Obligation Morgan Stanleigh 9.5% ( US61761JJM27 ) en USD

Morgan Stanleigh

100 % ⇌

Etas-Unis

US61761JJM27 ( en USD )

9.5% par an ( paiement semestriel )

31/07/2023 - Obligation échue

Prospectus brochure de l'obligation Morgan Stanley US61761JJM27 en USD 9.5%, échue

1 000 USD

362 000 USD

61761JJM2

N/A

Morgan Stanley est une firme mondiale de services financiers offrant des services de banque d'investissement, de gestion de patrimoine et de courtage à une clientèle institutionnelle et privée.

L'Obligation émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61761JJM27, paye un coupon de 9.5% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 31/07/2023

L'Obligation émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61761JJM27, a été notée NR par l'agence de notation Moody's.

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424B2 1 dp39815_424b2-ps922.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 2023
$362,000
$49.38

July 2013

Pricing Supplement No. 922
Registration Statement No. 333-178081
Dated July 26, 2013
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities
The securities are unsecured obligations of Morgan Stanley and 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. The
securities will pay a contingent monthly coupon but only if the index closing value of each of the Russell 2000® Index and the EURO STOXX 50® Index on the related
observation date is at or above 75% of its respective initial index value, which we refer to as the coupon barrier level. If the index closing value of either underlying
index is less than the coupon barrier level for such index on any observation date, we will pay no interest for the related interest period. At maturity, if the final index value
of each 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 wil
be the stated principal amount and, if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the related contingent monthly
coupon. If, however, the final index value of either 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. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment based on the performance of either
index and also the risk of not receiving any contingent monthly coupons for the entire 10-year term of the securities. 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
either underlying index will result in few or no contingent monthly coupons and/or a significant loss of your investment, as applicable, even if the other underlying index has
appreciated or has not declined as much. 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 monthly interest if either underlying index closes below the coupon barrier level for such index on
the observation dates. The securities are notes issued as part of Morgan Stanley's Series F Global Medium-Term Notes program.
All payments are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations, you could lose some or all of your
investment. These securities 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
Underlying indices:
Russell 2000® Index (the "RTY Index") and EURO STOXX 50® Index (the "SX5E Index")
Aggregate principal amount:
$362,000
Stated principal amount:
$1,000 per security
Issue price:
$1,000 per security (See "Commissions and Issue Price" below)
Pricing date:
July 26, 2013
Original issue date:
July 31, 2013 (3 business days after the pricing date)
Maturity date:
July 31, 2023
Contingent monthly coupon:
If, on any observation date, the closing value of each underlying index on such date is greater than or equal to the coupon
barrier level, we will pay a contingent monthly coupon at an annual rate of 9.50% (corresponding to approximately $7.9167 per
month per security) on the related coupon payment date.

If, on any observation date, the closing value of either underlying index is less than the coupon barrier level for
such index, we will pay no coupon for the applicable interest period. It is possible that one or both underlying
indices will remain below the respective coupon barrier level(s) for extended periods of time or even throughout
the entire term of the securities so that you will receive few or no contingent monthly coupons during the 10-year
term of the securities.
Coupon barrier level:
With respect to the RTY Index: 786.383, which is approximately 75% of the initial index value for such index
With respect to the SX5E Index: 2,056.47, which is 75% of the initial index value for such index
Downside threshold level:
With respect to the RTY Index: 524.255, which is 50% of the initial index value for such index
With respect to the SX5E Index: 1,370.98, which is 50% of the initial index value for such index
Payment at maturity:
If the final index value of each underlying index is greater than or equal to its respective downside threshold level: 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 monthly coupon with respect to the final observation date

If the final index value of either underlying index is less than its respective downside threshold level: (i) the stated principal
amount multiplied by (ii) the index performance factor of the worst performing underlying index. This amount will be less than
50% of the stated principal amount of the securities and could be zero.

Terms continued on the following page
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), a wholly-owned subsidiary of Morgan Stanley. See "Supplemental information
regarding plan of distribution; conflicts of interest."
Estimated value on the pricing date: $958.88 per security. See "Investment Overview" beginning on page 3.
Commissions and Issue Price:
Price to Public(1)
Agent's Commissions(2)
Proceeds to Issuer(3)
Per security
$1,000
$35
$965
Total
$362,000
$12,670
$349,330
(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 25.
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The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 10.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the
accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or
guaranteed by, a bank.
You should read this document together with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks
below. Please also see "Additional Information About the Securities" at the end of this document.

