Obbligazione Morgan Stanley Financial 0% ( US61770FCR55 ) in USD

Morgan Stanley Financial

100 USD ▼

Stati Uniti

US61770FCR55 ( in USD )

28/01/2027

Prospetto opuscolo dell'obbligazione Morgan Stanley Finance US61770FCR55 en USD 0%, scadenza 28/01/2027

1 000 USD

459 000 USD

61770FCR5

N/A

A1 ( Upper medium grade - Investment-grade )

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 US61770FCR55, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 28/01/2027

The Obbligazione issued by Morgan Stanley Financial ( United States ) , in USD, with the ISIN code US61770FCR55, was rated A1 ( Upper medium grade - Investment-grade ) by Moody's credit rating agency.

1/29/2020
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424B2 1 dp119783_424b2-ps3169.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Title of Each Class of Securities Offered

Maximum Aggregate Offering Price

Amount of Registration Fee
Jump Notes with Auto-Cal able Feature due

$459,000

$59.58
2027

January 2020
Pricing Supplement No. 3,169
Registration Statement Nos. 333-221595; 333-221595-01
Dated January 24, 2020
Filed pursuant to Rule 424(b)(2)
Morgan Stanley Finance LLC
STRUCTURED INVESTMENTS
Opportunities in Equities, Bonds and Alternative Investments
Jump Notes with Auto-Cal able Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index
Fully and Unconditionally Guaranteed by Morgan Stanley
The notes are unsecured obligations of Morgan Stanley Finance LLC ("MSFL") and are ful y and unconditional y guaranteed by Morgan
Stanley. The notes wil pay no interest and wil have the terms described in the accompanying product supplement and prospectus, as
supplemented and modified by this document. The notes wil be automatical y redeemed if the index closing value on any annual
determination date is greater than or equal to the then-applicable redemption threshold level (which wil increase over the term of the
notes), for an early redemption payment that wil increase over the term of the notes and that wil correspond to a return of approximately
5.00% per annum, as described below. No further payments wil be made on the notes once they have been redeemed, and the investor
wil not participate in any appreciation of the underlying index if the notes are redeemed early. At maturity, if the notes have not previously
been redeemed and the final index value is greater than the initial index value, investors wil receive the state principal amount plus 1-to-1
upside performance of the underlying index. However, if the notes are not automatical y redeemed prior to maturity and the final index
value is less than or equal to the initial index value, investors wil receive only the stated principal amount of their investment, without any
positive return on the notes.
The Morgan Stanley MAP Trend Index (the "underlying index") was established by Morgan Stanley on March 7, 2017 and employs a
rules-based quantitative strategy (the "Index Methodology") that combines a risk-weighted approach to portfolio construction with a
momentum-based, or trend-fol owing, asset al ocation methodology to construct a notional portfolio. In addition, the strategy imposes an
overal volatility-targeting feature upon the resulting portfolio. The goal of the underlying index is to seek positive return opportunities in
different market environments based upon recent trends in the underlying assets. The investment assumption underlying the al ocation
strategy is two-fold: that historical volatility of the underlying assets can be used to risk-weight a portfolio, and that past trends are likely to
continue to be a good indicator of the future performance of that portfolio
The components of the underlying index consist of (i) 20 U.S.-listed exchange traded funds ("ETFs"), representing U.S. and non-U.S.
equities, fixed income securities, commodities and real estate, and (i ) the Morgan Stanley Two Year Treasury Index (col ectively, the
"Index Components"). The notional portfolio constructed by the Index Methodology of Index Components is referred to as the "Asset
