Bond Morgan Stanleigh 2.664% ( US61760QDE17 ) in USD

Morgan Stanleigh

72.375 % ▲

United States

US61760QDE17 ( in USD )

2.664% per year ( payment 2 times a year)

28/08/2033

Prospectus brochure of the bond Morgan Stanley US61760QDE17 en USD 2.664%, maturity 28/08/2033

1 000 USD

2 500 000 USD

61760QDE1

28/08/2025 ( In 53 days )

Morgan Stanley is a leading global financial services firm offering investment banking, wealth management, investment management, and securities services to individuals, corporations, and governments worldwide.

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61760QDE17, pays a coupon of 2.664% per year.
The coupons are paid 2 times per year and the Bond maturity is 28/08/2033

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61760QDE17, was rated NR by Moody's credit rating agency.

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61760QDE17, was rated NR by Standard & Poor's ( S&P ) credit rating agency.

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424B2 1 dp40144_424b2-ps1008.htm FORM 424B2

CALCULATION OF REGISTRATION FEE

Maximum Aggregate
Amount of Registration

Title of Each Class of Securities Offered
Offering Price
Fee
Fixed to Floating Rate Notes due 2033
$2,500,000
$341.00

August 2013

Pricing Supplement No. 1,008
Registration Statement No. 333-178081
Dated August 9, 2013
Filed pursuant to Rule 424(b)(2)
Fixed to Floating Rate Notes due 2033
Leveraged CMS Curve and Russell 2000® Index Linked Notes

As further described below, interest will accrue on the notes (i) in Years 1 to 2: at a rate of 10.00% per annum and (ii) in Years 3 to maturity: for each day that the closing
value of the Russell 2000® Index is greater than or equal to 680 (which we refer to as the index reference level), at a variable rate per annum equal to 4 times the
difference, if any, between the 30-Year Constant Maturity Swap Rate ("30CMS") and the 2-Year Constant Maturity Swap Rate ("2CMS") as determined on the CMS
reference determination date at the start of the related monthly interest payment period; subject to the maximum interest rate of 10.00% per annum for each interest
payment period during the floating interest rate period and the minimum interest rate of 0.00% per annum. The notes provide an above-market interest rate in Years 1 to
2; however, for each interest payment period in Years 3 to maturity, the notes will not pay any interest with respect to the interest payment period if the CMS reference
index level is equal to or less than 0.00% on the related monthly CMS reference determination date. In addition, if, on any calendar day, the index closing value is less
than the index reference level, interest will accrue at a rate of 0.00% per annum for that day.
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
Aggregate principal amount:
$2,500,000
Issue price:
At variable prices
Stated principal amount:
$1,000 per note
Pricing date:
August 9, 2013
Original issue date:
August 28, 2013 (13 business days after the pricing date)
Maturity date:
August 28, 2033
Interest accrual date:
August 28, 2013
Payment at maturity:
The payment at maturity per note will be the stated principal amount plus accrued and unpaid interest, if any.
Interest:
From and including the original issue date to but excluding August 28, 2015 (the "initial interest payment period"): 10.00% per
annum
From and including August 28, 2015 to but excluding the maturity date (the "floating interest rate period"):
For each interest payment period, a variable rate per annum equal to the product of:
(a) leverage factor times the CMS reference index; subject to the minimum interest rate and the maximum
interest rate; and
(b) N/ACT; where,
"N" = the total number of calendar days in the applicable interest payment period on which the index closing value is greater
than or equal to the index reference level (each such day, an "accrual day"); and
"ACT" = the total number of calendar days in the applicable interest payment period.
The CMS reference index level applicable to an interest payment period will be determined on the related CMS reference
determination date.
Beginning August 28, 2015, it is possible that you could receive little or no interest on the notes. If, on the related
CMS reference determination date, the CMS reference index level is equal to or less than the CMS reference index
strike, interest will accrue at a rate of 0.00% for that interest payment period. In addition, if on any day, the index
closing value is determined to be less than the index reference level, interest will accrue at a rate of 0.00% per
annum for that day. The determination of the index closing value will be subject to certain market disruption
events. Please see Annex A--The Russell 2000® Index--Market Disruption Event" below.
Leverage factor:
4
Interest payment period:
Monthly
Interest payment period end dates:
Unadjusted
Interest payment dates:
The 28th day of each month, beginning September 28, 2013; provided that if any such day is not a business day, that interest
payment will be made on the next succeeding business day and no adjustment will be made to any interest payment made on
that succeeding business day.
Interest reset dates:
The 28th day of each month, beginning August 28, 2015
CMS reference determination dates:
Two (2) U.S. government securities business days prior to the related interest reset date at the start of the applicable interest
payment period.
Maximum interest rate:
10.00% per annum in any monthly interest payment period during the floating interest rate period
Minimum interest rate:
0.00% per annum
CMS reference index:
30-Year Constant Maturity Swap Rate minus 2-Year Constant Maturity Swap Rate, expressed as a percentage.
Please see "Additional Provisions--CMS Reference Index" below.
CMS reference index strike:
0.00%
Index:
The Russell 2000® Index
Underlying index publisher:
Russell Investments
Index reference level:
680
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley. See "Supplemental Information
Concerning Plan of Distribution; Conflicts of Interest."
Terms continued on the following page
Estimated value on the pricing date:
$924.40 per note. See "The Notes" on page 3.
Commissions and issue price:
Price to Public(1)(2)
Agent's Commissions(2)
Proceeds to Issuer(3)
Per note
At variable prices
$37.50
$962.50
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Total
At variable prices
$93,750
$2,406,250

