Obbligazione Morgan Stanleigh 9% ( US61761JEX37 ) in USD

Morgan Stanleigh

100 USD ⇌

Stati Uniti

US61761JEX37 ( in USD )

9% per anno ( pagato 2 volte l'anno)

28/04/2028

Prospetto opuscolo dell'obbligazione Morgan Stanley US61761JEX37 en USD 9%, scadenza 28/04/2028

1 000 USD

3 320 000 USD

61761JEX3

N/A

28/10/2025 ( In 114 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.

The Obbligazione issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61761JEX37, pays a coupon of 9% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 28/04/2028

The Obbligazione issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61761JEX37, was rated NR by Moody's credit rating agency.

http://www.sec.gov/Archives/edgar/data/895421/000095010313002641/...
424B2 1 dp37846_424b2-ps709.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered
Offering Price
Fee
Contingent Income Securities due 2028
$3,320,000
$452.85

April 2013
Pricing Supplement No. 709
Registration Statement No. 333-178081
Dated April 25, 2013

Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Contingent Income Securities due April 28, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
The securities are senior unsecured obligations of Morgan Stanley and have the terms described in the accompanying prospectus supplement, index supplement and prospectus, as supplemented
or modified by this document. The securities do not guarantee the repayment of principal and do not provide for the regular payment of interest after the first 3 years. For the first 3 years, the
securities wil pay a fixed monthly coupon at the rate specified below. Thereafter, the securities wil pay a contingent monthly coupon but only if the index closing value of each of the Russell
2000® Index and the EURO STOXX 50® Index on the related observation date is at or above 70% of its respective initial index value, which we refer to as the coupon barrier level. If the
index closing value of either underlying index is less than the coupon barrier level for such index on any observation date after the first 3 years, we wil pay no interest for the related interest
period. At maturity, if the final index value of each underlying index is greater than or equal to 50% of the respective initial index value, which we refer to as the downside threshold level, the payment
at maturity wil be the stated principal amount and, if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the related contingent monthly coupon. If,
however, the final index value of either underlying index is less than its downside threshold level, investors wil be exposed to the decline in the worst performing underlying index on a 1 to 1 basis
and wil receive a payment at maturity that is less than 50% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be willing to accept
the risk of losing their entire initial investment based on the performance of either index and also the risk of not receiving any monthly coupons after the first 3 years. Because
payments on the securities are based on the worst performing of the underlying indices, a decline beyond the respective coupon barrier level and/or respective downside threshold level, as
applicable, of either underlying index wil result in few or no contingent monthly coupons after the first 3 years and/or a significant loss of your investment, as applicable, even if the other underlying
index has appreciated or has not declined as much. These long-dated securities are for investors who are wil ing to risk their principal and seek an opportunity to earn interest at a potentially above-
market rate in exchange for the risk of receiving no monthly interest after the first 3 years if either underlying index closes below the coupon barrier level for such index on the observation
dates. The securities are senior notes issued as part of Morgan Stanley's Series F Global Medium-Term Notes program. Al payments on the securities are subject to the credit risk of Morgan
Stanley.
FINAL TERMS
Issuer:
Morgan Stanley
Underlying indices:
Russel 2000® Index (the "RTY Index") and EURO STOXX 50® Index (the "SX5E Index")
Aggregate principal amount:
$3,320,000
Stated principal amount:
$1,000 per security
Issue price:
$1,000 per security (See "Commissions and Issue Price" below)
Pricing date:
April 25, 2013
Original issue date:
April 30, 2013 (3 business days after the pricing date)
Maturity date:
April 28, 2028
Monthly coupon:
Years 1-3: On all coupon payment dates through April 2016, a fixed coupon at a rate of 9.00% per annum is paid monthly.

Years 4-15: Beginning with the May 2016 coupon payment date, a contingent coupon at a rate of 9.00% per annum is paid monthly but only if the
closing value of each underlying index is at or above its respective coupon barrier level on the related observation date.

