Obbligazione Morgan Stanleigh 7.15% ( US61761JKK42 ) in USD

Morgan Stanleigh

100 USD ▼

Stati Uniti

US61761JKK42 ( in USD )

7.15% per anno ( pagato 2 volte l'anno)

30/08/2028

Prospetto opuscolo dell'obbligazione Morgan Stanley US61761JKK42 en USD 7.15%, scadenza 30/08/2028

1 000 USD

3 284 000 USD

61761JKK4

N/A

02/09/2025 ( In 58 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 US61761JKK42, pays a coupon of 7.15% per year.
The coupons are paid 2 times per year and the Obbligazione maturity is 30/08/2028

The Obbligazione issued by Morgan Stanleigh ( United States ) , in USD, with the ISIN code US61761JKK42, was rated NR by Moody's credit rating agency.

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424B2 1 dp40417_424b2-ps976.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

$3,284,000

$447.94

August 2013
Pricing Supplement No. 976
Registration Statement No. 333-178081
Dated August 27, 2013
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities
The securities are 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 5 years. For the first 5 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 50% of its respective initial index value, which we refer to as the barrier level. If the index closing value of
either underlying index is less than the barrier level for such index on any observation date after the first 5 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 the barrier level of 50% of the respective initial index value, 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 barrier 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 5
years. Because payments on the securities are based on the worst performing of the underlying indices, a decline beyond the respective barrier level of either underlying index wil result in few or
no contingent monthly coupons after the first 5 years and/or a significant loss of your investment, 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 5 years if either underlying index closes below the barrier level for such index on the observation dates. The securities are notes issued as part of Morgan Stanley's Series F Global
Medium-Term Notes program.
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
Underlying indices:
Russel 2000® Index (the "RTY Index") and EURO STOXX 50® Index (the "SX5E Index")
Aggregate principal amount:
$3,284,000
Stated principal amount:
$1,000 per security
Issue price:
$1,000 per security (see "Commissions and issue price" below)
Pricing date:
August 27, 2013
Original issue date:
August 30, 2013 (3 business days after the pricing date)
Maturity date:
August 30, 2028
Monthly coupon:
Years 1-5: On all coupon payment dates through August 2018, a fixed coupon at an annual rate of 7.15% (corresponding to approximately $5.9583
per month per security) is paid monthly.

Years 6-15: Beginning with the September 2018 coupon payment date, a contingent coupon at an annual rate of 7.15% (corresponding to
approximately $5.9583 per month per security) is paid monthly but only if the closing value of each underlying index is at or above its
respective barrier level on the related observation date.

If, on any observation date in years 6-15, the closing value of either underlying index is less than the 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 barrier level(s) for extended periods of time or even throughout years 6-15 so that you will receive few or no contingent
monthly coupons during that period.
Barrier level:
With respect to the RTY Index: 506.745, which is 50% of the initial index value for such index
With respect to the SX5E Index: 1,374.635, 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 barrier 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 barrier 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."
Estimated value on the pricing date:
$905.40 per security. See "Investment Summary" beginning on page 3.
Commissions and issue price:
Price to public(1)
Agent's commissions(2)
Proceeds to issuer(3)
Per security
$1,000
$35
$965
Total
$3,284,000
$114,940
$3,169,060
(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.
(3) See "Use of proceeds and hedging" on page 24.
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.
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Prospectus Supplement dated November 21, 2011
Index Supplement dated November 21, 2011 Prospectus dated November 21, 2011

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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Terms continued from previous page:
Initial index value:
With respect to the RTY Index: 1,013.49, which is the index closing value of such index on the pricing date
With respect to the SX5E Index: 2,749.27, 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:
Monthly, on the 30th day of each month (or in the case of February, the last calendar day of such month), beginning September 30, 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 September 2018 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 scheduled maturity date as the final observation date.
CUSIP / ISIN:
61761JKK4 / US61761JKK42
Listing:
The securities wil not be listed on any securities exchange.

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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Investment Summary

Contingent Income Securities
Principal at Risk Securities

Contingent Income Securities due August 30, 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 5
years. For the first 5 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 50% of its respective initial index value, which we refer to as the barrier level, on the related observation date. If
the index closing value of either underlying index is less than the barrier level for such index on any observation date after the first 5 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
barrier level(s) for extended periods of time or even throughout years 6-15 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 5 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 barrier level for such index on some
monthly observation dates, it may fluctuate below the barrier level on others. In addition, even if one underlying index were to be at or above the barrier
level for such index on all monthly observation dates, you wil receive a contingent monthly coupon during years 6-15 only with respect to the observation
dates on which the other underlying index is also at or above the barrier level for such index, if any. At maturity, if the final index value of each underlying
index is greater than or equal to the barrier level of 50% of the respective initial index value, 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 barrier 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 5 years.

