Index Detail Page

Prior to making an investment decision in respect of any instrument or fund, the return of which is linked to the performance of the Index, prospective investors should consider carefully all of the information set out in this document, including these Risk Factors and Investment Considerations. There may be other risks and considerations not set out below that a prospective investor should consider that are relevant either to its particular circumstances or more generally.

General Index Risk Considerations

• The Index performance is subject to fluctuations – The performance of the Index is dependent on many factors, including the general trends of the markets for the underlying Index Components. The Index performance can go up as well as down, and can register significant losses, including catastrophic losses, if the Index falls to zero. Any past performance recorded by the Index is not an indication of its future performance.

• The Index is not an investment in the underlying Index Components – The Index is designed to reflect the value of the underlying Index Components, however the formulas embedded in the Index means that any return might be higher or lower than the performance of the individual underlying Index Components.

• The Index Sponsor could make adjustments to the calculation methodology of the Index in certain circumstances – The Index Sponsor may make adjustments to the calculation of the Index in circumstances where a disruption event has occurred which prevents the determination of the value of underlying Index Components or that would lead to an erroneous calculation of the Index. In such circumstances the Index Sponsor may make a determination which could include, but is not limited to: adjusting the Index by determining the level of the underlying Index Components, or replacing or removing the underlying Index Components, or adjusting the weighting of the underlying Index Components, or postponing the publication of the Index Level or, otherwise, suspending or cancelling the Index. All such decisions may affect the value of the Index level and will be taken on a discretionary basis, taking into account the objective to ensure that the Index reflects the underlying interest it is designed to capture.

• No active management – The Index is quantitative and rules-based and is not managed actively by Morgan Stanley or its affiliates (the “Morgan Stanley Group”) or any third party. Consequently, the Morgan Stanley Group does not have discretion to change the Rules if there are significant changes in the volatility that cause the Index to decline significantly or underperform. In addition, the Morgan Stanley Group does not act as a fiduciary for, nor an advisor to, any investor in respect of the Index.

• No fiduciary duties – The Index Sponsor and the Index Calculation Agent can, in certain circumstances, exercise discretion. In exercising such discretions, the Index Sponsor and the Index Calculation Agent have no obligations to consider the interests of any other person including (but not limited to) counterparties to transactions linked to the performance of the Index.

• Reliance on Information – Calculations related to the Index rely on information obtained from various publicly available sources. When using such information, the Morgan Stanley Group and the Calculation Agent have relied on and will rely on these sources. In addition, the Morgan Stanley Group and the Calculation Agent have not verified independently and will not verify independently the information extracted from these sources.

• Simulated calculations – The calculation of the Index for the period from the Index Base Date to the Index Live Date has been simulated and does not represent actual performance. All prospective investors should be aware that a retrospective calculation of an Index means that no actual investment which allowed a tracking of the performance of the Index existed at any time. The performance of the Index during such period has been calculated retrospectively by the Index Calculation Agent on a hypothetical basis and should not be considered as an indicator of future performance.

• Conflict of Interests – Morgan Stanley and its affiliates (including the Index Calculation Agent and the Index Sponsor) may from time to time engage in transactions involving the underlying Index Components for their own account and/or for the account of their clients and may act as market-maker in such underlying Index Components. Such activities may not be for the benefit of the holders of financial products linked to the Index and may have an effect on the value of the Index and, consequently, on the value and performance of any financial products linked to the Index. In addition, Morgan Stanley and its affiliates may from time to time act in other capacities such as the issuer of investments or the advisor thereof. The Morgan Stanley Group also may issue financial instruments and/or enter into derivative contracts in respect of the underlying Index Components and the use of such instruments and/or derivatives may affect the value of the underlying Index Components. Morgan Stanley or its affiliates may enter into hedging transactions in respect of the underlying Index Components which may affect the value of such components or of any instruments, contract or investment product linked to Index. In addition, the unwinding of such hedging transactions may affect the value of such components or instruments which may affect the value of the Index. Morgan Stanley or its affiliates may make gains and/or losses from such hedging activity. In acting in any of these capacities, Morgan Stanley or its affiliates are not obliged to take into account the interests of any person including (but not limited to) investors in products linked to the Index.

• Morgan Stanley research – Morgan Stanley may issue research reports on securities or other financial instruments that are, or may become, constituents of the Index. These reports are independent of the obligations of the Index Sponsor and the Index Calculation Agents hereunder.

