Obbligazione Morgan Stanleigh 9% ( US61761JFF12 ) in USD

Morgan Stanleigh

100 USD ⇌

Stati Uniti

US61761JFF12 ( in USD )

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

05/04/2023 - Obbligazione è scaduto

Prospetto opuscolo dell'obbligazione Morgan Stanley US61761JFF12 in USD 9%, scaduta

1 000 USD

2 965 000 USD

61761JFF1

N/A

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 US61761JFF12, pays a coupon of 9% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 05/04/2023

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424B2 1 dp37421_424b2-ps715.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 2023

$2,965,000

$404.43

April 2013

Pricing Supplement No. 715
Registration Statement No. 333-178081
Dated April 2, 2013
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® 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 S&P 500® Index and the EURO
STOXX 50® Index on the related observation date (including the final 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 80% 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 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 tha
is less than 80% 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 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 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:
S&P
500® Index (the "SPX Index") and EURO STOXX 50® Index (the "SX5E Index")
Aggregate principal amount:
$2,965,000
Stated principal amount:
$1,000 per security
Issue price:
$1,000 per security (See "Commissions and Issue Price" below)
Pricing date:
April 2, 2013
Original issue date:
April 5, 2013 (3 business days after the pricing date)
Maturity date:
April 5, 2023
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 4-10: 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 (including the final observation date).

If, on any observation date in years 4-10, 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 4-10 so that you will receive few or no contingent monthly
coupons during that period.
Coupon barrier level:
With respect to the SPX Index: 1,099.175, which is 70% of the initial index value for such index
With respect to the SX5E Index: 1,875.86, which is 70% of the initial index value for such index
Downside threshold level:
With respect to the SPX Index: 1,256.20, which is 80% of the initial index value for such index
With respect to the SX5E Index: 2,143.84, which is 80% 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 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) (a) the
stated principal amount multiplied by (b) the index performance factor of the worst performing underlying index,
and (i ) if the final index value of each underlying index is greater than or equal to its respective coupon barrier
level, the contingent monthly coupon with respect to the final observation date. In this case, the payment at
maturity (not including the contingent monthly coupon, if any) will be less than 80% of the stated principal
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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
Agent's Commissions(1)
Proceeds to Issuer
Per security
$1,000
$20
$980
Total
$2,965,000
$59,300
$2,905,700
(1) Selected dealers and their financial advisors will collectively receive from the Agent, MS & Co., a fixed sales commission of $20 for each security 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 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
Index Supplement dated November 21, 2011 Prospectus dated November 21, 2011

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Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

Terms continued from previous page:
Initial index value:
With respect to the SPX Index: 1,570.25, which is the index closing value of such index on the pricing date
With respect to the SX5E Index: 2,679.80, 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 underlying
The underlying index with the larger percentage decrease from the respective initial index value to the respective
index:
final index value
Index performance factor:
Final index value divided by the initial index value
Coupon payment dates:
The 5th day of each month, beginning May 5, 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 shal be paid on the maturity date.
Observation dates:
The third scheduled business day preceding each scheduled coupon payment date, beginning with the May 5, 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:
61761JFF1/
US61761JFF12
Listing:
The securities wil not be listed on any securities exchange.

April 2013

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

Investment Overview

Contingent Income Securities due April 5, 2023 Payments on the Securities Based on the Worst Performing of the S&P 500® 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 S&P 500® 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 (including
the final 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 wil remain below the respective coupon barrier level(s) for extended periods of time or even throughout years 4-10 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 4-10 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 80% 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 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 80% 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:
10 years
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 4-10: 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 4-10, 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 4-10 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 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)
(a) the stated principal amount multiplied by (b) the index performance factor of the worst performing
underlying index, and (ii) if the final index value of each underlying index is greater than or equal to its
respective coupon barrier level, the contingent monthly coupon with respect to the final observation
date. In this case, the payment at maturity (not including the contingent monthly coupon, if any) will be
less than 80% 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.

April 2013

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® 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 (including the final 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 4-10, and the payment at maturity may be less than 80% of the stated principal amount
and could be zero.

Scenario 1: A contingent monthly This scenario assumes that during years 4-10, each underlying index closes at or above its respective coupon
coupon is paid for all interest
barrier level on every monthly observation date. Investors receive the 9.00% per annum contingent monthly coupon
periods, and investors receive
for each interest period during the term of the securities. At maturity, each underlying index closes above its
principal back at maturity, which is respective downside threshold level and coupon barrier level, and so investors receive the stated principal amount
the best case scenario.
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
monthly observation dates after the first 3 years, but one or both underlying indices close below the respective
all, interest periods, and investors coupon barrier level(s) for such index on the others. Investors receive the fixed monthly coupon for the monthly
receive 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 4-10 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 the contingent monthly coupon with respect to the final observation date.
Scenario 3 : No contingent
This scenario assumes that one or both underlying indices close below the respective coupon barrier level(s) on
monthly coupon is paid for any
every monthly observation date during years 4-10. Since one or both underlying indices close below the respective
interest period during
coupon barrier level(s) on every monthly observation date during years 4-10, investors do not receive any contingent
years 4-10, and investors
monthly coupon during this period. On the final observation date, one or both underlying indices close below the
suffer a substantial loss of
respective downside threshold level(s). At maturity, investors wil receive an amount equal to the stated principal
principal at maturity.
amount multiplied by the index performance factor of the worst performing underlying index, which wil be less than
80% of the stated principal amount and could be zero. If the final index value of each underlying index is greater than
or equal to its respective coupon barrier level, investor wil receive the contingent monthly coupon with respect to the
final observation date.