(1)
The notes will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the time of each sale, which may be at
market prices prevailing, at prices related to such prevailing prices or at negotiated prices; provided, however, that such price will not be less than $970 per note
and will not be more than $1,000 per note. See "Risk Factors--The Price You Pay For The Notes May Be Higher Than The Prices Paid By Other Investors."
(2)
Morgan Stanley or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Smith Barney LLC (an affiliate of the
agent) and their financial advisors, of up to $37.50 per note depending on market conditions. See "Supplemental Information Concerning 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 13.

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 pricing
supplement or the accompanying prospectus supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

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.

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

The notes 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.

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Leveraged CMS Curve and Russell 2000® Index Linked Notes

Terms continued from previous page:
Index closing value:
The closing value of the index. Please see "Additional Provisions--The Russell 2000® Index" below.
Index cutoff:
The index closing value for any day from and including the third index business day prior to the related interest payment date
for any interest payment period shall be the index closing value on such third index business day prior to such interest payment
date.
Redemption:
None
Day-count convention:
Actual/Actual
Specified currency:
U.S. dollars
CUSIP / ISIN:
61760QDE1 / US61760QDE17
Book-entry or certificated note:
Book-entry
Business day:
New York
Calculation agent:
Morgan Stanley Capital Services LLC.
All determinations made by the calculation agent will be at the sole discretion of the calculation agent and will, in the absence
of manifest error, be conclusive for all purposes and binding on you, the trustee and us.
All values used in the interest rate formula for the notes and all percentages resulting from any calculation of interest will be
rounded to the nearest one hundred-thousandth of a percentage point, with .000005% rounded up to .00001%. All dollar
amounts used in or resulting from such calculation on the notes will be rounded to the nearest cent, with one-half cent rounded
upward.
Because the calculation agent is our affiliate, the economic interests of the calculation agent and its affiliates may be adverse
to your interests as an investor in the notes, including with respect to certain determinations and judgments that the calculation
agent must make in determining the payment that you will receive on each interest payment date and at maturity or whether a
market disruption event has occurred. Please see Annex A--The Russell 2000® Index--Market Disruption Event" and
"--Discontinuance of the Russell 2000® Index; Alteration of Method of Calculation" below. The calculation agent is obligated to
carry out its duties and functions as calculation agent in good faith and using its reasonable judgment.
Trustee:
The Bank of New York Mellon
Contact information:
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our principal executive
offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their
local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800)
233-1087.