• Tax Considerations - In July 2015, the U.S. Treasury Department and the IRS released a notice designating certain “basket contracts” and substantially similar transactions as “transactions of interest,” subject to information reporting requirements as “reportable transactions” under Section 6011 of the Code. The scope of this notice is unclear, and it is therefore possible that the instruments linked to the Index could be subject to the notice. In that case, holders of such instruments would be required to report certain information to the IRS, as set forth in the applicable Treasury regulations regarding “reportable transactions”. If the IRS determines such a transaction is a “transaction of interest” and you fail to disclose the transaction, you could be subject to penalties. Holders should consult their tax advisers regarding the potential application of this notice to instruments linked to the Index.

• The Index Sponsor’s determinations are final and conclusive – The Index Calculation Agent is responsible for compiling and calculating the Index pursuant to the Rules. The Index Sponsor retains the discretion to appoint an alternative Index Calculation Agent. The Index Sponsor retains the final discretion as to the manner in which the Index is calculated and constructed. Furthermore, the Index Sponsor has the final authority on the Index and the interpretation and application of the Rules. The Index Calculation Agent also has certain discretions relating to the Index. The Index Sponsor makes no representation (implied or otherwise) as to the performance of any underlying Index Component of the Index and/or the Index.

• Index Calculation Agent’s determinations – The Index Calculation Agent’s calculations and determinations in relation to the Index shall be binding on all parties in the absence of manifest error. No party (whether the holder of any product linked to an Index or otherwise) will be entitled to proceed (and agreed to waive proceedings) against the Index Calculation Agent in connection with any such calculations or determinations or any failure to make any calculations or determinations in relation to an Index. For so long as the Index Calculation Agent constitutes and calculates an Index, calculations and determinations by the Calculation Agent does not accept any liability for loss or damage of any kind arising from the use of such information in any such calculation or determination. The Index Calculation Agent makes no representation (implied or otherwise) as to the performance of any underlying Index Component of the Index and/or the Index itself.

Index specific risk considerations

• The Index performance is subject to market risk and to significant declines including catastrophic loss (i.e. Index falls to or below zero).

• The Index ranks the underlying Index Components according to their historical performance. The historical window used may not be optimal and a different window may give higher returns.

• The weight applied to each underlying contract for each underlying Index Component in each asset class is determined by a rules based algorithm. The correlation between the Index and the underlying Index Components, and the correlation between the underlying Index Components, may vary over time and may increase or decrease by reference to a variety of factors which may include macroeconomic factors and speculation. The weights applied may not be the optimal weights.

• For non-CHF underlying Index Components, there is a portion of the Index’s daily performance which derives from FX moves. This FX risk can amplify or reduce the daily performance of the future positions and can, over time, induce a bias in performance that a non-CHF investor would not face.

• The Index is quantitative and rules-based and can produce both positive and negative returns. The methodology provides long exposure to underlying Index Components with their position selected based on their historical performance. However, there can be no assurances that the methodology can yield positive performance in all economic conditions. In certain conditions such as those detailed above, the Index may return a significant negative performance and may even fall to or below zero.

• Because there are costs associated with trading the futures contracts, the Index level will be lower than if there were no transaction costs, roll costs and margin costs.

• The sum of the weights in the Index Components can be greater or less than 100% in order to target volatility effectively. When the weight is greater than 100% the leveraged nature of the Index will magnify the adverse impact of adverse performance in the Index Components.

• The actual volatility of the Index can be higher or lower than the Target Volatility of 5%.

Fees

Rebalance Costs associated with rebalancing the Index Components and an Index Fee are debited from the Index. Such costs and fees will reduce the performance of the Index.

Index specific risk considerations

Equity Futures: Future prices are exposed to the price levels of the underlying Equity Indices (i.e. S&P 500, Eurostoxx 50 and Swiss Market). However, the future price performance can differ from investing cash directly in the underlying equity as market prices for spot and forward transactions may not be the same (e.g. due to expected dividend payments and interest rates).

Bond Futures: Future prices are exposed to the price levels of the deliverable bonds (i.e. Treasuries and Bunds that are eligible for delivery according to the Future contract specification). However, the future price performance can differ from investing cash directly in the underlying bonds as market prices for spot and forward transactions may not be the same (e.g. due to interest rates and coupon payments).

Commodity Futures: Future prices are exposed to the price levels of the deliverable commodities (i.e. Physical Gold that is eligible for delivery according to the Future contract specification). However, the future price performance can differ from investing cash directly in the underlying commodity as market prices for spot and forward transactions may not be the same (e.g. due to interest rates and cost of carry).

