morgan Stanley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity

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Why i s Dyna m i c A l l oca t i on Importan t ? The I ndex is bu i lt according to a series of ru les that determine the allocation to each asset class and I ndex component. These allocations are dynamic, meaning that the I ndex is able to react to changes in market conditions over time and aims for more stable returns. Many traditional investments offer constant exposure to a universe of assets. However, returns from these investments can be va ria ble, as these assets will not have consistent performance in different market conditions. Dynamic allocation can help to achieve more steady returns as the allocation to each asset will be adjusted across diff erent parts of the market cycle. The Trend-Fo l low i ng Ph i l osophy: "Cut Your Losses,, and "Let Your Profits Run On,, IMAGE OMITTED Trend - following investing dates back to the 1700s when David Ricardo, an English political economist, put forward the golden rule: "Cut short your Losses" and " L et your profits run on." Uptrend •Neutral •Downtrend The Trend Fo l lowing P h i losophy is Largely Be h avioral: I nvestors tend to extrapolate current price movements into the future1. I nvestors tend to sell wi n ners too early slowing down the price rise and hold Losers too Long slowing downward moves2 •

I nvestors join the bandwagon and the herdi ng effect is self-feeding3 1 Cognitiv e Bias: Tversky and Kahnema n (1974) 2 Disposition Effect: Shefrin a n d Statman ( 1985), Frazzini (200 6 ) 1 H e rding effect: De Long et al ( 1990) This material is not a solicitat ion of any offer to buy o r sell any security or other financi al inst rumen t or to participate in any tradi ng strategy This mate rial was not prepared by the Morgan Stanley Research Departme n t Please refer to importan t information and qualifications at th e e nd of this ma t eria l The information contain ed he r ei n does not con stit u te advice Morgan Sta nley is not act in g as your advisor (municipal, fin anc i al, or otherwise) and is not acting in a fiduciary capacit y

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Constr u c t i n g the I n dex The MAP Trend I ndex is bui lt upon predetermined rules and employs several key portfolio construction concepts such as "risk -budgeting" and "trend-followi ng. " The Index is reba lanced each day using the following steps: Step 1 : Computing Risk-Budget Weights IMAGE OMITTEDIMAGE OMITTED The historical rea lized volatility of each ETF asset is calculated with an exponen tial decay mechanism that gives more weight to more recent data. The risk budget weight for each ETF is proportional to its liquidity-driven maximum allowable exposure and the inverse of its rea lized volatility. This construct gives relatively more weight to Lower-volatility assets and vice versa. The risk budget weights are normalized such that they sum to 100%. IMAGE OMITTED IMAGE OMITTED Step 2: Analyzing Asset-Price Trend IMAGE OMITTED Each day, the recent price trend of each ETF is monitored by comparing the current ETF price to its short-term and Long-term exponential moving averages. The resulting trend signal ranges between 0 and 1. It is the average of a Long-term and a short-term measure, with smoothing if necessary. IMAGE OMITTED IMAGE OMITTED

Step 3: Determining Portfolio Weights Trend signal s from step 2 are combined with the normalized risk budget weights from step 1to derive the portfolio weights. Each ETF is assigned a weight that is the product of its norma liz ed risk-budget weight and its trend signal. Any remaining weight is assigned to the 2-year U.S. Treasury Index such that the total assigned weights sum-up to 100%. IMAGE OMITTED IMAGE OMITTED Step 4: Applying Volatility Target To attempt to achieve a 5% annualized vol atility, the Index adjusts the exposure to the selected portfolio (as constructed in Step 3) based on a ratio of 5% to the selected portfolio's historical realized vol atility. The Index's total exposure to the ETF assets is capped at 125% with any unused exposure below 100% being allocated to the 2 -Year Treasury Index. Additionally, a daily cap is imposed on the amount of change in ETF asset exposure to limit the dai ly turnover. IMAGE OMITTED Asset-Price Trend Signals Compare each asset's price over a Longer te rm and shorter te rm time h o r i zon Derive sign als that aim to i dent if y upwa rd price tre nd s and coun te r tre nd s (Counter trend s i gna ls only apply to Equi ties and Al ternat i ve ETFs) Mul tip l e time h o r i z ons are taken i nt o account

This mater i a l i s not a solicitat ion of any offer to buy or sell any security or other fina ncia l i nst rumen t or to partici pate in any trad i ng strategy This material was not prepared by the Morgan Stanley Research Department Please re fe r to i m porta n t in for ma tio n an d qualifications at the en d of this material The information contain ed he r e i n d oes not const i tute advice Morga n Stanl ey i s not act in g as your advisor (municipal, financial, or ot h erw i se) and is not acting in a fiduciary capac i ty

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What Are t he Index Comp o nent s ? The Index provides exposure to a range of asset classes via U.S.-Li sted ETF s (the "Index Components"). To ensure the Index rema i ns diversifie d , maximum exposure lim i ts are set at the ind i vidual I ndex Component L evel. IMAGE OMITTED The Morgan Stanl ey MAP Trend Index Invests in a Wi de Range of Asset Cl asses ASSET CLASS / ETF DESCRI PTION TI CKER MAXIMUM EXPOSURE RISK BUDGET Equities Core SPDR S&P 500 SPY 25% 11% PowerShares QQQ ETF QQQ 25% 11% iShares Russell 2000 IWM 25% 11% ;Shares MSCI EAFE EFA 5% 2% iShares MSCI Emerging Ma rkets EEM 5% 2% Others ;Shares Ed ge MSC I M i nimum Volatility USA USMV 5% 2% iShares Nasdaq Biotechnology IBB 5% 2% iShares Select Dividend DVY 3% 1% iShares 20+ Year Tre asury Bond TLT 25% 11% iShares 7-10 Year Treasury Bond I EF 25% 11% iShares iBoxx High-Yield Corporate Bond HYG 25% 11% iShares iBoxx I nvestment -G rade Corporate Bond LQD 5% 2% iShares Core U S Aggrega te Bond AGG 5% 2% iShares Tl PS Bond T I P 5% 2% iShar es JPMorgan USO Emer g in g Markets Bond EMB 5% 2% iShar es U S Preferred Stock PFF 3% 1% Alternatives SPDR Gold Shares GLD 10% 4 % United States O i l USO 10% 4 % Vang ua rd R E I T ETF VNQ 10% 4 % The Powe r Shares DB US Dol lar Index Bu l lish Fund UUP 10% 4 % Risk - Off IMAGE OMITTED 2-year U S Treasury Note Index A ny excess bu dget 0% This mater ia l i s not a solicitat ion of any offer to buy or sell any security or other financia l instrumen t or to participate in any trad ing strategy This mate rial was not pr epare d by t h e Mo r gan Stanley Resea rch De partme n t Please ref e r to i m portant information a nd qu alific at ions a t the e nd of this ma ter ia l The information contained he r e in d oes not con st i t u te advice Morgan St an le y i s not act in g as your advisor (municipal, financial,or ot h er wi se) and is not act in g in a fiduciary capac i t y

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How D ivers i fied H as the In d ex Been H i stor i ca l l y ? The below chart shows the average exposure that the Index wou ld have taken to different asset classes over different years The shif ts i n allocations over time demonst rate how the strategy reacts to diff erent market cycles, and rea llocates between different asset classes accordingly. For example: During the market rally of 2003-200 7 , the Index would have an approximate 1 00% average exposure to equ ities, bonds and alternatives. However, in the 2008- 2009 credit crisis, the Index would have an approximate 50% average allocation to 2-Year U .S. Treasu ries. I n the post-crisis recovery period from 2010 to present, the Index would have increased its exposure to riskier asset classes (equities, bonds and alternatives). IMAGE OMITTED MAP Trend Index Monthly Average Allocations by Asset Class IMAGE OMITTED 12 5 % 100 % 75% 5 0% 25% 0 % 2003 2 0 04 2 005 20 0 6 2007 2 0 08 2 009 2010 2 011 2 012 2 0 13 2014 2015 2 016 •2-Year U.S. Treasuries •Alternatives • Fi xed Income • Equ i ties *** The Index came into existence on March 7, 2017. All data prior to that are simulated. Source: Morgan Stanley* This material is not a solicitation of any offer to buy or sell any security or other financial instrumen t or to participate in any trading strategy This material was not prepared by t h e Morgan Stanley Research Department Please refer to importan t information and qualifications at the end of this material The information contained herein does not constitute advice Morgan St an l ey is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity

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H o w D o e s t h e V o l a t i l i t y T a r g e t W o r k ? The Index ai m s to max imi ze r e turn s ac ro ss a diversified portfolio of asse t s for a defined l e v e l of risk. On a d ai l y b as i s, th e Index methodology monitor s th e volatility of thi s portfolio and a dju s t s th e ex po s ur e s o th a t th e t a r ge t ed a nnuali zed volatility of th e Index r emai n s a round 5%. This mea n s th a t in hi g h e r volatility environments, th e Index will t a k e l ess ex po s ur e to th e portfolio and more ex po s ur e to 2 - Ye a r U.S. T r easu r ies. As volatility falls, th e Index will t a k e more ex po s ur e to th e portfolio ( u p to th e maximum limit of 125%) and r ed u ce ex po s ur e to 2 - Ye a r U.S. T r easu r ies. The overall g oal of thi s "volatility target" mec h a ni s m i s for th e r e turn s of th e Index to be s mooth e r th a n th e y would be otherwise. What is the Exposure to the Portfolio of Index Components in Different Market Conditions?

