Index Detail Page

Risk Factors and Investment Considerations

Prior to making an investment decision in respect of any Financial Product, prospective investors should consider carefully all of the information set out in this Description, including in this Section 2 (Risk Factors and Investment Considerations). This Section 2 (Risk Factors and Investment Considerations) is intended to describe various risk factors which the Index Sponsor believes represent the principal risks associated with any securities issues, derivative transactions or other financial product the return of which is linked to, or otherwise determined by reference to, the Index (each such issue, transaction or product, a “Financial Product”). Each investor in relation to a Financial Product is referred to as a “Financial Product Investor”. There may be other risks and considerations not set out below that prospective investors should consider that are relevant either to their particular circumstances or more generally, whether arising from market factors or otherwise. In particular, other risks may exist in relation to the Financial Product itself. Each prospective investor should make their own investigations and form their own views as to the appropriateness or otherwise of the Index taking into account their own circumstances.

Index Specific Risk Considerations

Costs

The calculation of the Index Level includes a deduction for certain costs. Such costs are calculated in accordance with the methodology specified in this Description. Any such deduction(s) shall mean that the Index Level is less than would be the case if no costs were deducted.

FX

The calculation of the Index Level is made by reference to certain foreign currency exchange rates. Foreign currency exchange rates are highly volatile and determined by and influenced by a number of factors, including supply and demand for currencies in the international foreign exchange markets, economic factors including inflation rates in the countries concerned, interest rate differences between the respective countries, economic forecasts, international political factors, changes in balances of payments and trade, domestic and international rates of inflation, international trade restrictions, currency devaluations, currency convertibility, safety of making financial investments in the currency concerned, speculation and measures taken by governments and central banks. Any such circumstance (or a combination of them) may cause unexpected volatility or illiquidity in the foreign currency markets. This may have an adverse effect on the Index Levels which may in turn have an adverse effect on the performance of any Financial Product.

Impact of Variable Exposure

The Strategy which comprises the Index has a variable exposure to the Asset Portfolio Components that is a function of the ratio of the Annualised Volatility Budget and the realised volatility of the relevant Asset Portfolio and the correlation between the Asset Portfolios. As such, the Strategy may have less than 100% exposure to positive returns with high realised volatility and greater than 100% exposure to negative returns with low realised volatility.

Factors affecting the performance of an Asset Portfolio Component may adversely affect the Index Level

An Asset Portfolio Component is comprised of a synthetic portfolio of shares, futures or other assets, and as such, the performance of an Asset Portfolio Component is dependent upon the macroeconomic factors relating to the shares, futures or other components that comprise such Asset Portfolio Component, which may include interest and price levels on the capital markets, currency developments, political factors and (in the case of shares) company-specific factors such as earnings position, market position, risk situation, market liquidity for the shares, shareholder structure and dividend policy.

A change in the composition or discontinuance of Asset Portfolio Component could adversely affect the market value of a Financial Product

The sponsor of any Asset Portfolio Component may add, delete or substitute the components of such Asset Portfolio Component or make other methodological changes that could change the level of one or more components. The changing of components of any Asset Portfolio Component may affect the level of such Asset Portfolio Component as a newly added component may perform significantly worse or better than the component it replaces, which in turn may affect the Index Level and, therefore, payments made under a Financial Product. The sponsor of any such Asset Portfolio Component may also alter, discontinue or suspend calculation or dissemination of such Asset Portfolio Component.

Exposure to Asset Portfolio Component Modification, Asset Portfolio Component Cancellation and Asset Portfolio Component Disruption

The Index Calculation Agent has discretionary authority under this Description to make certain determinations and adjustments following an Asset Portfolio Component Modification (broadly, changes in the methodology of an Asset Portfolio Component), Asset Portfolio Component Cancellation (permanent cancellation of an Asset Portfolio Component) and Asset Portfolio Component Disruption (failure to calculate and publish the level of an Asset Portfolio Component). The Index Calculation Agent may determine that the consequence of any such event is to make adjustments to this Description and any such determination may have a negative adverse effect on the return of a Financial Product.

Certain risks in relation to the Benchmarks Regulation

If an Asset Portfolio Component is a "benchmark" under the Benchmarks Regulation and (i) it would be unlawful or contradictory to any applicable licensing requirements for the Index Calculation Agent to determine the level or other value of such Asset Portfolio Component or make any other determination in respect of the Index which it would otherwise be obliged to do so pursuant to this Description, (ii) if the relevant benchmark administrator does not obtain or maintain (as applicable) such authorisation or registration or, if a non-EU entity, "equivalence" is not available and it is not recognised or the transitional provisions do not apply to such non-EU entity or (iii) the relevant benchmark administrator ceases (or will cease) to provide Asset Portfolio Component is (either permanently or indefinitely), then the Index Calculation Agent may determine that a change in the composition or calculation of the Index is required to account for such successor and, if so, the procedures under Section 10.3 (Adjustment procedures, notification and consultation process) will apply.