Portfolio." The Asset Portfolio wil consist of long-only positions in each Index Component, and each Index Component except for the
Morgan Stanley Two Year Treasury Index is subject to a maximum exposure cap. The targeted volatility for the underlying index is 5%
(the "Volatility Target").
The underlying index is rebalanced each Strategy Business Day (the "Daily Rebalancing"). Upon each Daily Rebalancing for the
underlying index, the Index Methodology uses the pre-assigned Risk Budget assigned to each ETF (as set forth under "Annex A
Morgan Stanley MAP Trend Index Index Components") and the volatility for each ETF to make initial base al ocations. The Index
Methodology then calculates a signal based on the upward or downward trend of each ETF (the "Trend Signal"). The index calculates
each Trend Signal by observing two moving averages, one short-term and one long-term, over different look-back periods for each
respective ETF. A Trend Signal that converges toward one indicates an upward trend and a Trend Signal that converges toward zero
indicates a downward trend. Once the Trend Signal is calculated for each ETF, the previously determined base al ocations are scaled by
the Trend Signal by al ocating more upward-trending securities to the Asset Portfolio. The magnitude of each position taken by the
underlying index fol owing the Trend Signal adjustment is then scaled to the Volatility Target based on a pro-rata volatility-scaling that
seeks to achieve a balanced level of volatility in the underlying index's exposure to each of the ETFs.
The underlying index is calculated on an excess return basis, and therefore the level reflects the weighted return of the Asset Portfolio
reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. The underlying index performance is further
reduced by a servicing cost of 0.85% per annum calculated on a daily basis. For more information, see "Annex A--Morgan Stanley MAP
Trend Index" beginning on page 28 and the "Risk Factors" beginning on page 10.
These long-dated notes are for investors who are concerned about principal risk but seek exposure to a multiple asset-linked index, who
are wil ing to accept that the underlying index's Volatility Target feature may reduce upside performance in bul ish markets, and who are
wil ing to forgo current income in exchange for the possibility of receiving an early redemption payment or payment at maturity greater
than the stated principal amount if the underlying index closes at or above the applicable redemption threshold level or above the initial
index value, as applicable, on an annual determination date. The notes are notes issued as part of MSFL's Series A Global Medium-Term
Notes program.
All payments are subject to our credit risk. If we default on our obligations, you could lose some or all of your investment.
These notes are not secured obligations and you will not have any security interest in, or otherwise have any access to, any
underlying reference asset or assets.
FINAL TERMS
Issuer:
Morgan Stanley Finance LLC
Guarantor:
Morgan Stanley
Issue price:
$1,000 per note (see "Commissions and issue price" below)
Stated principal amount:
$1,000 per note
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Aggregate principal
$459,000
amount:
Pricing date:
January 24, 2020
Original issue date:
January 29, 2020 (3 business days after the pricing date)
Maturity date:
January 28, 2027
Interest:
None
Underlying index:
Morgan Stanley MAP Trend Index
Early redemption:
If, on any annual determination date (other than the final determination date), the index closing value of
the underlying index is greater than or equal to the then-applicable redemption threshold level, the
notes wil be automatical y redeemed for the applicable early redemption payment on the related early
redemption date. No further payments wil be made on the notes once they have been redeemed.
Early redemption payment:
The early redemption payment wil be an amount in cash per stated principal amount (corresponding to
a return of approximately 5.00% per annum) for each annual determination date, as fol ows:

