Obbligazione Morgan Stanley Financial 7% ( US61768CGV37 ) in USD

Morgan Stanley Financial

100 USD ▲

Stati Uniti

US61768CGV37 ( in USD )

7% per anno ( pagato 2 volte l'anno)

28/04/2032

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61768CGV37 en USD 7%, scadenza 28/04/2032

1 000 USD

500 000 USD

61768CGV3

N/A

28/04/2026 ( In 26 giorni )

Morgan Stanley è una delle maggiori istituzioni finanziarie globali, operante in servizi di investment banking, gestione patrimoniale e trading.

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61768CGV37, pays a coupon of 7% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 28/04/2032

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61768CGV37, was rated NR by Moody's credit rating agency.

424B2 1 dp75517_424b2-ps1436.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee
Contingent Income Securities due 2032

$500,000

$57.95

April 2 0 1 7
Pricing Supplement No. 1,436
Registration Statement Nos. 333-200365; 333-

200365-12
Dated April 25, 2017
Filed pursuant to Rule 424(b)(2)

STRUCTURED INVESTMENTS
Opportunities in U.S. Equities

Contingent Income Securities due April 28, 2032
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ®
I nde x
Princ ipa l a t Risk Se c urit ie s
The securities are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by
Morgan Stanley. The securities have the terms described in the accompanying prospectus supplement, index supplement and
prospectus, as supplemented or modified by this document. The securities do not guarantee the repayment of principal and do not
provide for the regular payment of interest after the first 5 years. For the first 5 years, the securities will pay a fixed monthly coupon
at the rate specified below. Thereafter, the securities will pay a contingent monthly coupon but only if the index closing value of
e a c h of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x on the related observation date is a t or a bove 6 0 % of it s
re spe c t ive init ia l inde x va lue , which we refer to as the coupon barrier level. If the index closing value of e it he r
unde rlying inde x is less than the coupon barrier level for such index on any observation date after the first 5 years, we will pay
no interest for the related interest period. At maturity, if the final index value of e a c h underlying index is greater than or equal to
50% of the respective initial index value, which we refer to as the downside threshold level, the payment at maturity will be the
stated principal amount, and, if the final index value of e a c h underlying index is also greater than or equal to its coupon barrier
level, the related contingent monthly coupon. If, however, the final index value of e it he r underlying index is less than its downside
threshold level, investors will be exposed to the decline in the worst performing underlying index on a 1-to-1 basis and will receive
a payment at maturity that is less than 50% of the stated principal amount of the securities and could be zero. Ac c ordingly,
inve st ors in t he se c urit ie s m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt ba se d
on t he pe rform a nc e of e it he r inde x a nd a lso t he risk of not re c e iving a ny c ont inge nt m ont hly c oupons a ft e r
t he first 5 ye a rs. Because payments on the securities are based on the worst performing of the underlying indices, a decline
beyond the respective coupon barrier level and/or respective downside threshold level, as applicable, of e it he r underlying index
will result in few or no contingent monthly coupons after the first 5 years and/or a significant loss of your investment, as applicable,
even if the other underlying index has appreciated or has not declined as much. Investors will not participate in any appreciation in
either underlying index. These long-dated securities are for investors who are willing to risk their principal and seek an opportunity
to earn interest at a potentially above-market rate in exchange for the risk of receiving no monthly interest after the first 5 years if
e it he r unde rlying inde x closes below the coupon barrier level for such index on the observation dates. The securities are
notes issued as part of MSFL's Series A Global Medium-Term Notes program.
All pa ym e nt s a re subje c t t o our c re dit risk . I f w e de fa ult on our obliga t ions, you c ould lose som e or a ll of
your inve st m e nt . T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st
in, or ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
U nde rlying indic e s:
Russell 2000® Index (the "RTY Index") and S&P 500® Index (the "SPX Index")
Aggre ga t e princ ipa l
$500,000
a m ount :
St a t e d princ ipa l
$1,000 per security
a m ount :
I ssue pric e :
$1,000 per security (see "Commissions and issue price" below)
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Pric ing da t e :
April 25, 2017
Origina l issue da t e :
April 28, 2017 (3 business days after the pricing date)
M a t urit y da t e :
April 28, 2032
M ont hly c oupon:
Years 1-5: On all coupon payment dates through April 2022, a fixed coupon at an annual rate of
7.00% (corresponding to approximately $5.833 per month per security) is paid monthly.
Years 6-15: Beginning with the May 2022 coupon payment date, a contingent coupon at an annual
rate of 7.00% (corresponding to approximately $5.833 per month per security) is paid monthly but
only if the closing value of e a c h unde rlying inde x is a t or a bove its respective coupon barrier
level on the related observation date.
I f, on a ny obse rva t ion da t e in ye a rs 6 -1 5 , t he c losing va lue of e it he r unde rlying
inde x is le ss t ha n t he c oupon ba rrie r le ve l for suc h inde x , w e w ill pa y no c oupon
for t he a pplic a ble int e re st pe riod. I t is possible t ha t one or bot h unde rlying indic e s
w ill re m a in be low t he re spe c t ive c oupon ba rrie r le ve l(s) for e x t e nde d pe riods of
t im e or e ve n t hroughout ye a rs 6 -1 5 so t ha t you w ill re c e ive fe w or no c ont inge nt
m ont hly c oupons during t ha t pe riod.
Pa ym e nt a t m a t urit y:
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective
downside threshold level: the stated principal amount, and, if the final index value of e a c h
underlying index is also gre a t e r t ha n or e qua l t o its respective coupon barrier level, the
contingent monthly coupon with respect to the final observation date.
If the final index value of e it he r underlying index is le ss t ha n its respective downside threshold
level: (i) the stated principal amount multiplied by (ii) the index performance factor of the worst
performing underlying index. Under these circumstances, the payment at maturity will be less than
50% of the stated principal amount of the securities and could be zero.

