Obbligazione Morgan Stanley Financial 6.7% ( US61768CQX82 ) in USD

Morgan Stanley Financial

101.38 USD ⇌

Stati Uniti

US61768CQX82 ( in USD )

6.7% per anno ( pagato 2 volte l'anno)

04/10/2027

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61768CQX82 en USD 6.7%, scadenza 04/10/2027

1 000 USD

61768CQX8

N/A

04/04/2026 ( In 2 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 US61768CQX82, pays a coupon of 6.7% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 04/10/2027

424B2 1 dp81274_424b2-ps1853.htm FORM 424B2

CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered

Offering Price

Fee
Callable Contingent Income Securities due 2027

$4,376,000

$544.81

Se pt e m be r 2 0 1 7
Pricing Supplement No. 1,853
Registration Statement Nos. 333-200365; 333-200365-12
Dated September 29, 2017
Filed pursuant to Rule 424(b)(2)

Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Callable Contingent Income Securities due October 4, 2027
All Payments on the Securities Subject to the Coupon Barrier and Downside Threshold Features 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 Contingent Income Securities due October 4, 2027, All Payments on the Securities
Subject to the Coupon Barrier and Downside Threshold Features Linked to the S&P 500® Index, which we refer to as the
securities, do not provide for the regular payment of interest or guarantee the return of any principal at maturity. Instead, the
securities offer the opportunity for investors to earn a contingent quarterly coupon but only if the index closing value of the S&P
500® Index on the applicable quarterly observation date is greater than or equal to 75% of the initial index value, which we refer to
as the coupon barrier level. If the index closing value is less than the coupon barrier level on any observation date, you will not
receive any contingent quarterly coupon for that quarterly period. As a result, investors must be willing to accept the risk of not
receiving any contingent quarterly coupon during the entire ten-year term of the securities. In addition, beginning on October 3,
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 qua rt e rly re de m pt ion da t e for a
redemption payment equal to the sum of the stated principal amount plus any contingent quarterly coupon otherwise due with
respect to the related observation date. 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 65% of the initial index value, which we refer to as the downside threshold level,
investors will receive the stated principal amount of the securities, and, if the final index value is also greater than or equal to the
coupon barrier level, the contingent quarterly coupon with respect to the final observation date. However, if the final index value is
less than the downside threshold level, investors will be fully exposed to the decline in the value of the S&P 500® Index over the
term of the securities, and the payment at maturity will be less than 65% of the stated principal amount of the securities and could
be zero. Ac c ordingly, inve st ors m a y lose up t o 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 their principal and the risk of receiving no
contingent quarterly coupon when the S&P 500® Index on the related observation date closes below the coupon barrier level, 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 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 inde x :
S&P 500® Index
Aggre ga t e princ ipa l
$4,376,000
a m ount :
St a t e d princ ipa l a m ount : $1,000 per security
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I ssue pric e :
$1,000 per security (see "Commissions and issue price" below)
Pric ing da t e :
September 29, 2017
Origina l issue da t e :
October 4, 2017 (3 business days after the pricing date)
M a t urit y da t e :
October 4, 2027
Opt iona l e a rly
Beginning on October 3, 2018, we will have the right to redeem the securities, a t our disc re t ion,
re de m pt ion:
in whole but not in part, on any quarterly 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 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
contingent quarterly coupon otherwise due with respect to the related observation date.
Re de m pt ion da t e s:
Beginning on October 3, 2018, quarterly. See "Observation Dates, Contingent Coupon Payment
Dates and Redemption Dates" below. If any scheduled redemption date is not a business day, the
redemption payment 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 qua rt e rly
· If, on any observation date, the index closing value on such date is gre a t e r t ha n or e qua l t o
c oupon:
the coupon barrier level, we will pay a contingent quarterly coupon at an annual rate of 6.70%
(corresponding to approximately $16.75 per quarter per security) on the related contingent coupon
payment date.
· If, on any observation date, the index closing value on such date is le ss t ha n the coupon
barrier level, no contingent quarterly coupon will be paid with respect to that observation date.
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 t ha n the stated principal amount, and, if the final index
or e qua l t o the downside threshold level: value is also greater than or equal to the coupon
barrier level, the contingent quarterly coupon with
respect to the final observation date