3 % RE A L IZ E D VO L ATI L ITY 5 % RE A L IZ E D VO L ATI L ITY 1 0 % RE A L IZ E D VO L ATI L ITY

Sou r ce: M o r gan S t an l ey, i ll us tr a t ive on ly

V o l a t i l i t y T a r ge t M echanism The aim of t he vo l a t i l i t y t a r ge t mechanism is to s t abi l ize t he r ea l ized vo l a t i l i t y of t he Index a t app r oxima t e l y 5%, by ad j us t ing t he a ll oca t ion be tw een t he po rtf o l io of In d ex C ompo nen t s an d 2-Year U.S. Treasuries. The minimum and maximum exposu r e of t he Index to t he po rtf o l io of Index Componen t s a r e 0 % and 1 25%, r es p ec ti ve l y. The a llo ca tio n to 2-Year U.S. Treasuries w i ll be t he di ff e r ence be tw een 1 00 % and t he ac t ua l ex po su r e to t he ETFs. W ha t is Volatility? Vo l a t i l i t y is a measu r e f o r ho w much t he p r ice of an asset has changed ove r t ime. An asset w i t h l o w vo l a t i l i t y w i ll t ypica ll y have a s t ab l e p r ice, w he r eas an asset w i t h high vo l a t i l i t y w i ll have a p r ice t ha t can fl uc t ua t e qui t e fr equen tl y and sharply. Highe r vo l a t i l i t y is t he r e f o r e t ypica ll y associa t ed w i t h highe r r isk. His t o r ic vo l a t i l i t y (a l so ca ll ed " r ea l ized vo l a t i l i t y") is ca l cu l a t ed by l ooking a t his t o r ica l p r ices f o r an asset ove r a se t pe r iod, and measu r ing ho w much t hese his t o r ica l p r ices va r y fr om t he ave r age his t o r ica l p r ice ove r t ha t sa m e p e riod . His t o r ica ll y, r ea l ized vo l a t i l i t y t ends to be highe r w hen ma r ke t s a r e f a ll ing. The r ea l ized vo l a t i l i t y of a po rtf o l io can be dec r eased by r educing t he a ll oca t ion to vo l a t i l e assets and r ep l acing i t w i t h exposu r e to t he 2-yea r U.S. Treasury Index, w hich has a ve r y l o w vo l a t i l i t y.

This ma t e r ia l is no t a so l ici t a t ion of any o ff e r to buy o r se ll any secu r i t y o r o t he r f inancia l ins tr umen t o r to pa rt icipa t e in any tr ading s tr a t egy This ma t e r ia l w as no t p r epa r ed by t he Mo r gan Stan l ey Resea r ch Depa rt men t P l ease r e f e r to impo rt an t in f o r ma t ion and qua l i f ica t ions a t t he end of t his material The in f o r ma t ion contained herein does not constitute advice Mo r gan Stanley is not ac t ing as your adviso r (municipa l , f inancia l , or o t he rw ise) and is no t ac t ing in a f iducia r y capaci t y

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I ndex Perf orm a nce ( S i m ulated and Actual) The Morgan Stan ley MAP Trend Index generated steady, posit ive growth through a variety of market environments due in part to the daily trend -allocation process that adapts to market changes and the daily risk-management mechanism that m i tigates potentia l risks. Index Perf ormance Morgan Stanley Annualized Sharpe Maximum MAP Trend Index Return Volatility Ratio Orawdown 2SO 20031 379% 565% 067 1% 2004 830% 5 31 % 156 5% 200 ------- 2005 31 0% 5 26% 059 4% 2006 504% 487% 103 5% 150 2007 319% 507% 063 3% 100 2008 2009 2 81% 513% 5 28% 470% 053 109 7% 5% so 2010 12 77% 5 41% 2 36 3% 2003 2004 2005 2006 2007 2008 2009 2010 20tl 2012 201l 201 2015 20'6 2011 651% 5 59% 116 4% Source: Morgan Stanley 2012 701% 477% 1 47 4% 2013 732% 515% 142 4% Historical 1Year Rolling Volatility 2014 8 57% 5 15% 166 3% 2015 -2 94% 609% -048 8% 1 0% 2016 559% 5 40% 1 04 4% IMAGE OMITTED 9% 8% 201 7 YTD2 190% 407% IMAGE OMITTED 7% 2003-2017 5 7 3% 5 22% 110 9% IMAGE OMITTED 6% ,e.. IMAGE OMITTED 5% ""- ,._ _ - ....... . -·- f\ 7 - Ye a r Trailing 6 31 % 5 31 % 1 1 9 9% ----- fi;/i- - ...- 5-Year Traili ng 491% 5 32% 09 2 9% 4 % IMAGE OMITTED IMAGE OMITTED3% 3-Year Tra i lin g * 36 1 % 547% 066 9% IMAGE OMITTED IMAGE OMITTED2% 1-Year Trailing 701% 509% 138 4% 1% IMAGE OMITTED

Annualized return 1S imulated returns from September 22. 2003 to December 31. 2003 Source: Morgan Stanley 2 Simulated returns from December 3 0, 2016 to March 28. 2011•

Index Performance (Simulated and Actual) Back -testing and other statistica l anal yses provided herein use simulated analysis and hypothetical circumstances to estimate how the Index may have performed between September 22, 2003, and March 7 , 2017 , prior to its actual existence. The results obtained from such back -testing should not be considered indicative of the actual results that might be obtained from an investment in the Index. The actual performance of the Index may vary significantly from the results obtained from back -testing. Unlike an actual performance record, simulated results are achieved by means of the retroactive application of a back -tested model itsel f designed with the benefit of hindsight and knowledge of factors that may have possibly affected its performance. Morgan Stanley provides no assurance or guarantee that any product linked to the Index will operate or would have operated in the past in a manner consistent with these materials. Actual results will vary, perhaps materia lly, from the simulated returns presented in this document. Because certain ETFs included in the sub - asset classes existed for only a portion of the back-tested period , substitute data has been used for portions of the simulation. Wherever data for one or more ETFs did not exist, the simulation has included the value of each ETF' s benchmark index or reconstruction thereof L ess the relevant current expense ratio. The ETFs (and corresponding f und inception dates) for which data has been used for all periods prior to the relevant inception date are: USMV (October 20, 2011), DVY (November 7, 2003), HYG (April 11, 2007), AGG (September 26, 2003), EMB (Decem ber 19, 2007), TIP (December 5, 2003), PFF (March 30, 2007), GLD (November 18, 2004), USO (April 10, 2006), VNQ (September 29, 2004) and UUP (February 20, 2007) .

This ma ter i a l i s not a solicitat i o n of any o ff er to buy or sell any securi ty or other f i na nci al i n st rumen t or to partic i pate in any trad ing strategy This mate r i al was n ot pr epa r e d by t h e Mo r gan Stanley Research Dep art m e n t P l ease r e f e r to i mpo rt a n t in format i o n a nd qua lifica t ions at th e e nd of t his ma ter ia l Th e infor mat ion contain ed h e r e i n d oes not co nst i t u te advice Mor g an Stan l ey i s no t acting a s your ad v i so r ( municipa l, financia l,o r ot h er w i se) and i s n ot acting in a fiduciary ca pac i t y

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IMAGE OMITTED Morgan Stanley MAP Trend Index vs. Major Benchmark Indices IMAGE OMITTED* so

0 +- -

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016

Source: Morgan Stanley. Data based on simulated returns from September 22, 2003 to March 7 , 2 0 1 7 , and actual returns thereafter. Morgan Stanley Bloomberg Barclays MSCI World Bloomberg MAP Trend Index S&P 500 Index U.S. Aggregate Bond Index ( Exce ss Commodity Index (Excess Return) (Excess Return) Index (Excess Return) Return) (Exce ss Return) 12-Month Retur n ' 590% 1355% -0 54% 1184% 771% 3-Ye ar Return 2 346% 748% 2 13% 305% -1 4 25% (Annualized)

(Annualized)

5-Year Return' 497% 1040% 188% 677% ·977%

573% 2 48% 349%

Full-Period Return? 4 61% -2 44% (Annualized) Full-Period Volatility 521% 1878% 369% 16 30% 1746% (Annualized)

Sharpe Ratio

Full-Period 110 0 25 067 0 21 -014 Maximum Yearly -9 24% -53 51% -6 32% ·56 74% -5713% Drawdown5 Source: Morgan Stanley 1Simulated returns for the Indexare from March 31,2016 to March 28,2017 ?Returns for the Index are from September 22, 2003 to March 28, 2017 2 Simulated returns for the Index are from March 31, 2014 to March 28,2017 ? Maximum peak-to·trough decline over rolling 12-month periods ?Simulated returns for the Indexare from March 31,2012 to March 28,2017 ·Because the 2-Year U S Treasury Note Index and certain ETFs included in the Index Components existed for only a portion of the back-tested period, substitute data has been used for portions of the simulation Please see 'Index Performance (Simulated and Actual)" on Page 8 for more details This material is not a solicitation of any offer to buy or sell any security or other financial instrumen t or to participate in any trading strategy This material was not prepared by the Morgan Stanley Research Department Please refer to importan t information and qualifications at the end of this material The information contained herein does not constitute advice Morgan Stanley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity