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Leveraged CMS Curve and Russell 2000® Index Linked Notes

The Notes

The notes are debt securities of Morgan Stanley. In years 1 to 2, the notes pay interest at a rate of 10.00% per annum. Beginning August 28, 2015,
interest wil accrue on the notes for each day that the closing value of the Russel 2000® Index is greater than or equal to 680 (which we refer to as the
index reference level), at a variable rate per annum equal to 4 times the CMS reference index for the related monthly interest payment period; subject to
the maximum interest rate of 10.00% per annum per interest payment period and the minimum interest rate of 0.00% per annum. The floating interest
rate is based on the CMS reference index and the level of the Russel 2000® Index. If 30CMS is less than or equal to 2CMS on the applicable CMS
reference determination date, the floating interest rate wil be 0.00% and no interest wil accrue on the notes for the related interest period. In addition, if,
on any calendar day during the interest payment period, the index closing value is less than the index reference level, interest wil accrue at a rate of
0.00% per annum for that day. We describe the basic features of these notes in the sections of the accompanying prospectus cal ed "Description of Debt
Securities--Floating Rate Debt Securities" and prospectus supplement cal ed "Description of Notes," subject to and as modified by the provisions
described below. Al payments on the notes are subject to the credit risk of Morgan Stanley.

The stated principal amount of each note is $1,000, and the issue price is variable. 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 the issue price. We
estimate that the value of each note on the pricing date is $924.40.

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 CMS reference index and the Russel 2000® Index (the "index"). The estimated value of the notes is determined using our own pricing and valuation
models, market inputs and assumptions relating to the CMS reference index and the index, instruments based on the CMS reference index and the index,
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 notes?

In determining the economic terms of the notes, 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 interest rate, the leverage factor, the maximum interest rate, the CMS reference index strike or the index
reference 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 notes?

The price at which MS & Co. purchases the notes in the secondary market, absent changes in market conditions, including those related to interest rates
and the CMS reference index and the index, 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, the costs of unwinding the related hedging transactions and other factors.

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.

August 2013
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Leveraged CMS Curve and Russell 2000® Index Linked Notes

Additional Provisions

CMS Reference Index

What are the 30-Year and 2-Year Constant Maturity Swap Rates?

The 30-Year Constant Maturity Swap Rate (which we refer to as "30CMS") is, on any U.S. government securities business day, the fixed rate of interest
payable on an interest rate swap with a 30-year maturity as reported on Reuters Page ISDAFIX1 or any successor page thereto at 11:00 a.m. New York
City time on that day. This rate is one of the market-accepted indicators of longer-term interest rates.

The 2-Year Constant Maturity Swap Rate (which we refer to as "2CMS") is, on any U.S. government securities business day, the fixed rate of interest
payable on an interest rate swap with a 2-year maturity as reported on Reuters Page ISDAFIX1 or any successor page thereto at 11:00 a.m. New York
City time on that day.

An interest rate swap rate, at any given time, general y indicates the fixed rate of interest (paid semi-annual y) that a counterparty in the swaps market
would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal to 3-month LIBOR for that same maturity.

U.S. Government Securities Business Day

U.S. government securities business day means any day except for a Saturday, Sunday or a day on which The Securities Industry and Financial Markets
Association recommends that the fixed income departments of its members be closed for the entire day for purposes of trading in U.S. government
securities.

CMS Rate Fallback Provisions

If 30CMS or 2CMS is not displayed by 11:00 a.m. New York City time on the Reuters Screen ISDAFIX1 Page on any day on which the level of the CMS
reference index must be determined, such affected rate for such day wil be determined on the basis of the mid-market semi-annual swap rate quotations
to the calculation agent provided by five leading swap dealers in the New York City interbank market (the "Reference Banks") at approximately 11:00 a.m.,
New York City time, on such day, and, for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the
semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dol ar interest rate swap transaction with a term equal to the
applicable 30 year or 2 year maturity commencing on such day and in a representative amount with an acknowledged dealer of good credit in the swap
market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to USD-LIBOR-BBA with a designated maturity of three
months. The calculation agent wil request the principal New York City office of each of the Reference Banks to provide a quotation of its rate. If at least
three quotations are provided, the rate for that day wil be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of
equality, one of the highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as
requested, the rate wil be determined by the calculation agent in good faith and in a commercial y reasonable manner.