· If the final index value is le ss t ha n the (i) the stated principal amount multiplied by (ii) the
downside threshold level:
index performance factor
Coupon ba rrie r le ve l:
1,889.52, which is equal to 75% of the initial index value
Dow nside t hre shold
1,637.584, which is equal to 65% of the initial index value
le ve l:

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
$963.30 per security. See "Investment Summary" on page 3.
pric ing da t e :
Com m issions a nd issue
Pric e t o public
Age nt 's c om m issions
Proc e e ds t o us(3)
pric e :
a nd fe e s
Pe r se c urit y
$1,000
$30 (1)

$5 (2)
$965
T ot a l
$4,376,000
$153,160
$4,222,840
(1)Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will
collectively receive from the agent, MS & Co., a fixed sales commission of $30 for each security they sell. See "Supplemental
information regarding plan of distribution; conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of
Interest)" in the accompanying prospectus supplement.
(2)Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $5 for each security.
(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 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
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 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 pric ing supple m e nt .
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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 Contingent Income Securities due October 4, 2027
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Coupon Ba rrie r a nd Dow nside T hre shold Fe a t ure s Link e d t o
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:
I nit ia l inde x va lue :
2,519.36, 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
Obse rva t ion da t e s:
As set forth under "Observation Dates, Contingent Coupon Payment Dates and Redemption Dates"
below, subject to postponement due to non-index business days or certain market disruption events.
See "Postponement of observation dates" below. We also refer to the observation date immediately
prior to the maturity date as the final observation date.
Cont inge nt c oupon
Quarterly, beginning January 3, 2018, subject to postponement as described under "Postponement of
pa ym e nt da t e s:
contingent coupon payment dates and maturity date" below. See "Coupon Observation Dates" below.
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 :
61768CQX8 / US61768CQX82
List ing:
The securities will not be listed on any securities exchange.

Observation Dates, Contingent Coupon Payment Dates and Redemption Dates

Obse rva t ion Da t e s
Cont inge nt Coupon Pa ym e nt Da t e s / Re de m pt ion
Da t e s
12/28/2017
*1/3/2018
3/29/2018
*4/4/2018
6/29/2018
*7/5/2018
9/28/2018
10/3/2018
12/28/2018
1/3/2019
3/29/2019
4/3/2019
6/28/2019
7/3/2019
9/30/2019
10/3/2019
12/30/2019
1/3/2020
3/30/2020
4/2/2020
6/29/2020
7/2/2020
9/29/2020
10/2/2020
12/29/2020
1/4/2021
3/29/2021
4/1/2021
6/29/2021
7/2/2021
9/29/2021
10/4/2021
12/29/2021
1/3/2022
3/29/2022
4/1/2022
6/29/2022
7/5/2022
9/29/2022
10/4/2022
12/29/2022
1/4/2023
3/29/2023
4/3/2023
6/29/2023
7/5/2023
9/29/2023
10/4/2023
12/28/2023
1/3/2024
3/28/2024
4/3/2024
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6/28/2024
7/3/2024
9/30/2024
10/3/2024
12/30/2024
1/3/2025
3/31/2025
4/3/2025
6/30/2025
7/3/2025
9/29/2025
10/2/2025
12/29/2025
1/2/2026
3/30/2026
4/2/2026
6/29/2026
7/2/2026
9/29/2026
10/2/2026
12/29/2026
1/4/2027
3/29/2027
4/1/2027
6/29/2027
7/2/2027
9/29/2027 (final observation date)
10/4/2027 (maturity date)

* The securities are not subject to early redemption at the issuer's option until the fourth contingent coupon payment date, which is
October 3, 2018.

Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 4, 2027
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Coupon Ba rrie r a nd Dow nside T hre shold Fe a t ure s Link e d t o
t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Investment Summary

Ca lla ble Cont inge nt I nc om e Se c urit ie s
Princ ipa l a t Risk Se c urit ie s

The Callable Contingent Income Securities due October 4, 2027, All Payments on the Securities Subject to the Coupon Barrier and
Downside Threshold Features Linked to the S&P 500® Index, which we refer to as the securities, provide an opportunity for
investors to earn a contingent quarterly coupon at an annual rate of 6.70% (corresponding to approximately $16.75 per quarter per
security) but only if the index closing value of the underlying index on the applicable quarterly observation date is greater than or
equal to 75% of the initial index value, which we refer to as the coupon barrier level. It is possible that the index closing value of
the underlying index could remain below the coupon barrier level for extended periods of time or even throughout the entire term of
the securities so that you may receive few or no contingent quarterly coupons during the entire ten-year term of the securities. In
addition, beginning on October 3, 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 any
quarterly redemption date for the redemption payment equal to the sum of the stated principal amount plus any contingent quarterly
coupon otherwise due with respect to the related observation date.

If the securities have not been previously redeemed and the final index value is greater than or equal to 65% of the 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 is also greater than or equal to the coupon barrier level, the contingent quarterly coupon with respect to the final
observation date. However, if the final index value is less than the downside threshold level, investors will be fully exposed to the
decline in the underlying index over the term of the securities on a 1-to-1 basis, and will receive an amount of cash that is
significantly less than the stated principal amount, in proportion to the decline in the underlying index. In this scenario, the value of
any such payment will be less than 65% of the stated principal amount of the securities and could be zero. Investors in the
securities must be willing to accept the risk of losing their entire principal and also the risk of not receiving any contingent quarterly
coupons. In addition, investors will not participate in any appreciation of the underlying index.

M a t urit y:
10 years, unless redeemed earlier at our discretion
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 t ha n or e qua l t o the downside threshold level,
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investors will receive the stated principal amount, and, if the final index value is also
greater than or equal to the coupon barrier level, the contingent quarterly coupon with
respect to the final observation date.

If the final index value is le ss t ha n the downside threshold level, investors will receive a
payment at maturity that is less than 65% 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 .

Cont inge nt qua rt e rly A contingent coupon at an annual rate of 6.70% (corresponding to approximately $16.75
c oupon:
per security per quarter) will be paid on the securities on each contingent coupon payment
date but only if the index closing value of the underlying index is at or above the coupon
barrier level on the related observation date.

I f, on a ny obse rva t ion da t e , t he inde x c losing va lue of t he unde rlying inde x
is le ss t ha n t he c oupon ba rrie r le ve l, w e w ill pa y no c oupon for t he
a pplic a ble qua rt e rly pe riod.

Ea rly re de m pt ion a t
We have the right to redeem the securities on any quarterly redemption date for an early
t he opt ion of t he
redemption payment equal to the stated principal amount plus any contingent quarterly
issue r:
coupon otherwise due with respect to the related observation date. 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 on the observation dates is at or above the coupon 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

September 2017
Page 3
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 4, 2027
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Coupon Ba rrie r a nd Dow nside T hre shold Fe a t ure s Link e d t o
t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

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 quarterly
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 coupon barrier level and/or when the
final index value is expected to be below the downside threshold level, such that you will
receive no contingent quarterly coupons 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 few or no contingent quarterly
coupons and suffer a significant loss at maturity.

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 is less
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than $1,000. We estimate that the value of each security on the pricing date is $963.30.

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 quarterly coupon rate, the coupon barrier level and the
downside threshold level, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and
therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal
funding rate were higher, one or more of the economic terms of the 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
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.

