Bond Morgan Stanleigh 0% ( US61760QFQ29 ) in USD

Morgan Stanleigh

66.63 % ▲

United States

US61760QFQ29 ( in USD )

30/01/2035

Prospectus brochure of the bond Morgan Stanley US61760QFQ29 en USD 0%, maturity 30/01/2035

1 000 USD

8 000 000 USD

61760QFQ2

N/A

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 US61760QFQ29, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 30/01/2035

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61760QFQ29, was rated NR by Moody's credit rating agency.

424B2 1 dp52617_424b2-ps86.htm FORM 424(B)(2)

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 2035

$8,000,000

$929.60

J a nua ry 2 0 1 5
Pricing Supplement No. 86
Registration Statement No. 333-200365
Dated January 13, 2015
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED PRODUCTS
Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r Le ve l
Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
As further described below, interest will accrue on the securities (i) from and including the original issue date to but excluding July 30, 2017: at a rate of 10.00%
per annum and (ii) from and including July 30, 2017 to but excluding the maturity date: for each day that the closing value of the Russell 2000® Index is greater
than or equal to 65% of the initial index value (which we refer to as the index reference level), at a variable rate per annum equal to 5 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 securities provide an above-market
interest rate during the first 2.5 years; however, for each interest payment period during the floating interest rate period, the securities 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. At maturity, if the final index value is greater than or equal to the barrier level of 50% of the initial index value, investors will receive the stated principal
amount of the securities plus any accrued but unpaid interest. However, if the final index value is less than the barrier level, investors will be fully exposed to
the decline in the value of the Russell 2000® Index over the term of the securities, and the payment at maturity will be less than 50% of the stated principal
amount of the securities and could be zero. T he re is no m inim um pa ym e nt a t m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y lose
up t o t he ir e nt ire init ia l inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the Russell 2000® Index. These long-dated
securities are for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing their principal and the
risk of receiving little or no interest on the securities during the floating interest rate period.
All pa ym e nt s a re subje c t t o t he c re dit risk of M orga n St a nle y. I f M orga n St a nle y de fa ult s on it s obliga t ions, you c ould lose som e
or a ll of your inve st m e nt . T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not ha ve a ny se c urit y int e re st in, or
ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley
Aggre ga t e princ ipa l a m ount :
$8,000,000. May be increased prior to the original issue date but we are not required to do so.
I ssue pric e :
At variable prices
St a t e d princ ipa l a m ount :
$1,000 per security
Pric ing da t e :
January 13, 2015
Origina l issue da t e :
January 30, 2015 (12 business days after the pricing date)
M a t urit y da t e :
January 30, 2035
I nt e re st a c c rua l da t e :
January 30, 2015
Pa ym e nt a t m a t urit y:
·If the final index value is greater than or equal to the barrier level: the stated principal amount plus any
accrued and unpaid interest
·If the final index value is less than the barrier level: (a) the stated principal amount times the index
performance factor plus (b) any accrued and unpaid interest. This amount will be less than 50% of the stated
principal amount of the securities and could be zero.
I nt e re st :
From and including the original issue date to but excluding July 30, 2017 (the "fixed interest rate period"): 10.00% per
annum
From and including July 30, 2017 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 ) le ve ra ge fa c t or times t he CM S re fe re nc e inde x ; subject to the minimum interest rate and the
maximum interest rate; a nd
(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.
Interest for each interest payment period during the floating interest rate period is subject to the minimum
interest rate of 0.00% per annum and the maximum interest rate of 10.00% per annum for such interest
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payment period. Beginning July 30, 2017, it is possible that you could receive little or no interest on the
securities. 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.
Le ve ra ge fa c t or:
5
I nt e re st pa ym e nt pe riod:
Monthly
I nt e re st pa ym e nt pe riod e nd
Unadjusted
da t e s:
I nt e re st pa ym e nt da t e s:
The 30th calendar day of each month (or, in the case of February, the last calendar day of such month), beginning
February 28, 2015; 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.
I nt e re st re se t da t e s:
The 30th calendar day of each month (or, in the case of February, the last calendar day of such month), beginning July
30, 2017
M a x im um int e re st ra t e :
10.00% per annum for each interest payment period during the floating interest rate period
M inim um int e re st ra t e :
0.00% per annum
Age nt :
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
Est im a t e d va lue on t he pric ing
$895.40 per security. The estimated value on any subsequent pricing date may be lower than this
da t e :
estimate, but will in no case be less than $850.00 per security. See "The Securities" on page 3.
Com m issions a nd issue pric e :
Pric e t o public (1)(2)
Age nt 's c om m issions(2)
Proc e e ds t o issue r(3)
Pe r se c urit y
At variable prices
$40
$960
T ot a l
At variable prices
$320,000
$7,680,000
(1)
The securities 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 security and will not be more than $1,000 per security. See "Risk Factors--The Price You Pay For The Securities 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 Wealth Management (an affiliate
of the agent) and their financial advisors, of up to $40 per security 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 16.
T he se c urit ie s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt se c urit ie s. Se e "Risk Fa c t ors"
be ginning on pa ge 1 0 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d t he se se c urit ie s, or
de t e rm ine d if t his pric ing supple m e nt or t he a c c om pa nying prospe c t us supple m e nt , inde x supple m e nt a nd prospe c t us is t rut hful
or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l offe nse .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d prospe c t us supple m e nt , inde x supple m e nt a nd prospe c t us, e a c h of
w hic h c a n be
a c c e sse d via t he hype rlink s be low .
Prospe c t us Supple m e nt da t e d N ove m be r 1 9 , 2 0 1 4
I nde x Supple m e nt da t e d N ove m be r 1 9 , 2 0 1 4 Prospe c t us da t e d N ove m be r 1 9 , 2 0 1 4
T he se c urit ie s a re not ba nk de posit s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e Corpora t ion or a ny ot he r
gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Terms continued from previous page:
I nde x :
The Russell 2000® Index
U nde rlying inde x publishe r:
Russell Investments
CM S re fe re nc e de t e rm ina t ion
Two (2) U.S. government securities business days prior to the related interest reset date at the start of the applicable
da t e s:
interest payment period.
CM S re fe re nc e inde x :
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.
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CM S re fe re nc e inde x st rik e :
0.00%
I nde x re fe re nc e le ve l:
, which is 65% of the initial index value
I nit ia l inde x va lue :
, which is the index closing value on January 27, 2015
Ba rrie r le ve l:
, which is 50% of the initial index value
Fina l inde x va lue :
The index closing value of the index on the final determination date
I nde x c losing va lue :
The closing value of the index. Please see "Additional Provisions--The Russell 2000® Index" below.
Fina l de t e rm ina t ion da t e :
The third scheduled business day prior to the maturity date, subject to adjustment due to non-index business days or
certain market disruption events.
I nde x c ut off:
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.
I nde x pe rform a nc e fa c t or:
The final index value divided by the initial index value
Re de m pt ion:
None
Da y-c ount c onve nt ion:
Actual/Actual
Spe c ifie d c urre nc y:
U.S. dollars
CU SI P / I SI N :
61760QFQ2 / US61760QFQ29
Book -e nt ry or c e rt ific a t e d
Book-entry
se c urit y:
Busine ss da y:
New York
Ca lc ula t ion a ge nt :
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 securities 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 securities 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 securities, 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.
T rust e e :
The Bank of New York Mellon
Cont a c t inform a t ion:
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.

