Obbligazione Morgan Stanley Financial 5.35% ( US61768CMJ35 ) in USD

Emittente Morgan Stanley Financial
Prezzo di mercato 96 USD  ⇌ 
Paese  Stati Uniti
Codice isin  US61768CMJ35 ( in USD )
Tasso d'interesse 5.35% per anno ( pagato 2 volte l'anno)
Scadenza 31/01/2025 - Obbligazione è scaduto



Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61768CMJ35 in USD 5.35%, scaduta


Importo minimo 1 000 USD
Importo totale /
Cusip 61768CMJ3
Standard & Poor's ( S&P ) rating N/A
Moody's rating N/A
Descrizione dettagliata 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 US61768CMJ35, pays a coupon of 5.35% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 31/01/2025







424B2 1 dp78132_424b2-ps1678.htm FORM 424B2
J uly 2 0 1 7
Preliminary Pricing Supplement No. 1,678
Registration Statement Nos. 333-200365; 333-200365-12
Dated July 5, 2017
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Callable Buffered Range Accrual Securities due January 31, 2025
All Payments on the Securities Subject to the Barrier Feature Linked to the S&P 500® Index
Fully and Unconditionally Guaranteed by Morgan Stanley
Princ ipa l a t Risk Se c urit ie s
Unlike ordinary debt securities, the Callable Buffered Range Accrual Securities due January 31, 2025, All Payments on the
Securities Subject to the Barrier Feature Linked to the S&P 500® Index, which we refer to as the securities, do not provide for the
regular payment of interest and provide for the minimum return of only 20% of the stated principal amount at maturity. The
securities offer the opportunity for investors to earn a contingent monthly coupon, if any, based on the number of index business
days in the relevant coupon payment period on which the index closing value of the S&P 500® Index is greater than or equal to
80% of the initial index value, which we refer to as the barrier level. If the index closing value remains below the barrier level for
extended periods of time, investors will receive reduced contingent monthly coupon payments or no contingent monthly coupon
payments at all. As a result, investors must be willing to accept the risk of not receiving any contingent monthly coupon during the
entire 7.5-year term of the securities. In addition, beginning on July 31, 2018, w e w ill ha ve t he right t o re de e m t he
se c urit ie s a t our disc re t ion on a ny m ont hly re de m pt ion da t e for a redemption payment equal to the sum of the stated
principal amount plus any accrued and unpaid contingent monthly coupon otherwise due with respect to the related coupon
payment period. An early redemption of the securities will be at our discretion and will not automatically occur based on the
performance of the underlying index. At maturity, if the securities have not previously been redeemed and the final index value is
greater than or equal to the barrier level, investors will receive the stated principal amount of the securities and any accrued and
unpaid contingent monthly coupon with respect to the final coupon payment period. However, if the final index value is less than
the barrier level, investors will lose 1% for every 1% decline in the final index value from the initial index value beyond the buffer
amount of 20%, in addition to any accrued and unpaid contingent monthly coupon. Ac c ordingly, inve st ors m a y lose up t o
8 0 % of t he ir e nt ire init ia l inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the S&P 500®
Index. These long-dated securities are for investors who seek an opportunity to earn interest at a potentially above-market rate in
exchange for the risk of losing some or a substantial portion of their principal and the risk of receiving reduced contingent monthly
coupon payments, or no contingent monthly coupon payments at all, if the S&P 500® Index remains below the barrier level for
extended periods of time, and the risk of an early redemption of the securities at our discretion. The securities are unsecured
obligations of Morgan Stanley Finance LLC ("MSFL") and are fully and unconditionally guaranteed by Morgan Stanley. The
securities are 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
subst a nt ia l port ion 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.

