Bond Morgan Stanleigh 0% ( US61764C4244 ) in USD

Morgan Stanleigh

27.088 % ▲

United States

US61764C4244 ( in USD )

29/10/2024 - Bond has expired

Prospectus brochure of the bond Morgan Stanley US61764C4244 in USD 0%, expired

10 USD

3 320 000 USD

61764C424

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 US61764C4244, pays a coupon of 0% per year.
The coupons are paid 2 times per year and the Bond maturity is 29/10/2024

The Bond issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61764C4244, was rated NR by Moody's credit rating agency.

424B2 1 dp50495_424b2-ps1676.htm FORM 424B2

CALCULATION OF REGISTRATION FEE

Maximum Aggregate
Amount of Registration

Title of Each Class of Securities Offered
Offering Price
Fee
Trigger Performance Leveraged Upside

$3,320,000

$385.78
SecuritiesSM due 2024

Oc t obe r 2 0 1 4
Pricing Supplement No. 1,676
Registration Statement No. 333-178081
Dated October 24, 2014
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in International Equities
Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
The Trigger PLUS are unsecured obligations of Morgan Stanley, will pay no interest, do not guarantee any return of principal at
maturity and have the terms described in the accompanying product supplement for PLUS, index supplement and prospectus, as
supplemented or modified by this document. At maturity, if the underlying index has a ppre c ia t e d in value, investors will receive the
stated principal amount of their investment plus leveraged upside performance of the underlying index. If the underlying index
de pre c ia t e s in value but the final index value is greater than the trigger level, investors will receive the stated principal amount of
their investment. However, if the underlying index has de pre c ia t e d in value so that the final index value is less than or equal to the
trigger level, investors will lose a significant portion or all of their investment, resulting in a 1% loss for every 1% decline in the index
value over the term of the Trigger PLUS. Under these circumstances, the payment at maturity will be less than 65% of the stated
principal amount and could be zero. Accordingly, you may lose your entire investment. These long-dated Trigger PLUS are for
investors who seek an equity index-based return and who are willing to risk their principal and forgo current income in exchange for
the upside leverage feature and the limited protection against loss but only if the final index value is greater than the trigger
level. I nve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S . The Trigger PLUS are notes issued as
part of Morgan Stanley's Series F Global Medium-Term Notes program.
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 T rigge r PLU 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
M a t urit y da t e :
October 29, 2024
U nde rlying inde x :
EURO STOXX 50® Index
Aggre ga t e princ ipa l
$3,320,000
a m ount :
Pa ym e nt a t m a t urit y:
If the final index value is greater than the initial index value: $10 + leveraged upside payment
If the final index value is less than or equal to the initial index value but is greater than the trigger
level: $10
If the final index value is less than or equal to the trigger level: $10 × index performance factor
Under these circumstances, the payment at maturity will be less than the stated principal amount of
$10 and will represent a loss of at least 35%, and possibly all, of your investment.
Le ve ra ge d upside
$10 × leverage factor × index percent increase
pa ym e nt :
Le ve ra ge fa c t or:
260%
I nde x pe rc e nt inc re a se :
(final index value initial index value) / initial index value
I nde x pe rform a nc e fa c t or: final index value / initial index value
I nit ia l inde x va lue :
3,030.37, which is the index closing value on the pricing date
Fina l inde x va lue :
The index closing value on the valuation date
T rigge r le ve l:
1,969.741, which is approximately 65% of the initial index value
V a lua t ion da t e :
October 24, 2024, subject to adjustment for non-index business days and certain market disruption
events
http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

St a t e d princ ipa l a m ount :
$10 per Trigger PLUS
I ssue pric e :
$10 per Trigger PLUS (see "Commissions and issue price" below)
Pric ing da t e :
October 24, 2014
Origina l issue da t e :
October 29, 2014 (3 business days after the pricing date)
CU SI P / I SI N :
61764C424 / US61764C4244
List ing:
The Trigger PLUS will not be listed on any securities exchange.
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), a wholly-owned subsidiary of Morgan Stanley. See
"Supplemental information regarding plan of distribution; conflicts of interest."
Est im a t e d va lue on t he
$9.178 per Trigger PLUS. See "Investment Summary" beginning on page 2.
pric ing da t e :
Com m issions a nd issue
Pric e t o public
Age nt 's c om m issions a nd
Proc e e ds t o issue r (3)
pric e :
fe e s
Pe r T rigge r PLU S
$10
$0.30(1)