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Leveraged CMS Curve and Russell 2000® Index Linked Notes

The 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 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 Russel 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 Russell 2000® Index consists of the smal est 2,000 companies included in
the Russel 3000® Index and represents a small 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. For additional information about the Russell 2000® Index, see the
information set forth under "Annex A--The Russel 2000® Index" in this document and "Russel 2000® Index" in the accompanying index supplement.

Index Closing Value Fallback Provisions

The index closing value on any calendar day during the term of the notes on which the index level is to be determined (each, an "index determination date")
wil equal the official closing value of the index as published by the underlying index publisher or its successor, or in the case of any successor index, the
official closing value for such successor index as published by the publisher of such successor index or its successor, at the regular weekday close of
trading on that calendar day, as determined by the calculation agent; provided that the index closing value for any day from and including the third index
business day prior to the related interest payment date for any interest payment period shall be the index closing value in effect on such third index
business day prior to such interest payment date; provided further that if a market disruption event with respect to the index occurs on any index
determination date or if any such index determination date is not an index business day, the closing value of the index for such index determination date wil
be the closing value of the index on the immediately preceding index business day on which no market disruption event has occurred. In certain
circumstances, the index closing value shall be based on the alternate calculation of the index described under "Annex A--The Russel 2000® Index--
Discontinuance of the Russel 2000® Index; Alteration of Method of Calculation."

"Index business day" means a day, as determined by the calculation agent, on which trading is generally conducted on each of the relevant exchange(s)
for the index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its regular final weekday
closing price.

"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the index, or any successor index, and (i )
any futures or options contracts related to the index or to any security then included in the index.

For more information regarding market disruption events with respect to the index, discontinuance of the index and alteration of the method of calculation,
see "Annex A--The Russel 2000® Index--Market Disruption Event" and "--Discontinuance of the Russel 2000® Index; Alteration of Method of Calculation"
herein.

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Leveraged CMS Curve and Russell 2000® Index Linked Notes

Hypothetical Examples

The table below presents examples of hypothetical interest that would accrue on the notes during any month in the floating interest rate period. The examples below are
for purposes of illustration only. The examples of the hypothetical floating interest rate that would accrue on the notes are based both on the level of the CMS reference
index level on the applicable CMS reference determination date and on the total number of calendar days in a monthly interest payment period on which the index closing
value is greater than or equal to the index reference level.

The actual interest payments during the floating interest rate period will depend on the actual level of the CMS reference index on each CMS reference determination date
and the index closing value of the Russell 2000® Index on each day during the floating interest payment period. The applicable interest rate for each monthly interest
payment period will be determined on a per-annum basis but will apply only to that interest payment period. The table assumes that the interest payment period contains
30 calendar days. The examples below are for purposes of illustration only and would provide different results if different assumptions were made.

Hypothetical Interest Rate
CMS
4 times CMS
Number of days on which the index closing value is greater than or equal to index reference level
Reference Index
Reference Index
0
5
10
15
20
25
30
-3.900%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-3.600%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-3.300%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-3.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.700%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.400%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.100%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.800%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.500%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.200%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.900%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.600%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.300%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.300%
1.20%
0.00%
0.2000%
0.4000%
0.6000%
0.8000%
1.0000%
1.2000%
0.600%
2.40%
0.00%
0.4000%
0.8000%
1.2000%
1.6000%
2.0000%
2.4000%
0.900%
3.60%
0.00%
0.6000%
1.2000%
1.8000%
2.4000%
3.0000%
3.6000%
1.200%
4.80%
0.00%
0.8000%
1.6000%
2.4000%
3.2000%
4.0000%
4.8000%
1.500%
6.00%
0.00%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
1.800%
7.20%
0.00%
1.2000%
2.4000%
3.6000%
4.8000%
6.0000%
7.2000%
2.100%
8.40%
0.00%
1.4000%
2.8000%
4.2000%
5.6000%
7.0000%
8.4000%
2.400%
9.60%
0.00%
1.6000%
3.2000%
4.8000%
6.4000%
8.0000%
9.6000%
2.500%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
2.800%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.100%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.400%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.700%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
4.000%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
4.300%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
4.600%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%

If 30CMS is less than or equal to 2CMS on the applicable CMS reference determination date, the floating interest rate will be the minimum interest rate of 0.00% and no
interest will accrue on the notes for such interest period regardless of the total number of calendar days in the interest payment period on which the index closing value of
the Russell 2000® Index is greater than or equal to the index reference level.