SU M M ARY T ERM S
I ssue r:
Morgan Stanley Finance LLC
Gua ra nt or:
Morgan Stanley
U nde rlying inde x :
S&P 500® Index
Aggre ga t e princ ipa l
$
a m ount :
St a t e d princ ipa l a m ount :
$1,000 per security
I ssue pric e :
$1,000 per security (see "Commissions and issue price" below)
Pric ing da t e :
July 26, 2017
Origina l issue da t e :
July 31, 2017 (3 business days after the pricing date)
M a t urit y da t e :
January 31, 2025
Opt iona l e a rly re de m pt ion: Beginning on July 31, 2018, we will have the right to redeem the securities, a t our disc re t ion,
in whole but not in part, on any monthly redemption date for the redemption payment. If we
decide to redeem the securities, we will give you notice at least 3 business days before the
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redemption date specified in the notice. No further payments will be made on the securities once
they have been redeemed.
Re de m pt ion pa ym e nt :
The redemption payment will be an amount equal to (i) the stated principal amount plus (ii) any
accrued and unpaid contingent monthly coupon otherwise due with respect to the related coupon
payment period.
Re de m pt ion da t e s:
Beginning on July 31, 2018, monthly. See "Contingent Coupon Payment Dates and Redemption
Dates" below. If any such day is not a business day, that redemption payment, if payable, will be
made on the next succeeding business day and no adjustment will be made to any redemption
payment made on that succeeding business day.
Cont inge nt m ont hly
Unless the securities are previously redeemed, the contingent monthly coupon payable on the
c oupon:
securities will be determined as follows:

At a rate of 5.35% per annum times N/ACT

where:

· "N" = the total number of index business days in the applicable coupon payment period
on which the index closing value is greater than or equal to the barrier level (each such
day, an "accrual day"); and

· "ACT" = the total number of index business days in the applicable coupon payment
period.

If, on any index business day, the index closing value is below the barrier level, no coupon
will accrue for that day. It is possible that you will receive no contingent coupon on the
securities for extended periods of time if the index closing value were to remain below the
barrier level.
Pa ym e nt a t m a t urit y:
If the securities have not previously been redeemed, investors will receive on the maturity date a
payment at maturity determined as follows:

· If the final index value is gre a t e r
the stated principal amount and any accrued and
t ha n or e qua l t o the barrier level:
unpaid contingent monthly coupon with respect to the
final coupon payment period

· If the final index value is le ss t ha n
(i) $1,000 x (index performance factor + buffer amount)
the barrier level:
plus (ii) any accrued and unpaid contingent monthly
coupon with respect to the final coupon payment
period
Buffe r a m ount :
20%
M inim um pa ym e nt a t
$200 per security
m a t urit y
Ba rrie r le ve l:
, which is equal to 80% of the initial index value

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 t he
Approximately $937.40 per security, or within $30.00 of that estimate. See "Investment Summary"
pric ing da t e :
on page 3.
Com m issions a nd issue
Pric e t o public (1)
Age nt 's c om m issions (2)
Proc e e ds t o us(3)
pric e :
Pe r se c urit y
$1,000
$
$
T ot a l
$
$
$





(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 $ 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 $ 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 23.

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 9 .

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 pre lim ina ry pric ing supple m 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
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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 pre lim ina ry pric ing supple m 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 pre lim ina ry pric ing supple m 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.

Prospe c t us Supple m e nt da t e d Fe brua ry 1 6 , 2 0 1 6
I nde x Supple m e nt da t e d J a nua ry 3 0 , 2 0 1 7 Prospe c t us da t e d Fe brua ry 1 6 , 2 0 1 6



Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities


Terms continued from previous page:
I nit ia l inde x va lue :
, which is the index closing value of the underlying index on the pricing date
Fina l inde x va lue :
The index closing value of the underlying index on the final observation date
Coupon pa ym e nt
Monthly. For each contingent coupon payment date, the coupon payment period will be the period
pe riod:
from and including the original issue date (in the case of the first coupon payment period) or the prior
contingent coupon payment date to but excluding such contingent coupon payment date; provided that
the final coupon payment period will end on (and include) the final observation date; provided further
that the coupon payment periods will not be extended due to postponement of any contingent coupon
payment date.
Fina l obse rva t ion da t e
January 28, 2025, which is the third scheduled business day preceding the scheduled maturity date,
subject to postponement as set forth under "Additional Information About the Securities ­
Postponement of the final observation date" below.
Cont inge nt c oupon
Monthly, as set forth under "Contingent Coupon Payment Dates and Redemption Dates" below. If any
pa ym e nt da t e s:
such day is not a business day, that coupon payment will be made on the next succeeding business
day and no adjustment will be made to any coupon payment made on that succeeding business
day. The contingent monthly coupon, if any, with respect to the final observation date shall be paid on
the maturity date.
I nde x pe rform a nc e
The final index value divided by the initial index value.
fa c t or:
CU SI P / I SI N :
61768CMJ3 / US61768CMJ35
List ing:
The securities will not be listed on any securities exchange.