1st determination date: $1,050.00
5th determination date: $1,250.00
2nd determination date: $1,100.00
6th determination date: $1,300.00
3rd determination date: $1,150.00

4th determination date: $1,200.00

No further payments wil be made on the notes once they have been redeemed.
Redemption threshold
1st determination date: 243.805, which is approximately 102.75% of the initial index value
levels:
2nd determination date: 250.330, which is approximately 105.50% of the initial index value
3rd determination date: 256.856, which is approximately 108.25% of the initial index value
4th determination date: 263.381, which is approximately 111.00% of the initial index value
5th determination date: 269.906, which is 113.75% of the initial index value
6th determination date: 276.431, which is approximately 116.50% of the initial index value
Payment at maturity:
If the notes have not previously been redeemed, you wil receive at maturity a cash payment as fol ows:
· If the final index value is greater than the initial index value:
$1,000 + ($1,000 x index percent change)
· If the final index value is less than or equal to the initial index value:
$1,000
Estimated value on the
$951.30 per note. See "Investment Summary" beginning on page 3.
pricing date:
Commissions and issue
price:
Price to public
Agent's commissions(1)
Proceeds to us(2)
Per note
$1,000
$37.50
$962.50
Total
$459,000
$17,212.50
$441,787.50

(1) Selected dealers and their financial advisors wil col ectively receive from the agent, MS & Co., a fixed sales commission of $37.50 for
each note they sel . MS & Co. wil not receive a sales commission with respect to the notes. For additional information, see "Plan of
Distribution (Conflicts of Interest)" in the accompanying product supplement.
(2) See "Use of proceeds and hedging" on page 25.
The notes involve risks not associated with an investment in ordinary debt securities. See "Risk Factors"
beginning on page 9.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these notes, or
determined if this document or the accompanying product supplement and prospectus is truthful or complete. Any
representation to the contrary is a criminal offense.
The notes are not deposits or savings accounts and are not insured by the Federal Deposit Insurance Corporation or any other
governmental agency or instrumentality, nor are they obligations of, or guaranteed by, a bank.
You should read this document together with the related product supplement and prospectus, each of which can be accessed
via the hyperlinks below. Please also see "Additional Terms of the Notes" and Additional Information About the Notes" at the
end of this document.
As used in this document, "we," "us" and "our" refer to Morgan Stanley or MSFL, or Morgan Stanley and MSFL collectively, as
the context requires.
Product Supplement for Equity-Linked Notes dated November 16, 2017 Prospectus dated November 16, 2017

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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

Terms continued from previous page:
Index percent change:
(final index value initial index value) / initial index value
Initial index value:
237.28, which is the index closing value on the pricing date
Final index value:
The index closing value on the final determination date
Determination dates:
1st determination date:
January 27, 2021
2nd determination date:
January 24, 2022
3rd determination date:
January 24, 2023
4th determination date:
January 24, 2024
5th determination date:
January 24, 2025
6th determination date:
January 26, 2026
Final determination date:
January 25, 2027
The determination dates are subject to postponement for non-index business days and certain market
disruption events.
Early redemption dates:
The third business day fol owing the relevant determination date
CUSIP:
61770FCR5
ISIN:
US61770FCR55
Listing:
The notes wil not be listed on any securities exchange.
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), an affiliate of MSFL and a whol y owned subsidiary of Morgan
Stanley. See "Supplemental information regarding plan of distribution; conflicts of interest."

January 2020

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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

Investment Summary

Jump Notes with Auto-Callable Feature

The Jump Notes with Auto-Cal able Feature due January 28, 2027 Based on the Value of the Morgan Stanley MAP Trend Index (the
"notes") provide investors:

§
an opportunity to gain exposure to the Morgan Stanley MAP Trend Index

§
the repayment of principal at maturity, subject to our credit risk

§
the possibility of receiving an early redemption payment or payment at maturity greater than the stated principal amount if
the underlying index closes at or above the applicable redemption threshold level or above the initial index value, as
applicable, on an annual determination date

§
no exposure to any decline of the underlying index if the notes are held to maturity

At maturity, if the notes have not previously been redeemed and the underlying index has depreciated or has not appreciated at al , you
wil receive the stated principal amount of $1,000 per note, without any positive return on your investment.

Al payments on the notes, including any early redemption payment and the repayment of principal at maturity, are subject to our credit
risk.

Maturity:
Approximately 7 years
Interest:
None
Automatic early
If, on any annual determination date, the index closing value of the underlying index is greater than or equal to
redemption
the applicable redemption threshold level, the notes wil be automatical y redeemed for the early redemption
annually, beginning
payment on the related early redemption date. No further payments wil be made on the notes once they have
after one year:
been redeemed.