If, on any observation date in years 4-15, the closing value of either underlying index is less than the coupon barrier level for such
index, we will pay no coupon for the applicable interest period. It is possible that one or both underlying indices will remain below the
respective coupon barrier level(s) for extended periods of time or even throughout years 4-15 so that you will receive few or no
contingent monthly coupons during that period.
Coupon barrier level:
With respect to the RTY Index: 658.196, which is 70% of the initial index value for such index
With respect to the SX5E Index: 1,893.087, which is 70% of the initial index value for such index
Downside threshold level:
With respect to the RTY Index: 470.14, which is 50% of the initial index value for such index
With respect to the SX5E Index: 1,352.205, which is 50% of the initial index value for such index
Payment at maturity:
If the final index value of each underlying index is greater than or equal to its respective downside threshold level: the stated principal amount
and, if the final index value of each underlying index is also greater than or equal to its respective coupon barrier level, the contingent monthly
coupon with respect to the final observation date

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

Terms continued on the following page
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), a wholly-owned subsidiary of Morgan Stanley. See "Supplemental information regarding plan of
distribution; conflicts of interest."
Commissions and Issue Price:
Price to Public(1)
Agent's Commissions(2)
Proceeds to Issuer
Per security
$1,000
$35
$965
Total
$3,320,000
$116,200
$3,203,800
(1) The price to public for investors purchasing the securities in fee-based advisory accounts will be $970 per security.
(2) Selected dealers and their financial advisors will collectively receive from the Agent, MS & Co., a fixed sales commission of $35 for each security they sell; provided that dealers selling to
investors purchasing the securities in fee-based advisory accounts will receive a sales commission of $5 per security. See "Supplemental information regarding plan of distribution;
conflicts of interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying prospectus supplement.
The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 9.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this document or the
accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a criminal offense.
The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they obligations of, or
guaranteed by, a bank.
You should read this document together with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via the hyperlinks
below. Please also see "Additional Information About the Securities" at the end of this document.
Prospectus Supplement dated November 21, 2011
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Prospectus dated November 21, 2011

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Terms continued from previous page:
Initial index value:
With respect to the RTY Index: 940.28, which is the index closing value of such index on the pricing date
With respect to the SX5E Index: 2,704.41, which is the index closing value of such index on the pricing date
Final index value:
With respect to each index, the respective index closing value on the final observation date
Worst performing
The underlying index with the larger percentage decrease from the respective initial index value to the respective final index value
underlying index:
Index performance factor:
Final index value divided by the initial index value
Coupon payment dates:
The 28th day of each month, beginning May 28, 2013; provided that if any such day is not a business day, that monthly coupon, if any, wil be paid
on the next succeeding business day and no adjustment wil be made to any coupon payment made on that succeeding business day; provided
further that the contingent monthly coupon, if any, with respect to the final observation date shall be paid on the maturity date.
Observation dates:
The third scheduled business day preceding each scheduled coupon payment date, beginning with the May 28, 2016 coupon payment date,
subject to postponement for non-index business days and certain market disruption events. We also refer to the third scheduled business day prior
to the maturity date as the final observation date.
CUSIP / ISIN:
61761JEX3 / US61761JEX37
Listing:
The securities wil not be listed on any securities exchange.

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Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index

Investment Overview

Contingent Income Securities due April 28, 2028 Payments on the Securities Based on the Worst Performing of the Russel 2000® Index and the EURO
STOXX 50® Index (the "securities") do not guarantee the repayment of principal and do not provide for the regular payment of interest after the first 3
years. For the first 3 years, the securities wil pay a fixed monthly coupon at the rate specified below. Thereafter, the securities wil pay a contingent
monthly coupon but only if the index closing value of each of the Russell 2000® Index and the EURO STOXX 50® Index (which we refer to together as
the "underlying indices") is at or above 70% of its respective initial index value, which we refer to as the coupon barrier level, on the related observation
date. If the index closing value of either underlying index is less than the coupon barrier level for such index on any observation date after the first 3
years, we wil pay no coupon for the related monthly period. It is possible that the index closing value of one or both underlying indices will remain below
the respective coupon barrier level(s) for extended periods of time or even throughout years 4-15 so that you wil receive few or no contingent monthly
coupons during that period. We refer to the coupon on the securities after the first 3 years as contingent, because there is no guarantee that you wil
receive a coupon payment on any coupon payment date during that period. Even if an underlying index were to be at or above the coupon barrier level for
such index on some monthly observation dates, it may fluctuate below the coupon barrier level on others. In addition, even if one underlying index were to
be at or above the coupon barrier level for such index on all monthly observation dates, you wil receive a contingent monthly coupon during years 4-15
only with respect to the observation dates on which the other underlying index is also at or above the coupon barrier level for such index, if any. At
maturity, if the final index value of each underlying index is greater than or equal to 50% of the respective initial index value, which we refer to as the
downside threshold level, the payment at maturity wil be the stated principal amount and, if the final index value of each underlying index is also greater
than or equal to its coupon barrier level, the related contingent monthly coupon. If, however, the final index value of either underlying index is less than its
downside threshold level, investors wil be exposed to the decline in the worst performing underlying index on a 1 to 1 basis and wil receive a payment at
maturity that is less than 50% of the stated principal amount of the securities and could be zero. Accordingly, investors in the securities must be
willing to accept the risk of losing their entire initial investment based on the performance of either index and also the risk of not receiving any
monthly coupons after the first 3 years.

