Obbligazione Morgan Stanley Financial 6.5% ( US61768DSY21 ) in USD

Emittente Morgan Stanley Financial
Prezzo di mercato refresh price now   100 USD  ▲ 
Paese  Stati Uniti
Codice isin  US61768DSY21 ( in USD )
Tasso d'interesse 6.5% per anno ( pagato 2 volte l'anno)
Scadenza 27/12/2033



Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61768DSY21 en USD 6.5%, scadenza 27/12/2033


Importo minimo 1 000 USD
Importo totale 500 000 USD
Cusip 61768DSY2
Standard & Poor's ( S&P ) rating N/A
Moody's rating NR
Coupon successivo 27/06/2026 ( In 86 giorni )
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 US61768DSY21, pays a coupon of 6.5% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 27/12/2033

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61768DSY21, was rated NR by Moody's credit rating agency.







424B2 1 dp99995_424b2-ps1267.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 2033

$500,000

$60.60

De c e m be r 2 0 1 8
Pricing Supplement No. 1,267
Registration Statement Nos. 333-221595; 333-221595-01
Dated December 21, 2018
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in U.S. Equities
Contingent Income Securities due December 27, 2033
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
Fully a nd U nc ondit iona lly Gua ra nt e e d by M orga n St a nle y
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 quarterly coupon at the rate specified below.
Thereafter, the securities will pay a contingent quarterly 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 5 % 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
respective coupon barrier level, the related contingent quarterly 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 qua rt e rly 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 quarterly 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 quarterly
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 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 :
December 21, 2018
Origina l issue da t e :
December 27, 2018 (3 business days after the pricing date)
M a t urit y da t e :
December 27, 2033
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Qua rt e rly c oupon:
Years 1-5: On all coupon payment dates through December 2023, a fixed coupon at an annual rate of 6.50%
(corresponding to approximately $16.25 per quarter per security) is paid quarterly.
Years 6-15: Beginning with the March 2024 coupon payment date, a contingent coupon at an annual rate of
6.50% (corresponding to approximately $16.25 per quarter per security) is paid quarterly 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 qua rt e rly 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 quarterly 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 t he
$894.10 per security. See "Investment Overview" beginning on page 4.
pric ing da t e :
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
$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 30.
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 1 .
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 T e rm s of t he Se c urit ie s" a nd
"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.
Prospe c t us Supple m e nt da t e d N ove m be r 1 6 , 2 0 1 7 I nde x Supple m e nt da t e d N ove m be r 1 6 , 2 0 1 7
Prospe c t us da t e d N ove m be r 1 6 , 2 0 1 7


Morgan Stanley Finance LLC
Cont inge nt I nc om e Se c urit ie s due De c e m be r 2 7 , 2 0 3 3
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:
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Coupon ba rrie r le ve l:
With respect to the RTY Index: 839.856, which is approximately 65% of the initial index value for such index
With respect to the SPX Index: 1,570.803, which is 65% of the initial index value for such index
Dow nside t hre shold
With respect to the RTY Index: 646.043, which is 50% of the initial index value for such index
le ve l:
With respect to the SPX Index: 1,208.31, 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: 1,292.086, which is the index closing value of such index on the pricing date
With respect to the SPX Index: 2,416.62, 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 the
unde rlying inde x :
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 da t e s:
Quarterly, as set forth under "Observation Dates and Coupon Payment Dates" below. If any such day is not a
business day, that contingent quarterly 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. The contingent
quarterly 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:
Quarterly, beginning on March 21, 2024, as set forth under "Observation Dates and Coupon Payment Dates"
below, subject to postponement for non-index business days and certain market disruption events. We also
refer to December 21, 2033 as the final observation date.
CU SI P / I SI N :
61768DSY2 / US61768DSY21
List ing:
The securities will not be listed on any securities exchange.

