Obbligazione Morgan Stanleigh 10% ( US61760QDZ46 ) in USD

Morgan Stanleigh

100 USD ▲

Stati Uniti

US61760QDZ46 ( in USD )

10% per anno ( pagato 2 volte l'anno)

28/02/2034

Prospetto opuscolo dell'obbligazione Morgan Stanley US61760QDZ46 en USD 10%, scadenza 28/02/2034

1 000 USD

35 000 000 USD

61760QDZ4

N/A

28/02/2026 ( In 78 giorni )

Morgan Stanley è una società globale di servizi finanziari che offre servizi di investimento bancario, gestione patrimoniale e trading a clienti istituzionali e privati.

Morgan Stanley ha emesso un'obbligazione (ISIN: US61760QDZ46, CUSIP: 61760QDZ4) negli Stati Uniti, con un valore nominale di 35.000.000 USD, cedola semestrale al 10%, scadenza 28/02/2034, prezzo di mercato attuale al 100%, taglio minimo 1.000 USD e rating Moody's NR.

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...
424B2 1 dp44084_424b2-ps1285.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 2034
$5,000,000
$644.00

February 2014

Pricing Supplement No. 1,285
Registration Statement No. 333-178081
Dated February 14, 2014
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED PRODUCTS
Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the S&P 500® Index
Principal at Risk Securities
As further described below, interest will accrue on the securities (i) in Years 1 to 4: at a rate of 10.00% per annum and (ii) in Years 5 to maturity:
for each day that the closing value of the S&P 500® Index is greater than or equal to 50% of the initial index value (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 securities provide an above-market interest rate in Years 1
to 4; however, for each interest payment period in Years 5 to maturity, 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 S&P 500® 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. There is no minimum payment at maturity on the
securities. Accordingly, investors may lose up to their entire initial investment in the securities. Investors will not participate in any
appreciation of the S&P 500® 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 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
$5,000,000. May be increased prior to the original issue date but we are not required to do so.
amount:
Issue price:
At variable prices
Stated principal
$1,000 per security
amount:
Pricing date:
February 14, 2014
Original issue date:
February 28, 2014 (9 business days after the pricing date)
Maturity date:
February 28, 2034
Interest accrual date:
February 28, 2014
Payment at maturity:
· 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.
Interest:
From and including the original issue date to but excluding February 28, 2018 (the "fixed interest rate period"): 10.0
per annum
From and including February 28, 2018 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.
1 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...
Beginning February 28, 2018, 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 S&P 500® Index--Market
Disruption Event" below.
Leverage factor:
4
Interest payment
Monthly
period:
Interest payment period Unadjusted
end dates:
Interest payment dates:
The last calendar day of each month, beginning March 31, 2014; 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 last calendar day of each month, beginning February 28, 2018
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
Index:
The S&P 500® Index
Underlying index
Standard & Poor's Financial Services LLC
publisher:
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
$862.30 per security. The estimated value on any subsequent pricing date may be lower than this
date:
estimate, but will in no case be less than $850.10 per security. See "The Securities" on page 3.
Commissions and issue price:
Price to Public(1)(2)
Agent's Commissions(2)
Proceeds to Issuer(3)
Per security
At variable prices
$35
$965
Total
At variable prices
$175,000
$4,825,000
(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 $35 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.
The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors"
beginning on page 11.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or
determined if this pricing supplement or the accompanying prospectus supplement, index 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 securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are
they obligations of, or guaranteed by, a bank.

2 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

Terms continued from previous page:
CMS reference
Two (2) U.S. government securities business days prior to the related interest reset date at the start of the
determination dates:
applicable interest payment period.
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
0.00%
strike:
Index reference level:
, which is 50% of the initial index value
Initial index value:
, which is the index closing value on February 25, 2014
Barrier level:
, which is 50% of the initial index value
Final index value:
The index closing value of the index on the final determination date
Index closing value:
The closing value of the index. Please see "Additional Provisions--The S&P 500® Index" below.
Final determination date:
The third scheduled business day prior to the maturity date, subject to adjustment due to non-index business
days or certain market disruption events.
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.
Index performance
The final index value divided by the initial index value
factor:
Redemption:
None
Day-count convention:
Actual/Actual
Specified currency:
U.S. dollars
CUSIP / ISIN:
61760QDZ4 / US61760QDZ46
Book-entry or certificated
Book-entry
security:
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 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 S&P 500® Index--Market Disruption Event" and "--Discontinuance of the S&P 500® 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.

February 2014
Page 2

3 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

The Securities

Principal at Risk Securities

The securities are debt securities of Morgan Stanley. In years 1 to 4, the securities pay interest at a rate of 10.00% per
annum. Beginning February 28, 2018, interest wil accrue on the securities for each day that the closing value of the S&P 500®
Index is greater than or equal to 50% of the initial index value (which we refer to as the index reference level), at a variable rate pe
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 rat
is based on the CMS reference index and the level of the S&P 500® 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 securities fo
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.

At maturity, if the final index value is greater than or equal to the barrier level, investors wil receive the stated principal amount of th
securities plus any accrued and unpaid interest. However, if the final index value is less than the barrier level, investors will be ful y
exposed to the decline in the value of the S&P 500® Index over the term of the securities, and the payment at maturity wil be less
than 50% of the stated principal amount of the securities and could be zero. There is no minimum payment at maturity on the
securities. Accordingly, investors may lose up to their entire initial investment in the securities. Investors wil not participat
in any appreciation of the S&P 500® Index.