Prospectus Supplement dated November 21, 2011 Index Supplement dated November 21, 2011 Prospectus dated November 21, 2011

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Terms continued from previous page:
Initial index value:
With respect to the RTY Index: 1,048.51, which is the index closing value of such index on the pricing date
With respect to the SX5E Index: 2,741.96, which is the index closing value of such index on the pricing date
Final index value:
With respect to each index, the respective index closing value on the final observation date
Worst performing
The underlying index with the larger percentage decrease from the respective initial index value to the respective final index
underlying index:
value
Index performance factor:
Final index value divided by the initial index value
Coupon payment dates:
The last calendar day of each month, beginning August 31, 2013; provided that if any such day is not a business day, that
contingent monthly 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; provided further that the contingent monthly coupon, if any, with
respect to the final observation date shall be paid on the maturity date.
Observation dates:
The third scheduled business day preceding each scheduled coupon payment date, beginning with the August 31, 2013
coupon payment date, subject to postponement for non-index business days and certain market disruption events. We also
refer to the third scheduled business day prior to the scheduled maturity date as the final observation date.
CUSIP / ISIN:
61761JJM2 / US61761JJM27
Listing:
The securities will not be listed on any securities exchange.

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Investment Overview

Contingent Income Securities
Principal at Risk Securities

Contingent Income Securities due July 31, 2023 Payments on the Securities Based on the Worst Performing of the Russel 2000® Index and the EURO
STOXX 50® Index (the "securities") do not guarantee the repayment of principal and do not provide for the regular payment of interest. The securities wil
pay a contingent monthly coupon but only if the index closing value of each of the Russell 2000® Index and the EURO STOXX 50® Index (which we
refer to together as the "underlying indices") is at or above 75% 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 either underlying index is less than the coupon barrier level for such index on any observation
date, we wil pay no coupon for the related monthly period. It is possible that the index closing value of one or both underlying indices wil remain below
the respective coupon barrier level(s) for extended periods of time or even throughout the entire term of the securities so that you wil receive few or no
contingent monthly coupons. We refer to the coupon on the securities as contingent, because there is no guarantee that you wil receive a coupon
payment on any coupon payment date. Even if an underlying index were to be at or above the coupon barrier level for such index on some monthly
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 al monthly observation dates, you wil receive a contingent monthly 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 each 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 wil
be the stated principal amount and, if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the related
contingent monthly coupon. If, however, the final index value of either underlying index is less than its downside threshold level, investors wil be exposed
to the decline in the worst performing underlying index on a 1 to 1 basis and wil receive a payment at maturity that is less than 50% of the stated principal
amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial
investment based on the performance of either index and also the risk of not receiving any contingent monthly coupons.

Maturity:
10 years
Contingent monthly coupon:
If, on any observation date, the closing value of each underlying index on such date is greater than or equal to the
coupon barrier level, we wil pay a contingent monthly coupon at an annual rate of 9.50% (corresponding to
approximately $7.9167 per month per security) on the related coupon payment date.

If, on any observation date, the closing value of either underlying index is less than the coupon barrier level
for such index, we will pay no coupon for the applicable interest period. It is possible that one or both
underlying indices will remain below the respective coupon barrier level(s) for extended periods of time or
even throughout the entire term of the securities so that you will receive few or no contingent monthly
coupons during the 10-year term of the securities.
Payment at maturity:
If the final index value of each underlying index is greater than or equal to its respective downside threshold level: 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 monthly coupon with respect to the final observation date

If the final index value of either underlying index is less than its respective downside threshold level: (i) the stated
principal amount multiplied by (i ) the index performance factor of the worst performing underlying index. This amount
wil 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). Al other clients may contact their local brokerage representative. Third-party distributors may contact
Morgan Stanley Structured Investment Sales at (800) 233-1087.

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

The original issue price of each security is $1,000. This price includes costs associated with issuing, sel ing, 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 $958.88.

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 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 wel as an interest rate related to the implied interest rate at which our conventional fixed rate debt trades in the secondary market (the
"secondary market credit spread").

What determines the economic terms of the securities?

In determining the economic terms of the securities, 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 terms of the securities, such as the contingent monthly coupon, the coupon barrier level or the downside threshold level, 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 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 securities 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 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 wil 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.