September 2017
Page 4
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 4, 2027
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Coupon Ba rrie r a nd Dow nside T hre shold Fe a t ure s Link e d t o
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 do not guarantee any repayment of principal at maturity and offer investors an opportunity to earn a contingent
quarterly coupon of 6.70% per annum of the stated principal amount but only if the index closing value on the applicable
quarterly observation date is greater than or equal to 75% of the initial index value, which we refer to as the coupon barrier level.
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 their principal and the risk of receiving no contingent quarterly coupon when the S&P 500® Index on
the related observation date closes below the coupon barrier level, and the risk of an early redemption of the securities at our
discretion. The following scenarios are for illustrative purposes only to demonstrate how the coupon and the payment at maturity (if
the securities have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation that may
occur. Accordingly, the securities may or may not be redeemed by us at our discretion, the contingent coupon may be payable in
none of, or some but not all of, the quarterly periods during the 10-year term of the securities and the payment at maturity may be
less than 65% of the stated principal amount of the securities and may be zero.

Sc e na rio 1 : The securities are
This scenario assumes that we redeem the securities at our discretion prior to the maturity
redeemed prior to maturity.
date on one of the quarterly redemption dates, starting on October 3, 2018, approximately one
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year after the original issue date, for the redemption payment equal to the stated principal
amount plus any contingent quarterly coupon with respect to the relevant observation date, as
applicable. Prior to the optional early redemption, the underlying index closes at or above the
coupon barrier level on some or all of the quarterly observation dates. In this scenario,
investors receive the contingent quarterly coupon with respect to each such observation date,
but not for the quarterly periods for which the underlying index closes below the coupon
barrier level on the related observation date. No further payments will be made on the
securities once they have been redeemed.
Sc e na rio 2 : The securities are
This scenario assumes that we do not exercise our redemption right on any of the quarterly
not redeemed prior to maturity,
redemption dates, and, as a result, investors hold the securities to maturity. During the term
and investors receive principal
of the securities, the underlying index closes at or above the coupon barrier level on some
back at maturity.
quarterly observation dates and below the coupon barrier level on the others. Consequently,
investors receive the contingent quarterly coupon for the quarterly periods for which the index
closing value is at or above the coupon barrier level on the related observation date, but not
for the quarterly periods for which the index closing value is below the coupon barrier level on
the related observation date. On the final observation date, the underlying index closes at or
above the downside threshold level. Therefore, at maturity, investors will receive the stated
principal amount, and, depending on whether the final index value is greater than, equal to or
less than the coupon barrier level, the contingent quarterly coupon with respect to the final
observation date.
Sc e na rio 3 : The securities are
This scenario assumes that we do not exercise our redemption right on any of the quarterly
not redeemed prior to maturity,
redemption dates, and, as a result, investors hold the securities to maturity. During the term of
and investors suffer a substantial
the securities, the underlying index closes below the coupon barrier level on all or nearly all of
loss of principal at maturity.
the quarterly observation dates. In this scenario, investors do not receive any contingent
quarterly coupons, or receive contingent quarterly coupons for only a limited number of
contingent coupon payment dates. On the final observation date, the underlying index closes
below the downside threshold level. Therefore, investors receive an amount equal to the
stated principal amount multiplied by the index performance factor at maturity. Under these
circumstances, the payment at maturity will be less than 65% of the stated principal amount
and could be zero. No coupon will be paid at maturity in this scenario.
September 2017
Page 5
Morgan Stanley Finance LLC
Callable Contingent Income Securities due October 4, 2027
All Pa ym e nt s on t he Se c urit ie s Subje c t t o t he Coupon Ba rrie r a nd Dow nside T hre shold Fe a t ure s Link e d t o
t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

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 September 29, 2017:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,519.36
5 2 We e k s Ago:
2,151.13
5 2 We e k H igh (on 9 /2 9 /2 0 1 7 ):
2,519.36
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
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index supplement. Furthermore, for additional historical information, see "S&P 500® Index Historical Performance" below.