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How Does th e MAP Trend Index Compare to Modern Portfol i o Theory-Based I n d i ces Such as Morgan Stanley ' s ETF MAP 2 Index? IMAGE OMITTED Highest 1Y Rolling Risk Adjusted Returns No single Portfolio Construction outperforms systematically the other one. IMAGE OMITTED 2005 2006 2007 2008 2009 2 0 10 2 0 11 2012 2 0 13 2 0 14 2015 2016 MAP Trend Index ETF-MAP2 Index IMAGE OMITTED 3M Roll ing Correlation Between MS MAP T rend & MS MAP 2 Indices The Long term corre l ation is -70%, but can vary significant l y over time. IMAGE OMITTEDIMAGE OMITTED 2006 2007 20 0 8 2009 2 0 10 2011 2 0 1 2 2013 2014 2015 2016 IMAGE OMITTED Composite Portfo l io Sharpe Ratio for 2004-2016 period Blending two portfolio construction methodologies might create a more stable portfolio. IMAGE OMITTEDIMAGE OMITTED 1.20 1.15 1.10 IMAGE OMITTED 1.05 IMAGE OMITTED 1.00 0% MAP Trend 20% MAP Trend 40% MAP Trend 60% MAP Trend 80% MAP Trend 100% MAP Trend 100% ETF MAP 2 80% ETF MAP 2 60% ETF MAP 2 40% ETF MAP 2 20% ETF MAP 2 0% ETF MAP2 The Index came into existence on March 7, 2017. All data prior to that are simulated. Source: Morgan Stanley* This material is not a solicitation of any offer to buy or sell any security or other financial instrumen t or to participate in any trading strategy This material was not prepared by the Morgan Stanley Research Department Please refer to important information and qualifications at the end of this material The information contained herein does not constitute advice Morgan Stanley is not acting as your advisor (municipal, financial, or otherwise) and is not acting in a fiduciary capacity

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S umm a r y o f t h e I nd ex The Mo r gan S t an l ey E T F- MAP Trend Index (the "Index ") has been deve l oped by and is ca l cu l a te d, pub l ished and main t ained by Mo r gan S t an l ey & Co LLC E T F- MAP s t ands f o r "Exchange-Traded Fund - Mu lt i-Asse t Po rtf o l io " The Index was es t ab l ished on M a r ch 7 , 2 0 1 7 and emp l oys a r u l es-based quan t i t a t ive s tr a t egy (the "I nd e x M e thodolo g y ") that combines a risk-weighted approach to po rtf o l io cons tr uc t ion w i t h a momen t um-based, o r tr end- f o ll o w ing, asset a ll oca t ion me t hodo l ogy to cons tr uc t a no t iona l po rtf o l io In addi t ion, t he s tr a t egy imposes an ove r a ll vo l a t i l i t y t a r ge t ing f ea t u r e upon t he r esu lt ing po rtf o l io The goal of t he Index is to maximize r e t u r ns f o r a given l eve l of r isk based upon r ecen t tr ends in t he unde rl ying assets The unde rl ying inves t men t assump t ion unde rl ying t he a ll oca t ion s tr a t egy is tw o- f o l d: t ha t his t o r ica l vo l a t i l i t y of t he unde rl ying assets can be used to r isk weight a po rtf o l io and t ha t pas t tr ends a r e likely to con t inue to be a good indica t o r of t he f u t u r e pe rf o r mance of t ha t po rtf o l io The componen t s of t he Index consist of (i) 2 0 U S - l is t ed exchange tr aded f unds ("ETFs"), r ep r esen t ing U S and non-U S equi t ies, f ixed income secu r i t ies, commodi t ies and r ea l es t a t e, and (ii) t he Mo r gan S t an l ey T w o Year Treasury Index (collectively, t he " Index Componen t s ") The no t iona l po rtf o l io cons tr uc t ed by t he Index Me t hodo l ogy of Index Componen t s is r e f e rr ed to as t he " Asset Po rtf o li o " The Asse t Po rtf o l io w i ll consis t of l ong-on l y posi t ions in each Index Componen t , and each Index Componen t excep t f o r t he Mo r gan S t an l ey T w o Year Treasury Index is sub j ec t to a maximum exposu r e cap The t a r ge t ed vo l a t i l i t y f o r t he Index is 5% ("Vo l a t i l i t y Target") The Index is ca l cu l a t ed on an excess r e t u r n basis, and t he r e f o r e t he l eve l is de t e r mined by t he weighted r e t u r n of t he Asse t Po rtf o l io r educed by t he r e t u r n on an equiva l en t cash inves t men t r eceiving t he 3-mon t h LIBOR The Index pe rf o r mance is f u rt he r r educed by a se r vicing cost of 0 8 5% pe r annum The Index is r eba l anced each S tr a t egy Business Day (" Da ily Re b a l a n c in g ") Upon each Daily Reba l ancing f o r t he Index, t he Index M e t h o d olo gy uses t he p r e-assigned Risk Budge t assigned to each ETF and t he v ol a t i l i t y f o r each ETF to make ini t ia l base a ll oca t ions The Index Me t hodo l ogy t hen ca l cu l a t es a signal based on t he upwa r d o r downwa r d tr end of each ETF (" T r end S i gna l ") The Index ca l cu l a t es a tr end signal by obse r ving tw o moving ave r ages, one sho rt - t e r m and one l ong- t e r m, ove r di ff e r en t l ook-back pe r iods f o r each r espec t ive ETF A Trend Signal t ha t converges t owa r ds one indica t es an upwa r d tr end and a Trend Signal t ha t converges towards zero indicates a downward trend Once the trend signal is ca l cu l a t ed for each ETF, the previously determined base allocations a r e sca l ed by t he Trend Signal f o r each ETF by a ll oca t ing mo r e upwa r d tr ending secu r i t ies to t he Asse t Po rtf o l io The magni t ude of each posi t ion t aken by t he Index f o ll owing t he Trend Signal ad j us t men t is t hen sca l ed to t he Vo l a t i l i t y Target based on a p r o- r a t a vo l a t i l i t y-sca l ing which seeks to achieve a ba l anced l eve l of vo l a t i l i t y in t he Index's exposu r e to each of t he ETFs Once t he composi t ion of t he Asse t Po rtf o l io is de t e r mined, t he Index va l ue is equiva l en t to t he sum of each Index Componen t 's ma r ke t p r ice less t he 3-mon t h LIBOR and t he 0 8 5% pe r annum se r vicing cost R i s k Fac t o r s

The f o ll owing is a non-exhaus t ive l is t of key r isk f ac t o r s r e l a t ed t o t he Index I f you a r e conside r ing purchasing o r inves t ing in a p r oduc t l inked t o t he pe rf o r mance of t he Index, you shou l d r ead and be a w a r e of t he r isks inhe r en t t o t his Index You shou l d a l so consult w i t h you r inves t men t , l ega l , t ax , accoun t ing and o t he r advis or s p r i or to inves t ing o r purchasing such p ro duc t s The Leve l o f t he Index Can Go Do w n As We ll As Up. The r e can be no assu r ance t ha t t he Index w i ll achieve posi t ive r e t u r ns The Index tr acks t he pe rf o r mance of a r u l es-based inves t men t me t hodo l ogy t ha t se l ec t s a hypo t he t ica l po rtf o l io of unde rl ying assets t o tr ack The pe rf o r mance of t he Index w i ll depend on t he pe rf o r mance of t ha t hypo t he t ica l po rtf o l io minus t he sum of t he 3-mon t h L I BOR and a se r vicing cost of 0 8 5% pe r annum I f t he hypo t he t ica l po rtf o l io dec l ines in va l ue, t he Index va l ue w i ll a l so dec l ine Even i f t he hypo t he t ica l po rtf o l io inc r eases in va l ue, t he Index va l ue w i ll neve rt he l ess dec l ine i f t he inc r ease in t he va l ue of t he po rtf o l io is no t su ff icien t t o ove r come t he deduc t ion of t he 3-mon t h L I BOR and t he se r vicing cost of 0 8 5% pe r annum The A ll oca ti on o f ETFs i n t he Asse t Po rtf o li o i s De t e r m i ned i n Re f e r ence t o each ETF ' s R i s k Budge t and Vo l a tilit y. The a ll oca t ion o f each ETF in t he asse t po rtf o l io is de t e r mined in p r opo rt ion to i t s p r e-se t r isk budge t The r isk budge t does no t change du r ing t he l i f e of t he Index and t he r e is no gua r an t ee t ha t t he risk budget a ll oca t ed t o each ETF is t he op t ima l a ll oca t ion A highe r o r l owe r r isk budge t cou l d r esu lt in inc r eased inves t men t in an ETF t ha t pe rf o r ms poo rl y o r insu ff icien t inves t men t in an ETF t ha t pe rf o r ms w e ll ove r t he l i f e o f t he I ndex Vo l a t i l i t y ca l cu l a t ions based on his t o r ica l v ol a t i l i t y p r esume t ha t his t o r ica l vo l a t i l i t y is an accu r a t e indica t ion of cu rr en t vo l a t i l i t y The r e is a t ime l ag associa t ed w i t h t he vo l a t i l i t y ca l cu l a t ion and t he r e is no gua r an t ee t ha t t he vo l ati l ity in t he p r eceding pe r iod is r ep r esen t a t ive of t he cu rr en t vo l a t i l i t y of t he ETFs There A r e Risks Associa t ed wi t h the Index's Momen t um Inves t men t S tr a t egy. The I ndex is cons tr uc t ed using w ha t is gene r a lly kno w n as a momen t um-based inves t men t s tr a t egy Mo mentum-based inves t ing gene r a ll y seeks t o capitalize o n posi t ive tr ends in t he p r ices of assets As such, t he composi t ion of t he Index is based on t he his t o r ica l pe rf o r mance of t he ETFs ove r bo t h l ong- t e r m and sho rt - t e r m pe r iods However, t he r e is no gua r an t ee t ha t tr ends exis t ing in t he p r eceding pe r iods w i ll con t inue in t he f u t u r e Lo w Vo l a tilit y i n t he Index Is No t Synonymous wit h Lo w R i sk i n an Inves t men t L i nked to t he Index. Fo r examp l e, even i f t he vo l a t i l i t y of t he Index were t o be in l ine wi t h t he vo l a t i l i t y t a r ge t , t he l eve l of t he Index may dec r ease ove r t ime Wh il e t he Index Has a Vo l a tilit y Target o f 5%, The r e Can Be No Gua r an t ee, Even I f t he Asse t Po rtf o li o Is Reba l anced Daily, Tha t t he Rea li zed Vo l a tilit y o f t he Index W ill No t be Less Than o r G r ea t e r Than 5%. A lt hough t he I ndex aims to ensu r e t ha t i t s r ea l ized vo l a t i l i t y does no t exceed 5% , t he r e is no gua r an t ee t ha t i t w i ll success f u ll y do so The r e is a l so a t ime l ag associa t ed