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Key Investment Rationale

The securities do not provide for the regular payment of interest and instead wil pay a contingent monthly coupon but only if the index closing value of
each underlying index is at or above 75% of its initial index value, which we refer to as the coupon barrier level, on the related observation date. These
securities are for investors who are wil ing to risk their principal and seek an opportunity to earn interest at a potential y above-market rate in exchange for
the risk of receiving no monthly interest if either underlying index closes below the coupon barrier level for such index on the observation dates. The
fol owing scenarios are for il ustration purposes only to demonstrate how the payment at maturity and contingent monthly coupon is calculated, and do not
attempt to demonstrate every situation that may occur. Accordingly, the contingent monthly coupon may be payable with respect to none of, or some but
not all of, the monthly periods, and the payment at maturity may be less than 50% of the stated principal amount and could be zero.

Scenario 1: A contingent monthly
This scenario assumes that each underlying index closes at or above its respective coupon barrier level on
coupon is paid for al interest periods,
every monthly observation date. Investors receive the 9.50% per annum contingent monthly coupon for each
and investors receive principal back at
interest period during the term of the securities. At maturity, each underlying index closes above its
maturity, which is the best case
respective downside threshold level and coupon barrier level, and so investors receive the stated principal
scenario.
amount and the contingent monthly coupon with respect to the final observation date.
Scenario 2: A contingent monthly
This scenario assumes that each underlying index closes at or above its respective coupon barrier level on
coupon is paid for some, but not al ,
some monthly observation dates, but one or both underlying indices close below the respective coupon
interest periods, and investors receive
barrier level(s) for such index on the others. Investors wil receive the contingent monthly coupon for the
principal back at maturity.
monthly interest periods 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, depending on whether each final index value is
greater than, equal to or below the respective coupon barrier level, the contingent monthly coupon with
respect to the final observation date.
Scenario 3: No contingent monthly
This scenario assumes that one or both underlying indices close below the respective coupon barrier level(s)
coupon is paid for any interest period
on every monthly observation date. Since one or both underlying indices close below the respective coupon
during the 10-year term of the
barrier level(s) on every monthly observation date, investors do not receive any contingent monthly coupon
securities, and investors suffer a
during the 10-year term of the securities. On the final observation date, one or both underlying indices close
substantial loss of principal at maturity.
below the respective downside threshold level(s). At maturity, investors wil receive an amount equal to the
stated principal amount multiplied by the index performance factor of the worst performing underlying index,
which wil be less than 50% of the stated principal amount and could be zero.

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Underlying Indices Summary

Russell 2000® Index

The Russel 2000® Index is an index calculated, published and disseminated by Russel Investments, and measures the composite price performance of
stocks of 2,000 companies (the "Russel 2000 Component Stocks") incorporated in the U.S. and its territories. Al 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 Russel 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 Russel 2000® Index consists of the
smal est 2,000 companies included in the Russell 3000® Index and represents a smal portion of the total market capitalization of the Russel 3000®
Index. The Russel 2000® Index is designed to track the performance of the smal capitalization segment of the U.S. equity market.

Information as of market close on July 26, 2013:

Bloomberg Ticker Symbol:
RTY
Current Index Value:
1,048.51
52 Weeks Ago:
777.11
52 Week High (on 7/25/2013):
1,054.18
52 Week Low (on 8/2/2012):
768.60

For additional information about the Russel 2000® Index, see the information set forth under "Russel 2000® Index" in the accompanying index
supplement. Furthermore, for additional historical information, see "Russel 2000® Index Historical Performance" below.

EURO STOXX 50® Index

The EURO STOXX 50® Index was created by STOXX Limited, which is owned by Deutsche Börse AG and SIX Group AG. Publication of the EURO
STOXX 50® Index began on February 26, 1998, based on an initial index value of 1,000 at December 31, 1991. The EURO STOXX 50® Index is
composed of 50 component stocks of market sector leaders from within the STOXX 600 Supersector Indices, which includes stocks selected from the
Eurozone. The component stocks have a high degree of liquidity and represent the largest companies across al market sectors.

Information as of market close on July 26, 2013:

Bloomberg Ticker Symbol:
SX5E
Current Index Value:
2,741.96
52 Weeks Ago:
2,251.05
52 Week High (on 5/28/2013):
2,835.87
52 Week Low (on 7/26/2012):
2,251.05

For additional information about the EURO STOXX 50® Index, see the information set forth under "EURO STOXX 50® Index" in the accompanying index
supplement. Furthermore, for additional historical information, see "EURO STOXX 50® Index Historical Performance" below.

