Obligation Morgan Stanleigh 0% ( US61760QFB59 ) en USD

Morgan Stanleigh

73.25 % ▲

Etas-Unis

US61760QFB59 ( en USD )

08/10/2034

Prospectus brochure de l'obligation Morgan Stanley US61760QFB59 en USD 0%, échéance 08/10/2034

1 000 USD

4 000 000 USD

61760QFB5

N/A

Morgan Stanley est une firme mondiale de services financiers offrant des services de banque d'investissement, de gestion de patrimoine et de courtage à une clientèle institutionnelle et privée.

L'obligation américaine US61760QFB59 émise par Morgan Stanley (CUSIP : 61760QFB5), d'une valeur nominale totale de 4 000 000 USD, avec une taille minimale d'achat de 1 000 USD et échéant le 08/10/2034, se négocie actuellement à 67% de sa valeur nominale, offre un taux d'intérêt de 0%, est libellée en USD, avec des paiements d'intérêts semestriels, et n'est pas notée par Moody's.

Page 1 of 38
424B2 1 dp50057_424b2-ps1656.htm FORM 424B2
CALCULATION OF REGISTRATION FEE
Maximum Aggregate
Amount of Registration
Title of Each Class of Securities Offered
Offering Price
Fee
Fixed to Floating Rate Notes due 2034
$4,000,000
$464.80
October 2014
Pricing Supplement No. 1,656
Registration Statement No. 333-178081
Dated October 3, 2014
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED PRODUCTS
Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
As further described below, interest will accrue on the securities (i) from and including the original issue date to but excluding April 8, 2016:
at a rate of 11.00% per annum and (ii) from and including April 8, 2016 to but excluding the maturity date: for each day that the closing value
of the Russell 2000® Index is greater than or equal to 50% of the initial index value (which we refer to as the index reference level), at a
variable rate per annum equal to 5 times the difference, if any, between the 30-Year Constant Maturity Swap Rate ("30CMS") and the 2-Year
Constant Maturity Swap Rate ("2CMS"), as determined on the CMS reference determination date at the start of the related monthly interest
payment period; subject to the maximum interest rate of 11.00% per annum for each interest payment period during the floating interest rate
period and the minimum interest rate of 0.00% per annum. The securities provide an above-market interest rate during the first 18 months;
however, for each interest payment period in years 2.5 to maturity, the securities will not pay any interest with respect to the interest
payment period if the CMS reference index level is equal to or less than 0.00% on the related monthly CMS reference determination date. In
addition, if, on any calendar day, the index closing value is less than the index reference level, interest will accrue at a rate of 0.00% per
annum for that day. At maturity, if the final index value is greater than or equal to the barrier level of 50% of the initial index value, investors
will receive the stated principal amount of the securities plus any accrued but unpaid interest. However, if the final index value is less than
the barrier level, investors will be fully exposed to the decline in the value of the Russell 2000® Index over the term of the securities, and the
payment at maturity will be less than 50% of the stated principal amount of the securities and could be zero. There is no minimum
payment at maturity on the securities. Accordingly, investors may lose up to their entire initial investment in the securities.
Investors will not participate in any appreciation of the Russell 2000® Index. These long-dated securities are for investors who seek an
opportunity to earn interest at a potentially above-market rate in exchange for the risk of losing their principal and the risk of receiving little or
no interest on the securities during the floating interest rate period.
All payments are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations, you could lose some
or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise
have any access to, any underlying reference asset or assets.
FINAL TERMS
Issuer:
Morgan Stanley
Aggregate principal amount:
$4,000,000. May be increased prior to the original issue date but we are not required to do so.
Issue price:
At variable prices
Stated principal amount:
$1,000 per security
Pricing date:
October 3, 2014
Original issue date:
October 8, 2014 (3 business days after the pricing date)
Maturity date:
October 8, 2034
Interest accrual date:
October 8, 2014
Payment at maturity:
x
If the final index value is greater than or equal to the barrier level: the stated principal amount plus
any accrued and unpaid interest
x
If the final index value is less than the barrier level: (a) the stated principal amount times the index
performance factor plus (b) any accrued and unpaid interest. This amount will be less than 50% of the
stated principal amount of the securities and could be zero.
Interest:
From and including the original issue date to but excluding April 8, 2016 (the "fixed interest rate period"):
11.00% per annum
From and including April 8, 2016 to but excluding the maturity date (the "floating interest rate period"):
For each interest payment period, a variable rate per annum equal to the product of:
(a) leverage factor times the CMS reference index; subject to the minimum interest rate and the
maximum interest rate; and
(b)
N/ACT; where,
"N" = the total number of calendar days in the applicable interest payment period on which the index
closing value is greater than or equal to the index reference level (each such day, an "accrual day"); and
"ACT" = the total number of calendar days in the applicable interest payment period.
The CMS reference index level applicable to an interest payment period will be determined on the related
CMS reference determination date.
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Interest for each interest payment period during the floating interest rate period is subject to the
minimum interest rate of 0.00% per annum and the maximum interest rate of 11.00% per annum for
such interest payment period. Beginning April 8, 2016, it is possible that you could receive little or
no interest on the securities. If, on the related CMS reference determination date, the CMS
reference index level is equal to or less than the CMS reference index strike, interest will accrue at
a rate of 0.00% for that interest payment period. In addition, if on any day, the index closing value
is determined to be less than the index reference level, interest will accrue at a rate of 0.00% per
annum for that day. The determination of the index closing value will be subject to certain market
disruption events. Please see Annex A--The Russell 2000® Index--Market Disruption Event"
below.
Leverage factor:
5
Interest payment period:
Monthly
Interest payment period end
Unadjusted
dates:
Interest payment dates:
The 8th calendar day of each month, beginning November 8, 2014; provided that if any such day is not a
business day, that interest payment will be made on the next succeeding business day and no adjustment
will be made to any interest payment made on that succeeding business day.
Interest reset dates:
The 8th calendar day of each month, beginning April 8, 2016
Maximum interest rate:
11.00% per annum for each interest payment period during the floating interest rate period
Minimum interest rate:
0.00% per annum
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley. See
"Supplemental Information Concerning Plan of Distribution; Conflicts of Interest."
Estimated value on the pricing
$850.70 per security. The estimated value on any subsequent pricing date may be lower than this
date:
estimate, but in no case will be less than $850.00 per security. See "The Securities" on page 3.
Commissions and issue price:
Price to public(1)(2)
Agent's commissions(2)
Proceeds to issuer(3)
Per security
At variable prices
$40
$960
Total
At variable prices
$160,000
$3,840,000
(1)
The securities will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the time of
each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices; provided,
however, that such price will not be less than $970 per security and will not be more than $1,000 per security. See "Risk
Factors--The Price You Pay For The Securities May Be Higher Than The Prices Paid By Other Investors."
(2)
Morgan Stanley or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Wealth
Management (an affiliate of the agent) and their financial advisors, of up to $40 per security depending on market conditions. See
"Supplemental Information Concerning Plan of Distribution; Conflicts of Interest." For additional information, see "Plan of Distribution
(Conflicts of Interest)" in the accompanying prospectus supplement.
(3)
See "Use of Proceeds and Hedging" on page 16.
The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors"
beginning on page 11.
The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or
determined if this pricing supplement or the accompanying prospectus supplement, index supplement and prospectus is truthful
or complete. Any representation to the contrary is a criminal offense.
You should read this document together with the related prospectus supplement, index supplement and prospectus, each of
which can be
accessed via the hyperlinks below.
Prospectus Supplement dated November 21, 2011
Index Supplement dated November 21, 2011
Prospectus dated November 21, 2011
The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental
agency, nor are they obligations of, or guaranteed by, a bank.
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Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
Terms continued from previous page:
Index:
The Russell 2000® Index
Underlying index publisher:
Russell Investments
CMS reference determination
Two (2) U.S. government securities business days prior to the related interest reset date at the start of
dates:
the applicable interest payment period.
CMS reference index:
30-Year Constant Maturity Swap Rate minus 2-Year Constant Maturity Swap Rate, expressed as a
percentage.
Please see "Additional Provisions--CMS Reference Index" below.
CMS reference index strike:
0.00%
Index reference level:
552.3715, which is 50% of the initial index value
Initial index value:
1,104.743, which is the index closing value on October 3, 2014
Barrier level:
552.3715, which is 50% of the initial index value
Final index value:
The index closing value of the index on the final determination date
Index closing value:
The closing value of the index. Please see "Additional Provisions--The Russell 2000® Index" below.
Final determination date:
The third scheduled business day prior to the maturity date, subject to adjustment due to non-index
business days or certain market disruption events.
Index cutoff:
The index closing value for any day from and including the third index business day prior to the related
interest payment date for any interest payment period shall be the index closing value on such third
index business day prior to such interest payment date.
Index performance factor:
The final index value divided by the initial index value
Redemption:
None
Day-count convention:
Actual/Actual
Specified currency:
U.S. dollars
CUSIP / ISIN:
61760QFB5 / US61760QFB59
Book-entry or certificated
Book-entry
security:
Business day:
New York
Calculation agent:
Morgan Stanley Capital Services LLC.
All determinations made by the calculation agent will be at the sole discretion of the calculation agent
and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the trustee
and us.
All values used in the interest rate formula for the securities and all percentages resulting from any
calculation of interest will be rounded to the nearest one hundred-thousandth of a percentage point,
with .000005% rounded up to .00001%. All dollar amounts used in or resulting from such calculation on
the securities will be rounded to the nearest cent, with one-half cent rounded upward.
Because the calculation agent is our affiliate, the economic interests of the calculation agent and its
affiliates may be adverse to your interests as an investor in the securities, including with respect to
certain determinations and judgments that the calculation agent must make in determining the payment
that you will receive on each interest payment date and at maturity or whether a market disruption event
has occurred. Please see Annex A--The Russell 2000® Index--Market Disruption Event" and
"--Discontinuance of the Russell 2000® Index; Alteration of Method of Calculation" below. The
calculation agent is obligated to carry out its duties and functions as calculation agent in good faith and
using its reasonable judgment.
Trustee:
The Bank of New York Mellon
Contact information:
Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our
principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-
4776). All other clients may contact their local brokerage representative. Third-party distributors may
contact Morgan Stanley Structured Investment Sales at (800) 233-1087.
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Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
The Securities
Principal at Risk Securities
The securities are debt securities of Morgan Stanley. From and including the original issue date to but excluding April 8, 2016, the securities
pay interest at a rate of 11.00% per annum. From and including April 8, 2016 to but excluding the maturity date, interest will accrue on the
securities for each day that the closing value of the Russell 2000® Index is greater than or equal to 50% of the initial index value (which we
refer to as the index reference level), at a variable rate per annum equal to 5 times the CMS reference index for the related monthly interest
payment period; subject to the maximum interest rate of 11.00% per annum for each interest payment period and the minimum interest rate o
0.00% per annum. The floating interest rate is based on the CMS reference index and the level of the Russell 2000® Index. If 30CMS is less
than or equal to 2CMS on the applicable CMS reference determination date, the floating interest rate will be 0.00% and no interest will accrue
on the securities for the related interest period. In addition, if, on any calendar day during the interest payment period, the index closing value
is less than the index reference level, interest will accrue at a rate of 0.00% per annum for that day.
At maturity, if the final index value is greater than or equal to the barrier level, investors will receive the stated principal amount of the securitie
plus any accrued and unpaid interest. However, if the final index value is less than the barrier level, investors will be fully exposed to the
decline in the value of the Russell 2000® Index over the term of the securities, and the payment at maturity will be less than 50% of the stated
principal amount of the securities and could be zero. There is no minimum payment at maturity on the securities. Accordingly, investor
may lose up to their entire initial investment in the securities. Investors will not participate in any appreciation of the Russell 2000® Index
We describe the basic features of these securities in the sections of the accompanying prospectus called "Description of Debt
Securities--Floating Rate Debt Securities" and prospectus supplement called "Description of Securities," subject to and as modified by the
provisions described below. All payments on the securities are subject to the credit risk of Morgan Stanley.
The stated principal amount of each security is $1,000, and the issue price is variable. This price includes costs associated with issuing,