Terms continued on the following page
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a wholly owned subsidiary of
Morgan Stanley. See "Supplemental information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on
$935.80 per security. See "Investment Overview" beginning on page 3.
t he pric ing da t e :
Com m issions a nd
issue pric e :
Pric e t o public (1)
Age nt 's c om m issions (2)
Proc e e ds t o us(3)
Pe r se c urit y
$1,000
$35
$965
T ot a l
$500,000
$17,500
$482,500
(1) The price to public for investors purchasing the securities in fee-based advisory accounts will be $970 per security.
(2) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $35 for each security they
sell; provided that dealers selling to investors purchasing the securities in fee-based advisory accounts will receive a sales commission of $5 per
security. 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.
(3) See "Use of proceeds and hedging" on page 26.

T he se c urit ie s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt se c urit ie s.
Se e "Risk Fa c t ors" be ginning on pa ge 1 0 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his doc um e nt or t he a c c om pa nying prospe c t us supple m e nt , inde x
supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l
offe nse .
T he se c urit ie s a re not de posit s or sa vings a c c ount s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e
Corpora t ion or a ny ot he r gove rnm e nt a l a ge nc y or inst rum e nt a lit y, nor a re t he y obliga t ions of, or gua ra nt e e d
by, a ba nk .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d prospe c t us supple m e nt , inde x supple m e nt a nd
prospe c t us, e a c h of w hic h c a n be a c c e sse d via t he hype rlink s be low . Ple a se a lso se e "Addit iona l
I nform a t ion About t he Se c urit ie s" a t t he e nd of t his doc um e nt .
Re fe re nc e s t o "w e ," "us" a nd "our" re fe r t o M orga n St a nle y or M SFL, or M orga n St a nle y a nd M SFL
c olle c t ive ly, a s t he c ont e x t re quire s.