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w i t h t he Index's vo l a t i l i t y con tr o l ad j us t men t s Because r ea l ized vo l a t i l i t y is measu r ed ove r ei t he r app r oxima tel y t he p r io r mon t h o r tw o mon t hs f o r pu r poses o f t he vo l a t i l i t y con tr o l f ea t u r e, i t may be some pe r iod o f t ime be f o r e a r ecen t inc r ease in t he vo l a t i l i t y o f t he E T Fs in t he I ndex is su ff icien tl y r e fl ec t ed in t he ca l cu l a t ion o f r ea l ized vo l a t i l i t y to cause a compensa t ing r ea ll oca t ion in t he asse t po rtf o l io The r e Can Be No Assurance Tha t the Ac t ua l Vo l a tilit y of the Index Will Be Lower Than the Volatility of Any or All of the Index Components. The Index's exposure to each Index Component is adjusted through a volatility-scaling mechanism that seeks to target a vo l a t i l i t y of 5% for the Index However, as the vo l a t i l i t y-sca l ing mechanism l ooks to trends that have occurred in the past to then make adjustments to f u tur e positions, i t is unlikely that the Index wi ll achieve the target vo l a t i l i t y in any Index Component for any given pe r iod of time The ac tu a l vo l a t i l i t y achieved by the Index overall, as well as the volatility achieved for each Index Component, will likely di ff e r- pe r haps significantly-from the volatility target The Vo l a tilit y Ta r ge t Fea t u r e o f t he Index M ay Dampen it s Performance in Bullish Markets. The Index is designed to achieve a volatility target of 5% regardless of the direction of price movements in the market Therefore, in bullish markets, if the realized volatility is higher than the vo l a t i l i t y target, the adjustments to the asset po rtf o l io of the Index through daily rebalancing might dampen the performance of the Index The selection of the Index Components, as we ll as t he vo l a t i l i t y t a r ge t feature, may cause t he Index to unde r pe rf o r m one or more of the Index Components Each Sub-Index ' s Po rtf o li o o f Index Componen t s Is Va ri ed and Represents a Number of Different Asset Classes in a Number of D iff e r e nt Sec tor s. P r ospec t ive inves t o r s shou l d be expe r ienced w i t h r espec t t o, and be ab l e to eva l ua t e and unde r s t and t he r isks of (either a l one o r w i t h t he inves t o r 's inves t men t , l ega l , t ax, accoun t ing and o t he r adviso r s), tr ansac t i o ns in inves t men t s t he values of which are derived from different asset classes and sectors The Fu t u r e Pe rf o r mance o f t he Index M ay Bea r L ittl e o r No R e l a t i on t o t he H i s t o ri ca l o r Hypo t he t i ca l R e t r ospec t i ve Pe rf o r mance o f t he Index. Among o t he r t hings , t he tr ading prices of the ETFs and the dividends paid on the ETFs wi ll impac t the level and the vo l a t i l i t y of the Index I t is impossible to p r edic t whether the level of the Index will rise or f al l The f ac t that a given a ll oca t ion among t he asset po rtf o l io pe rf o r med w e ll ove r any look-back period does not mean that such allocation wi ll continue to pe rf o r m well in the future Future market conditions may differ fr om past market conditions, and the conditions that may have caused the f avo r ab l e historical pe rf o r mance may no longer exis t Fu rt he r mo r e, by continually seeking to tr ack the asset po rtf o l io that would have been the best-performing po rtf o l io (subject to constraints) over a look-back period, the Index may perpetually be too late, and i t may perpetually "buy high" By the time the Index hypo t he t ica ll y inves t s in a po rtf o l io of ETFs , t he ETFs in t ha t portfolio may already have experienced significant appreciation The Index may therefore perpetually make hypothetical investments in portfolios when they are expensive, which may lead to poor returns The Index Is Particularly Susceptible to "Choppy" Markets. Past performance is particularly likely to be a poor indicator of future performance in "choppy" markets, which are characterized by short- term volatility and the absence of consistent long-term performance trends In such markets, strategies that use past performance as an indicator of future performance, such as that followed by the Index, are subject to "whipsaws," which occur when the market reverses and does the opposite of what is indicated by past performance The Index may experience significant declines in such markets The Index Has Fixed Weighting Constraints. The Index app l ies limits to the weight that may be assigned to each ETF These limits are fixed and may skew the allocations among the ETFs in a way that reduces the potential performance of the Index For example, because of the weighting constraints, the Index may not allocate all of its exposure to the single ETF with the best performance over the prior six months, even if that ETF had a realized vo l a t i l i t y of less than 5% Instead, the weighting constraints require the Index to spread its exposure over all the ETFs, even if one or more of those ETFs had unfavorable returns over the relevant look-back period Additionally, the weighting constraints mean that the Index must have some exposure to all of the ETFs at all times, even when there is no asset po rtf o l io that would be expected to appreciate because all are in decline The Index wi ll not take a "short" position in any Index Component, even if the relevant Index Component displays a negative performance over the relevant look-back period The Index Was Es t ab li shed on M a r ch 7, 2 0 1 7 and The r e f o r e Has a Ve r y L i m it ed H i s t o r y. The pe rf o r mances of t he Index and some of the component data have been retrospectively simulated f o r t he pe r iod fr om Sep t embe r 22 , 2 00 3 to Ma r ch 7, 2 0 1 7 As such, pe rf o r mance f o r pe r iods p r io r to t he es t ab l ishmen t of t he I ndex has been r e tr ospec t ive l y simu l a t ed by Mo r gan S t an l ey & Co LLC on a hypo t he t ica l basis A r e tr ospec t ive simu l a t ion means t ha t no ac t ua l inves t men t which a ll owed a tr acking of t he pe rf o r mance of t he Index exis t ed a t any t ime du r ing t he pe r iod of t he r e tr ospec t ive simu l a t ion The me t hodo l ogy and t he Index used for the ca l cu l a t ion and retrospective simu l a t ion of the Index has been deve l oped w i t h t he advan t age of hindsigh t In r ea l i t y, i t is no t possib l e to inves t w i t h t he advan t age of hindsigh t and t he r e f o r e t his his t o r ica l pe rf o r mance is pu r e l y t heo r e t ica l and may no t be indica t ive of f u t u r e pe rf o r mance Because t he 2-Year U S Treasury No t e Index and ce rt ain ETFs inc l uded in t he Index Componen t s exis t ed for only a po rt ion of t he back-tested pe r iod, subs t i t u t e da t a has been used f o r po rt ions o f t he simu l a t ion Whe r eve r da t a f o r t he Mo r gan S t an l ey Two Year Treasury Index o r one o r mo r e ETFs did no t exis t , t he simu l a t ion has inc l uded (i) t he va l ue of t he Mo r gan S t an l ey Two Year Treasury Index based on simu l a t ed his t o r ica l pe rf o r mance and (ii) t he va l ue of each ETF's benchma r k index less t he t hen r e l evan t cu rr en t expense ratio The ETFs (and corresponding fund inception dates) for which substitute da t a has been used for a ll pe r iods p r io r to the r e l evan t incep t ion date a r e: US M V (October 2 0 , 2 0 11 ), DVY (Novembe r 7, 2003), HYG (Ap r i l 11, 2007), AGG (Sep t embe r 2 6 , 2003), E M B (Decembe r 1 9 , 2007), TIP (Decembe r 5 , 2003), PFF ( M a r ch 3 0 , 2007), GLD (Novembe r 1 8 , 2004), USO (Ap r i l 1 0 , 2006), VNQ (Sep t embe r 29, 2004) and UUP (Feb r ua r y 2 0 , 2 00 7) The Index is Ca l cu l a t ed on an Excess Re t u r n Bas i s. The l eve l of t he Index is ca l cu l a t ed as t he excess of t he weighted r e t u r n of t he asset p ortfol i o ove r an equiva l en t cash inves t men t r eceiving t he 3-mon t h L I BOR As a r esu lt , t he l eve l of t he Index, r e fl ec t s a deduc t ion of t he 3-mon t h L I BOR t ha t wou l d apply to such a cash investment, and is less than the return on the weighted asset po rtf o l io Changes in t he 3-mon t h L I BOR w i ll a ff ec t t he va l ue