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

Underlying Indices Summary

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.

Information as of market close on April 2, 2013:

Bloomberg Ticker Symbol:
SPX
Current Index Value:
1,570.25
52 Weeks Ago:
1,419.04
52 Week High (on 4/2/2013):
1,570.25
52 Week Low (on 6/1/2012):
1,278.04

For additional information about the S&P 500® Index, see the information set forth under "S&P 500® Index" in the accompanying index
supplement. Furthermore, for additional historical information, see "S&P 500® Index Overview," beginning on page 10 of this pricing supplement.

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 2, 2013:

Bloomberg Ticker Symbol:
SX5E
Current Index Value:
2,679.80
52 Weeks Ago:
2,501.18
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.

April 2013

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

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 4-10: 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 4-10, 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 4-10 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 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) (a) the
stated principal amount multiplied by (b) the index performance factor of the worst performing underlying index,
and (ii) if the final index value of each underlying index is greater than or equal to its respective coupon barrier
level, the contingent monthly coupon with respect to the final observation date. In this case, the payment at
maturity (not including the contingent monthly coupon, if any) will be less than 80% 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 SPX Index: ,1,600
With respect to the SX5E Index: 2,600
Hypothetical Coupon Barrier Level:
With respect to the SPX Index: 1,120, 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 Level: With respect to the SPX Index: 1,280, which is 80% of the hypothetical initial index value for such index
With respect to the SX5E Index: 2,080, which is 80% 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 4-10:

Closing Value
Contingent Monthly Coupon

SPX Index
SX5E Index

Hypothetical Observation Date 1
1,300 (at or above
2,100 (at or above coupon
$7.50
coupon barrier level)
barrier level)

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Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

Hypothetical Observation Date 2
1,300 (at or above
1,700 (below coupon barrier
$0
coupon barrier level)
level)
Hypothetical Observation Date 3
1,000 (below coupon
2,300 (at or above coupon
$0
barrier level)
barrier level)
Hypothetical Observation Date 4
1,000 (below coupon
1,700 (below coupon barrier
$0
barrier level)
level)

On hypothetical observation date 1, both the SPX 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

SPX Index

SX5E Index

Example 1:
1,500 (at or above
2,300
(at or above the downside threshold level and
$1,007.50 (the stated principal amount
the downside threshold level
coupon barrier level)
plus the contingent monthly coupon with
and coupon barrier level)
respect to the final observation date)
Example 2:
1,200 (below the downside
2,300
(at or above the downside threshold level and
$1,000 x index performance factor of
threshold level but at or above
coupon barrier level)
the worst performing underlying index,
the coupon barrier level)
plus the contingent monthly coupon with
respect to the final observation date =
$1,000 x (1,200 / 1,600) +$7.50 =
$757.50
Example 3:
1,500 (at or above
1,040
(below the downside threshold level and coupon
$1,000 x index performance factor of
the downside threshold level
barrier level)
the worst performing underlying index =
and coupon barrier level)
$1,000 x (1,040 / 2,600) = $400
Example 4:
480 (below the downside
1,000
(below the downside threshold level and coupon

$1,000 x (480 / 1,600) = $300
threshold level and coupon
barrier level)
barrier level)
Example 5:
640 (below the downside
780
(below the downside threshold level and coupon

$1,000 x (780 / 2,600) = $300
threshold level and coupon
barrier level)
barrier level)

In example 1, the final index values of both the SPX 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 examples 2 and 3, 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. In example 2, because the final index values of both underlying indices

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

are at or above their respective coupon barrier levels, investors receive the contingent monthly coupon with respect to the final observation date.

In examples 5 and 6, the final index value of each underlying index is below its respective downside threshold level and coupon barrier 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 SPX Index has 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 amount times the index performance factor of the SPX Index,
which is the worst performing underlying index in this example. In example 6, the SPX 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 (not including the contingent monthly coupon with
respect to the final observation date, if any) will be less than $800 per security and could be zero. Even if the final index values of both underlying
indices are greater than their respective coupon barrier levels, and so you receive the contingent monthly coupon with respect to the final observation
date, you wil lose a significant portion or al of your investment if the final index value of either underlying index is less than its respective downside
threshold level.

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Contingent Income Securities due April 5, 2023
Payments on the Securities Based on the Worst Performing of the S&P 500® Index and the EURO STOXX 50® Index

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 80% 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 80% of the stated principal
amount and could be zero. Even if the final index values of both underlying indices are greater than their respective coupon barrier levels, and so you
receive the contingent monthly coupon with respect to the final observation date, you wil lose a significant portion or al of your investment if the final
index value of either underlying index is less than its respective downside threshold level.
§ 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 80% 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 4-10, 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 4-10 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.

April 2013

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