Reform of interest rate index and equity, commodity and foreign exchange rate index “benchmarks”

Asset Portfolio Components which are deemed to be “benchmarks” are the subject of recent national, international and other regulatory guidance and proposals for reform. Some of these reforms are already effective while others are still to be implemented. These reforms may cause such “benchmarks” to perform differently than in the past, or to disappear entirely, or have other consequences which cannot be predicted. Any such consequence could have a material adverse effect on any Financial Product.

Any of the international, national or other proposals for reform or the general increased regulatory scrutiny of “benchmarks” could increase the costs and risks of administering or otherwise participating in the setting of a “benchmark” and complying with such regulations or requirements. Such factors may have the effect of discouraging market participants from continuing to administer certain “benchmarks”, trigger changes in the rules or methodologies used in certain “benchmarks” or lead to the disappearance of certain “benchmarks”. The disappearance of a “benchmark” could have materially adverse consequences in relation to a Financial Product.

Exposure to the risk that returns on a Financial Product do not reflect a direct investment in underlying shares or other assets comprising the Underlying MSCI Index

The return payable on Financial Products that reference an Index which in turn references the Underlying MSCI Index may not be the same as the return a Financial Product Investor would realise if you actually owned the relevant assets comprising the components of the Underlying MSCI Index. Financial Product Investors may receive a lower return on a Financial Product linked to the Underlying MSCI Index (indirectly by referencing the Index) than they would have received if they had invested in the components of the Underlying MSCI Index directly.

Nature of Underlying MS Indices

An Underlying MS Index is a notional, rules-based index comprising its component(s) and the level of such Underlying MS Index may go down as well as up, depending on the performance of the components and their effect on the strategy that the Underlying MS Index has been developed to reflect. There can be no assurance as to the future performance of any such Underlying MS Index, and the index level of such Underlying MS Index on any day may not reflect either its past performance or its future performance. The strategy that any such Underlying MS Index has been developed to reflect may not be successful, and other strategies using the components and alternative indices and benchmarks may perform better than such Underlying MS Index. Any past performance of an Underlying MS Index (actual or simulated) is not an indication of its future performance.

Prospective Financial Product Investors should be familiar with investments in the global financial and commodity markets, financial instruments and indices generally.

A Financial Product Investor will have no rights in respect of such Underlying MS Index or any components of such Underlying MS IndexThe investment exposure provided by any Underlying MS Index is notional or synthetic. Financial Product Investors will (1) have no legal or beneficial ownership interest in any Underlying MS Index or any component comprising an Underlying MS Index (or components thereof) and therefore have no recourse to any such component; (2) have no right to take delivery of any such component; (3) have no rights generally with respect to any such component (where in relation to voting or otherwise); and (4) have no right to receive dividends, distributions or other payments with respect to any such component.

An Underlying MS Index may have a limited operating history and may perform in unanticipated ways

An Underlying MS Index may be a relatively new strategy. Where limited historical performance data exists with respect to the components referenced by such Underlying MS Index and/or the Underlying MS Index itself, any investment in respect of which returns are linked to the performance of such an Underlying MS Index or its components may involve greater risk than an investment linked to returns generated by an investment strategy with a proven track record. While a longer history of actual performance could provide more reliable information on which to assess the validity of a strategy that an Underlying MS Index is intended to reflect and on which to base an investment decision, the fact that such an index and/or the relevant components are relatively new would not allow this. There can be no guarantee or assurance that an Underlying MS Index or its components will operate in a manner consistent with the data available.

Morgan Stanley or an affiliate of Morgan Stanley’s hedging activity may affect the level of an Underlying MS Index

By executing products linked to an Underlying MS Index, Morgan Stanley and/or its affiliates will have an exposure to such Underlying MS Index and its components. Morgan Stanley will take risk positions to hedge this exposure in its sole discretion and in a principal capacity. Financial Product Investors will not have any rights in respect of any Morgan Stanley hedge positions, including without limitation, any shares, futures, options, commodities or currencies. Morgan Stanley may execute its hedging activity by trading in the components of any Underlying MS Index at any time and this may have an adverse impact on the performance of an Underlying MS Index. Morgan Stanley’s hedging activity, and hence the size of such impact, may be linked to the amount of new and outstanding products (including any Financial Products) linked to the relevant Underlying MS Index at the relevant time.