$0.05(2)
$9.65
T ot a l
$3,320,000
$116,200
$3,203,800
(1) Selected dealers, including Morgan Stanley Wealth Management (an affiliate of the agent), and their financial advisors will collectively receive from the
agent, MS & Co., a fixed sales commission of $0.30 for each Trigger PLUS they sell. See "Supplemental information regarding plan of distribution; conflicts
of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying product supplement for PLUS.
(2) Reflects a structuring fee payable to Morgan Stanley Wealth Management by the agent or its affiliates of $0.05 for each Trigger PLUS.
(3) See "Use of proceeds and hedging" on page 13.
T he T rigge r PLU 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 6 .
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 doc um e nt or t he a c c om pa nying produc t 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 .
T he T rigge r PLU 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 .
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 produc t 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 . Ple a se a lso se e "Addit iona l I nform a t ion
About t he T rigge r PLU S" a t t he e nd of t his doc um e nt .
Product Supplement for PLUS dated August 17, 2012 Index Supplement dated November 21, 2011
Prospectus dated November 21, 2011

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Investment Summary

T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s
Princ ipa l a t Risk Se c urit ie s

The Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024 (the "Trigger PLUS") can be used:
As an alternative to direct exposure to the underlying index that enhances returns for any positive performance of the underlying
index
To enhance returns and potentially outperform the underlying index in a bullish scenario, with no limitation on the appreciation
potential
To provide limited protection against a loss of principal in the event of a decline of the underlying index as of the valuation date
but only if the final index value is gre a t e r t ha n the trigger level

http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

M a t urit y:
10 years
Le ve ra ge fa c t or:
260%
T rigge r le ve l:
65% of the initial index value
M inim um pa ym e nt a t m a t urit y: None. You could lose your entire initial investment in the Trigger PLUS.
I nt e re st :
None

The original issue price of each Trigger PLUS is $10. This price includes costs associated with issuing, selling, structuring and
hedging the Trigger PLUS, which are borne by you, and, consequently, the estimated value of the Trigger PLUS on the pricing date is
less than $10. We estimate that the value of each Trigger PLUS on the pricing date is $9.178.

What goes into the estimated value on the pricing date?

In valuing the Trigger PLUS on the pricing date, we take into account that the Trigger PLUS comprise both a debt component and a
performance-based component linked to the underlying index. The estimated value of the Trigger PLUS is determined using our own
pricing and valuation models, market inputs and assumptions relating to the underlying index, instruments based on the underlying
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 Trigger PLUS?

In determining the economic terms of the Trigger PLUS, including the leverage factor and the trigger 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 Trigger PLUS 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 Trigger PLUS?

The price at which MS & Co. purchases the Trigger PLUS in the secondary market, absent changes in market conditions, including
those related to the underlying 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 and other factors. However, because the costs associated with issuing, selling,
structuring and hedging the Trigger PLUS are not fully deducted upon issuance, for a period of up to 12 months following the issue
date, to the extent that MS & Co. may buy or sell the Trigger PLUS in the secondary market, absent changes in market conditions,
including those related to the underlying index, and to our secondary market credit spreads,

October 2014
Page 2

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s
it would do so based on values higher than the estimated value. We expect that those higher values will also be reflected in your
brokerage account statements.

MS & Co. may, but is not obligated to, make a market in the Trigger PLUS, and, if it once chooses to make a market, may cease
doing so at any time.

October 2014
Page 3

http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

K e y I nve st m e nt Ra t iona le

Trigger PLUS offer leveraged exposure to any positive performance of the underlying index. In exchange for the leverage feature,
investors are exposed to the risk of loss of a significant portion or all of their investment due to the trigger feature. At maturity, an
investor will receive an amount in cash based upon the closing value of the underlying index on the valuation date. The Trigger PLUS
are unsecured obligations of Morgan Stanley, and all payments on the Trigger PLUS are subject to the credit risk of Morgan
Stanley. I nve st ors m a y lose t he ir e nt ire init ia l inve st m e nt in t he T rigge r PLU S.