Maturity:
15 years
Monthly coupon:
Years 1-5: On all coupon payment dates through August 2018, a fixed coupon at an annual
rate of 7.15% (corresponding to approximately $5.9583 per month per security) is paid
monthly.

Years 6-15: Beginning with the September 2018 coupon payment date, a contingent coupon at
an annual rate of 7.15% (corresponding to approximately $5.9583 per month per security) is
paid monthly but only if the closing value of each underlying index is at or above its
respective barrier level on the related observation date.

If, on any observation date in years 6-15, the closing value of either underlying index is
less than the 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 barrier level(s) for extended periods of time or even throughout years 6-15
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
barrier 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 barrier 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.

August 2013
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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

The original issue price of each security is $1,000. 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 $1,000. We estimate that the value of each
security on the pricing date is $905.40.

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 underlying indices. The estimated value of the securities is determined using our own pricing and valuation models, market inputs
and assumptions relating to the underlying indices, instruments based on the underlying indices, volatility and other factors including current and expected
interest rates, as wel as an interest rate related to the implied interest rate at which our conventional fixed rate debt trades in the secondary market (the
"secondary market credit spread").

What determines the economic terms of the securities?

In determining the economic terms of the securities, 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 terms of the securities, such as the monthly coupon or the barrier level, would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?

The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the
underlying indices, 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 and other
factors. However, because the costs associated with issuing, sel ing, structuring and hedging the securities are not ful y deducted upon issuance, for a
period of up to 18 months fol owing the issue date, to the extent that MS & Co. may buy or sel the securities in the secondary market, absent changes in
market conditions, including those related to the underlying indices, and to our secondary market credit spreads, it would do so based on values higher
than the estimated value. We expect that those higher values wil also be reflected in your brokerage account statements.

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.

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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Key Investment Rationale

The securities provide for fixed monthly coupon payments at the rate specified herein for the first 5 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
50% of its initial index value, which we refer to as the 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 5 years if either underlying index closes below the 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 6-15,
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 6-15, each underlying index closes at or above its respective barrier
coupon is paid for al interest periods,
level on every monthly observation date. Investors receive the 7.15% per annum contingent monthly coupon
and investors receive principal back at
for each interest period during the term of the securities. At maturity, each underlying index closes above its
maturity, which is the best case
respective barrier level, and so investors receive the stated principal amount and the contingent monthly
scenario.
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 barrier level on some
coupon is paid for some, but not al ,
monthly observation dates after the first 5 years, but one or both underlying indices close below the
interest periods, and investors receive
respective barrier level(s) for such index on the others. Investors receive the fixed monthly coupon for the
principal back at maturity.
monthly interest periods during the first 5 years. Investors wil receive the contingent monthly coupon for the
monthly interest periods during years 6-15 for which the index closing value of each underlying index is at or
above its respective barrier level on the related observation date, but not for the interest periods for which
one or both underlying indices close below the respective barrier level(s) on the related observation date. At
maturity, each underlying index closes above its respective barrier level, and so investors receive the stated
principal amount and 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 barrier level(s) on every
coupon is paid for any interest period
monthly observation date during years 6-15. Since one or both underlying indices close below the respective
during years 6-15, and investors
barrier level(s) on every monthly observation date during years 6-15, investors do not receive any contingent
suffer a substantial loss of principal at
monthly coupon during this period. On the final observation date, one or both underlying indices close below
maturity.
the respective barrier 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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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities
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 August 27, 2013:

Bloomberg Ticker Symbol:
RTY
Current Index Value:
1,013.49
52 Weeks Ago:
810.40
52 Week High (on 8/5/2013):
1,063.01
52 Week Low (on 11/15/2012):
769.48

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 Historical Performance" 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 August 27, 2013:

Bloomberg Ticker Symbol:
SX5E
Current Index Value:
2,749.27
52 Weeks Ago:
2,461.82
52 Week High (on 8/16/2013):
2,854.27
52 Week Low (on 8/30/2012):
2,403.80

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 Historical Performance" below.