Additionally, Morgan Stanley may generate revenues if it executes its hedging activity at different levels from those used to determine the value of an Underlying MS Index. Such hedging activity could generate significant returns to Morgan Stanley that will not be passed on to Financial Product Investors.

Morgan Stanley or an affiliate of Morgan Stanley in its capacity as sponsor or calculation agent in respect of an Underlying MS Index has the authority to make determinations that could materially affect such Underlying MS Index and create conflicts of interestMorgan Stanley or an affiliate of Morgan Stanley in its capacity as the sponsor of an Underlying MS Index and/or, if applicable, the calculation agent of such an Underlying MS Index does not generally exercise any discretion in relation to the operation of such Underlying MS Index. Morgan Stanley owes no fiduciary duties in respect of such Underlying MS Index. Morgan Stanley may, however, exercise discretion in certain limited situations including, but not limited to, those situations described in any description of the relevant Underlying MS Index. Determinations made by Morgan Stanley as the sponsor and, if applicable, calculation agent of such an Underlying MS Index could adversely affect the level of such Underlying MS Index and the exercise by Morgan Stanley of its discretion could present it with a conflict of interest. Subject as provided in the Index Rules in respect of an Underlying MS Index, in making those determinations, the sponsor and/or the calculation agent, as applicable, of such index will not be required to, and will not, take the interests of any Financial Product Investor into account or consider the effect its determinations will have on the value of any Financial Product. All determinations made by relevant sponsor and/or the calculation agent shall be (including, without limitation, any Financial Products) conclusive for all purposes and will bind all Financial Product Investors. The strategy sponsor and/or the calculation agent in respect of an Underlying MS Index shall not have any liability for such determinations.

The value of the Protection Option is calculated by reference to an internal model of the Morgan Stanley Group – The value of the Protection Option, which is used as part of the calculation of the Index Level, is calculated by reference to an internal model of the Morgan Stanley Group. Investors using other practices and models may obtain a different value of the Protection Option to those obtained by the Morgan Stanley Group and which may be more favourable were such practices and models used.

General Index Risk Considerations

The Index performance is subject to fluctuations

The Index is a notional, rules-based index comprising the Index Components and the Index Level may decline. The Index methodology described in this Description was developed based on historical data and conditions and there are no assurances that the methodology will generate positive performance in the future. The performance of the Index is dependent on many factors, including developments and trends in the markets for the Index Components. The Index performance can go up as well as down, and can register significant losses, including in some cases that the Index falls to 90% of its Initial Index Level. Any past performance of the Index (actual or simulated) is not an indication of its future performance.

Risks and rewards of a Financial Product

Financial Product Investors should ensure that they review the economic terms of the relevant Financial Product and not only the terms of the Index in order to understand the risks and rewards of an investment in such Financial Product.

The Index is not an investment in the Asset Portfolio Components or the Protection Option

The Index is calculated as a “notional” index. This means that the Index is calculated in part by reference to the Closing Level of the Asset Portfolio Components and the Protection Option Value. However, there is no requirement for the Index Sponsor to obtain an exposure in relation to any Asset Portfolio Component or the Protection Option in order to calculate the Index.

A Financial Product Investor will have no rights in respect of any Index Components

The investment exposure provided by the Index is synthetic. An investment referenced to an Index therefore not make a Financial Product Investor a holder of, or give a Financial Product Investor a direct investment position in, an Index or any Index Component (or any components thereof).

No liability

Notwithstanding any other provision within this Description, and subject as provided by any applicable law or regulation, in no event shall the Index Sponsor or the Index Calculation Agent, acting in each case in such capacity, be liable (whether directly or indirectly, in contract, tort or otherwise) for any loss incurred by any person that arises out of or in connection with the Index, including in relation to the performance of the Index Sponsor or the Index Calculation Agent, as applicable, of any part of its respective role under this Description, provided that nothing shall relieve each of the Index Sponsor and the Index Calculation Agent from any liability arising by reason of fraud or acts or omissions constituting any breach of regulation or other applicable law.

The Index Sponsor may make adjustments to this Description in certain circumstances

The Index Sponsor may make adjustments to this Description without consulting with Financial Product Investors in circumstances where the Index Sponsor has determined that such change is not material to Financial Product Investors, including if it is of a formal, minor or technical nature. Before making any other adjustment to this Description, the Index Sponsor will give prior notice to Financial Product Investors. Such adjustments could include, but are not limited to: (i) adjusting any relevant Index Component Value, (ii) replacing or removing an Index Component, (iii) postponing the publication of an Index Level or (iv) suspending or cancelling the Index. Any adjustments made to the Index may impact its future performance and result in an adverse return to a Financial Product Investor.