Le ve ra ge d
The Trigger PLUS offer investors an opportunity to capture enhanced returns relative to a direct
Pe rform a nc e
investment in the underlying index.
T rigge r Fe a t ure
At maturity, even if the underlying index has declined over the term of the Trigger PLUS, you will receive
your stated principal amount but only if the final index value is gre a t e r t ha n the trigger level.
U pside Sc e na rio
The final index value is greater than the initial index value, and, at maturity, the Trigger PLUS redeem
for the stated principal amount of $10 plus 260% of the increase in the value of the underlying index.
Pa r Sc e na rio
The final index value is less than or equal to the initial index value but is greater than the trigger
level. In this case, you receive the stated principal amount of $10 at maturity even though the underlying
index has depreciated.
Dow nside Sc e na rio
The final index value is less than or equal to the trigger level. In this case, the Trigger PLUS redeem for
at least 35% less than the stated principal amount, and this decrease will be by an amount proportionate
to the full decline in the value of the underlying index over the term of the Trigger PLUS.

October 2014
Page 4

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

How the Trigger PLUS Work

Pa yoff Dia gra m
The payoff diagram below illustrates the payment at maturity on the Trigger PLUS based on the following terms:

St a t e d princ ipa l a m ount :
$10 per Trigger PLUS
Le ve ra ge fa c t or:
260%
T rigge r le ve l:
65% of the initial index value
T rigge r PLU S Pa yoff Dia gra m
http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

H ow it w ork s

Upside Scenario: If the final index value is greater than the initial index value, investors will receive the $10 stated principal
amount plus 260% of the appreciation of the underlying index over the term of the Trigger PLUS.

If the underlying index appreciates 5%, investors will receive a 13% return, or $11.30 per Trigger PLUS.

Par Scenario: If the final index value is less than or equal to the initial index value but is greater than the trigger level,
investors will receive the $10 stated principal amount.

If the underlying index depreciates 15%, investors will receive the $10 stated principal amount.

Dow nside Scenario: If the final index value is less than or equal to the trigger level, investors will receive an amount
significantly less than the $10 stated principal amount, based on a 1% loss of principal for each 1% decline in the underlying
index.

If the underlying index depreciates 60%, investors will lose 60% of their principal and receive only $4 per Trigger PLUS at
maturity, or 40% of the stated principal amount.

October 2014
Page 5

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the Trigger PLUS. For further discussion of these and
other risks, you should read the section entitled "Risk Factors" in the accompanying product supplement for PLUS, index supplement
and prospectus. You should also consult with your investment, legal, tax, accounting and other advisers in connection with your
investment in the Trigger PLUS.

The Trigger PLUS do not pay interest or guarantee return of any principal. The terms of the Trigger PLUS differ
from those of ordinary debt securities in that the Trigger PLUS do not pay interest or guarantee payment of any principal at
maturity. If the final index value is less than or equal to the trigger level (which is 65% of the initial index level), the payout at
maturity will be an amount in cash that is at least 35% less than the $10 stated principal amount of each Trigger PLUS, and this
decrease will be by an amount proportionate to the full decrease in the value of the underlying index. There is no minimum
payment at maturity on the Trigger PLUS, and you could lose your entire investment.

The market price w ill be influenced by many unpredictable factors. Several factors, many of which are beyond our
control, will influence the value of the Trigger PLUS in the secondary market and the price at which MS & Co. may be willing to
purchase or sell the Trigger PLUS in the secondary market, including: the value, volatility (frequency and magnitude of changes in
value) and dividend yield of the underlying index, interest and yield rates, time remaining to maturity, geopolitical conditions and
economic, financial, political and regulatory or judicial events that affect the underlying index or equities markets generally and
which may affect the final index value of the underlying index, and any actual or anticipated changes in our credit ratings or credit
spreads. Generally, the longer the time remaining to maturity, the more the market price of the Trigger PLUS will be affected by
the other factors described above. The value of the underlying index may be, and has recently been, volatile, and we can give
you no assurance that the volatility will lessen. See "EURO STOXX 50® Index Overview" below. You may receive less, and
possibly significantly less, than the stated principal amount per Trigger PLUS if you try to sell your Trigger PLUS prior to maturity.