Contingent Coupon Payment Dates and Redemption Dates

8/31/2017*
6/1/2021
10/2/2017*
6/30/2021
10/31/2017*
8/2/2021
11/30/2017*
8/31/2021
1/2/2018*
9/30/2021
1/31/2018*
11/1/2021
2/28/2018*
11/30/2021
4/2/2018*
12/31/2021
4/30/2018*
1/31/2022
5/31/2018*
2/28/2022
7/2/2018*
3/31/2022
7/31/2018
5/2/2022
8/31/2018
5/31/2022
10/1/2018
6/30/2022
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10/31/2018
8/1/2022
11/30/2018
8/31/2022
12/31/2018
9/30/2022
1/31/2019
10/31/2022
2/28/2019
11/30/2022
4/1/2019
1/3/2023
4/30/2019
1/31/2023
5/31/2019
2/28/2023
7/1/2019
3/31/2023
7/31/2019
5/1/2023
9/3/2019
5/31/2023
9/30/2019
6/30/2023
10/31/2019
7/31/2023
12/2/2019
8/31/2023
12/31/2019
10/2/2023
1/31/2020
10/31/2023
3/2/2020
11/30/2023
3/31/2020
1/2/2024
4/30/2020
1/31/2024
6/1/2020
2/29/2024
6/30/2020
4/1/2024
7/31/2020
4/30/2024
8/31/2020
5/31/2024
9/30/2020
7/1/2024
11/2/2020
7/31/2024
11/30/2020
9/3/2024
12/31/2020
9/30/2024
2/1/2021
10/31/2024
3/1/2021
12/2/2024
3/31/2021
12/31/2024
4/30/2021
1/31/2025 (maturity date)

* The securities are not subject to redemption at the issuer's option until the 12th contingent coupon payment date, which is July
31, 2018.

July 2017
Page 2
Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities



I nve st m e nt Sum m a ry

Ca lla ble Buffe re d Ra nge Ac c rua l Se c urit ie s

Princ ipa l a t Risk Se c urit ie s

The Callable Buffered Range Accrual Securities due January 31, 2025, All Payments on the Securities Subject to the Barrier
Feature Linked to the S&P 500® Index, which we refer to as the securities, provide an opportunity for investors to earn a
contingent monthly coupon, if any, based on the number of index business days in the relevant coupon payment period on which
the index closing value of the S&P 500® Index is greater than or equal to 80% of the initial index value, which we refer to as the
barrier level. If the index closing value remains below the barrier level for extended periods of time, investors will receive reduced
contingent monthly coupon payments, or no contingent monthly coupon payments at all. As a result, investors must be willing to
accept the risk of not receiving any contingent monthly coupon during the entire 7.5-year term of the securities. In addition,
beginning on July 31, 2018, w e w ill ha ve t he right t o re de e m t he se c urit ie s a t our disc re t ion on a ny m ont hly
https://www.sec.gov/Archives/edgar/data/895421/000095010317006536/dp78132_424b2-ps1678.htm[7/7/2017 10:53:59 AM]


re de m pt ion da t e for a redemption payment equal to the sum of the stated principal amount plus any accrued and unpaid
contingent monthly coupon otherwise due with respect to the related coupon payment period.

If the securities have not been previously redeemed and the final index value is greater than or equal to the barrier level, investors
will receive the stated principal amount of the securities and any accrued and unpaid contingent monthly coupon with respect to the
final coupon payment period. However, if the final index value is less than the barrier level, in addition to any accrued and unpaid
contingent monthly coupon, investors will be exposed on a 1:1 basis to the percentage decline of the final index value from the
initial index value beyond the buffer amount of 20%. Accordingly, investors could lose up to 80% of the stated principal amount of
the securities. Investors in the securities must be willing to accept the risk of losing some or a substantial portion of their principal
and also the risk of not receiving any contingent monthly coupons. In addition, investors will not participate in any appreciation of
the underlying index.