September 2017
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Callable Contingent Income Securities due October 4, 2027
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Hypothetical Examples

The following hypothetical examples are for illustrative purposes only. Whether you receive a contingent quarterly coupon will be
determined on each quarterly observation date and the payment at maturity will be determined by reference to the index closing
value on the final observation date. Any early redemption of the securities will be at our discretion. The actual initial index value,
coupon barrier level and downside threshold level are set forth on the cover of this document. 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 Coupon Barrier
1,500, which is 75% of the hypothetical initial index value
Level:
Hypothetical Downside Threshold 1,300, which is 65% of the hypothetical initial index value
Level:
Contingent Quarterly Coupon:
6.70% per annum (corresponding to approximately $16.75 per quarter per security)*

A contingent quarterly coupon is paid on each coupon payment date but only if t he inde x
c losing va lue of t he unde rlying inde x is a t or a bove t he c oupon ba rrie r le ve l on
t he re la t e d obse rva t ion da t e .

Optional Early Redemption:
The securities may be redeemed at our discretion on any quarterly redemption date for a
redemption payment equal to the stated principal amount plus any contingent quarterly coupon
otherwise due with respect to the related observation date.
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 downside threshold level: the stated
securities have not been
principal amount, and, if the final index value is also greater than or equal to the coupon barrier
redeemed early at our option):
level, the contingent quarterly coupon with respect to the final observation date

If the final index value is le ss t ha n the downside threshold level: (i) the stated principal amount
multiplied by (ii) the index performance factor

Stated Principal Amount:
$1,000

* The actual contingent quarterly 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 contingent quarterly coupon of $16.75 is used in these examples for each of analysis.

In Example 1, we redeem the securities at our option on one of the redemption dates, and no further payments are made on the
securities after they have been redeemed. In Examples 2, 3, and 4, the securities are not redeemed prior to, and remain
outstanding until, maturity.

Ex a m ple 1 --We redeem the securities on October 3, 2018, which is the first quarterly redemption date. The index closing value
is at or above the coupon barrier level on all three quarterly observation dates prior to (and excluding) the observation date
immediately preceding the redemption. Therefore, you would receive the contingent quarterly coupons with respect to those seven
observation dates, totaling $16.75 × 3 = $50.25. The index closing value is greater than or equal to the coupon barrier level on the
observation date in October 2018. Upon redemption, investors receive the redemption payment calculated as $1,000 + $16.75 =
$1,016.75.

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The total payment over the 1-year term of the securities is $50.25 + $1,016.75 = $1,067.00.

Ex a m ple 2 --The securities are not redeemed prior to maturity. The index closing value is at or above the coupon barrier level on
all 40 quarterly observation dates including the final observation date. Therefore, you would receive (i) the contingent quarterly
coupons with respect to the 39 observation dates prior to (and excluding) the final observation date, totaling $16.75 × 39 = $653.25
and (ii) the payment at maturity calculated as $1,000 + $16.75 = $1,016.75.

The total payment over the 10-year term of the securities is $653.25 + $1,016.75 = $1,670.00.

This example illustrates the scenario where you receive a contingent quarterly coupon on every coupon payment date throughout
the term of the securities and receive your principal back at maturity, resulting in a 6.70% per annum interest rate over the 10-year
term of the securities. This is therefore the maximum amount payable over the 10-year term of the securities. To the extent that
coupons are not paid on every coupon payment date, the effective interest rate on the securities will be less than 6.70% per annum
and could be zero. I n a ddit ion, w e w ill be m ore lik e ly t o re de e m t he se c urit ie s prior t o m a t urit y w he n t he inde x
c losing va lue is a t or a bove t he c oupon ba rrie r le ve l on t he obse rva t ion da t e s. If the securities are redeemed prior
to maturity, you will receive no more contingent quarterly 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.