Prospectus Supplement dated February 16, 2016 Index Supplement dated January 30, 2017 Prospectus dated February 16, 2016

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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Terms continued from previous page:
Coupon ba rrie r le ve l:
With respect to the RTY Index: 846.646, which is approximately 60% of the initial index value for
such index
With respect to the SPX Index: 1,433.166, which is 60% of the initial index value for such index
Dow nside t hre shold
With respect to the RTY Index: 705.539, which is approximately 50% of the initial index value for
le ve l:
such index
With respect to the SPX Index: 1,194.305, which is 50% of the initial index value for such index
I nit ia l inde x va lue :
With respect to the RTY Index: 1,411.077, which is the index closing value of such index on the
pricing date
With respect to the SPX Index: 2,388.61, which is the index closing value of such index on the
pricing date
Fina l inde x va lue :
With respect to each index, the respective index closing value on the final observation date
Worst pe rform ing
The underlying index with the larger percentage decrease from the respective initial index value to
unde rlying inde x :
the respective final index value
I nde x pe rform a nc e
Final index value divided by the initial index value
fa c t or:
Coupon pa ym e nt
Monthly, on the 28th day of each month, beginning May 28, 2017; provided that if any such day is
da t e s:
not a business day, that contingent monthly 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 contingent monthly coupon, if any, with respect to the final
observation date shall be paid on the maturity date.
Obse rva t ion da t e s:
The third scheduled business day preceding each scheduled coupon payment date, beginning with
the May 28, 2022 scheduled coupon payment date, subject to postponement for non-index business
days and certain market disruption events. We also refer to the third scheduled business day prior to
the scheduled maturity date as the final observation date.
CU SI P / I SI N :
61768CGV3 / US61768CGV37
List ing:
The securities will not be listed on any securities exchange.

April 2017
Page 2

Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Investment Overview

Cont inge nt I nc om e Se c urit ie s

Princ ipa l a t Risk Se c urit ie s
Contingent Income Securities due April 28, 2032 Payments on the Securities Based on the Worst Performing of the Russell 2000®
Index and the S&P 500® Index (the "securities") do not guarantee the repayment of principal and do not provide for the regular
payment of interest after the first 5 years. For the first 5 years, the securities will pay a fixed monthly coupon at the rate specified
below. Thereafter, the securities will pay a contingent monthly coupon but only if the index closing value of e a c h of t he
Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x (which we refer to together as the "underlying indices") is a t or a bove
60% of its respective initial index value, which we refer to as the coupon barrier level, on the related observation date. If the index
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closing value of e it he r unde rlying inde x is less than the coupon barrier level for such index on any observation date after the
first 5 years, we will pay no coupon for the related monthly period. It is possible that the index closing value of one or both
underlying indices will remain below the respective coupon barrier level(s) for extended periods of time or even throughout years 6-
15 so that you will receive few or no contingent monthly coupons during that period. We refer to the coupon on the securities after
the first 5 years as contingent, because there is no guarantee that you will receive a coupon payment on any coupon payment date
during that period. Even if an underlying index were to be at or above the coupon barrier level for such index on some monthly
observation dates, it may fluctuate below the coupon barrier level on others. In addition, even if one underlying index were to be at
or above the coupon barrier level for such index on all monthly observation dates, you will receive a contingent monthly coupon
only with respect to the observation dates on which the other underlying index is also at or above the coupon barrier level for such
index, if any. At maturity, if the final index value of e a c h underlying index is greater than or equal to 50% of the respective initial
index value, which we refer to as the downside threshold level, the payment at maturity will be the stated principal amount, and, if
the final index value of e a c h underlying index is also greater than or equal to its coupon barrier level, the related contingent
monthly coupon. If, however, the final index value of e it he r underlying index is less than its downside threshold level, investors
will be exposed to the decline in the worst performing underlying index on a 1-to-1 basis and will receive a payment at maturity
that is less than 50% of the stated principal amount of the securities and could be zero. Ac c ordingly, inve st ors in t he
se c urit ie s m ust be w illing t o a c c e pt t he risk of losing t he ir e nt ire init ia l inve st m e nt ba se d on t he
pe rform a nc e of e it he r inde x a nd a lso t he risk of not re c e iving a ny c ont inge nt m ont hly c oupons a ft e r t he
first 5 ye a rs.