Maturity:
15 years
Monthly coupon:
Years 1-3: On al coupon payment dates through April 2016, a fixed coupon at a rate of 9.00% per annum
is paid monthly.

Years 4-15: Beginning with the May 2016 coupon payment date, a contingent coupon at a rate of 9.00%
per annum is paid monthly but only if the closing value of each underlying index is at or above its
respective coupon barrier level on the related observation date.

If, on any observation date in years 4-15, the closing value of either underlying index is less than
the coupon barrier level for such index, we will pay no coupon for the applicable interest period. It
is possible that one or both underlying indices will remain below the respective coupon barrier
level(s) for extended periods of time or even throughout years 4-15 so that you will receive few or
no contingent monthly coupons during that period.
Payment at maturity:
If the final index value of each underlying index is greater than or equal to its respective downside
threshold level: the stated principal amount and, if the final index value of each underlying index is also
greater than or equal to its respective coupon barrier level, the contingent monthly coupon with respect
to the final observation date

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

Morgan Stanley clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York
10036 (telephone number (866) 477-4776). Al other clients may contact their local brokerage representative. Third-party distributors may contact
Morgan Stanley Structured Investment Sales at (800) 233-1087.

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Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Key Investment Rationale

The securities provide for fixed monthly coupon payments at the rate specified herein for the first 3 years. Thereafter, the securities do not provide for the
regular payment of interest and instead wil pay a contingent monthly coupon but only if the index closing value of each underlying index is at or above
70% of its initial index value, which we refer to as the coupon barrier level, on the related observation date. These securities are for investors who are
wil ing to risk their principal and seek an opportunity to earn interest at a potential y above-market rate in exchange for the risk of receiving no monthly
interest after the first 3 years if either underlying index closes below the coupon barrier level for such index on the observation dates. The fol owing
scenarios are for il ustration purposes only to demonstrate how the payment at maturity and monthly coupon is calculated, and do not attempt to
demonstrate every situation that may occur. Accordingly, the contingent monthly coupon may be payable with respect to none of, or some but not al of,
the monthly periods during years 4-15, and the payment at maturity may be less than 50% of the stated principal amount and could be zero.

Scenario 1: A contingent monthly
This scenario assumes that during years 4-15, each underlying index closes at or above its respective coupon
coupon is paid for al interest periods,
barrier level on every monthly observation date. Investors receive the 9.00% per annum contingent monthly
and investors receive principal back at coupon for each interest period during the term of the securities. At maturity, each underlying index closes above
maturity, which is the best case
its respective downside threshold level and coupon barrier level, and so investors receive the stated principal
scenario.
amount and the contingent monthly coupon with respect to the final observation date.
Scenario 2: A contingent monthly
This scenario assumes that each underlying index closes at or above its respective coupon barrier level on some
coupon is paid for some, but not al ,
monthly observation dates after the first 3 years, but one or both underlying indices close below the respective
interest periods, and investors receive
coupon barrier level(s) for such index on the others. Investors receive the fixed monthly coupon for the monthly
principal back at maturity.
interest periods during the first 3 years. Investors wil receive the contingent monthly coupon for the monthly
interest periods during years 4-15 for which the index closing value of each underlying index is at or above its
respective coupon barrier level on the related observation date, but not for the interest periods for which one or
both underlying indices close below the respective coupon barrier level(s) on the related observation date. On
the final observation date, each underlying index closes at or above its downside threshold level. At maturity,
investors receive the stated principal amount and, depending on whether each final index value is greater than,
equal to or below the respective coupon barrier level, the contingent monthly coupon with respect to the final
observation date.
Scenario 3 : No contingent monthly
This scenario assumes that one or both underlying indices close below the respective coupon barrier level(s) on
coupon is paid for any interest period
every monthly observation date during years 4-15. Since one or both underlying indices close below the
during years 4-15, and investors
respective coupon barrier level(s) on every monthly observation date during years 4-15, investors do not receive
suffer a substantial loss of principal at
any contingent monthly coupon during this period. On the final observation date, one or both underlying indices
maturity.
close below the respective downside threshold level(s). At maturity, investors wil receive an amount equal to the
stated principal amount multiplied by the index performance factor of the worst performing underlying index, which
wil be less than 50% of the stated principal amount and could be zero.