There are risks associated w ith investments in securities linked to the value of foreign equity
se c urit ie s. The Trigger PLUS are linked to the value of foreign equity securities. Investments in securities linked to the value of
foreign equity securities involve risks associated with the securities markets in those countries, including risks of volatility in those
markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. Also, there is
generally less publicly available information about foreign companies than about U.S. companies that are subject to the reporting
requirements of the United States Securities and Exchange Commission, and foreign companies are subject to accounting,
auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. The
prices of securities issued in foreign markets may be affected by political, economic, financial and social factors in those countries,
or global regions, including changes in government, economic and fiscal policies and currency exchange laws. Local securities
markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume,
potentially making prompt liquidation of holdings difficult or impossible at times. Moreover, the economies in such countries may
differ favorably or unfavorably from the economy in the United States in such respects as growth of gross national product, rate of
inflation, capital reinvestment, resources, self-sufficiency and balance of payment positions.

The Trigger PLUS are subject to the credit risk of Morgan Stanley, and any actual or anticipated changes
t o it s c re dit ra t ings or c re dit spre a ds m a y a dve rse ly a ffe c t t he m a rk e t va lue of t he T rigge r PLU S . You are
dependent on Morgan Stanley's ability to pay all amounts due on the Trigger PLUS at maturity and therefore you are subject to
the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations under the Trigger PLUS, your investment would be
at risk and you could lose some or all of your investment. As a result, the market value of the Trigger PLUS prior to maturity will
be affected by changes in the market's view of Morgan Stanley's creditworthiness. Any actual or anticipated decline in Morgan
Stanley's credit ratings or increase in the credit spreads charged by the market for taking Morgan Stanley credit risk is likely to
adversely affect the market value of the Trigger PLUS.

The amount payable on the Trigger PLUS is not linked to the value of the underlying index at any time
ot he r t ha n t he va lua t ion da t e . The final index value will be the index closing value on the valuation date, subject to
adjustment for non-index business days and certain market disruption events. Even if the

October 2014
Page 6

http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

value of the underlying index appreciates prior to the valuation date but then drops by the valuation date, the payment at maturity
may be less, and may be significantly less, than it would have been had the payment at maturity been linked to the value of the
underlying index prior to such drop. Although the actual value of the underlying index on the stated maturity date or at other times
during the term of the Trigger PLUS may be higher than the final index value, the payment at maturity will be based solely on the
index closing value on the valuation date.

Investing in the Trigger PLUS is not equivalent to investing in the underlying index. Investing in the Trigger
PLUS is not equivalent to investing in the underlying index or its component stocks. As an investor in the Trigger PLUS, you will
not have voting rights or rights to receive dividends or other distributions or any other rights with respect to stocks that constitute
the underlying index.

Adjustments to the underlying index could adversely affect the value of the Trigger PLUS. The underlying
index publisher may add, delete or substitute the stocks constituting the underlying index or make other methodological changes
that could change the value of the underlying index. The underlying index publisher may discontinue or suspend calculation or
publication of the underlying index at any time. In these circumstances, the calculation agent will have the sole discretion to
substitute a successor index that is comparable to the discontinued underlying index and is not precluded from considering indices
that are calculated and published by the calculation agent or any of its affiliates. If the calculation agent determines that there is
no appropriate successor index, the payment at maturity on the Trigger PLUS will be an amount based on the closing prices at
maturity of the securities composing the underlying index at the time of such discontinuance, without rebalancing or substitution,
computed by the calculation agent in accordance with the formula for calculating the underlying index last in effect prior to
discontinuance of the underlying index.

The rate w e are w illing to pay for securities of this type, maturity and issuance size is likely to be low er
t ha n t he ra t e im plie d by our se c onda ry m a rk e t c re dit spre a ds a nd a dva nt a ge ous t o us. Bot h t he low e r ra t e
a nd t he inc lusion of c ost s a ssoc ia t e d w it h issuing, se lling, st ruc t uring a nd he dging t he T rigge r PLU S in t he
origina l issue pric e re duc e t he e c onom ic t e rm s of t he T rigge r PLU S, c a use t he e st im a t e d va lue of t he
T rigge r PLU S t o be le ss t ha n t he origina l issue pric e a nd w ill a dve rse ly a ffe c t se c onda ry m a rk e t
pric e s. Assuming no change in market conditions or any other relevant factors, the prices, if any, at which dealers, including MS
& Co., may be willing to purchase the Trigger PLUS in secondary market transactions will likely be significantly lower than the
original issue price, because secondary market prices will exclude the issuing, selling, structuring and hedging-related costs that
are included in the original issue price and borne by you and because the secondary market prices will reflect our secondary
market credit spreads and the bid-offer spread that any dealer would charge in a secondary market transaction of this type as well
as other factors.