M a t urit y:
15 years

Cont inge nt
Years 1-5: On all coupon payment dates through April 2022, a fixed coupon at an annual rate of
m ont hly c oupon:
7.00% (corresponding to approximately $5.833 per month per security) is paid monthly.

Years 6-15: Beginning with the May 2022 coupon payment date, a contingent coupon at an annual
rate of 7.00% (corresponding to approximately $5.833 per month per security) is paid monthly but only
if the closing value of e a c h unde rlying inde x is a t or a bove its respective coupon barrier level
on the related observation date.

I f, on a ny obse rva t ion da t e , t he c losing va lue of e it he r unde rlying inde x is le ss t ha n
t he c oupon ba rrie r le ve l for suc h inde x , w e w ill pa y no c oupon for t he a pplic a ble
int e re st pe riod. I t is possible t ha t one or bot h unde rlying indic e s w ill re m a in be low
t he re spe c t ive c oupon ba rrie r le ve l(s) for e x t e nde d pe riods of t im e or e ve n
t hroughout ye a rs 6 -1 5 so t ha t you w ill re c e ive fe w or no c ont inge nt m ont hly
c oupons during t ha t pe riod.

Pa ym e nt a t
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective
m a t urit y:
downside threshold level: the stated principal amount, and, if the final index value of e a c h underlying
index is also gre a t e r t ha n or e qua l t o its respective coupon barrier level, the contingent monthly
coupon with respect to the final observation date.

If the final index value of e it he r underlying index is le ss t ha n its respective downside threshold
level: (i) the stated principal amount multiplied by (ii) the index performance factor of the worst
performing underlying index. Under these circumstances, the payment at maturity will be less than
50% of the stated principal amount of the securities and could be zero.

Morgan Stanley clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585 Broadway,
New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative.
Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087.

April 2017
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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

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The original issue price of each security is $1,000. This price includes costs associated with issuing, selling, structuring and
hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing date is less
than $1,000. We estimate that the value of each security on the pricing date is $935.80.

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 indices. The estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying indices, instruments based on the
underlying indices, 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 contingent monthly coupon rate, the coupon barrier levels and
the downside threshold levels, 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 MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including
those related to the underlying indices, 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 18 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 indices, 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.

April 2017
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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Key Investment Rationale

The securities provide for fixed monthly coupon payments at the rate specified herein for the first 5 years. Thereafter, the securities
do not provide for the regular payment of interest and instead will pay a contingent monthly coupon but only if the index closing
value of e a c h unde rlying inde x is a t or a bove 60% of its initial index value, which we refer to as the coupon barrier level, on
the related observation date. The following scenarios are for illustration purposes only to demonstrate how the payment at maturity
and contingent monthly coupon are calculated, and do not attempt to demonstrate every situation that may occur. Accordingly, the
contingent monthly coupon may be payable with respect to none of, or some but not all of, the monthly periods during years 6-15,
and the payment at maturity may be less than 50% of the stated principal amount and could be zero. Investors will not participate
in any appreciation in either underlying index.