Discretion

This Description confers on each of the Index Sponsor and the Index Calculation Agent the right to make determinations, calculations, adjustments and modifications in relation to the Index and related matters, which involve, in certain circumstances, a degree of discretion in order to ensure that the Index can, where reasonably practicable, continue to be calculated and determined notwithstanding the relevant circumstances or, to allow a delay or a cancellation of the Index (including, without limitation, upon the occurrence of certain Adjustment Events, certain dilutive or concentrative events or other market disruption events in relation to Index Components as specified in this Description). Such adjustments may include, without limitation, adjusting the composition of the Index which exposes Financial Product Investors to the risk that any replacement Index Component may perform differently from the original Index Component, which may have an adverse effect on the performance of the Index.

Each of the Index Sponsor and the Index Calculation Agent will, as far as reasonably practicable, exercise any such discretion with the aim of ensuring that the Index continues to reflect, as closely as possible, the underlying economic interest it is designed to represent. The exercise of these discretions may have a significant effect on the Index and a Financial Product. Financial Product Investors should note that they are exposed to the exercise by the Index Sponsor of such discretions and 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) Financial Product Investors. Each of the Index Sponsor and the Index Calculation Agent, unless otherwise specified, is required to act using reasonable discretion, however, there can be no assurance that the exercise of any such discretion (or the absence of exercise, as the case may be) will not increase or decrease the Index Level and/or alter the volatility of the Index.

Exposure to the performance of the basket of Index Components

Even in the case of a positive performance of one or more Index Components, the performance of the basket of Index Components as a whole may be negative if the performance of the other Index Components is negative to a greater extent.

Political and economic factors

Index Component Values may be influenced by a number of circumstances, including, but not limited to, political events, general economic conditions, government intervention, changes in balances of payments and trade, domestic and international rates of inflation, international trade restrictions and currency devaluations. Any such circumstance (or a combination of them) may cause unexpected volatility or illiquidity in the relevant markets. The Index may fail to take account of such events and, as a result, investment losses may occur which may in turn have an adverse effect on the performance of a Financial Product.

With respect to any emerging or developing nation, there is the possibility of nationalisation, expropriation or confiscation, political changes, government regulation, social instability or other developments (including war) which could affect adversely the economies of such nations or Index Component Values that are linked or have an exposure to such nations.

Market volatility

The underlying markets for Index Components (including, without limitation and, if applicable, in commodities, metals, financial instruments, interest rates and indices) may be volatile and subject to sudden fluctuations of varying magnitude, any may be influenced by, amongst other things, government trade, fiscal, monetary and exchange control programmes and policies, national and international political and economic events and changes in interest rates. The volatility of such underlying markets may render it difficult or impossible to predict or anticipate fluctuations in the value of Index Components which could result in losses and an adverse effect on the Index.

Rules-based Index

The Index is quantitative and rules-based and is not managed actively by the Morgan Stanley Group or any third party. Consequently, the Morgan Stanley Group does not have discretion to change this Description if there are significant changes in the performance of the Index Components that cause the Index to decline significantly or underperform.

Information about the Index is no guarantee of the performance of the Index – Certain presentations and historical analysis or other statistical analysis materials in respect of the operation and/or potential returns of the Index which may be provided are based on a number of assumptions, historical estimates, simulated analyses and hypothetical circumstances to estimate how the Index may have performed prior to its actual existence. The Index Sponsor may use historical data that is available to calculate the hypothetical level of the Index prior to its inception. If the Index Sponsor determines that such historical data is not available or is incomplete, the Index Sponsor may use alternate sources of data in place of such historical data as well as make certain modifications to the index methodology as it deems necessary to calculate the hypothetical level of the Index prior to its inception. The Index Sponsor provides no assurance or guarantee that the Index will operate or would have operated in the past in a manner consistent with those materials.

Limited operating history and unanticipated performance

The Index is a relatively new strategy. Where limited historical performance data exists with respect to the Index Components and the Index itself, any investment in respect of which returns are linked to the performance of the Index or the Index Components may involve a greater risk than an investment linked to returns generated by an investment strategy with a proven track record. While a longer history of actual performance could provide more reliable information on which to assess the validity of the Index and on which to base an investment decision, the fact that the Index and the Index Components are relatively new would not allow this. There can be no guarantee or assurance that the Index or the Index Components will operate in a manner consistent with the data available.