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of t he Index In pa rt icu l a r , an inc r ease in t he 3-mon t h L I BOR w i ll nega t ive l y a ff ec t t he va l ue of t he Index The Index Con t a i ns Embedded Cos t s. The I ndex con t ains an embedded se r vicing cost of 0 8 5% pe r annum, ca l cu l a t ed on a daily basis Such cost is deduc t ed w hen ca l cu l a t ing t he l eve l of t he Index and w i ll t hus r educe t he r e t u r n of t he Index An Inves t men t i n Ins tr umen t s L i n k ed t o t he Index Invo l ves R i sks Assoc i a t ed wit h Eme r g i ng M a r ke t s Equ iti es and Bonds, C urr e n c y Exc h a n ge Ra t es a nd C ommoditi es. Changes i n t he Va l ue o f t he Index Componen t s M ay O ff se t Eac h Other. Because the Index Componen t s represent a range of asset c l asses and geog r aphic r egions, p r ice movemen t s of Index Componen t s r ep r esen t ing di ff e r en t asset c l asses o r geog r aphic r egions may no t co rr e l a t e w i t h each o t he r The M o r gan S t an l ey Two Year T r easu r y Index Can P r oduce Nega ti ve Re t u r ns, Wh i ch M ay Have an Adve r se E ff ec t on t he Leve l o f t he Index. Ad j us t men t s to t he Index Cou l d Adve r se l y A ff ec t t he Va l ue o f Ins tr umen t s L i nked to t he Index. Mo r gan S t an l ey & Co LLC, as t he Ca l cu l a t i o n Agen t and t he Index Sponsor, can add, de l e t e and / o r subs t i t u t e t he I ndex Componen t s, and can make o t he r methodological changes required by certain events relating to the Index Componen t s Any of t hese ac t ions cou l d adve r se l y a ff ec t t he va l ue of ins tr umen t s l inked to t he Index Reliance on Information. Unless otherwise stated, all calculations are based on information obtained from various publicly-available sou r ces Mo r gan S t an l ey has r e l ied on t hese sou r ces and no t independen tl y ve r i f ied t he in f o r ma t ion ex t r ac t ed fr om t hese sources Mo r gan S t an l ey sha ll no t be l iab l e in any way f o r any ca l cu l a t ions i t pe rf o r ms in r e l iance on such in f o r ma t ion The in f o r ma t ion used to unde rt ake t he Dai l y Reba l ancings f o r t he Index w i ll be t he mos t up- t o-da t e in f o r ma t ion avai l ab l e Research. Morgan Stanley may issue research reports on securities t ha t a r e, o r may become, cons t i t uen t s of an Index Componen t o r an Index C o mp o nen t Con fli c t s o f In t e r es t . Mo r gan Stanley, MSFL and t hei r a ff i l ia t es may from time to time engage in transactions involving constituents of an Index Component or one of the Index Componen t s for t hei r p r op r ie t a r y accoun t s and / o r f o r accoun t s of t hei r c l ien t s, may ac t as ma r ke t -make r in such cons t i t uen t s and / o r be p r oviding unde rwr i t ing, banking, adviso r y o r o t he r se r vices to t he issue r s of such cons t i t uen t s Such ac t ivi t ies may no t be f o r t he bene f i t of t he ho l de r s of inves t men t s r e l a t ed to t he Index and may have a posi t ive o r nega t ive e ff ec t on t he va l ue of t he cons t i t uen t s o r Index Componen t s and consequently on t he va l ue of t he Index

IM PORTANT I NFOR M AT I ON AND QUAL I F I CAT I ONS The in f o r ma t ion p r ovided he r ein w as p r epa r ed by sa l es, tr ading, o r o t he r non- r esea r ch pe r sonne l of one of t he f o ll o w ing: Mo r gan Stan l ey & Co LLC, Mo r gan Stan l ey & Co In t e r na t iona l PLC, Mo r gan Stan l ey MUFG Secu r i t ies Co , L t d, Mo r gan Stan l ey Capi t a l G r oup Inc and / o r Mo r gan Stan l ey Asia Limi t ed (together w i t h t hei r a ff i l ia t es, he r eina ft e r "Mo r gan Stan l ey"), bu t is no t a p r oduc t of t he Mo r gan Stan l ey Resea r ch Depa rt men t This communica t ion is a ma r ke t ing communica t ion and is no t a r esea r ch r epo rt Fo r addi t iona l in f o r ma t ion and impo rt an t disc l osu r es, see h tt p : //www mor ga n s t a nl e y c om/d isc l ai m e r s Mo r gan Stan l ey is no t ac t ing as a municipa l adviso r and t he opinions o r vie w s con t ained he r ein a r e no t in t ended to be, and do no t cons t i t u t e, advice, inc l uding w i t hin t he meaning of Sec t ion 975 of t he Dodd-F r ank Wa ll St r ee t Re f o r m and Consume r P r o t ec t ion Ac t This ma t e r ia l is no t (and shou l d no t be cons tr ued to be) inves t men t advice (as de f ined unde r ERISA o r simi l a r concep t s unde r app l icab l e law) fr om Mo r gan Stan l ey w i t h r espec t to an emp l oyee bene f i t p l an o r to any pe r son ac t ing as a f iducia r y f o r an emp l oyee bene f i t p l an , o r as a p r ima r y basis f o r any pa rt icu l a r p l an inves t men t decisi o n The in f o r ma t ion p r ovided he r ein has been p r epa r ed so l e l y f o r in f o r ma t iona l pu r poses and is no t an o ff e r to buy o r se ll o r a so l ici t a t ion of an o ff e r to buy o r se ll any secu r i t ies o r ins tr umen t s o r to pa rt icipa t e in any pa rt icu l a r tr ading s tr a t egy No r ep r esen t a t ion is given w i t h r espec t to accu r acy o r comp l e t eness, and t hey may change w i t hou t no t ice Mo r gan Stan l ey on i t s o w n beha lf and on beha lf of i t s a ff i l ia t es disc l aims any and a ll l iabi l i t y r e l a t ing to t hese ma t e r ia l s, inc l uding, w i t hou t l imi t a t ion, any exp r ess o r imp l ied r ep r esen t a t ions o r w a rr an t ies f o r s t a t emen t s o r e rr o r s con t ained in, o r omissions fr om, t hese ma t e r ia l s Mo r gan Stan l ey and o t he r s associa t ed w i t h i t may make ma r ke t s o r specia l ize in, have o r may in t he f u t u r e en t e r in t o p r incipa l posi t ions ( l ong o r sho rt ) in and e ff ec t tr ansac t ions in secu r i t ies o r tr ading s tr a t egies men t ioned o r desc r ibed he r ein Un l ess s t a t ed ot he rw ise, t he ma t e r ia l c o n t ained he r ein has n ot been based o n a c o nside r a t i o n of any individua l c l ien t ci r cums t ances and as such shou l d not be conside r ed to be a pe r sona l r ecommenda t ion We r emind inves t o r s t ha t t hese inves t men t s a r e sub j ec t to ma r ke t risk and w i ll fl uc t ua t e in va l ue Any inves t men t s discussed in t his communica t ion may be unsui t ab l e f o r inves t o r s depending upon t hei r speci f ic inves t men t objec t ives and f inancia l posi t ion W he r e an inves t men t is denomina t ed in a cu rr ency o t he r t han t he inves t o r 's cu rr ency, changes in r a t es of exchange may have an adve r se e ff ec t on t he va l ue, p r ice of, o r income de r ived fr om t he inves t men t The pe rf o r mance da t a quo t ed r ep r esen t s pas t pe rf o r mance Pas t pe rf o r mance is no t indica t ive of f u t u r e r e t u r ns No r ep r esen t a t ion o r w a rr an t y is made t ha t any r e t u r ns indica t ed w i ll be achieved Ce rt ain assump t i o ns may have been m ade in t his ana l ysis, w hich have r esu lt ed in any r e t u r ns de t ai l ed he r ein T r ansac t i o n c o s t s (such as commissions) a r e no t inc l uded in t he ca l cu l a t ion of r e t u r ns Changes to t he assump t ions may have a ma t e r ia l impac t on any r e t u r ns de t ai l ed Po t en t ia l inves t o r s sh o u l d be a w a r e t ha t ce rt ain l ega l , acc o un t ing and t ax r es tr ic t i o ns, m a r gin r equi r e m en t s, c o mmissi o ns and ot he r tr ansac t i o n c o s t s and changes to t he assump t ions se t f o rt h he r ein may signi f ican tl y a ff ec t t he economic consequences of t he tr ansac t ions discussed he r ein The in f o r ma t ion and ana l yses c o n t ained he r ein a r e n ot in t ended as t ax, l ega l or inves t men t advice and may n ot be sui t ab l e for y o u r speci f ic ci r cums t ances By sub m i tt ing t his communica t ion to you, Mo r gan Stan l ey is no t advising you to t ake any pa rt icu l a r ac t ion based on t he in f o r ma t ion, opinions o r vie w s con t ained he r ein, and accep t ance of such documen t w i ll be deemed by you accep t ance of t hese conc l usions You shou l d consult w i t h you r o w n municipa l , f inancia l , acc o un t ing and l ega l advis or s r ega r ding t he in form a t i o n, o pini o ns or vie w s c o n t ained in t his c o mmunica t i o n HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME O F WHICH ARE DESCRIBED HEREIN N O REPRESENTATI O N IS BEING M ADE THAT ANY ACCOUNT W ILL O R IS LIKELY TO ACHIEVE PR O FITS O R LOSSES S I M I LAR TO TH O SE SH OW N IN FACT, THERE A RE FRE Q UENT L Y SH A RP D IFFERENCES BET W EEN HYP O THET I C AL PERF O R MA NCE RESU L TS A N D THE ACTU AL RESU L TS SUBSE Q UENT L Y A CH I E V E D BY A NY P A RT I CU LA R TR AD ING PR O GR AM O NE O F THE L I M IT A TI O NS O F HYPOTHETICAL PERF O R MA NCE RESU L TS IS TH A T THEY A RE GENER ALL Y PREP A RE D W ITH THE BENEF I T O F H I N D S I GHT IN ADD ITI O N, HYP O THETIC AL TR AD ING DO ES N O T IN VOLV E F I N A NC I AL RISK, A N D N O HYP O THET I C AL TR AD I NG REC O R D C A N C OM P L ETE L Y ACC O UNT F O R THE I M PACT O F F I N A NC I AL RISK IN ACTUAL TRAD I NG F O R E X A M PLE , THE ABILITY TO W ITHSTAND LOSSES O R TO ADHERE TO A PARTICULAR TRAD I NG STRATEGY IN SP I TE O F TRAD I NG LOSSES ARE M ATERIAL P O I NTS W H I CH CAN ALS O ADVERSELY AFFECT ACTUAL TRAD I NG RESULTS THERE ARE NU M ER O US OT HER F A CT O RS RE LA TE D TO THE MA RKETS IN GENER AL O R TO THE I M P L E M ENT A TI O N O F A NY SPECIFIC TR AD I NG PR O GR AM W HICH C A NN O T BE FU LL Y ACC O UNTE D F O R IN THE PREP A R A TI O N O F HYP O THET I C AL PERF O R MA NCE RESU L TS A N D ALL O F W HICH C A N ADV ERSE L Y A FFECT ACTU AL TR AD I NG RESU L TS Copy r igh t © by Mo r gan Stan l ey 2017, a ll r igh t s r ese r ved IMAGE OMITTED © 2 0 1 7 Mor gan St an l ey Smi t h Ba r ney LLC M e m be r SIPC CS 88 1 3 8 35 0 4/ 17