Sc e na rio 1 : A contingent
This scenario assumes that during years 6-15, each underlying index closes at or above its
monthly coupon is paid for all
respective coupon barrier level on every monthly observation date. Investors receive the
interest periods, and investors
fixed monthly coupon for the monthly interest periods during the first 5 years, and investors
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receive principal back at
receive the contingent monthly coupon for each interest period during years 6-15. At
maturity, which is the best-case
maturity, each underlying index closes above its respective downside threshold level and
scenario.
coupon barrier level, and so investors receive the stated principal amount and the contingent
monthly coupon with respect to the final observation date.
Sc e na rio 2 : A contingent
This scenario assumes that each underlying index closes at or above its respective coupon
monthly coupon is paid for
barrier level on some monthly observation dates after the first 5 years, but one or both
some, but not all, interest
underlying indices close below the respective coupon barrier level(s) for such index on the
periods, and investors receive
others. Investors receive the fixed monthly coupon for the monthly interest periods during the
principal back at maturity.
first 5 years. Investors receive the contingent monthly coupon for the monthly interest
periods during years 6-15 for which the index closing value of each underlying index is at or
above its respective coupon barrier level on the related observation date, but not for the
interest periods for which one or both underlying indices close below the respective coupon
barrier level(s) on the related observation date. On the final observation date, each
underlying index closes at or above its downside threshold level. At maturity, investors
receive the stated principal amount, and, depending on whether each final index value is
greater than, equal to or below the respective coupon barrier level, the contingent monthly
coupon with respect to the final observation date.
Sc e na rio 3 : No contingent
This scenario assumes that one or both underlying indices close below the respective coupon
monthly coupon is paid for any
barrier level(s) on every monthly observation date during years 6-15. Investors receive the
interest period during years 6-
fixed monthly coupon for the monthly interest periods during the first 5 years. However,
15, and investors suffer a
since one or both underlying indices close below the respective coupon barrier level(s) on
substantial loss of principal at
every monthly observation date during years 6-15, investors do not receive any contingent
maturity.
monthly coupon during that period. On the final observation date, one or both underlying
indices close below the respective downside threshold level(s). At maturity, investors will
receive an amount equal to the stated principal amount multiplied by the index performance
factor of the worst performing underlying index. Under these circumstances, the payment at
maturity will be less than 50% of the stated principal amount and could be zero.
April 2017
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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Underlying Indices Summary

Russe ll 2 0 0 0 ® I nde x

The Russell 2000® Index is an index calculated, published and disseminated by FTSE Russell, and measures the composite price
performance of stocks of 2,000 companies (the "Russell 2000 Component Stocks") incorporated in the U.S. and its territories. All
2,000 stocks are traded on a major U.S. exchange and are the 2,000 smallest securities that form the Russell 3000® Index. The
Russell 3000® Index is composed of the 3,000 largest U.S. companies as determined by market capitalization and represents
approximately 98% of the U.S. equity market. The Russell 2000® Index consists of the smallest 2,000 companies included in the
Russell 3000® Index and represents a small portion of the total market capitalization of the Russell 3000® Index. The Russell
2000® Index is designed to track the performance of the small capitalization segment of the U.S. equity market.

Information as of market close on April 25, 2017:

Bloom be rg T ic k e r Sym bol:
RTY
Curre nt I nde x V a lue :
1,411.077
5 2 We e k s Ago:
1,138.098
5 2 We e k H igh (on 3 /1 /2 0 1 7 ):
1,413.635
5 2 We e k Low (on 6 /2 7 /2 0 1 6 ):
1,089.646

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For additional information about the Russell 2000® Index, see the information set forth under "Russell 2000® Index" in the
accompanying index supplement. Furthermore, for additional historical information, see "Russell 2000® Index Historical
Performance" below.

S& P 5 0 0 ® I nde x

The S&P 500® Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC ("S&P"), consists of stocks of
500 component companies selected to provide a performance benchmark for the U.S. equity markets. The calculation of the S&P
500® Index is based on the relative value of the float adjusted aggregate market capitalization of the 500 component companies as
of a particular time as compared to the aggregate average market capitalization of 500 similar companies during the base period of
the years 1941 through 1943.