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Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index

Underlying Indices Summary

Russell 2000® Index

The Russel 2000® Index is an index calculated, published and disseminated by Russel Investments, and measures the composite price performance of
stocks of 2,000 companies (the "Russel 2000 Component Stocks") incorporated in the U.S. and its territories. Al 2,000 stocks are traded on a major
U.S. exchange and are the 2,000 smallest securities that form the Russell 3000® Index. The Russel 3000® Index is composed of the 3,000 largest U.S.
companies as determined by market capitalization and represents approximately 98% of the U.S. equity market. The Russel 2000® Index consists of the
smal est 2,000 companies included in the Russell 3000® Index and represents a smal portion of the total market capitalization of the Russel 3000®
Index. The Russel 2000® Index is designed to track the performance of the smal capitalization segment of the U.S. equity market.

Information as of market close on April 25, 2013:

Bloomberg Ticker Symbol:
RTY
Current Index Value:
940.28
52 Weeks Ago:
812.12
52 Week High (on 3/14/2013):
953.07
52 Week Low (on 6/4/2012):
737.24

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

EURO STOXX 50® Index

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

Information as of market close on April 25, 2013:

Bloomberg Ticker Symbol:
SX5E
Current Index Value:
2,704.41
52 Weeks Ago:
2,322.91
52 Week High (on 1/29/2013):
2,749.27
52 Week Low (on 6/1/2012):
2,068.66

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

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Hypothetical Examples

The fol owing hypothetical examples il ustrate how to determine whether a contingent monthly coupon is paid with respect to an observation date and how
to calculate the payment at maturity. The fol owing examples are for il ustrative purposes only. For the first 3 years, you will receive a fixed monthly
coupon at a rate of 9.00% per annum regardless of the performance of the underlying indices. Whether you receive a contingent monthly coupon after the
first 3 years wil be determined by reference to the index closing value of each underlying index on each monthly observation date, and the amount you wil
receive at maturity, if any, wil be determined by reference to the final index value of each underlying index on the final observation date. The actual initial
index value, coupon barrier level, and downside threshold level for each underlying index are set forth on the cover of this document. Al payments on the
securities, if any, are subject to the credit risk of Morgan Stanley. The below examples are based on the fol owing terms:

Monthly Coupon:
Years 1-3: On al coupon payment dates through April 2016, a fixed coupon at a rate of 9.00% per annum is paid
monthly.

Years 4-15: Beginning with the May 2016 coupon payment date, a contingent coupon at a rate of 9.00% per annum
is paid monthly but only if the closing value of each underlying index is at or above its respective coupon barrier
level on the related observation date.

If, on any observation date in years 4-15, the closing value of either underlying index is less than the
coupon barrier level for such index, we will pay no coupon for the applicable interest period. It is possible
that one or both underlying indices will remain below the respective coupon barrier level(s) for extended
periods of time or even throughout years 4-15 so that you will receive few or no contingent monthly
coupons during that period.
Payment at Maturity
If the final index value of each underlying index is greater than or equal to its respective downside threshold level:
the stated principal amount and, if the final index value of each underlying index is also greater than or equal to its
respective coupon barrier level, the contingent monthly coupon with respect to the final observation date