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Hypothetical Examples

The fol owing hypothetical examples il ustrate how to determine whether a contingent monthly coupon is paid with respect to an observation date and how
to calculate the payment at maturity. The fol owing examples are for il ustrative purposes only. Whether you receive a contingent monthly coupon for any
monthly period wil be determined by reference to the index closing value of each underlying index on each monthly observation date, and the amount you
wil receive at maturity, if any, wil 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 page of this document. Al
payments on the securities, if any, are subject to the credit risk of Morgan Stanley. The below examples are based on the fol owing terms:

Contingent monthly Coupon:
If, on any observation date, the closing value of each underlying index on such date is greater than or equal
to the coupon barrier level, we wil pay a contingent monthly coupon at an annual rate of 9.50% (corresponding
to approximately $7.9167 per month per security) on the related coupon payment date.*

If, on any observation date, the closing value of either underlying index is less than the coupon barrier
level for such index, we will pay no coupon for the applicable interest period. It is possible that one or
both underlying indices will remain below the respective coupon barrier level(s) for extended periods of
time or even throughout the entire term of the securities so that you will receive few or no contingent
monthly coupons during the 10-year term of the securities.
Payment at Maturity
If the final index value of each underlying index is greater than or equal to its respective downside threshold
level: 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 monthly coupon with respect to the final observation
date

If the final index value of either underlying index is less than its respective downside threshold level: (i) the
stated principal amount multiplied by (i ) the index performance factor of the worst performing underlying
index. This amount wil 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: 1,000
With respect to the SX5E Index: 2,500
Hypothetical Coupon Barrier Level:
With respect to the RTY Index: 750, which is 75% of the hypothetical initial index value for such index
With respect to the SX5E Index: 1,875, which is 75% of the hypothetical initial index value for such index
Hypothetical Downside Threshold Level: With respect to the RTY Index: 500, which is 50% of the hypothetical initial index value for such index
With respect to the SX5E Index: 1,250, which is 50% of the hypothetical initial index value for such index
* The actual monthly 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 monthly coupon of $7.9167 is used in these examples for ease of analysis.

How to determine whether a contingent monthly coupon is payable with respect to an observation date:

Closing Value
Contingent Monthly Coupon

RTY Index
SX5E Index

Hypothetical Observation Date
850 (at or above
2,200 (at or above coupon
$7.9167
1
coupon barrier level)
barrier level)

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Contingent Income Securities due July 31, 2023
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Hypothetical Observation Date 2
800 (at or above coupon
1,700 (below coupon barrier
$0
barrier level)
level)

Hypothetical Observation Date 3
600 (below coupon barrier
2,300 (at or above coupon
$0
level)
barrier level)

Hypothetical Observation Date 4
550 (below coupon barrier
1,600 (below coupon barrier
$0
level)
level)

On hypothetical observation date 1, both the RTY Index and SX5E Index close at or above their respective coupon barrier levels. Therefore a contingent
monthly coupon of approximately $7.9167 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 monthly 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 monthly coupon
is paid on the relevant coupon payment date.

You will not receive a contingent monthly coupon on any coupon payment date if the closing value of either underlying index is below its
respective coupon barrier level on the related observation date.

How to calculate the payment at maturity:

Index Closing Value
Payment at Maturity

RTY Index
SX5E Index

1,500 (at or above
$1,007.9167 (the stated principal amount
2,300 (at or above the downside threshold level and coupon
Example 1:
the downside threshold level and
plus the contingent monthly coupon with
barrier level)
coupon barrier level)
respect to the final observation date)

600 (at or above the downside 2,050 (at or above the downside threshold level and coupon
$1,000.00
Example 2:
threshold level but below the
barrier level)
(the stated principal amount)
coupon barrier level)

1,200 (at or above
$1,000 x index performance factor of the
Example 3:
1,000 (below the downside threshold level)
worst performing underlying index =
the downside threshold level)
$1,000 x (1,000 / 2,500) = $400

400 (below the downside
Example 4:
1,500 (at or above the downside threshold level)
$1,000 x (400 / 1,000) = $400
threshold level)

300 (below the downside
Example 5:
1,000 (below the downside threshold level)
$1,000 x (300 / 1,000) = $300
threshold level)

400 (below the downside
Example 6:
750 (below the downside threshold level)
$1,000 x (750 / 2,500) = $300
threshold level)

In example 1, the final index values of both the RTY Index and SX5E 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 monthly coupon with respect to the final
observation date.

In example 2, the final index values of both the RTY Index and the SX5E 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 monthly 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.

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