September 2017
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Ex a m ple 3 --The securities are not redeemed prior to maturity. The index closing value is at or above the coupon barrier level on
9 out of the 39 quarterly observation dates prior to (and excluding) the final observation date. The final index value is 1,700, which
is above the downside threshold level and coupon barrier level. In this scenario, you receive a payment at maturity equal to the
stated principal amount and the contingent quarterly coupon with respect to the final observation date. Therefore, you would receive
(i) the contingent quarterly coupons with respect to those 9 observation dates prior to (and excluding) the final observation date,
totaling $16.75 × 9 = $150.75, but not for the other 30 observation dates, and (ii) the payment at maturity calculated as $1,000 +
$16.75 = $1,016.75.

The total payment over the 10-year term of the securities is $150.75 + $1,016.75 = $1,167.50.

Ex a m ple 4 --The securities are not redeemed prior to maturity. The index closing value is below the coupon barrier level on all of
the quarterly observation dates, and is below the downside threshold level on the final observation date, on which the final index
value is 800. Therefore, you would receive no contingent quarterly coupons, and the payment at maturity would be calculated as
$1,000 × 800 / 2,000 = $400.00.

The total payment over the 10-year term of the securities is $0 + $400.00 = $400.00.

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 dow nside
t hre shold le ve l, you w ill lose a signific a nt port ion or a ll of your inve st m e nt in t he se c urit ie s.

September 2017
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Callable Contingent Income Securities due October 4, 2027
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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 do not guarantee the return of any principal. The terms of the securities differ from those of
ordinary debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the
principal amount at maturity. Instead, if the securities have not been redeemed prior to maturity and the final index value is
less than the downside threshold level, you will be fully exposed to the decline in the underlying index over the term of the
securities on a 1-to-1 basis, and you will receive for each security that you hold at maturity an amount of cash that is
significantly less than the stated principal amount, in proportion to the decline in the underlying index. Under this scenario, the
value of any such payment will be less than 65% of the stated principal amount and could be zero.

You w ill not receive any contingent quarterly coupon for any quarterly period w here the index closing
va lue on t he re la t e d obse rva t ion da t e is le ss t ha n t he c oupon ba rrie r le ve l. You will receive a contingent
quarterly coupon with respect to a quarterly period only if the index closing value on the related observation date is greater
than or equal to the coupon barrier level of 75% of the initial index value. If the index closing value remains below the coupon
barrier level on each observation date over the term of the securities, you will not receive any contingent quarterly coupons.

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 is greater than or equal to the coupon barrier level on quarterly
observation dates, may be limited by our right to redeem the securities at our option on any quarterly redemption date,
beginning October 3, 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 on the observation dates is at
or above the coupon 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 quarterly 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 coupon barrier level and/or when the final index value is expected to be below the downside threshold level, such
that you will receive no contingent quarterly coupons 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 few or no
contingent quarterly coupons and suffer a significant 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 quarterly coupons, if any, that are paid with respect to each observation date on which the
index closing value is greater than or equal to the coupon barrier level until the securities are redeemed or reach maturity. It is
possible that the index closing value could be below the coupon barrier level on most or all of the observation dates so that
you will receive few or no contingent quarterly coupons. If you do not earn sufficient contingent quarterly 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.

The contingent quarterly coupon, if any, is paid on a quarterly basis and is based solely on the index
c losing va lue of t he unde rlying inde x on t he spe c ifie d obse rva t ion da t e s. Whether the contingent quarterly
coupon will be paid with respect to an observation date will be based on the index closing value on such date. As a result, you
will not know whether you will receive the contingent quarterly coupon until near the end of the relevant quarterly period.
Moreover, because the contingent quarterly coupon is based solely on the index closing value on a specific observation date, if
such index closing value is less than the coupon barrier level, you will not receive any contingent quarterly coupon with respect
to such observation date, even if the index closing value of the underlying index was higher on other days during the term of
the securities.

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