January 2015
Page 2

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

The Securities

Principal at Risk Securities

The securities are debt securities of Morgan Stanley. From and including the original issue date to but excluding July 30, 2017, the securities pay
interest at a rate of 10.00% per annum. From and including July 30, 2017 to but excluding the maturity date, interest will accrue on the securities for
each day that the closing value of the Russell 2000® Index is greater than or equal to 65% of the initial index value (which we refer to as the index
reference level), at a variable rate per annum equal to 5 times the CMS reference index for the related monthly interest payment period; subject to
the maximum interest rate of 10.00% per annum for each interest payment period and the minimum interest rate of 0.00% per annum. The floating
interest rate is based on the CMS reference index a nd the level of the Russell 2000® Index. If 30CMS is less than or equal to 2CMS on the
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applicable CMS reference determination date, the floating interest rate will be 0.00% and no interest will accrue on the securities 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 will accrue at a rate of 0.00% per annum for that day.

At maturity, if the final index value is greater than or equal to the barrier level, investors will receive the stated principal amount of the securities plus
any accrued and unpaid interest. However, if the final index value is less than the barrier level, investors will be fully exposed to the decline in the
value of the Russell 2000® Index over the term of the securities, and the payment at maturity will be less than 50% of the stated principal amount of
the securities and could be zero. T he re is no m inim um pa ym e nt a t m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y
lose up t o t he ir e nt ire init ia l inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the Russell 2000® Index.

We describe the basic features of these securities in the sections of the accompanying prospectus called "Description of Debt Securities--Floating
Rate Debt Securities" and prospectus supplement called "Description of Securities," subject to and as modified by the provisions described below.
All payments on the securities are subject to the credit risk of Morgan Stanley.

The stated principal amount of each security is $1,000, and the issue price is variable. This price includes costs associated with issuing, selling,
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 the issue price. We estimate that the value of each security on the pricing date is $895.40. The estimated value on any subsequent pricing
date may be lower than this estimate, but will in no case be less than $850.00 per security.