Information as of market close on April 25, 2017:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,388.61
5 2 We e k s Ago:
2,087.79
5 2 We e k H igh (on 3 /1 /2 0 1 7 ):
2,395.96
5 2 We e k Low (on 6 /2 7 /2 0 1 6 ):
2,000.54

For additional information about the S&P 500® Index, see the information set forth under "S&P 500® Index" in the accompanying
index supplement. Furthermore, for additional historical information, see "S&P 500® Index Historical Performance" below.

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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Hypothetical Examples

The following hypothetical examples illustrate how to determine whether a contingent monthly coupon is paid with respect to an
observation date and how to calculate the payment at maturity. The following examples are for illustrative purposes only. For the
first 5 years, you will receive a fixed monthly coupon at a rate of 7.00% per annum regardless of the performance of the underlying
indices. Whether you receive a contingent monthly coupon after the first 5 years will be determined by reference to the index
closing value of each underlying index on each monthly observation date, and the amount you will receive at maturity, if any, will
be determined by reference to the final index value of each underlying index on the final observation date. The actual initial index
value, coupon barrier level and downside threshold level for each underlying index are set forth on the cover of this document. All
payments on the securities, if any, are subject to our credit risk. The below examples are based on the following terms:

Contingent Monthly Coupon:
Years 1-5: On all coupon payment dates through April 2022, a fixed coupon at an annual rate of
7.00% (corresponding to approximately $5.833 per month per security) is paid monthly.

Years 6-15: Beginning with the May 2022 coupon payment date, a contingent coupon at an
annual rate of 7.00% (corresponding to approximately $5.833 per month per security) is paid
monthly but only if the closing value of e a c h unde rlying inde x is a t or a bove its respective
coupon barrier level on the related observation date.*

I f, on a ny obse rva t ion da t e in ye a rs 6 -1 5 , t he c losing va lue of e it he r unde rlying
inde x is le ss t ha n t he c oupon ba rrie r le ve l for suc h inde x , w e w ill pa y no
c oupon for t he a pplic a ble int e re st pe riod. I t is possible t ha t one or bot h
unde rlying indic e s w ill re m a in be low t he re spe c t ive c oupon ba rrie r le ve l(s) for
e x t e nde d pe riods of t im e or e ve n t hroughout ye a rs 6 -1 5 so t ha t you w ill re c e ive
fe w or no c ont inge nt m ont hly c oupons during t ha t pe riod.
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Payment at Maturity:
If the final index value of e a c h underlying index is gre a t e r t ha n or e qua l t o its respective
downside threshold level: the stated principal amount, and, if the final index value of e a c h
underlying index is also gre a t e r t ha n or e qua l t o its respective coupon barrier level, the
contingent monthly coupon with respect to the final observation date

If the final index value of e it he r underlying index is le ss t ha n its respective downside
threshold level: (i) the stated principal amount multiplied by (ii) the index performance factor of
the worst performing underlying index. Under these circumstances, the payment at maturity will
be less than 50% of the stated principal amount of the securities and could be zero.
Stated Principal Amount:
$1,000
Hypothetical Initial Index Value:
With respect to the RTY Index: 1,200
With respect to the SPX Index: 2,000
Hypothetical Coupon Barrier
With respect to the RTY Index: 720, which is 60% of the hypothetical initial index value for such
Level:
index
With respect to the SPX Index: 1,200, which is 60% of the hypothetical initial index value for
such index
Hypothetical Downside
With respect to the RTY Index: 600, which is 50% of the hypothetical initial index value for such
Threshold Level:
index

With respect to the SPX Index: 1,000, which is 50% of the hypothetical initial index value for
such index

* The actual monthly coupon will be an amount determined by the calculation agent based on the number of days in the applicable payment period,
calculated on a 30/360 basis. The hypothetical monthly coupon of $5.833 is used in these examples for ease of analysis.