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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities
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 5 years, you will receive a fixed monthly
coupon at a rate of 7.15% per annum regardless of the performance of the underlying indices. Whether you receive a contingent monthly coupon after the
first 5 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 and barrier 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 1-5: On al coupon payment dates through August 2018, a fixed coupon at an annual rate of 7.15%
(corresponding to approximately $5.9583 per month per security) is paid monthly.

Years 6-15: Beginning with the September 2018 coupon payment date, a contingent coupon at an annual rate of
7.15% (corresponding to approximately $5.9583 per month per security) is paid monthly but only if the closing
value of each underlying index is at or above its respective barrier level on the related observation date.

If, on any observation date in years 6-15, the closing value of either underlying index is less than the
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 barrier level(s) for extended periods of
time or even throughout years 6-15 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 barrier 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 barrier 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: 1,000

With respect to the SX5E Index: 2,700
Hypothetical Barrier Level:
With respect to the RTY Index: 500, which is 50% of the hypothetical initial index value for such index

With respect to the SX5E Index: 1,350, which is 50% of the hypothetical initial index value for such index

* The actual monthly coupon wil be an amount determined by the calculation agent based on the number of days in the applicable payment period, calculated on a 30/360 basis. The hypothetical
monthly coupon of $5.9583 is used in these examples for ease of analysis.

How to determine whether a contingent monthly coupon is payable with respect to an observation date during years 6-15:

Index Closing Value
Contingent Monthly Coupon

RTY Index
SX5E Index

Hypothetical Observation Date
650 (at or above
2,000 (at or above barrier
$5.9583
1
barrier level)
level)
Hypothetical Observation Date
700 (at or above
1,000 (below barrier level)
$0
2
barrier level)
Hypothetical Observation Date
400 (below barrier
2,000 (at or above barrier
$0
3
level)
level)

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Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

Hypothetical Observation Date
350 (below barrier
1,000 (below barrier level)
$0
4
level)

On hypothetical observation date 1, both the RTY Index and SX5E Index close at or above their respective barrier levels. Therefore a contingent monthly
coupon of approximately $5.9583 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 barrier level but the other underlying index closes below
its 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 barrier level and accordingly no contingent monthly coupon is paid
on the relevant coupon payment date.

Beginning after 5 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 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 barrier
2,800 (at or above
$1,005.9583 (the stated principal
level)
the barrier level)
amount plus the contingent monthly
coupon with respect to the final
observation date)
Example 2:
1,200 (at or above the barrier
1,080 (below the barrier
$1,000 x index performance factor of
level)
level)
the worst performing underlying index =
$1,000 x (1,080 / 2,700) = $400
Example 3:
400 (below the barrier level)
2,160 (at or above
$1,000 x (400 / 1,000) = $400
the barrier level)
Example 4:
300 (below the barrier level)
1,080 (below the barrier
$1,000 x (300 / 1,000) = $300
level)
Example 5:
400 (below the barrier level)
810 (below the barrier level)
$1,000 x (810 / 2,700) = $300

In example 1, the final index values of both the RTY Index and SX5E Index are at or above their respective 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 barrier level but the final index value of the other underlying index is
below its barrier 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 4 and 5, the final index value of each underlying index is below its respective 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 4, the RTY 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 RTY Index, which is the worst performing
underlying index in this example. In example 5, 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 barrier 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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http://www.sec.gov/Archives/edgar/data/895421/000095010313005152/...

Contingent Income Securities due August 30, 2028
Payments on the Securities Based on the Worst Performing of the Russell 2000® Index and the EURO STOXX 50® Index
Principal at Risk Securities

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 barrier 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 wil 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 5 years, if
any, and the payment at maturity, if any. Your return on the securities is 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 5 years, each
underlying index must close at or above its respective barrier level on the applicable observation date. In addition, if either underlying index has
declined to below its respective barrier 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 5 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 barrier level on any observation date than if the securities were
linked to only one underlying index, and therefore it is more likely that you wil not receive any contingent monthly coupons and that you wil suffer a
significant loss on your investment.

§
After the first 5 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 5 years. For the first 5 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 50% of its respective initial index value, which we refer to as the barrier level, on the related observation date. If, on
the other hand, the index closing value of either underlying index is lower than the barrier level for such index on the relevant observation date for any
interest period during years 6-15, 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 barrier level(s) for extended periods of time or even throughout years 6-15 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 overal 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 coupon payment date during years 6-15 wil be
determined at the end of the relevant interest period, based on the closing value of each underlying index on the relevant monthly observation
date. As a result, you wil not know whether you wil

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