Observation Dates and Coupon Payment Dates

Obse rva t ion Da t e s
Coupon Pa ym e nt Da t e s
N/A
March 26, 2019
N/A
June 26, 2019
N/A
September 26, 2019
N/A
December 27, 2019
N/A
March 26, 2020
N/A
June 25, 2020
N/A
September 24, 2020
N/A
December 24, 2020
N/A
March 25, 2021
N/A
June 24, 2021
N/A
September 24, 2021
N/A
December 27, 2021
N/A
March 24, 2022
N/A
June 24, 2022
N/A
September 26, 2022
N/A
December 27, 2022
N/A
March 24, 2023
N/A
June 26, 2023
N/A
September 26, 2023
N/A
December 27, 2023
March 21, 2024
March 26, 2024
June 21, 2024
June 26, 2024
September 23, 2024
September 26, 2024
December 23, 2024
December 27, 2024
March 21, 2025
March 26, 2025
June 23, 2025
June 26, 2025
September 22, 2025
September 25, 2025
December 22, 2025
December 26, 2025
March 23, 2026
March 26, 2026
June 22, 2026
June 25, 2026
September 21, 2026
September 24, 2026
December 21, 2026
December 24, 2026
March 22, 2027
March 25, 2027
June 21, 2027
June 24, 2027
September 21, 2027
September 24, 2027
December 21, 2027
December 27, 2027
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March 21, 2028
March 24, 2028
December 2018
Page 2
Morgan Stanley Finance LLC
Cont inge nt I nc om e Se c urit ie s due De c e m be r 2 7 , 2 0 3 3
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
June 21, 2028
June 26, 2028
September 21, 2028
September 26, 2028
December 21, 2028
December 27, 2028
March 21, 2029
March 26, 2029
June 21, 2029
June 26, 2029
September 21, 2029
September 26, 2029
December 21, 2029
December 27, 2029
March 21, 2030
March 26, 2030
June 21, 2030
June 26, 2030
September 23, 2030
September 26, 2030
December 23, 2030
December 27, 2030
March 21, 2031
March 26, 2031
June 23, 2031
June 26, 2031
September 22, 2031
September 25, 2031
December 22, 2031
December 26, 2031
March 22, 2032
March 25, 2032
June 21, 2032
June 24, 2032
September 21, 2032
September 24, 2032
December 21, 2032
December 27, 2032
March 21, 2033
March 24, 2033
June 21, 2033
June 24, 2033
September 21, 2033
September 26, 2033
December 21, 2033 (final observation date)
December 27, 2033 (maturity date)
December 2018
Page 3
Morgan Stanley Finance LLC
Cont inge nt I nc om e Se c urit ie s due De c e m be r 2 7 , 2 0 3 3
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 December 27, 2033 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 quarterly coupon at the rate
specified below. Thereafter, the securities will pay a contingent quarterly 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 65% of its respective initial index value, which we refer to as the coupon barrier level, on the related observation date. 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 coupon for the related quarterly 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 quarterly 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
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on some quarterly 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 quarterly observation dates, you will receive a
contingent quarterly 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 respective coupon
barrier level, the related contingent quarterly 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
qua rt e rly 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 December 2023, a fixed coupon at an annual rate of
qua rt e rly
6.50% (corresponding to approximately $16.25 per quarter per security) is paid quarterly.
c oupon:

Years 6-15: Beginning with the March 2024 coupon payment date, a contingent coupon at an annual
rate of 6.50% (corresponding to approximately $16.25 per quarter per security) is paid quarterly 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 qua rt e rly
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 quarterly
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.

December 2018
Page 4
Morgan Stanley Finance LLC
Cont inge nt I nc om e Se c urit ie s due De c e m be r 2 7 , 2 0 3 3
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 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 $894.10.

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
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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 quarterly 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.

December 2018
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Morgan Stanley Finance LLC
Cont inge nt I nc om e Se c urit ie s due De c e m be r 2 7 , 2 0 3 3
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 quarterly 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 quarterly coupon but only if the
index closing value of e a c h unde rlying inde x is a t or a bove 65% 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 quarterly coupon are calculated, and do not attempt to demonstrate every situation that may
occur. Accordingly, the contingent quarterly coupon may be payable with respect to none of, or some but not all of, the quarterly
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
quarterly coupon is paid for all
respective coupon barrier level on every quarterly observation date. Investors receive the fixed
interest periods, and investors
quarterly coupon for the quarterly interest periods during the first 5 years, and investors
receive principal back at maturity,
receive the contingent quarterly coupon for each interest period during years 6-15. At
which is the best-case scenario.
maturity, each underlying index closes above its respective downside threshold level and
coupon barrier level, and so investors receive the stated principal amount and the contingent
quarterly 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
quarterly coupon is paid for some, barrier level on some quarterly observation dates after the first 5 years, but one or both
but not all, interest periods, and
underlying indices close below the respective coupon barrier level(s) for such index on the
investors receive principal back at others. Investors receive the fixed quarterly coupon for the quarterly interest periods during
maturity.
the first 5 years. Investors receive the contingent quarterly coupon for the quarterly interest
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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, if the final index value of each underlying index is also greater than or
equal to its respective coupon barrier level, the contingent quarterly 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
quarterly coupon is paid for any
barrier level(s) on every quarterly observation date during years 6-15. Investors receive the
interest period during years 6-15,
fixed quarterly coupon for the quarterly interest periods during the first 5 years. However,
and investors suffer a substantial
since one or both underlying indices close below the respective coupon barrier level(s) on
loss of principal at maturity.
every quarterly observation date during years 6-15, investors do not receive any contingent
quarterly 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.
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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 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 December 21, 2018:

Bloom be rg T ic k e r Sym bol:
RTY
Curre nt I nde x V a lue :
1,292.086
5 2 We e k s Ago:
1,547.107
5 2 We e k H igh (on 8 /3 1 /2 0 1 8 ):
1,740.753
5 2 We e k Low (on 1 2 /2 1 /2 0 1 8 ):
1,292.086

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
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the years 1941 through 1943.