· 1st determination date: January 27, 2021
· 2nd determination date: January 24, 2022
· 3rd determination date: January 24, 2023
· 4th determination date: January 24, 2024
· 5th determination date: January 24, 2025
· 6th determination date: January 26, 2026
Final determination date:
January 25, 2027
Redemption threshold
· 1st determination date: 243.805, which is approximately 102.75% of the initial index value
levels:
· 2nd determination date: 250.330, which is approximately 105.50% of the initial index value
· 3rd determination date: 256.856, which is approximately 108.25% of the initial index value
· 4th determination date: 263.381, which is approximately 111.00% of the initial index value
· 5th determination date: 269.906, which is 113.75% of the initial index value
· 6th determination date: 276.431, which is approximately 116.50% of the initial index value
Early redemption
The early redemption payment wil be an amount in cash per stated principal amount (corresponding to a

payment:
return of approximately 5.00% per annum) for each annual determination date, as fol ows:

· 1st determination date: $1,050.00

· 2nd determination date: $1,100.00
· 3rd determination date: $1,150.00
· 4th determination date: $1,200.00
· 5th determination date: $1,250.00
· 6th determination date: $1,300.00
Payment at maturity:
If the notes have not previously been redeemed, you wil receive at maturity a cash payment as fol ows:
· If the final index value is greater than the initial index value:

$1,000 + ($1,000 x index percent change)

· If the final index value is less than or equal to the initial index value:

$1,000
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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

The Morgan Stanley MAP Trend Index

The Morgan Stanley MAP Trend Index has been developed by and is calculated, published and maintained by Morgan Stanley & Co.
LLC. MAP stands for "Multi-Asset Portfolio." The underlying index employs a rules-based quantitative strategy that combines a risk-
weighted approach to portfolio construction with a momentum-based, or trend-fol owing, asset al ocation methodology to construct a
notional portfolio. In addition, the strategy imposes an overal volatility-targeting feature upon the resulting portfolio.

The goal of the underlying index is to maximize returns for a given level of risk based upon recent trends in the underlying assets. The
investment assumption underlying the al ocation strategy is two-fold: that historical volatility of the underlying assets can be used to risk-
weight a portfolio, and that past trends are likely to continue to be a good indicator of the future performance of that portfolio.

The components of the underlying index consist of (i) 20 U.S.-listed exchange traded funds ("ETFs"), representing U.S. and non-U.S.
equities, fixed income securities, commodities and real estate, and (i ) the Morgan Stanley Two Year Treasury Index. The notional
portfolio constructed by the Index Methodology of Index Components is referred to as the Asset Portfolio. The Asset Portfolio wil consist
of long-only positions in each Index Component, and each Index Component except for the Morgan Stanley Two Year Treasury Index is
subject to a maximum exposure cap. The targeted volatility for the Index is 5%.

The underlying index is calculated on an excess return basis, and therefore the level is determined by the weighted return of the Asset
Portfolio reduced by the return on an equivalent cash investment receiving the 3-month LIBOR. The underlying index performance is
further reduced by a servicing cost of 0.85% per annum calculated on a daily basis.

The underlying index is rebalanced each Strategy Business Day. Upon each Daily Rebalancing for the underlying index, the Index
Methodology uses the pre-assigned Risk Budget assigned to each ETF and the volatility for each ETF to make initial base al ocations.
The Index Methodology then calculates a signal based on the upward or downward trend of each ETF. The underlying index calculates
each Trend Signal by observing two moving averages, one short-term and one long-term, over different look-back periods for each
respective ETF. A Trend Signal that converges toward one indicates an upward trend and a Trend Signal that converges toward zero
indicates a downward trend. Once the Trend Signal is calculated for each ETF, the previously determined base al ocations are scaled by
the Trend Signal by al ocating more upward-trending securities to the Asset Portfolio. The magnitude of each position taken by the
underlying index fol owing the Trend Signal adjustment is then scaled to the Volatility Target based on a pro-rata volatility-scaling that
seeks to achieve a balanced level of volatility in the underlying index's exposure to each of the ETFs. Once the composition of the Asset
Portfolio is determined, the index value is equivalent to the sum of each Index Component's market price less the 3-month LIBOR excess
return cost and the 0.85% per annum servicing cost.

The original issue price of each note is $1,000. This price includes costs associated with issuing, sel ing, structuring and hedging the
notes, which are borne by you, and, consequently, the estimated value of the notes on the pricing date is less than $1,000. We estimate
that the value of each note on the pricing date is $951.30.

What goes into the estimated value on the pricing date?