We describe the basic features of these securities in the sections of the accompanying prospectus cal ed "Description of Debt
Securities--Floating Rate Debt Securities" and prospectus supplement cal ed "Description of Securities," subject to and as modified
by the provisions described below. Al 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, sel ing, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the
securities on the pricing date is less than the issue price. We estimate that the value of each security on the pricing date is
$862.30. The estimated value on any subsequent pricing date may be lower than this estimate, but wil in no case be less than
$850.10 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 S&P 500® 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 wel 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, 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, sel ing, 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?

4 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...
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 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 securities and, if it once chooses to make a market, may cease doing
so at any time.

February 2014
Page 3

5 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

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-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. 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.

February 2014
Page 4

6 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

The S&P 500® Index

The S&P 500® Index, which is calculated, maintained and published by Standard & Poor's Financial Services LLC ("S&P"),
consists of 500 component stocks selected to provide a performance benchmark for the U.S. equity markets. The calculation of
the S&P 500® Index is based on the relative value of the float adjusted aggregate market capitalization of the 500 component
companies as of a particular time as compared to the aggregate average market capitalization of 500 similar companies during
the base period of the years 1941 through 1943. For additional information about the S&P 500® Index, see the information set
forth under "Annex A--The S&P 500® Index" in this document and "S&P 500® Index" in the accompanying index supplement.

Index Closing Value Fallback 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") 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 S&P 500® Index--Discontinuance of the S&P 500® 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 S&P 500® Index--Market Disruption Event" and "--Discontinuance of the S&P 500®
Index; Alteration of Method of Calculation" herein.

February 2014
Page 5

7 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

How the Securities Work

How to calculate the interest payments:

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 il ustration 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 wil depend on the actual level of the CMS reference
index on each CMS reference determination date and the index closing value of the S&P 500® Index on each day during the
floating interest payment period. The applicable interest rate for each monthly interest payment period wil be determined on a
per-annum basis but wil 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 il ustration only and would provide different results if different
assumptions were made.

Annualized Rate of Interest Paid
CMS
4 times CMS
Number of days on which the index closing value is greater than or equal to the index reference
Reference
Reference
level
Index
Index*
0
5
10
15
20
25
30
-3.250%
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%
-2.750%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.500%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.250%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-2.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.750%
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%
-1.250%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-1.000%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.750%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.500%
0.00%
0.00%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
0.0000%
-0.250%
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%
0.250%
1.00%
0.00%
0.1667%
0.3333%
0.5000%
0.6667%
0.8333%
1.0000%
0.500%
2.00%
0.00%
0.3333%
0.6667%
1.0000%
1.3333%
1.6667%
2.0000%
0.750%
3.00%
0.00%
0.5000%
1.0000%
1.5000%
2.0000%
2.5000%
3.0000%
1.000%
4.00%
0.00%
0.6667%
1.3333%
2.0000%
2.6667%
3.3333%
4.0000%
1.250%
5.00%
0.00%
0.8333%
1.6667%
2.5000%
3.3333%
4.1667%
5.0000%
1.500%
6.00%
0.00%
1.0000%
2.0000%
3.0000%
4.0000%
5.0000%
6.0000%
1.750%
7.00%
0.00%
1.1667%
2.3333%
3.5000%
4.6667%
5.8333%
7.0000%
2.000%
8.00%
0.00%
1.3333%
2.6667%
4.0000%
5.3333%
6.6667%
8.0000%
2.250%
9.00%
0.00%
1.5000%
3.0000%
4.5000%
6.0000%
7.5000%
9.0000%
2.500%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
2.750%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.000%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.250%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.500%
10.00%
0.00%
1.6667%
3.3333%
5.0000%
6.6667%
8.3333%
10.0000%
3.750%
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%

* Subject to the minimum interest rate of 0.00% and the maximum interest rate of 10.00%
8 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

If 30CMS is less than or equal to 2CMS on the applicable CMS reference determination date, the floating interest rate wil be the
minimum interest rate of 0.00% and no interest wil accrue on the securities for such interest period regardless of the total number
calendar days in the interest payment period on which the index closing value of the S&P 500® Index is greater than or equal to the
index reference level.

February 2014
Page 6

9 of 38
2/19/2014 2:50 PM

http://www.sec.gov/Archives/edgar/data/895421/000095010314001170/...

Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and S&P 500® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level
Feature Linked to the S&P 500® Index
Principal at Risk Securities

How to calculate the payment at maturity (excluding any interest with respect to the final interest period):

The payoff diagram below il ustrates the payment at maturity (excluding any interest with respect to the final interest period) on the
securities based on the fol owing terms:

Stated principal amount:
$1,000 per security
Barrier level:
50% of the initial index value
Minimum payment at maturity: None

How it works

§
Par Scenario. 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.

§
Downside Scenario. 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 wil 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 60%, the investor would lose 60% of the investor's principal and receive only $400 per security
at maturity, or 40% of the stated principal amount.
February 2014
Page 7

10 of 38
2/19/2014 2:50 PM