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IMAGE OMITTED IMAGE OMITTED IMAGE OMITTED

Index Performance T railing Index Performance 350 Bar clays

250 200 S&P 500 A ggregate MS MAP I ndex ( Ex cess B on d Ind e x Trend I n dex R eturn) (Excess R eturn)

1 50 1 00 so i : P '? oo " oo <:> o o <o o o '\ o 0 <o o 0 °' o " 0' 1-Year Ann. Return 3 -Y ea r Ann . 190% 5 5 8 % 0 42% 5 73% 680% 2 48% 70 1 % 1728% -004% 361% 1003% 2 1 2 % 491% 12 82% 18 5 % 5 62 % 6 38% 3 15% 5 24% 20 9 0% 382 % 1 0 7 0 3 1 0 83 9% 57% 6% 100% 58% 26% R eturn o o"" o -0 o o o "<'o 5-Year Ann . Return

Source: Morgan S t a n l ey, Bloomberg 1 0-Y e a r An n . R eturn IMAGE OMITTED 1 0-Year Ann. Volatility

1-Year Rolling Volatility* 1 0-Y e a r S harp e Ratio

IMAGE OMITTED 5096 • Barclays Aggregate Bond Index (Excess Return) Max. Drawdown • S&P 500 Index (Excess Return) 4096 • MS MAP Trend Index C orrelation to MAP Trend

3096 2096 1 096 096 20 0 1 2008 2009 20 1 0 20n 2 0 1 2 2 0 13 2014 2 0 15 2 0 1 s IMAGE OMITTED INDEX IDENTIFIER ( TICKER) : MSUSMAPT WEBSITE: morganstanley.com/mapt INDEX CALCULATION AGENT: Morgan Stanley & Co. LLC INDEX LIVE DATE:

Source: Morgan Stanl ey, Bloomberg * From September 22, 2003 to March 28, 2017 . The Index came into existence on March 7, 2017. March 7, 2017 NUMBER OF INDEX COMPONENTS: M a ximum 21

All da t a pr i or to tha t are simulated. REBALANCE FREQUENCY: D ai l y VOLATILITY TARGET: 5 % Ann ualized Thi s m a te ria l i s n ot a so lic i tat i o n o f any offer to buy o r sell any sec urity o r ot h e r finan cia l i n stru me nt or to p a rticipate in any tr ad ing strategy T his ma ter ia l was n ot prepa red by the M o rgan Stan ley Research Department P lease refer to i mp ort an t in forma t i o n and qualifica t i o n s a t t h e e nd o f t hi s ma ter ia l T he i n fo rma t i o n co nta i n e d h e r e in does n ot con st i t u te adv i ce Morgan Stan ley is n ot act i n g a s you r advisor ( mun icipal, financia l, o r otherwise) and i s n ot ac ting in a fi duc i a r y cap a c i ty

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IMAGE OMITTED Monthly Average Allocations by Asset Class IMAGE OMITTED 12596 10096 7596 5096 2596 096 2003 2004 2005 2006 2007 2008 2009 2010 201 1 2012 2013 201 4 2015 2016 Index Overview* Based on portfolio construction concepts that seek pos i tive return opportunit i es in different market environments. The Index invests in liqu id U.S.-listed ETFs and a 2-Year U. S. Treasur i es Index giving exposure across U. S. and foreign equities, U. S. fixed income, and alternatives such as gold, o il,

2-Year U.S.Treasuries • Alternatives

Monthly

Average Monthly Average Cumulative Return Asset class/ ETF Description Ticker Maximum Allocations Allocations' , Feb 2017 Allocations ', Mar 2017' Attributions', Mar 2017' Equities SPDR S&P 500 SPY 25% 9% 12% 002% PowerSha res QQQ ETF QQQ 25% 7% 8% 013% iSha res Russell 2000 IWM 25% 8% 10% 005% iShares MSCJ EAFE EFA 5% 2% 1% 007% iShares MSCJ Emerging Markets EEM 5% 1% 1% 0 08% iShares Edge MSCJ USMV Min imum Volatlity USA 5% 0% 1% -0 02% iShares N asdaq Biotechnology IBB 5% 2% 3% 002% iShares Select Dividend DVY Fixed Income 3% 1% 2% 000% iShares 20+ Year Treasury Bond TLT 25% 9% 5% -017% iSha res 7-10 Yea r Treasury Bond IEF 25% 18% 13% -0 05% iShares iBoxx High Yield HYG Corporate Bond 25% 25% 14% -0 51% iShares i Boxx Investment LQD Grade Corporate Bond 5% 4% 3% -004% iShares Core U.S. Aggregate Bond AGG 5% 5% 3% -001% iShares TIPS Bond TIP 5% 5% 4% -0 03% iShares JPMorgan USO EMB Emerging Markets Bond 5% 5% 3% -0 03% iSha res U.S. Preferred Stock Alternatives PFF 3% 3% 2% -002% SPDR Gold Shares GLD 10% 1% 2% -011% United States Oil USO 10% 0% 1% -013% Vanguard REIT ETF VNQ 10% 3% 4% -0 15% The PowerShares DB Dollar Index Bullish F Risk-Off U.S. UUP und 10% 6% 8% -011% 2 Year U.S. Treasury I ndex 100% 1% 11% 002%

Monthly Allocations* • Fixed Income Equities U.S. dollar and REIT s. The Index attempts to build a liquid and risk-balanced portfolio . It rebalances on a daily basis with the i ntent of investing in assets that exhibit upward trends and paring back investments during market downturns. Counter-trends or reversals in trend during very short-term horizons for Equ i ties and Alternatives are also considered, in order to capture potent i al "buying-on-the-dip" opportunit i es. Each asset's allocation i s proport i onal to i ts recent price trend, a fixed risk budget, and is i nversely proport i onal to i ts risk (measured as its h istorical realized volat ility). The portfolio targets an annualized realized volat ility of 5%. The portfolio's performance is calculated in excess of the performance of a cash investment receiv i ng the 3-Month LIBOR rate. A servicing fee of 0.85% per annum, calculated on a daily basis, is included in the published Index level. * As of February 28, 2017 . The Index came into existence on March 7 , 2017. All data prior to that are simulated. 1 Computed as the average of the daily allocations over the corresponding month. 2 ETFs and 2-Year U.S. Treasury Index performance are excess return over 3-Month Libor Rate. The sum of the index components' return attribution is not equal to the Index return over that month due the servicing fee and return compunding effects. 3 Up until Mar 28, 2017