Information as of market close on December 21, 2018:

Bloom be rg T ic k e r Sym bol:
SPX
Curre nt I nde x V a lue :
2,416.62
5 2 We e k s Ago:
2,684.57
5 2 We e k H igh (on 9 /2 0 /2 0 1 8 ):
2,930.75
5 2 We e k Low (on 1 2 /2 1 /2 0 1 8 ):
2,416.62

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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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 quarterly 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 quarterly coupon at a rate of 6.50% per annum regardless of the performance of the underlying
indices. Whether you receive a contingent quarterly coupon after the first 5 years will be determined by reference to the index
closing value of each underlying index on each quarterly 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:

Quarterly Coupon:
Years 1-5: On all coupon payment dates through December 2023, a fixed coupon at an annual
rate of 6.50% (corresponding to approximately $16.25 per quarter per security) is paid quarterly.

Years 6-15: Beginning with the March 2024 coupon payment date, a contingent coupon at an
annual rate of 6.50% (corresponding to approximately $16.25 per quarter per security) is paid
quarterly 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 qua rt e rly c oupons during t ha t pe riod.
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 quarterly 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: 1,650
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With respect to the SPX Index: 2,800
Hypothetical Coupon Barrier
With respect to the RTY Index: 1,072.50, which is 65% of the hypothetical initial index value for
Level:
such index
With respect to the SPX Index: 1,820, which is 65% of the hypothetical initial index value for
such index
Hypothetical Downside
With respect to the RTY Index: 825, which is 50% of the hypothetical initial index value for such
Threshold Level:
index
With respect to the SPX Index: 1,400, which is 50% of the hypothetical initial index value for
such index

* The actual 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 quarterly coupon of $16.25 is used in these examples for
ease of analysis.

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I nde x
Princ ipa l a t Risk Se c urit ie s
How to determine whether a contingent quarterly coupon is payable with respect to an observation date during
years 6-15:


Index Closing Value
Contingent Quarterly Coupon

RTY Index
SPX Index

Hypothetical Observation
1,100 (a t or
1,900 (a t or a bove
$16.25
Date 1
a bove coupon
coupon barrier level)
barrier level)
Hypothetical Observation
1,200 (a t or
1,000 (be low coupon
$0
Date 2
a bove coupon
barrier level)
barrier level)
Hypothetical Observation
500 (be low
2,000 (a t or a bove
$0
Date 3
coupon barrier
coupon barrier level)
level)
Hypothetical Observation
500 (be low
1,100 (be low coupon
$0
Date 4
coupon barrier
barrier level)
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 quarterly coupon of $16.25 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
other underlying index closes below its coupon barrier level. Therefore, no contingent quarterly 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 quarterly 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 qua rt e rly 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 .
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How to calculate the payment at maturity:


Final Index Value
Payment at Maturity

RTY Index
SPX Index

Example 1:
2,000 (a t or a bove the
3,000 (a t or a bove the downside threshold level
$1,016.25 (the stated principal
downside threshold level
and coupon barrier level)
amount plus the contingent
and coupon barrier level)
quarterly coupon with respect to
the final observation date)
Example 2:
900 (a t or a bove the
$1,000 (the stated principal
downside threshold level
1,950 (a t or a bove the downside threshold level
amount)
but be low the coupon
and coupon barrier level)

barrier level)
Example 3:
1,150 (a t or a bove the
1,120 (be low the downside threshold level)
$1,000 x index performance
downside threshold level)
factor of the worst performing
underlying = $1,000 x (1,120 /
2,800) = $400
Example 4:
660 (be low the downside
1,800 (a t or a bove the downside threshold level)
$1,000 x (660/ 1,650) = $400
threshold level)
Example 5:
412.50 (be low the
1,120 (be low the downside threshold level)
$1,000 x (412.50 / 1,650) = $250
downside threshold level)
Example 6:
660 (be low the downside
840 (be low the downside threshold level)
$1,000 x (840 / 2,800) = $300
threshold level)

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
quarterly coupon with respect to the final observation date. Investors do not participate in any appreciation of either underlying
index.

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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 quarterly 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.

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 70% 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.

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