M a t urit y:
7.5 years, unless redeemed earlier at our discretion


Pa ym e nt a t
If the securities have not previously been redeemed, investors will receive on the maturity
m a t urit y:
date a payment at maturity determined as follows:

If the final index value is gre a t e r t ha n or e qua l t o the barrier level, investors will
receive the stated principal amount and any accrued and unpaid contingent monthly coupon
with respect to the final coupon payment period

If the final index value is le ss t ha n the barrier level, investors will receive (i) $1,000 x
(index performance factor + buffer amount) plus (ii) any accrued and unpaid contingent
monthly coupon with respect to the final coupon payment period

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 up t o 8 0 % of t he ir e nt ire init ia l inve st m e nt .


Cont inge nt m ont hly
Unless the securities are previously redeemed, the contingent monthly coupon payable on
c oupon:
the securities will be determined as follows:

At a rate of 5.35% per annum times N/ACT

where:

· "N" = the total number of index business days in the applicable coupon payment

period on which the index closing value is greater than or equal to the barrier level
(each such day, an "accrual day"); and

· "ACT" = the total number of index business days in the applicable coupon
payment period.

If, on any index business day, the index closing value is below the barrier level, no
coupon will accrue for that day. It is possible that you will receive no contingent
coupon on the securities for extended periods of time if the index closing value were
to remain below the barrier level.


Ea rly re de m pt ion a t
We have the right to redeem the securities on any monthly redemption date for an early

t he opt ion of t he
redemption payment equal to the stated principal amount plus any accrued and unpaid

July 2017
Page 3
Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities



https://www.sec.gov/Archives/edgar/data/895421/000095010317006536/dp78132_424b2-ps1678.htm[7/7/2017 10:53:59 AM]


issue r:
contingent monthly coupon otherwise due with respect to the related coupon payment
period. Any early redemption of the securities will be at our discretion and will not
automatically occur based on the performance of the underlying index. It is more likely that
we will redeem the securities when it would otherwise be advantageous for you to continue
to hold the securities. As such, we will be more likely to redeem the securities when the
index closing value of the underlying index is at or above the barrier level, which would
otherwise result in an amount of interest payable on the securities that is greater than
instruments of a comparable maturity and credit rating trading in the market. In other words,
we will be more likely to redeem the securities at a time when the securities are paying an
above-market coupon. If the securities are redeemed prior to maturity, you will receive no
more contingent monthly coupon payments, may be forced to invest in a lower interest rate
environment and may not be able to reinvest at comparable terms or returns.

On the other hand, we will be less likely to exercise our redemption right when the index
closing value of the underlying index is below the barrier level and/or when the final index
value is expected to be below the barrier level, such that you will receive reduced
contingent monthly coupon payments, or no contingent monthly coupons at all, and/or that
you will suffer a significant loss on your initial investment in the securities at maturity.
Therefore, if we do not exercise our redemption right, it is more likely that you will receive
reduced contingent monthly coupon payments, or no contingent monthly coupon payments
at all, and suffer a loss at maturity.

We are using this preliminary pricing supplement to solicit from you an offer to purchase the securities. You may revoke your offer
to purchase the securities at any time prior to the time at which we accept such offer by notifying the relevant agent. We reserve
the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any material
changes to the terms of the securities, we will notify you.

Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our principal executive offices
at 1585 Broadway, New York, New York 10036 (telephone number (212) 761-4000).

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 will be
less than $1,000. We estimate that the value of each security on the pricing date will be approximately $937.40, or within $30.00 of
that estimate. Our estimate of the value of the securities as determined on the pricing date will be set forth in the final pricing
supplement.

What goes into the estimated value on the pricing date?

In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a
performance-based component linked to the underlying index. The estimated value of the securities is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying
index, volatility and other factors including current and expected interest rates, as well as an interest rate related to our secondary
market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.

What determines the economic terms of the securities?

In determining the economic terms of the securities, including the contingent monthly coupon rate, the barrier level and the buffer
amount, 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 index, may vary from, and be lower than, the estimated value on the pricing date, because the
secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co. would
charge in a secondary market transaction of this type 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 12 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 index, and to our secondary market credit spreads, it would do so based on
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values higher than the estimated value. We expect that those higher values will also be reflected in your brokerage account
statements.

July 2017
Page 4
Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities



MS & Co. may, but is not obligated to, make a market in the securities, and, if it once chooses to make a market, may cease doing
so at any time.