If the final index value of either underlying index is less than its respective downside threshold level: (i) the stated
principal amount multiplied by (i ) the index performance factor of the worst performing underlying index. This
amount wil be less than 50% of the stated principal amount of the securities and could be zero.
Stated Principal Amount:
$1,000
Hypothetical Initial Index Value:
With respect to the RTY Index: 900
With respect to the SX5E Index: 2,600
Hypothetical Coupon Barrier Level: With respect to the RTY Index: 630, which is 70% of the hypothetical initial index value for such index
With respect to the SX5E Index: 1,820, which is 70% of the hypothetical initial index value for such index
Hypothetical Downside Threshold With respect to the RTY Index: 450, which is 50% of the hypothetical initial index value for such index
Level:
With respect to the SX5E Index: 1,300, which is 50% of the hypothetical initial index value for such index

How to determine whether a contingent monthly coupon is payable with respect to an observation date during years 4-15:

Closing Value

Contingent Monthly Coupon

RTY Index

SX5E Index

Hypothetical Observation Date 1

850 (at or above coupon barrier
2,100 (at or above coupon barrier
$7.50
level)
level)
Hypothetical Observation Date 2

700 (at or above coupon barrier
1,700 (below coupon barrier level)
$0

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level)

Hypothetical Observation Date 3

600 (below coupon barrier level)
2,300 (at or above coupon barrier
$0
level)
Hypothetical Observation Date 4

550 (below coupon barrier level)
1,600 (below coupon barrier level)
$0

On hypothetical observation date 1, both the RTY Index and SX5E Index close at or above their respective coupon barrier levels. Therefore a contingent
monthly coupon of $7.50 is paid on the relevant coupon payment date.

On each of the hypothetical observation dates 2 and 3, one underlying index closes at or above its coupon barrier level but the other underlying index
closes below its coupon barrier level. Therefore, no contingent monthly coupon is paid on the relevant coupon payment date.

On hypothetical observation date 4, each underlying index closes below its respective coupon barrier level and accordingly no contingent monthly coupon
is paid on the relevant coupon payment date.

Beginning after 3 years, you will not receive a contingent monthly coupon on any coupon payment date if the closing value of either
underlying index is below its respective coupon barrier level on the related observation date.

How to calculate the payment at maturity:

Index Closing Value

Payment at Maturity

RTY Index

SX5E Index

Example 1:

1,500 (at or above the downside

2,300 (at or above the downside threshold level
$1,007.50 (the stated principal
threshold level and coupon barrier
and coupon barrier level)
amount plus the contingent monthly
level)
coupon with respect to the final
observation date)
Example 2:

600 (at or above the downside

2,000 (at or above the downside threshold level
$1,000.00
threshold level but below the coupon
and coupon barrier level)
(the stated principal amount)
barrier level)
Example 3:

1,200 (at or above the downside

1,040 (below the downside threshold level)

$1,000 x index performance factor of
threshold level)
the worst performing underlying =
$1,000 x (1,040 / 2,600) = $400
Example 4:

360 (below the downside threshold
1,500 (at or above the downside threshold level)
$1,000 x (360 / 900) = $400
level)
Example 5:

270 (below the downside threshold
1,000 (below the downside threshold level)

$1,000 x (270 / 900) = $300
level)
Example 6:

360 (below the downside threshold
780 (below the downside threshold level)

$1,000 x (780 / 2,600) = $300
level)

In example 1, the final index values of both the RTY Index and SX5E Index are at or above their downside threshold levels and coupon barrier levels.
Therefore, investors receive at maturity the stated principal amount of the securities and the contingent monthly coupon with respect to the final
observation date.

In example 2, the final index values of both the RTY Index and the SX5E Index are at or above their downside threshold levels. However, the final index
value of the RTY Index is below its coupon barrier level. Therefore, investors receive at maturity the stated principal amount of the securities but do not
receive the contingent monthly coupon with respect to the final observation date.

In examples 3 and 4, the final index value of one underlying index is at or above its downside threshold level but the final index value of the other underlying
index is below its downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying index at
maturity and receive at maturity an amount equal to the stated principal amount times the index performance factor of the worst performing underlying
index.