Reliance on information

Calculations related to the Index may rely on information obtained from various publicly available sources. The Morgan Stanley Group and the Index Calculation Agent have relied on and will rely on these sources. In addition, the Morgan Stanley Group and the Index Calculation Agent have not verified independently and will not verify independently the information extracted from these sources. Accordingly, Financial Product Investors are subject to the risk that such third party information is inaccurate or incomplete and, in such circumstances, any such inaccuracy or incompleteness will be reflected in the calculation of the Index and may have a material impact on the performance of the Index.

No disclosure of information

The Morgan Stanley Group may be in possession at any time of information in relation to Index Components which may not be available to Financial Product Investors. There is no obligation on any member of the Morgan Stanley Group to disclose to Financial Product Investors any such information.

Conflict of interests

The Morgan Stanley Group (including the Index Calculation Agent and the Index Sponsor) may from time to time engage in transactions involving the Index Components for their own account and/or for the account of their clients and may act as market-maker for such Index Components. Such activities may not be for the benefit of Financial Product Investors and may have an effect on the value of the Index and, consequently, on the value and performance of any Financial Products. In addition, the Morgan Stanley Group may from time to time act in other capacities such as the issuer of investments or the advisor thereof. Morgan Stanley Group entities also may issue, hold or enter into financial instruments and/or enter into derivative contracts in respect of the Index Components and the use of such instruments and/or derivatives may affect the value of the Index Components. Morgan Stanley Group entities may, but are not obliged to, enter into hedging transactions in respect of the Index Components in order to meet obligations in respect of Financial Products or for any other purpose which may affect the value of such components or of any Financial Products. If they do, Morgan Stanley Group entities will have certain rights pursuant to such hedging transactions and/or in relation to any transactions that have given them exposure to Index Components and will pursue actions and take steps as they deem appropriate to protect their own interests.

In addition, the unwinding of such hedging transactions may affect the value of such Index Components or instruments which may affect the value of the Index. Morgan Stanley Group entities may make gains and/or losses from such hedging activity. In acting in any of these capacities, subject as provided by any applicable law or regulation, no member of the Morgan Stanley Group is obliged to take into account the interests of any person including (but not limited to) Financial Product Investors.

Litigation and disputes

The Index Sponsor, the Index Calculation Agent or any member of the Morgan Stanley Group may be subject to litigation or arbitration proceedings or disputes with other entities. Any such event may adversely affect the ability of the Index Sponsor or the Index Calculation Agent to perform their duties in respect of the Index and, therefore, may adversely affect the Index and, consequently, any Financial Product.

Morgan Stanley research

The Morgan Stanley Group may issue research reports on securities or other financial instruments that are, or may become, Index Components. These reports are independent of the obligations of the Index Sponsor and the Index Calculation Agent described in this Description.

The Index Sponsor’s determinations are final and conclusive

The Index Calculation Agent is responsible for compiling and calculating the Index pursuant to this Description and has certain discretions relating to the Index. 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 this Description. The Index Sponsor makes no representation (implied or otherwise) as to the performance of any Index Component and/or the Index.

Tax Considerations

In July 2015, the U.S. Treasury Department and the Inland Revenue Service (“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 U.S. Internal Revenue Code of 1986, as amended. The scope of this notice is unclear, and it is therefore possible that the Financial Products could be subject to the notice. In that case, Financial Product Investors 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 Financial Product Investors fail to disclose the transaction, such holders could be subject to penalties. Financial Product Investors should consult their tax advisers regarding the potential application of this notice to Financial Products.

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.

To receive further information in relation to the past performance of the financial instrument and or underlying (as applicable) and/or the functioning of the financial instrument in different market conditions referred to in any communications produced by employees of any Morgan Stanley entity based in Europe, the Middle East, and Africa (“EMEA”), please contact your EMEA Morgan Stanley Sales representative.

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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.

Any estimates, projections or predictions (including in tabular form) given in this communication are intended to be forward-looking statements. Although Morgan Stanley believes that the expectations in such forward-looking statement are reasonable, it can give no assurance that any forward-looking statements will prove to be correct. Such estimates are subject to actual known and unknown risks, uncertainties and other factors that could cause actual results to differ materially from those projected. These forward-looking statements speak only as of the date of this communication. Morgan Stanley expressly disclaims any obligation or undertaking to update or revise any forward-looking statement contained herein to reflect any change in its expectations or any change in circumstances upon which such statement is based. Prices indicated are Morgan Stanley offer prices at the close of the date indicated. Actual transactions at these prices may not have been effected.

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