July 2017
Page 5
Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities




Key Investment Rationale

The securities do not guarantee any repayment of principal at maturity and offer investors an opportunity to earn a contingent
monthly coupon based on the number of index business days in the relevant coupon payment period on which the index closing
value of the S&P 500® Index is greater than or equal to 80% of the initial index value, which we refer to as the barrier level. If the
index closing value remains below the barrier level for extended periods of time, investors will receive reduced contingent monthly
coupon payments, or no contingent monthly coupon payments at all. As a result, investors must be willing to accept the risk of not
receiving any contingent monthly coupon during the entire 7.5-year term of the securities. The securities have been designed for
investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing up to 80% of
their principal and the risk of receiving reduced contingent monthly coupon payments, or no contingent monthly coupon payments at
all, if the S&P 500® Index remains below the barrier level for extended periods of time, and the risk of an early redemption of the
securities at our discretion.

S&P 500® Index Summary

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 June 30, 2017:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,423.41
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5 2 We e k s Ago:
2,098.86
5 2 We e k H igh (on 6 /1 9 /2 0 1 7 ):
2,453.46
5 2 We e k Low (on 1 1 /4 /2 0 1 6 ):
2,085.18

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.

July 2017
Page 6
Morgan Stanley Finance LLC
Callable Buffered Range Accrual Securities due January 31, 2025
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Ba rrie r Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Principal at Risk Securities



Hypothetical Examples

The following hypothetical examples are for illustrative purposes only. Whether you receive a contingent monthly coupon will be
determined based on the total number of index business days in each monthly coupon payment period on which the index closing
value is greater than or equal to the barrier level. For illustrative purposes, the table below assumes that the coupon payment
period contains 22 index business days. The actual contingent monthly coupons will depend on the actual number of index
business days in each coupon payment period and the actual index closing value on each index business day in such coupon
payment period. Any early redemption of the securities will be at our discretion. The actual initial index value and barrier level will
be determined on the pricing date. All payments on the securities are subject to our credit risk. The numbers in the hypothetical
examples may be rounded for ease of analysis. The below examples are based on the following terms:

Hypothetical Initial Index Value:
2,000
Hypothetical Barrier Level:
1,600, which is 80% of the hypothetical initial index value


H ypot he t ic a l Cont inge nt M ont hly Coupon Pa ya ble on t he Se c urit ie s: 5.35% per annum times N/ACT
N
Hypothetical Contingent Monthly Coupon
0
$0.000 per security
3
$0.608 per security
6
$1.216 per security
11
$2.229 per security
14
$2.837 per security
18
$3.648 per security
22
$4.458 per security

If the index closing value is less than the barrier level on any index business day, no contingent monthly coupon will accrue for
that index business day. If the index closing value remains below the barrier level on each index business day in any coupon
payment period, you will receive no contingent monthly coupon payment for that coupon payment period.

Optional Early Redemption:
The securities may be redeemed at our discretion on any monthly redemption date for a
redemption payment equal to the stated principal amount plus any accrued and unpaid contingent
monthly coupon otherwise due with respect to the related coupon payment period.

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How to calculate the payment at maturity:

Payment at Maturity (if the
If the final index value is gre a t e r t ha n or e qua l t o the barrier level:
securities have not been

redeemed early at our option):
the stated principal amount and any accrued and unpaid contingent monthly coupon with respect
to the final coupon payment period

If the final index value is le ss t ha n the barrier level:

(i) $1,000 x (index performance factor + buffer amount) plus (ii) any accrued and unpaid
contingent monthly coupon with respect to the final coupon payment period

T he follow ing e x a m ple s a ssum e t ha t w e do not e x e rc ise our right t o re de e m t he se c urit ie s prior t o
m a t urit y.

Ex a m ple 1 -- The securities are not redeemed prior to maturity. The final index value is 2,500, which is at or above the barrier
level. In this scenario, you receive a payment at maturity per security equal to the stated principal amount, in addition to any
accrued and unpaid contingent monthly coupon payment for the final coupon payment period. However, you do not participate in
the appreciation in the value of the underlying index.

Ex a m ple 2 -- The securities are not redeemed prior to maturity. The final index value is 1,800, which is at or above the barrier
level. In this scenario, you receive a payment at maturity per security equal to the stated principal amount, in addition to any
accrued and unpaid contingent monthly coupon payment for the final coupon payment period.