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Leveraged CMS Curve and Russell 2000® Index Linked Notes
Historical Information

The CMS Reference Index

The fol owing graph sets forth the historical difference between the 30-Year Constant Maturity Swap Rate and the 2-Year Constant Maturity Swap Rate
for the period from January 1, 1998 to August 9, 2013 (the "historical period"). The historical difference between the 30-Year Constant Maturity Swap
Rate and the 2-Year Constant Maturity Swap Rate should not be taken as an indication of the future performance of the CMS reference index. The graph
below does not reflect the return the notes would have had during the periods presented because it does not take into account the index closing values or
the leverage factor. We cannot give you any assurance that the level of the CMS reference index wil be positive on any CMS reference determination
date. We obtained the information in the graph below, without independent verification, from Bloomberg Financial Markets ("USSW"), which closely
paral els but is not necessarily exactly the same as the Reuters Page price sources used to determine the level of the CMS reference index.

*The bold line in the graph indicates the CMS reference index strike of 0.00%.

The historical performance shown above is not indicative of future performance. The CMS reference index level may be negative on one or more specific
CMS reference determination dates during the floating interest rate period even if the level of the CMS reference index is general y positive and, moreover,
the level of the CMS reference index has in the past been, and may in the future be, negative.

If the level of the CMS reference index is negative on any CMS reference determination date during the floating interest rate period, you will
not receive any interest for the related interest payment period. Moreover, even if the level of the CMS reference index is positive on any such
CMS reference determination date, if the index closing value is less than the index reference level on any day during the interest payment
period, you will not receive any interest with respect to such day, and if the index closing value remains below the index reference level for
each day in the applicable interest payment period, you will receive no interest for that interest payment period.

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Fixed to Floating Rate Notes due 2033
Leveraged CMS Curve and Russell 2000® Index Linked Notes

The Russell 2000® Index

The fol owing table sets forth the published high and low index closing values, as wel as end-of-quarter index closing values, for each quarter from
January 1, 2008 through August 9, 2013. The graph fol owing the table sets forth the daily index closing values during the historical period. The index
closing value on August 9, 2013 was 1,048.00. The historical index closing values should not be taken as an indication of future performance, and we
cannot give you any assurance that the index closing value wil be higher than the index reference level on any index determination date during the floating
interest rate period in which you are paid the floating interest rate. The graph below does not reflect the return the notes would have had during the
periods presented because it does not take into account the CMS reference index level or the leverage factor. We obtained the information in the table
and graph below from Bloomberg Financial Markets, without independent verification.

Russell 2000® Index
High
Low
Period End
2008

First Quarter
753.55
643.97
687.97
Second Quarter
763.27
686.07
689.66
Third Quarter
754.38
657.72
679.58
Fourth Quarter
671.59
385.31
499.45
2009

First Quarter
514.71
343.26
422.75
Second Quarter
531.68
429.16
508.28
Third Quarter
620.69
479.27
604.28
Fourth Quarter
634.07
562.40
625.39
2010

First Quarter
690.30
586.49
678.64
Second Quarter
741.92
609.49
609.49
Third Quarter
677.64
590.03
676.14
Fourth Quarter
792.35
669.45
783.65
2011

First Quarter
843.55
773.18
843.55
Second Quarter
865.29
777.20
827.43
Third Quarter
858.11
643.42
644.16
Fourth Quarter
765.43
609.49
740.92
2012

First Quarter
846.13
747.28
830.30
Second Quarter
840.63
737.24
798.49
Third Quarter
864.70
767.75
837.45
Fourth Quarter
852.49
769.48
849.35
2013

First Quarter
953.07
872.60
951.54
Second Quarter
999.99
901.51
977.48
Third Quarter (through August 9, 2013)
1,063.01
989.47
1,048.00

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