The inclusion of the costs of issuing, selling, structuring and hedging the Trigger PLUS in the original issue price and the lower
rate we are willing to pay as issuer make the economic terms of the Trigger PLUS less favorable to you than they otherwise would
be.

However, because the costs associated with issuing, selling, structuring and hedging the Trigger PLUS are not fully deducted
upon issuance, for a period of up to 12 months following the issue date, to the extent that MS & Co. may buy or sell the Trigger
PLUS in the secondary market, absent changes in market conditions, including those related to the underlying index, and to our
secondary market credit spreads, it would do so based on values higher than the estimated value, and we expect that those higher
values will also be reflected in your brokerage account statements.

The estimated value of the Trigger PLUS is determined by reference to our pricing and valuation models,
w hic h m a y diffe r from t hose of ot he r de a le rs a nd is not a m a x im um or m inim um se c onda ry m a rk e t
pric e . These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and
certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way
to value these types of securities, our models may yield a higher estimated value of the Trigger PLUS than those generated by
others, including other dealers in the market, if they attempted to value the Trigger PLUS. In addition, the estimated value on the
pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase
your Trigger PLUS in the secondary market (if any exists) at any time. The value of your Trigger PLUS at any time after the date
of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness
and changes in market conditions. See also "The market price will be influenced by many unpredictable factors" above.

http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

October 2014
Page 7

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

The Trigger PLUS w ill not be listed on any securities exchange and secondary trading may be limited. The
Trigger PLUS will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the Trigger
PLUS. MS & Co. may, but is not obligated to, make a market in the Trigger PLUS and, if it once chooses to make a market, may
cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size
at prices based on its estimate of the current value of the Trigger PLUS, taking into account its bid/offer spread, our credit spreads,
market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to
maturity and the likelihood that it will be able to resell the Trigger PLUS. Even if there is a secondary market, it may not provide
enough liquidity to allow you to trade or sell the Trigger PLUS easily. Since other broker-dealers may not participate significantly
in the secondary market for the Trigger PLUS, the price at which you may be able to trade your Trigger PLUS is likely to depend
on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were to cease making a market in the
Trigger PLUS, it is likely that there would be no secondary market for the Trigger PLUS. Accordingly, you should be willing to hold
your Trigger PLUS to maturity.

The calculation agent, w hich is a subsidiary of the issuer, w ill make determinations w ith respect to the
T rigge r PLU S . As calculation agent, MS & Co. has determined the initial index value and the trigger level, will determine the
final index value, including whether the underlying index has decreased to or below the trigger level, and will calculate the amount
of cash, if any, you will receive at maturity. Moreover, certain determinations made by MS & Co., in its capacity as calculation
agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-
occurrence of market disruption events and the selection of a successor index or calculation of the final index value in the event of
a market disruption event or discontinuance of the underlying index. These potentially subjective determinations may adversely
affect the payout to you at maturity, if any. For further information regarding these types of determinations, see "Description of
PLUS--Postponement of Valuation Date(s)" and "--Calculation Agent and Calculations" and related definitions in the
accompanying product supplement. In addition, MS & Co. has determined the estimated value of the Trigger PLUS on the pricing
date.

Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the Trigger
PLU S . One or more of our subsidiaries and/or third-party dealers have carried out, and will continue to carry out, hedging
activities related to the Trigger PLUS (and to other instruments linked to the underlying index or its component stocks), including
trading in the stocks that constitute the underlying index as well as in other instruments related to the underlying index. MS & Co.
and some of our other subsidiaries also trade the stocks that constitute the underlying index and other financial instruments related
to the underlying index on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or
trading activities on or prior to the pricing date could have increased the initial index value, and, therefore, could have increased
the trigger level, which is the level above which the underlying index must close on the valuation date so that investors do not
suffer a significant loss on their initial investment in the Trigger PLUS. Additionally, such hedging or trading activities during the
term of the Trigger PLUS, including on the valuation date, could potentially affect whether the value of the underlying index on the
valuation date is at or below the trigger level, and, therefore, whether an investor would receive significantly less than the stated
principal amount of the Trigger PLUS at maturity.