In valuing the notes on the pricing date, we take into account that the notes comprise both a debt component and a performance-based
component linked to the underlying index. The estimated value of the notes 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 wel 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 notes?

In determining the economic terms of the notes, including the early redemption payment amounts and the applicable redemption
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, sel ing, 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 notes 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 notes?

The price at which MS & Co. purchases the notes 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

January 2020

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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

secondary market price takes into account our secondary market credit spread as wel 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, sel ing,
structuring and hedging the notes are not ful y deducted upon issuance, for a period of up to 12 months fol owing the issue date, to the
extent that MS & Co. may buy or sel the notes 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 wil also be reflected in your brokerage account statements.

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

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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

Key Investment Rationale

Jump Notes with Auto-Cal able Feature offer investors potential returns based on the performance of the underlying index and provide for
the repayment of principal at maturity. They are for investors who are concerned about principal risk but seek exposure to a multiple
asset-linked index, who are wil ing to accept that the underlying index's volatility target feature may reduce upside performance in bul ish
markets, and who are wil ing to forgo current income in exchange for the possibility of receiving an early redemption payment or payment
at maturity greater than the stated principal amount if the underlying index closes at or above the applicable redemption threshold level or
above the initial index value, as applicable, on an annual determination date.

The fol owing scenarios are for il ustrative purposes only to demonstrate how an automatic early redemption payment or the payment at
maturity (if the notes have not previously been redeemed) are calculated, and do not attempt to demonstrate every situation that may
occur.

Scenario 1: The notes are
Starting on January 27, 2021, when the underlying index closes at or above the applicable
redeemed prior to maturity
redemption threshold level on any annual determination date, the notes wil be automatical y
redeemed for the applicable early redemption payment on the related early redemption date,
corresponding to a return of approximately 5.00% per annum. Investors do not participate in any
appreciation of the underlying index.
Scenario 2: The notes are not
This scenario assumes that the underlying index closes below the applicable redemption threshold
redeemed prior to maturity, and
level on each annual determination date. Consequently, the notes are not redeemed prior to
investors receive a positive
maturity. On the final determination date, the underlying index closes above the initial index
return at maturity
value. At maturity, investors wil receive the state principal amount plus 1-to-1 upside performance
of the underlying index.
Scenario 3: The notes are not
This scenario assumes that the underlying index closes below the applicable redemption threshold
redeemed prior to maturity, and
level on each annual determination date. Consequently, the notes are not redeemed prior to
investors receive the stated
maturity. On the final determination date, the underlying index closes at or below the initial index
principal amount at maturity
value. At maturity, investors wil receive a cash payment equal to the stated principal amount of
$1,000, without any positive return on the notes.
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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

Hypothetical Examples

The fol owing hypothetical examples are for il ustrative purposes only. Whether the notes are redeemed prior to maturity wil be
determined by reference to the index closing value of the underlying index on each annual determination date, and the payment at
maturity, if the notes are not redeemed early, wil be determined by reference to the index closing value on the final determination date.
The actual initial index value, redemption threshold levels and early redemption payment amounts are set forth on the cover of this
document. Some numbers appearing in the examples below have been rounded for ease of analysis. Al payments on the notes are
subject to our credit risk. The below examples are based on the fol owing terms:

Stated Principal Amount:
$1,000
Hypothetical Initial Index
200
Value:
Hypothetical Redemption
1st determination date: 205.50, which is 102.75% of the hypothetical initial index value
Threshold Levels:
2nd determination date: 211.00, which is 105.50% of the hypothetical initial index value
3rd determination date: 216.50, which is 108.25% of the hypothetical initial index value
4th determination date: 222.00, which is 111.00% of the hypothetical initial index value
5th determination date: 227.50, which is 113.75% of the hypothetical initial index value
6th determination date: 233.00, which is 116.50% of the hypothetical initial index value
Early Redemption
The early redemption payment wil be an amount in cash per stated principal amount (corresponding to a
Payment:
return of approximately 5.00% per annum) for each annual determination date, as fol ows:

· 1st determination date: $1,050.00
· 2nd determination date: $1,100.00
· 3rd determination date: $1,150.00
· 4th determination date: $1,200.00
· 5th determination date: $1,250.00
· 6th determination date: $1,300.00

No further payments wil be made on the notes once they have been redeemed.
Payment at Maturity:
If the notes have not previously been redeemed, you wil receive at maturity a cash payment as fol ows:
· If the final index value is greater than the initial index value:
$1,000 + ($1,000 x index percent change)
· If the final index value is less than or equal to the initial index value:
$1,000

Automatic Call:

Example 1 -- the notes are redeemed following the second determination date (which occurs in January 2022)

Date
Index Closing Value
Payment (per note)
200 (below the applicable redemption threshold level,
1st Determination Date
--
notes are not redeemed)
280 (at or above the applicable redemption threshold
2nd Determination Date
$1,100.00
level, notes are automatical y redeemed)

In this example, the index closing value on the first determination date is below the applicable redemption threshold level, and the index
closing value on the second determination date is at or above the applicable redemption threshold level. Therefore the notes are
automatical y redeemed on the second early redemption date. Investors wil receive $1,100.00 per note on the related early redemption
date, corresponding to an annual return of approximately 5.00%. No further payments wil be made on the notes once they have been
redeemed, and investors do not participate in the appreciation of the underlying index.

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Morgan Stanley Finance LLC
Jump Notes with Auto-Callable Feature due January 28, 2027
Based on the Value of the Morgan Stanley MAP Trend Index

Payment at Maturity

In the fol owing examples, the index closing value on each annual determination date is less than the applicable redemption threshold
level, and, consequently, the notes are not automatical y redeemed prior to, and remain outstanding until, maturity.

Example 1 -- the final index value is above the initial index value

Date
Index Closing Value
Payment (per note)
190 (below the applicable redemption threshold level,
1st Determination Date
--
notes are not redeemed)
200 (below the applicable redemption threshold level,
2nd Determination Date
--
notes are not redeemed)
195 (below the applicable redemption threshold level,
3rd Determination Date
--
notes are not redeemed)
201 (below the applicable redemption threshold level,
4th Determination Date
--
notes are not redeemed)
200 (below the applicable redemption threshold level,
--
5th Determination Date
notes are not redeemed)
202 (below the applicable redemption threshold level,
--
6th Determination Date
notes are not redeemed)
= $1,000 + ($1,000 x index percent
Final Determination Date
220 (above the initial index value)
change)
= $1,000 + $100 = $1,100
Payment at maturity = $1,100

In this example, the index closing value is below the applicable redemption threshold level on each of the determination dates before the
final determination date, and therefore the notes are not redeemed prior to maturity. On the final determination date, the underlying index
has appreciated 10% from the hypothetical initial index value. At maturity, investors receive the stated principal amount plus the product
of the stated principal amount times the index percent change. Because the underlying index has appreciated 10% from the hypothetical
index value, the payment at maturity is $1,100 per note.

Example 2 -- the final index value is at or below the initial index value

Date
Index Closing Value
Payment (per note)
190 (below the applicable redemption threshold level,
1st Determination Date
--
notes are not redeemed)
200 (below the applicable redemption threshold level,
2nd Determination Date
--
notes are not redeemed)
195 (below the applicable redemption threshold level,
3rd Determination Date
--
notes are not redeemed)
201 (below the applicable redemption threshold level,
4th Determination Date
--
notes are not redeemed)
200 (below the applicable redemption threshold level,
5th Determination Date
--
notes are not redeemed)
202 (below the applicable redemption threshold level,
6th Determination Date
--
notes are not redeemed)
Final Determination Date
180 (at or below the initial index value)
Payment at maturity = $1,000

In this example, the index closing value is below the applicable redemption threshold level on each of the determination dates before the
final determination date, and therefore the notes are not redeemed prior to maturity. On the final determination date, the final index value
is at or below the initial index value, and accordingly, investors receive a payment at maturity equal to the stated principal amount of
$1,000 per note, without any positive return on the notes.

January 2020

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