Similarly, in examples 5 and 6, the final index value of each underlying index is below its respective downside threshold level, and investors receive at
maturity an amount equal to the stated principal amount times the index performance factor of the worst performing underlying index. In example 5, the
RTY Index have declined 70% from its initial index value to its final index value, while the SX5E Index has declined 60% from its initial index value to its
final index value. Therefore, the payment at maturity equals the stated principal

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amount times the index performance factor of the RTY Index, which is the worst performing underlying index in this example. In example 6, the RTY Index
has declined 60% from its initial index value, while the SX5E Index has declined 70% from its initial index value to its final index value. Therefore the
payment at maturity equals the stated principal amount times the index performance factor of the SX5E Index, which is the worst performing underlying
index in this example.

If the final index value of EITHER underlying index is below its respective downside threshold level, you will be exposed to the downside
performance of the worst performing underlying index at maturity, and your payment at maturity will be less than $500 per security and could
be zero.

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Risk Factors

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

§
The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that they
do not guarantee the repayment of principal. If the final index value of either underlying index is less than its downside threshold level of 50% of its
initial index value, you wil be exposed to the decline in the closing value of the worst performing underlying index, as compared to its initial index value,
on a 1 to 1 basis, and you wil receive for each security that you hold at maturity an amount equal to the stated principal amount times the index
performance factor of the worst performing underlying index. In this case, the payment at maturity will be less than 50% of the stated principal
amount and could be zero.

§
You are exposed to the price risk of both underlying indices, with respect to both the contingent monthly coupons after the first 3 years, if
any, and the payment at maturity, if any. Your return on the securities it not linked to a basket consisting of both underlying indices. Rather, it wil
be contingent upon the independent performance of each underlying index. Unlike an instrument with a return linked to a basket of underlying assets in
which risk is mitigated and diversified among al the components of the basket, you wil be exposed to the risks related to both underlying
indices. Poor performance by either underlying index over the term of the securities may negatively affect your return and wil not be offset or
mitigated by any positive performance by the other underlying index. To receive any contingent monthly coupons after the first 3 years, each
underlying index must close at or above its respective coupon barrier level on the applicable observation date. In addition, if either underlying index
has declined to below its respective downside threshold level as of the final observation date, you wil be fully exposed to the decline in the worst
performing underlying index over the term of the securities on a 1 to 1 basis, even if the other underlying index has appreciated or not declined as
much. Under this scenario, the value of any such payment wil be less than 50% of the stated principal amount and could be zero. Accordingly, your
investment is subject to the price risk of both underlying indices.

§
Because the securities are linked to the performance of the worst performing underlying index, you are exposed to greater risks of no
contingent monthly coupons and sustaining a significant loss on your investment than if the securities were linked to just one index. The
risk that you wil not receive any contingent monthly coupons after the first 3 years, or that you wil suffer a significant loss on your investment, is
greater if you invest in the securities as opposed to substantial y similar securities that are linked to just the performance of one underlying index. With
two underlying indices, it is more likely that either underlying index wil close below its coupon barrier level on any observation date, or its downside
threshold level on the final observation date, than if the securities were linked to only one underlying index. Therefore it is more likely that you will not
receive any contingent monthly coupons and that you wil suffer a significant loss on your investment.

§
After the first 3 years, the securities do not provide for regular interest payments. The terms of the securities differ from those of ordinary
debt securities in that they do not provide for the regular payment of interest after the first 3 years. For the first 3 years, the securities wil pay a fixed
monthly coupon at the rate specified herein. Thereafter, the securities wil pay a contingent monthly coupon only if the index closing value of each
underlying index is at or above 70% of its respective initial index value, which we refer to as the coupon barrier level, on the related observation
date. If, on the other hand, the index closing value of either underlying index is lower than the coupon barrier level for such index on the relevant
observation date for any interest period during years 4-15, we wil pay no coupon on the applicable coupon payment date. It is possible that the index
closing value of one or both underlying indices wil remain below the respective coupon barrier level(s) for extended periods of time or even throughout
years 4-15 so that you wil receive few or no contingent monthly coupons during that period. If you do not earn sufficient contingent monthly coupons
over the term of the securities, the overall return on the securities may be less than the amount that would be paid on a conventional debt security of
the issuer of comparable maturity.

§
The contingent monthly coupon, if any, is based only on the value of each underlying index on the related monthly observation date at the
end of the related interest period. Whether the contingent monthly coupon wil be paid on any

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