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IMAGE OMITTED M on t h l y Re tur ns * J a n F e b M a r 1 Ap r M ay J u n J u l A u g S e p Oc t Nov Dec Fu ll Yea r 2017 0 98% 1 97% - 1 04 % 2016 - 0 79 % 1 0 5% 1 34% 0 32% 0 57% 2 9 2 % 1 73 % -0 5 3 % 0 37% - 1 99 % - 0 40 % 0 9 4% 5 59% 2015 2 61 % 0 62% - 0 34 % - 0 78 % 1 00% - 2 05 % 0 76% -4 5 0 % - 0 58 % 1 79 % - 0 09 % - 1 24 % - 2 94 % 2014 0 9 2 % 2 33% - 0 83 % 0 71 % 2 66% 0 73 % - 1 59 % 2 74 % - 1 83 % 1 24 % 1 04% 0 25% 8 57% 2013 0 87% 0 87% 1 32% 2 41 % -0 8 0 % - 1 65% 1 45 % - 1 72 % 2 14 % 1 97% - 0 16% 0 49% 7 32 % 201 2 1 51 % 0 68 % 0 00% 0 88% - 0 95% 2 02% 1 98% 1 14 % 0 5 0% -1 7 0 % 0 65% 0 15% 7 01 % 2011 - 0 10 % 2 01 % 0 22% 2 45 % 0 74 % - 1 28 % 0 5 0% - 0 62 % - 0 03 % 1 75% -0 2 3 % 0 9 9 % 6 51 % 2010 - 0 74 % 1 34% 1 31 % 2 7 0 % - 0 89 % 0 60% 1 91 % 0 79 % 2 43% 1 46% -0 5 2 % 1 7 7 % 12 77 % 2009 - 1 71 % - 2 06 % 0 9 2 % 0 8 0% 0 81 % 0 61 % 1 34% 0 44% 2 54% -1 7 7 % 3 24 % 0 01 % 5 1 3 % 2008 - 0 98 % 0 14 % 0 61 % 1 1 3 % 0 33% - 1 64 % 0 18% 0 09% - 1 09 % -3 49 % 2 74 % 5 02% 2 81 % 2007 0 5 3 % 0 62% - 0 18 % 0 91 % 0 37% - 0 72 % - 1 18 % 2 15% 1 5 3 % 1 04% -0 2 0 % - 1 67 % 3 1 9 % 2006 1 51 % 0 08% 0 34% 0 21 % - 2 85% 0 16% 0 73 % 1 79 % 0 8 2 % 1 28% 1 71 % - 0 76% 5 04% 2005 -1 3 0 % 1 00% - 1 98 % 0 00% 2 29% 1 28% 1 04% 0 35% -0 56 % - 1 26 % 1 47% 0 84% 3 10% 2 004 1 41 % 1 2 3 % 0 68 % -3 26 % 0 41 % 0 83% -0 36 % 1 91 % 1 58% 1 56 % 0 76% 1 36 % 8 3 0%

• P l ease see No t es on Simu l a t ed Re t u r ns. 1 Up un t i l M a r 2 8 , 2 0 1 7 S our ce: Mor ga n S t an l ey, B loomb e r g C e r t a in Ke y R i s k s The l eve l of t he Index can go do w n as w e ll as up. The r e can be no assu r ance t ha t t he Index w i ll achieve posi t ive r e t u r ns. The base a ll oca t ion of ETFs in t he asset po rtf o l io is de t e r mined in r e f e r ence to each ETF's r isk budge t and vo l a t i l i t y and may no t r esu lt in op t ima l a ll oca t ion. The r e a r e r isks associa t ed w i t h a momen t um based inves t men t s tr a t egy. I f ma r ke t condi t ions do no t r ep r esen t a con t inua t ion of p r io r -obse r ved tr ends, t he pe rf o r mance of t he Index, w hich is r eba l anced based on p r io r tr ends, may be a d ve r se l y a ff ec t e d . Lo w vo l a t i l i t y is no t synonymous w i t h l o w r isk in an inves t men t l inked to t he Index. Whi l e t he Index has a vo l a t i l i t y t a r ge t of 5%, i t may no t achieve i t s t a r ge t vo l a t i l i t y, even i f t he asset po rtf o l io is r e b a l a n c e d d a i ly. The r e can be no assu r ance t ha t t he ac t ua l vo l a t i l i t y of t he Index w i ll be l o w e r t han t he vo l a t i l i t y of any o r a ll of t he i n d ex c ompo nen t s. The vo l a t i l i t y t a r ge t f ea t u r e of t he Index may dampen i t s pe rf o r mance in bu ll ish ma r ke t s. The f u t u r e pe rf o r mance of t he Index may bea r l i ttl e o r no r e l a t ion to t he his t o r ica l o r hypo t he t ica l r e tr ospec t ive pe rf o r mance of t he Index. The Index is pa rt icu l a rl y suscep t ib l e to "choppy" ma r ke t s. The Index w as es t ab l ished on Ma r ch 7 , 2 0 1 7 and t he r e f o r e has a ve r y l imi t ed his t o r y. As t he Index is ne w and has ve r y l imi t ed ac t ua l his t o r ica l pe rf o r mance, any inves t men t in t he Index may involve g r ea t e r r isk t han an inves t men t in an Index w i t h l onge r ac t ua l his t o r ica l pe rf o r mance and a p r oven tr ack r eco r d. The Index is ca l cu l a t ed on an excess r e t u r n basis. The l eve l of t he Index is ca l cu l a t ed as t he excess of t he w eigh t ed r e t u r n of t he asset po rtf o l io ove r an equiva l en t cash inves t men t r ece i v i ng t he 3- month LIB O R. The l eve l of t he Index w i ll inc l ude t he deduc t ion of a f ee of 0 . 8 5% p e r a nnum . An inves t men t in ins tr umen t s l inked to t he Index involves ri sks ass o c i a t e d with e m e r g i ng m a r ke t s e q u iti es an d bo n d s, c urr e n c y exchange r a t es an d c ommoditi es. T he r i sks iden t i f ied above a r e no t e x hau st i v e. P l ease see t he f u ll se t o f r isk f ac t o r s inc l uded in any d i sc l osu r e ma t e ri a l s r e l a ti ng to i ns tr umen t s li n k ed to t he Inde x f o r addi t iona l in f o r ma t ion.