Ex a m ple 3 --The securities are not redeemed prior to maturity.The final index value is 800, which is below the barrier level.
Therefore, in addition to any accrued and unpaid contingent monthly coupon payment, the payment at maturity per security would
be calculated as $1,000 × [(800 / 2,000) + 20%] = $600.00, representing a significant loss on the initial investment.

I f w e do not re de e m t he se c urit ie s prior t o m a t urit y a nd t he fina l inde x va lue is le ss t ha n t he ba rrie r le ve l,
you w ill lose som e or a subst a nt ia l port ion of your inve st m e nt in t he se c urit ie s.

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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 index supplement and prospectus. You should
also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

The securities provide a minimum payment at maturity of only 20% of your principal.The terms of the
securities differ from those of ordinary debt securities in that the securities do not guarantee the regular payment of interest and
provide a minimum payment at maturity of only 20% of the principal amount of the securities. If the securities have not been
redeemed prior to maturity and the final index value is less than the barrier level, you will receive an amount in cash that is
less than the $1,000 stated principal amount of each security by an amount proportionate to the decline in the value of the
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underlying index beyond the buffer amount of 20%. Y ou c ould lose up t o 8 0 % of t he st a t e d princ ipa l a m ount of
t he se c urit ie s.

You w ill receive reduced contingent monthly coupon payments, or no contingent monthly coupon
pa ym e nt s a t a ll, if t he inde x c losing va lue re m a ins be low t he ba rrie r le ve l for e x t e nde d pe riods of
t im e . The securities will pay a contingent monthly coupon based on the number of index business days in the relevant coupon
payment period on which the index closing level of the underlying index is greater than or equal to the barrier level. If, on any
index business day, the index closing value is below the barrier level, no interest will accrue for that day. It is possible that the
index closing value will remain below the barrier level for extended periods of time. 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, and may even be zero.

The securities are subject to our redemption right. The term of the securities, and thus your opportunity to earn a
potentially above-market coupon if the underlying index remains above the barrier level, may be limited by our right to redeem
the securities at our option on any monthly redemption date, beginning July 31, 2018. The term of your investment in the
securities may be limited to as short as one year. It is more likely that we will redeem the securities when it would be
advantageous for you to continue to hold the securities. As such, we will be more likely to redeem the securities when the
index closing value of the underlying index is at or above the barrier level, which would otherwise result in an amount of
interest payable on the securities that is greater than instruments of a comparable maturity and credit rating trading in the
market. In other words, we will be more likely to redeem the securities when the securities are paying an above-market
coupon. If the securities are redeemed prior to maturity, you will receive no more contingent monthly coupon payments, may be
forced to invest in a lower interest rate environment and may not be able to reinvest at comparable terms or returns.

On the other hand, we will be less likely to exercise our redemption right when the index closing value of the underlying index
is below the barrier level and/or when the final index value is expected to be below the barrier level, such that you will receive
reduced contingent monthly coupon payments, or no contingent monthly coupon payments at all, and/or that you will suffer a
significant loss on your initial investment in the securities at maturity. Therefore, if we do not exercise our redemption right, it is
more likely that you will receive reduced contingent monthly coupon payments, or no contingent monthly coupon payments at
all, and suffer a loss at maturity.

Investors w ill not participate in any appreciation in the value of the underlying index. Investors will not
participate in any appreciation in the value of the underlying index from the initial index value, and the return on the securities
will be limited to the contingent monthly coupons, if any, that are paid with respect to each index business day during each
coupon payment period on which the index closing value is greater than or equal to the barrier level until the securities are
redeemed or reach maturity. It is possible that the index closing value could be below the barrier level on most or all of the
index business days during each coupon payment period so that you will receive reduced contingent monthly coupon
payments, or no contingent monthly coupon payments at all. 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.

If there are no accrual days in any coupon payment period, w e w ill not pay any contingent monthly
c oupon on t he se c urit ie s for t ha t c oupon pa ym e nt pe riod a nd t he m a rk e t va lue of t he se c urit ie s m a y
de c re a se signific a nt ly.It is possible that the index closing level of the S&P 500® Index will be less than the barrier level
for many days during any monthly

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coupon payment period such that the coupon payment for that monthly interest payment period will be less than the amount
that would be paid on an ordinary debt security and may even be zero. In addition, to the extent that the index closing value of
the index is less than the barrier level on any number of days during a coupon payment period, the market value of the
securities may decrease and you may receive substantially less than the stated principal amount if you wish to sell your
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