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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
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Princ ipa l a t Risk Se c urit ie s

How to determine whether a contingent monthly coupon is payable with respect to an observation date during years
6-15:

Index Closing Value
Contingent Monthly Coupon

RTY Index
SPX Index

Hypothetical Observation
950 (a t or a bove
1,700 (a t or a bove
$5.833
Date 1
coupon barrier level)
coupon barrier level)
Hypothetical Observation
1,200 (a t or a bove
1,000 (be low coupon
$0
Date 2
coupon barrier level)
barrier level)
Hypothetical Observation
600 (be low coupon
1,600 (a t or a bove
$0
Date 3
barrier level)
coupon barrier level)
Hypothetical Observation
500 (be low coupon
1,100 (be low coupon
$0
Date 4
barrier level)
barrier level)

On hypothetical observation date 1, both the RTY Index and SPX Index close at or above their respective coupon barrier levels.
Therefore a contingent monthly coupon of $5.833 is paid on the relevant coupon payment date.

On each of the hypothetical observation dates 2 and 3, one underlying index closes at or above its coupon barrier level but the
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other underlying index closes below its coupon barrier level. Therefore, no contingent monthly coupon is paid on the relevant
coupon payment date.

On hypothetical observation date 4, each underlying index closes below its respective coupon barrier level and accordingly no
contingent monthly coupon is paid on the relevant coupon payment date.

Be ginning a ft e r 5 ye a rs, you w ill not re c e ive a c ont inge nt m ont hly c oupon on a ny c oupon pa ym e nt da t e if
t he c losing va lue of e it he r unde rlying inde x is be low it s re spe c t ive c oupon ba rrie r le ve l on t he re la t e d
obse rva t ion da t e .

How to calculate the payment at maturity:

Final Index Value
Payment at Maturity

RTY Index
SPX Index

Example 1:
1,500 (a t or a bove the
2,500 (a t or a bove the downside threshold level
$1,005.833 (the stated principal
downside threshold level
and coupon barrier level)
amount plus the contingent
and coupon barrier level)
monthly coupon with respect to
the final observation date)
Example 2:
650 (a t or a bove the
1,750 (a t or a bove the downside threshold level
$1,000.00
downside threshold level
and coupon barrier level)
(the stated principal amount)
but be low the coupon
barrier level)
Example 3:
850 (a t or a bove the
800 (be low the downside threshold level)
$1,000 x index performance
downside threshold level)
factor of the worst performing
underlying = $1,000 x (800 /
2,000) = $400
Example 4:
480 (be low the
1,200 (a t or a bove the downside threshold level)
$1,000 x (480 / 1,200) = $400
downside threshold level)
Example 5:
300 (be low the
800 (be low the downside threshold level)
$1,000 x (300 / 1,200) = $250
downside threshold level)
Example 6:
480 (be low the
500 (be low the downside threshold level)
$1,000 x (500 / 2,000) = $250
downside threshold level)
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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

In example 1, the final index values of both the RTY Index and SPX Index are at or above their downside threshold levels and
coupon barrier levels. Therefore, investors receive at maturity the stated principal amount of the securities and the contingent
monthly coupon with respect to the final observation date. Investors do not participate in any appreciation of either underlying index.

In example 2, the final index values of both the RTY Index and the SPX Index are at or above their downside threshold levels.
However, the final index value of the RTY Index is below its coupon barrier level. Therefore, investors receive at maturity the stated
principal amount of the securities but do not receive the contingent monthly coupon with respect to the final observation date.

In examples 3 and 4, the final index value of one underlying index is at or above its downside threshold level but the final index
value of the other underlying index is below its downside threshold level. Therefore, investors are exposed to the downside
performance of the worst performing underlying index at maturity and receive at maturity an amount equal to the stated principal
amount times the index performance factor of the worst performing underlying index.