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No t e on S i mu l a t ed Re t u r ns Back- t es t ing and o t he r s t a t is t ica l ana l yses p r ovided he r ein use simu l a t ed ana l ysis and hypo t he t ica l ci r cums t ances t o es t ima t e ho w t he I ndex may have pe rf o r med be tw een Sep t embe r 22 , 2 00 3 and Ma r ch 7, 2 0 1 7 , p r io r t o i t s ac t ua l exis t ence The r esu lt s ob t ained fr om such "back - t es t ing" shou l d no t be conside r ed indica t ive o f t he ac t ua l r esu lt s t ha t migh t be ob t ained fr om an inves t men t in t he I ndex The ac t ua l pe rf o r mance o f t he I ndex may v a r y signi f ican tl y fr om t he r esu lt s ob t ained fr om back- t es t ing Un l ike an ac t ua l pe rf o r mance r eco r d , simu l a t ed r esu lt s a r e achieved by means o f t he r e tr oac t ive app l ica t ion o f a back- t es t ed mode l i t se lf designed w i t h t he bene f i t o f hindsigh t and kno wl edge o f f ac t o r s t ha t may have possib l y a ff ec t ed i t s pe rf o r mance Mo r gan S t an l ey p r ovides no assu r ance o r gua r an t ee t ha t ins tr umen t s l inked t o t he I ndex w i ll ope r a t e o r w ou l d have ope r a t ed in t he pas t in a manne r consis t en t w i t h t hese ma t e r ia l s The hypo t he t ica l his t o r ica l l eve l s p r esen t ed he r ein have no t been ve r i f ied by an independen t t hi r d pa rt y , and such hypo t he t ica l his t o r ica l l eve l s have inhe r en t l imi t a t ions I n addi t ion , r esu lt s ob t ained fr om back- t es t ing inc l ude hypo t he t ica l r esu lt s t ha t do no t r e fl ec t t he r einves t men t o f dividends and o t he r ea r nings o r t he deduc t ion o f any expenses t ha t an inves t o r in any p r oduc t , t he r e t u r n o f w hich is l inked t o t he pe rf o r mance o f t he I ndex , w ou l d have paid o r ac t ua ll y paid and do no t accoun t f o r a ll f inancia l r isk t ha t may a ff ec t t he ac t ua l pe rf o r mance o f any such inves t men t A lt e r na t ive simu l a t ions , t echniques , mode l ing o r assump t ions migh t p r oduce signi f ican tl y di ff e r en t r esu lt s and p r ove t o be mo r e app r op r ia t e Ac t ua l r esu lt s w i ll va r y , pe r haps ma t e r ia ll y , fr om t he simu l a t ed r e t u r ns p r esen t ed in t his documen t Because t he Mo r gan S t an l ey Two Year T r easu r y I ndex and ce rt ain E T Fs inc l uded in t he I ndex Componen t s exis t ed f o r on l y a po r t ion o f t he back- t es t ed pe r iod , subs t i t u t e da t a has been used f o r po rt ions o f t he simu l a t ion W he r eve r da t a f o r t he Mo r gan S t an l ey Two Year T r easu r y I ndex o r one o r mo r e E T Fs did no t exis t , t he simu l a t ion has inc l uded (i) t he va l ue o f t he Mo r gan S t an l ey Two Year T r easu r y I ndex based on simu l a t ed his t o r ica l pe rf o r mance and (ii) t he va l ue o f each E T F's benchma r k index l ess t he r e l evan t cu rr en t expense r a t io The E T Fs (and co rr esponding f und incep t ion da t es) f o r w hich da t a has been used f o r a ll pe r iods p r io r t o t he r e l evan t incep t ion da t e a r e : USMV (Oc t obe r 2 0 , 2 0 11 ) , DVY (Novembe r 7, 2 00 3) , HYG (Ap r i l 11 , 2 00 7) , AGG (Sep t e m be r 2 6 , 2 00 3) , E M B (Dece m be r 1 9 , 2 00 7) , T I P (Dece m be r 5 , 2 00 3) , PFF ( M a r ch 3 0 , 2 00 7) , GLD (N o ve m be r 1 8 , 2 00 4) , USO (Ap r i l 1 0 , 2 00 6) , VNQ (Sep t embe r 29 , 2 00 4) and UUP (Feb r u a r y 2 0 , 2 00 7) The pu r pose o f t his da t a subs t i t u t ion is t o r ep l ica t e as nea rl y as possib l e t he r e t u r ns t ha t w ou l d have been expec t ed had t he Mo r gan S t an l ey Two Year T r easu r y I ndex and t he E T F exis t ed and , in t he case of an ETF , t r acked i t s r e l evan t bench m a r k index Impo rt an t In f o r ma t ion and Q ua l i f ica t ion s The in f o r ma t ion p r ovided he r ein w as p r epa r ed by sa l es, tr ading, o r o t he r non- r esea r ch pe r sonne l of one of t he f o ll o w ing: Mo r gan Stan l ey & Co LLC, M o r gan S t an l ey & Co In t e r na t iona l PLC, M o r gan S t an l ey M UFG Secu r i t ies Co , Ltd, M o r gan S t an l ey Capi t a l G r oup Inc and / o r M o r gan S t an l ey Asia Limi t ed (together w i t h t hei r a ff i l ia t es, he r eina ft e r "Mo r gan Stan l ey"), bu t is no t a p r oduc t of t he Mo r gan Stan l ey Resea r ch Depa rt men t This communica t ion is a ma r ke t ing communica t ion and is no t a r esea r ch r epo rt Fo r addi t iona l in f o r ma t ion and impo rt an t disc l osu r es, see h tt p : //www mo r gans t an l ey com / disc l aime r s Mo r gan Stan l ey is no t ac t ing as a municipa l adviso r and t he opinions o r vie w s con t ained he r ein a r e no t in t ended to be, and do no t cons t i t u t e, advice, inc l uding w i t hin t he meaning of Sec t ion 975 of t he Dodd-F r ank Wa ll St r ee t Re f o r m and Consume r P r o t ec t ion Ac t This ma t e r ia l is no t (and shou l d no t be cons tr ued to be) inves t men t advice (as de f ined unde r ERISA o r simi l a r concep t s unde r app l icab l e law) fr om Mo r gan Stan l ey w i t h r espec t to an emp l oyee bene f i t p l an o r to any pe r son ac t ing as a f iducia r y f o r an emp l oyee bene f i t p l an , o r as a p r ima r y basis f o r any pa rt icu l a r p l an inves t men t decision The in f o r ma t ion p r ovided he r ein has been p r epa r ed so l e l y f o r in f o r ma t iona l pu r poses and is no t an o ff e r to buy o r se ll o r a so l ici t a t ion of an o ff e r to buy o r se ll any secu r i t ies o r ins tr umen t s o r to pa rt icipa t e in any pa rt icu l a r tr ading s tr a t egy No r ep r esen t a t ion is given w i t h r espec t to accu r acy o r comp l e t eness, and t hey may change w i t hou t no t ice Mo r gan Stan l ey on i t s o w n beha lf and on beha lf of i t s a ff i l ia t es disc l aims any and a ll l iabi l i t y r e l a t ing to t hese ma t e r ia l s, inc l uding, w i t hou t l imi t a t ion, any exp r ess o r imp l ied r ep r esen t a t ions o r w a rr an t ies f o r s t a t emen t s o r e rr o r s con t ained in, o r omissions fr om, t hese ma t e r ia l s Mo r gan Stan l ey and o t he r s associa t ed w i t h i t may make ma r ke t s o r specia l ize in, have o r may in t he f u t u r e en t e r in t o p r incipa l posi t ions ( l ong o r sho rt ) in and e ff ec t tr ansac t ions in secu r i t ies o r tr ading s tr a t egies men t ioned o r desc r ibed he r ein Un l ess s t a t ed ot he rw ise, t he ma t e r ia l con t ained he r ein has no t been based on a conside r a t ion of any individua l c l ien t ci r cums t ances and as such shou l d no t be conside r ed to be a pe r sona l r ecommenda t ion We r emind inves t o r s t ha t t hese inves t men t s a r e sub j ec t to ma r ke t r isk and w i ll fl uc t ua t e in va l ue Any inves t men t s discussed in t his communica t ion may be unsui t ab l e f o r inves t o r s depending upon t hei r speci f ic inves t men t ob j ec t ives and f inancia l posi t ion W he r e an inves t men t is denomina t ed in a cu rr ency o t he r t han t he inves t o r 's cu rr ency, changes in r a t es o f exchange may have an adve r se e ff ec t on t he va l ue , p r ice of, o r income de r ived fr om t he inves t men t The pe rf o r mance da t a quo t ed r ep r esen t s pas t pe rf o r mance Pas t pe rf o r mance is no t indica t ive o f f u t u r e r e t u r ns No r ep r esen t a t ion o r w a rr an t y is made t ha t any r e t u r ns indica t ed w i ll be achieved Ce rt ain assump t ions may have been made in t his ana l ysis, w hich have r esu lt ed in any r e t u r ns de t ai l ed he r ein T r ansac t ion cos t s (such as commissions) a r e no t inc l uded in t he ca l cu l a t ion o f r e t u r ns Changes to t he assump t ions may have a ma t e r ia l impac t on any r e t u r ns de t ai l ed Po t en t ia l inves t o r s shou l d be a w a r e t ha t ce rt ain l ega l , accoun t ing and t ax r es tr ic t ions , ma r gin r equi r emen t s , commissions and o t he r tr ansac t ion cos t s and changes to t he assump t ions se t f o rt h he r ein may signi f ican tl y a ff ec t t he economic consequences o f t he tr ansac t ions discussed he r ein The in f o r ma t ion and ana l yses con t ained he r ein a r e no t in t ended as t ax , l ega l o r inves t men t advice and may no t be sui t ab l e f o r you r speci f ic ci r cums t ances By submi tt ing t his communica t ion to you, Mo r gan S t an l ey is no t advising you to t ake any pa rt icu l a r ac t ion based on t he in f o r ma t ion , opinions o r vie w s con t ained he r ein , and accep t ance o f such documen t w i ll be deemed by you accep t ance o f t hese conc l usions You shou l d consu lt w i t h you r o w n municipa l , f inancia l , accoun t ing and l ega l adviso r s r ega r ding t he in f o r ma t ion , opinions o r vie w s con t ained in t his communica t ion HYP O THET I C AL PERF O R MA NCE RESU L TS H AV E MA NY I NHERENT L I M IT A TI O NS, S OM E O F W HICH A RE D ESCRIBE D HERE I N N O REPRESENT A - TI O N IS BEING M ADE THAT ANY ACCOUNT W ILL O R IS LIKELY TO ACH I EVE PR O FITS O R LOSSES S I M I LAR TO TH O SE SH OW N IN FACT, THERE A RE FRE Q UENT L Y SH A RP D I FFERENCES BET W EEN HYP O THET I C AL PERF O R MA NCE RESU L TS A N D THE A CTU AL RESU L TS SUBSE Q UENT L Y ACH I E V E D BY A NY P A RTICU LA R TR AD I NG PR O GR AM O NE O F THE L I M IT A TI O NS O F HYP O THET I C AL PERF O R MA NCE RESU L TS IS TH A T THEY A RE GENER ALL Y PREP A RE D W I TH THE BENEF I T O F H I N D S I GHT IN ADD I T I O N , HYP O THET I C AL TR AD I NG DO ES N O T IN VOLV E F I N A NC I AL RISK, AND N O HYP O TH E T I CAL TRAD I NG RECORD CAN CO M PLETELY ACCOUNT F O R THE I M PACT O F F I NANC I AL RISK IN ACTUAL TRAD I NG F O R E X A M PLE , THE AB I L I TY TO W ITHSTAND LOSSES O R TO ADHERE TO A PARTICULAR TRAD I NG STRATEGY IN SP I TE O F TRAD I NG LOSSES ARE MA TERI AL P O I NTS W HICH C A N AL S O ADV ERSE L Y A FFECT ACTU AL TR AD I NG RESU L TS THERE A RE NU M ER O US O THER FACT O RS RE LA TE D TO THE MA RKETS IN GENER AL O R TO THE I M P L E M ENT A TI O N O F A NY SPECIFIC TR AD I NG PR O GR AM W HICH C A NN O T BE FU LL Y ACC O UNTE D F O R IN THE PREP A R A TI O N O F HYP O THET I C AL PERF O R MA NCE RESU L TS A N D ALL O F W HICH C A N ADV ERSE L Y A FFECT ACTU AL TR AD I NG RESU L TS IMAGE OMITTED © 2 0 1 7 Mor gan St an l ey S m i t h Ba r ney LLC M e m be r SIPC CS 88 1 3 8 35 0 4/ 1 7

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