Exchange Traded Funds: ETF prices are exposed to the price levels of the underlying equity investments. ETF price movements can differ from movements in the underlying equity index the ETF is attempting to track (i.e. MSCI Emerging Market Index) due to factors such as, but not limited to, costs, fees and implementation by the respective fund provider. In addition the method used to calculate ETF performance for the purposes of the Morgan Stanley Dynamic Performer 5% Vol Target CHF Index are not the same as an investor directly investing in the ETF, due to effects including, but not limited to, dividends and funding costs.

Important Information and Qualifications

The information provided herein was prepared by sales, trading, or other non-research personnel of one of the following: Morgan Stanley & Co. LLC, Morgan Stanley & Co. International PLC, Morgan Stanley MUFG Securities Co., Ltd, Morgan Stanley Capital Group Inc. and/or Morgan Stanley Asia Limited (together with their affiliates, hereinafter “Morgan Stanley”), but is not a product of the Morgan Stanley Research Department. This communication is a marketing communication and is not a research report, though it may refer to a Morgan Stanley Research report or the views of a Morgan Stanley research analyst. We are not commenting on the fundamentals of any companies mentioned. Unless indicated, all views expressed herein are the views of the author and may differ from or conflict with those of the Morgan Stanley Research or others in the Firm. For additional information and important disclosures, see http://www.morganstanley.com/disclaimers.

Morgan Stanley is not acting as a municipal advisor and the opinions or views contained herein are not intended to be, and do not constitute, advice, including within the meaning of Section 975 of the Dodd- Frank Wall Street Reform and Consumer Protection Act.

This material is not (and should not be construed to be) investment advice (as defined under ERISA or similar concepts under applicable law) from Morgan Stanley with respect to an employee benefit plan or to any person acting as a Fiduciary for an employee benefit plan. This material is not designed to be a recommendation for any specific investment product, strategy, plan feature or other purposes. Any examples used in this material are generic, hypothetical and for illustration purposes only. Communications such as this are not impartial and are provided in connection with the marketing of products and services.

The information provided herein has been prepared solely for informational purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities or instruments mentioned or to participate in any particular trading strategy. These materials have been based upon information generally available to the public from sources believed to be reliable. No representation is given with respect to their accuracy or completeness, and they may change without notice. Morgan Stanley on its own behalf and on behalf of its affiliates disclaims any and all liability relating to these materials, including, without limitation, any express or implied representations or warranties for statements or errors contained in, or omissions from, these materials. Morgan Stanley and others associated with it may make markets or specialize in, have or may in the future enter into principal positions (long or short) in and effect transactions in securities of companies or trading strategies mentioned or described herein and may also perform or seek to perform investment banking, brokerage or other services for those companies and may enter into transactions with them. We may at any time modify or liquidate all or a portion of such positions and we are under no obligation to contact you to disclose any such intention to modify or liquidate or any such modification or liquidation. Morgan Stanley acts as “prime broker” and lender for a number of hedge funds. As a result, Morgan Stanley may indirectly benefit from increases in investments in hedge funds.

Unless stated otherwise, the material contained herein has not been based on a consideration of any individual client circumstances and as such should not be considered to be a personal recommendation. We remind investors that these investments are subject to market risk and will fluctuate in value. The investments discussed in this communication may be unsuitable for investors depending upon their specific investment objectives and financial position. Where an investment is denominated in a currency other than the investor’s currency, changes in rates of exchange may have an adverse effect on the value, price of, or income derived from the investment. The performance data quoted represents past performance. Past performance is not indicative of future returns. No representation or warranty is made that any returns indicated will be achieved. Certain assumptions may have been made in this analysis, which have resulted in any returns detailed herein. Transaction costs (such as commissions) are not included in the calculation of returns. Changes to the assumptions may have a material impact on any returns detailed. Potential investors should be aware that certain legal, accounting and tax restrictions, margin requirements, commissions and other transaction costs and changes to the assumptions set forth herein may significantly affect the economic consequences of the transactions discussed herein. The information and analyses contained herein are not intended as tax, legal or investment advice and may not be suitable for your specific circumstances. By submitting this communication to you, Morgan Stanley is not advising you to take any particular action based on the information, opinions or views contained herein, and acceptance of such document will be deemed by you acceptance of these conclusions. You should consult with your own municipal, financial, accounting and legal advisors regarding the information, opinions or views contained in this communication.

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HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING STRATEGY IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

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