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Similarly, in examples 5 and 6, the final index value of each underlying index is below its respective downside threshold level, and
investors receive at maturity an amount equal to the stated principal amount times the index performance factor of the worst
performing underlying index. In example 5, the RTY Index has declined 75% from its initial index value to its final index value, while
the SPX Index has declined 60% from its initial index value to its final index value. Therefore, the payment at maturity equals the
stated principal amount times the index performance factor of the RTY Index, which is the worst performing underlying index in this
example. In example 6, the RTY Index has declined 60% from its initial index value, while the SPX Index has declined 75% from its
initial index value to its final index value. Therefore the payment at maturity equals the stated principal amount times the index
performance factor of the SPX Index, which is the worst performing underlying index in this example.

I f t he fina l inde x va lue of EI T H ER unde rlying inde x is be low it s re spe c t ive dow nside t hre shold le ve l, you
w ill be e x pose d t o t he dow nside pe rform a nc e of t he w orst pe rform ing unde rlying inde x a t m a t urit y, a nd
your pa ym e nt a t m a t urit y w ill be le ss t ha n $ 5 0 0 pe r se c urit y a nd c ould be ze ro.

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Cont inge nt I nc om e Se c urit ie s due April 2 8 , 2 0 3 2
Pa ym e nt s on t he Se c urit ie s Ba se d on t he Worst Pe rform ing of t he Russe ll 2 0 0 0 ® I nde x a nd t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and
other risks, you should read the section entitled "Risk Factors" in the accompanying prospectus supplement, index supplement and
prospectus. We also urge you to consult with your investment, legal, tax, accounting and other advisers in connection with your
investment in the securities.

The securities do not guarantee the return of any principal. The terms of the securities differ from those of
ordinary debt securities in that they do not guarantee the repayment of principal. If the final index value of either underlying
index is less than its downside threshold level of 50% of its initial index value, you will be exposed to the decline in the closing
value of the worst performing underlying index, as compared to its initial index value, on a 1-to-1 basis, and you will receive for
each security that you hold at maturity an amount equal to the stated principal amount times the index performance factor of
the worst performing underlying index. I n t his c a se , t he pa ym e nt a t m a t urit y w ill be le ss t ha n 5 0 % of t he st a t e d
princ ipa l a m ount a nd c ould be ze ro.

After the first 5 years, the securities do not provide for regular interest payments. The terms of the securities
differ from those of ordinary debt securities in that they do not provide for the regular payment of interest after the first 5 years.
For the first 5 years, the securities will pay a fixed monthly coupon at the rate specified herein. Thereafter, the securities will
pay a contingent monthly coupon only if the index closing value of each underlying index is at or above 60% of its respective
initial index value, which we refer to as the coupon barrier level, on the related observation date. If, on the other hand, the
index closing value of either underlying index is lower than the coupon barrier level for such index on the relevant observation
date for any interest period during years 6-15, we will pay no coupon on the applicable coupon payment date. It is possible
that the index closing value of one or both underlying indices will remain below the respective coupon barrier level(s) for
extended periods of time or even throughout years 6-15 so that you will receive few or no contingent monthly coupons during
that period. If you do not earn sufficient contingent monthly coupons over the term of the securities, the overall return on the
securities may be less than the amount that would be paid on a conventional debt security of ours of comparable maturity.

You are exposed to the price risk of both underlying indices, w ith respect to both the contingent
m ont hly c oupons a ft e r t he first 5 ye a rs, if a ny, a nd t he pa ym e nt a t m a t urit y, if a ny. Your return on the
securities is not linked to a basket consisting of both underlying indices. Rather, it will be contingent upon the independent
performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in which risk is
mitigated and diversified among all the components of the basket, you will be exposed to the risks related to both underlying
indices. Poor performance by e it he r underlying index over the term of the securities may negatively affect your return and will
not be offset or mitigated by any positive performance by the other underlying index. To receive any contingent monthly
coupons after the first 5 years, e a c h underlying index must close at or above its respective coupon barrier level on the
applicable observation date. In addition, if e it he r underlying index has declined to below its respective downside threshold
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