The U.S. federal income tax consequences of an investment in the Trigger PLUS are uncertain. Please read
the discussion under "--Additional provisions?Tax considerations" in this document and the discussion under "United States
Federal Taxation" in the accompanying product supplement for PLUS (together the "Tax Disclosure Sections") concerning the U.S.
federal income tax consequences of an investment in the Trigger PLUS. If the Internal Revenue Service (the "IRS") were
successful in asserting an alternative treatment, the timing and character of income on the Trigger PLUS might differ significantly
from the tax treatment described in the Tax Disclosure Sections. For example, under one possible treatment, the IRS could seek
to recharacterize the Trigger PLUS as debt instruments. In that event, U.S. Holders would be required to accrue into income
original issue discount on the Trigger PLUS every year at a "comparable yield" determined at the time of issuance and recognize
all income and gain in respect of the Trigger PLUS as ordinary income. Because the Trigger PLUS provide for the return of
principal except where the final index value is at or below the trigger level, the risk that a Trigger PLUS would be recharacterized,
http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

for U.S. federal income tax purposes, as a debt instrument giving rise to ordinary income, rather than as an open transaction, is
higher than with other equity-linked securities that do not contain similar provisions. We do not plan to request a ruling from the
IRS regarding the tax treatment of the Trigger PLUS, and the IRS or a court may not agree with the tax treatment described in the
Tax Disclosure

October 2014
Page 8

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

Sections. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income
tax treatment of "prepaid forward contracts" and similar instruments. The notice focuses in particular on whether to require holders
of these instruments to accrue income over the term of their investment. It also asks for comments on a number of related topics,
including the character of income or loss with respect to these instruments; whether short-term instruments should be subject to
any such accrual regime; the relevance of factors such as the exchange-traded status of the instruments and the nature of the
underlying property to which the instruments are linked; the degree, if any, to which income (including any mandated accruals)
realized by non-U.S. investors should be subject to withholding tax; and whether these instruments are or should be subject to the
"constructive ownership" rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income
and impose an interest charge. While the notice requests comments on appropriate transition rules and effective dates, any
Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the
tax consequences of an investment in the Trigger PLUS, possibly with retroactive effect.

Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an
investment in the Trigger PLUS, including possible alternative treatments, the issues presented by this notice and any tax
consequences arising under the laws of any state, local or foreign taxing jurisdiction.

October 2014
Page 9

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

EURO STOXX 50® Index Overview

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 all market sectors. For additional information about the EURO STOXX 50® Index, see the
information set forth under "EURO STOXX 50® Index" in the accompanying index supplement.

Information as of market close on October 24, 2014:

Bloom be rg T ic k e r Sym bol:
SX5E
http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

Curre nt I nde x V a lue :
3,030.37
5 2 We e k s Ago:
3,038.96
5 2 We e k H igh (on
3,314.80
6 /1 9 /2 0 1 4 ):
5 2 We e k Low (on
2,874.65
1 0 /1 6 /2 0 1 4 ):

The following graph sets forth the daily closing values of the underlying index for the period from January 1, 2009 through October 24,
2014. The related table sets forth the published high and low closing values, as well as end-of-quarter closing values, of the
underlying index for each quarter in the same period. The closing value of the underlying index on October 24, 2014 was
3,030.37. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent
verification. The underlying index has at times experienced periods of high volatility, and you should not take the historical values of
the underlying index as an indication of its future performance.
U nde rlying I nde x H ist oric a l Pe rform a nc e Da ily I nde x Closing V a lue s
J a nua ry 1 , 2 0 0 9 t o Oc t obe r 2 4 , 2 0 1 4

October 2014
Page 10

Trigger PLUS Based on the Value of the EURO STOXX 50® Index due October 29, 2024
T rigge r Pe rform a nc e Le ve ra ge d U pside Se c urit ie s SM
Princ ipa l a t Risk Se c urit ie s

EU RO ST OX X 5 0 ® I nde x
H igh
Low
Pe riod End
2 0 0 9

First Quarter
2,578.43
1,809.98
2,071.13
Second Quarter
2,537.35
2,097.57
2,401.69
Third Quarter
2,899.12
2,281.47
2,872.63
http://www.sec.gov/Archives/edgar/data/895421/000095010314007487/dp50495_424b2-ps1676.htm[10/28/2014 4:19:55 PM]

Document Outline

#1">
- #1">