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 CMS reference index and the Russell 2000® Index (the "index"). The estimated value of the securities 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 well as an interest rate related to
our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate debt trades in the secondary market.

What determines the economic terms of the securities?

In determining the economic terms of the securities, including the interest rate, the leverage factor, the maximum interest rate applicable to each
interest payment period during the floating interest rate period, the CMS reference index strike, the index reference level and the barrier level, 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,
selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the
securities 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
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 well 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 securities and, if it once chooses to make a market, may cease doing so at any time.

January 2015
Page 3

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Additional Provisions

CM S Re fe re nc e I nde x

Wha t a re t he 3 0 -Y e a r a nd 2 -Y e a r Const a nt M a t urit y Sw a p Ra t e s?

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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. This rate is one of the market-accepted indicators of shorter-term interest rates.

An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) 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. Gove rnm e nt Se c urit ie s Busine ss Da y

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.

CM S Ra t e Fa llba c k 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 will 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. Dollar 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 will 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 will 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 will be determined by the calculation agent in good faith and in
a commercially reasonable manner.

January 2015
Page 4

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

T he Russe ll 2 0 0 0 ® I nde x

The Russell 2000® Index is an index calculated, published and disseminated by Russell Investments, and measures the composite price
performance of stocks of 2,000 companies incorporated in the U.S. and its territories. All 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 Russell 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 smallest
2,000 companies included in the Russell 3000® Index and represents a small portion of the total market capitalization of the Russell 3000® Index.
The Russell 2000® Index is designed to track the performance of the small 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 Russell 2000 ® Index" in this document and "Russell
2000® Index" in the accompanying index supplement.

I nde x Closing V a lue Fa llba c k Provisions

The index closing value on any calendar day during the term of the securities on which the index level is to be determined (each, an "index
determination date") will 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
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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 will 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 Russell 2000® Index--Discontinuance of the Russell 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 (ii) 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 Russell 2000® Index--Market Disruption Event" and "--Discontinuance of the Russell 2000® Index; Alteration of
Method of Calculation" herein.

January 2015
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Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

How the Securities Work

H ow t o c a lc ula t e t he int e re st pa ym e nt s:

The table below presents examples of hypothetical interest that would accrue on the securities 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 securities
are based on both the level of the CMS reference index level on the applicable CMS reference determination date and 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 payment amounts 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.

Annua lize d ra t e of int e re st pa id
CM S
5 times CM S
N um be r of da ys on w hic h t he inde x c losing va lue is gre a t e r t ha n or e qua l t o t he inde x
Re fe re nc e I nde x
Re fe re nc e I nde x *
re fe re nc e le ve l
0
5
1 0
1 5
2 0
2 5
3 0
-2.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-2.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-2.0000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.8000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.6000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.0000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.8000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.6000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.0000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.2000%
1.00%
0.000%
0.167%
0.333%
0.500%
0.667%
0.833%
1.000%
0.4000%
2.00%
0.000%
0.333%
0.667%
1.000%
1.333%
1.667%
2.000%
0.6000%
3.00%
0.000%
0.500%
1.000%
1.500%
2.000%
2.500%
3.000%
0.8000%
4.00%
0.000%
0.667%
1.333%
2.000%
2.667%
3.333%
4.000%
1.0000%
5.00%
0.000%
0.833%
1.667%
2.500%
3.333%
4.167%
5.000%
1.2000%
6.00%
0.000%
1.000%
2.000%
3.000%
4.000%
5.000%
6.000%
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1.4000%
7.00%
0.000%
1.167%
2.333%
3.500%
4.667%
5.833%
7.000%
1.6000%
8.00%
0.000%
1.333%
2.667%
4.000%
5.333%
6.667%
8.000%
1.8000%
9.00%
0.000%
1.500%
3.000%
4.500%
6.000%
7.500%
9.000%
2.0000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.2000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.4000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.6000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.8000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.0000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.2000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.4000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
* Subject to the minimum interest rate of 0.00% and the maximum interest rate of 10.00%

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 securities 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.

January 2015
Page 6

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

H ow t o c a lc ula t e t he pa ym e nt a t m a t urit y (e x c luding a ny int e re st w it h re spe c t t o t he fina l int e re st pe riod):

The payoff diagram below illustrates the payment at maturity (excluding any interest with respect to the final interest period) on the securities based
on the following terms:

St a t e d princ ipa l a m ount :
$1,000 per security
Ba rrie r le ve l:
50% of the initial index value
M inim um pa ym e nt a t m a t urit y:
None

Pa yoff Dia gra m
http://www.sec.gov/Archives/edgar/data/895421/000095010315000348/dp52617_424b2-ps86.htm[1/14/2015 3:58:42 PM]

H ow it w ork s

Pa r Sc e na rio. If the final index value is greater than the barrier level of 50% of the initial index value, the investor would receive
$1,000 stated principal amount.

If the index depreciates 30%, the investor would receive the $1,000 stated principal amount.

Dow nside Sc e na rio. If the final index value is less than the barrier level of 50% of the initial index value, the investor would
receive an amount that is significantly less than the $1,000 stated principal amount, based on a 1% loss of principal for each 1%
decline in the index. This amount will be less than $500 per security. There is no minimum payment at maturity on the securities.
Accordingly, investors may lose up to their entire initial investment in the securities.

If the index depreciates 70%, the investor would lose 70% of the investor's principal and receive only $300 per security at
maturity, or 30% of the stated principal amount.

January 2015
Page 7

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

Historical Information

T he CM S Re fe re nc e I nde x

The following 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, 2000 to January 13, 2015 (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 securities would have yielded during
http://www.sec.gov/Archives/edgar/data/895421/000095010315000348/dp52617_424b2-ps86.htm[1/14/2015 3:58:42 PM]

the period 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 will 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 parallels
but is not necessarily exactly the same as the Reuters Page price sources used to determine the level of the CMS reference index.

* T he bold line in t he gra ph indic a t e s t he CM S re fe re nc e inde x st rik e of 0 .0 0 % .

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 generally positive and, moreover, the level of the CMS reference index has in the past been, and may in the future be,
negative.

I f t he le ve l of t he CM S re fe re nc e inde x is ne ga t ive on a ny CM S re fe re nc e de t e rm ina t ion da t e during t he
floa t ing int e re st ra t e pe riod, you w ill not re c e ive a ny int e re st for t he re la t e d int e re st pa ym e nt pe riod.
M ore ove r, e ve n if t he le ve l of t he CM S re fe re nc e inde x is posit ive on a ny suc h CM S re fe re nc e de t e rm ina t ion
da t e , if t he inde x c losing va lue is le ss t ha n t he inde x re fe re nc e le ve l on a ny da y during t he int e re st pa ym e nt
pe riod, you w ill not re c e ive a ny int e re st w it h re spe c t t o suc h da y, a nd if t he inde x c losing va lue re m a ins
be low t he inde x re fe re nc e le ve l for e a c h da y in t he a pplic a ble int e re st pa ym e nt pe riod, you w ill re c e ive no
int e re st for t ha t int e re st pa ym e nt pe riod.

January 2015
Page 8

Fixed to Floating Rate Securities due 2035
Le ve ra ge d CM S Curve a nd Russe ll 2 0 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he Ba rrie r
Le ve l Fe a t ure Link e d t o t he Russe ll 2 0 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s

T he Russe ll 2 0 0 0 ® I nde x

The following table sets forth the published high and low index closing values, as well as end-of-quarter index closing values, for each
quarter from January 1, 2010 through January 13, 2015. The graph following the table sets forth the daily index closing values during
the historical period. The index closing value on January 13, 2015 was 1,180.636. 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 will be higher than
http://www.sec.gov/Archives/edgar/data/895421/000095010315000348/dp52617_424b2-ps86.htm[1/14/2015 3:58:42 PM]

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 securities would have yielded during the period 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.

Russe ll 2 0 0 0 ® I nde x
H igh
Low
Pe riod End
2 0 1 0

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
2 0 1 1

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
2 0 1 2

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
2 0 1 3

First Quarter
953.07
872.60
951.54
Second Quarter
999.99
901.51
977.48
Third Quarter
1,078.41
989.47
1,073.79
Fourth Quarter
1,163.64
1,043.46
1,163.64
2 0 1 4

First Quarter
1,208.651
1,093.594
1,173.038
Second Quarter
1,192.964
1,095.986
1,192.964
Third Quarter
1,208.150
1,101.676
1,101.676
Fourth Quarter
1,219.109
1,085.409
1,209.969
2 0 1 5

First Quarter (through January 13, 2015)
1,198.800
1,161.311
1,180.636

* T he re d solid line in t he gra ph indic a t e s t he hypot he t ic a l ba rrie r le ve l, a nd t he gre e n solid line indic a t e s t he hypot he t ic a l
inde x re fe re nc e le ve l, in e a c h c a se a ssum ing t he inde x c losing va lue on J a nua ry 1 3 , 2 0 1 5 w e re t he init ia l inde x va lue .
http://www.sec.gov/Archives/edgar/data/895421/000095010315000348/dp52617_424b2-ps86.htm[1/14/2015 3:58:42 PM]

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