selling, structuring and hedging the securities, which are borne by you, and, consequently, the estimated value of the securities on the pricing
date is less than the issue price. We estimate that the value of each security on the pricing date is $850.70. The estimated value on any
subsequent pricing date may be lower than this estimate, but in no case will be less than $850.00 per security.
What goes into the estimated value on the pricing date?
In valuing the securities on the pricing date, we take into account that the securities comprise both a debt component and a performance-
based component linked to the CMS reference index and the Russell 2000® Index (the "index"). The estimated value of the securities is
determined using our own pricing and valuation models, market inputs and assumptions relating to the CMS reference index and the index,
instruments based on the CMS reference index and the index, volatility and other factors including current and expected interest rates, as
well as an interest rate related to our secondary market credit spread, which is the implied interest rate at which our conventional fixed rate
debt trades in the secondary market.
What determines the economic terms of the securities?
In determining the economic terms of the securities, including the interest rate, the leverage factor, the maximum interest rate applicable to
each interest payment period during the floating interest rate period, the CMS reference index strike, the index reference level and the
barrier level, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore
advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher,
one or more of the economic terms of the securities would be more favorable to you.
What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?
The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related
to interest rates and the CMS reference index and the index, may vary from, and be lower than, the estimated value on the pricing date,
because the secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co.
would charge in a secondary market transaction of this type, the costs of unwinding the related hedging transactions and other factors.
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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.
October 2014
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Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
Additional Provisions
CMS Reference Index
What are the 30-Year and 2-Year Constant Maturity Swap Rates?
The 30-Year Constant Maturity Swap Rate (which we refer to as "30CMS") is, on any U.S. government securities business day, the fixed
rate of interest payable on an interest rate swap with a 30-year maturity as reported on Reuters Page ISDAFIX1 or any successor page
thereto at 11:00 a.m. New York City time on that day. This rate is one of the market-accepted indicators of longer-term interest rates.
The 2-Year Constant Maturity Swap Rate (which we refer to as "2CMS") is, on any U.S. government securities business day, the fixed rate
of interest payable on an interest rate swap with a 2-year maturity as reported on Reuters Page ISDAFIX1 or any successor page thereto at
11:00 a.m. New York City time on that day. This rate is one of the market-accepted indicators of shorter-term interest rates.
An interest rate swap rate, at any given time, generally indicates the fixed rate of interest (paid semi-annually) that a counterparty in the
swaps market would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal to 3-month LIBOR for that
same maturity.
U.S. Government Securities Business Day
U.S. government securities business day means any day except for a Saturday, Sunday or a day on which The Securities Industry and
Financial Markets Association recommends that the fixed income departments of its members be closed for the entire day for purposes of
trading in U.S. government securities.
CMS Rate Fallback Provisions
If 30CMS or 2CMS is not displayed by 11:00 a.m. New York City time on the Reuters Screen ISDAFIX1 Page on any day on which the level
of the CMS reference index must be determined, such affected rate for such day will be determined on the basis of the mid-market semi-
annual swap rate quotations to the calculation agent provided by five leading swap dealers in the New York City interbank market (the
"Reference Banks") at approximately 11:00 a.m., New York City time, on such day, and, for this purpose, the mid-market semi-annual swap
rate means the mean of the bid and offered rates for the semi-annual fixed leg, calculated on a 30/360 day count basis, of a fixed-for-floating
U.S. Dollar interest rate swap transaction with a term equal to the applicable 30 year or 2 year maturity commencing on such day and in a
representative amount with an acknowledged dealer of good credit in the swap market, where the floating leg, calculated on an actual/360
day count basis, is equivalent to USD-LIBOR-BBA with a designated maturity of three months. The calculation agent will request the
principal New York City office of each of the Reference Banks to provide a quotation of its rate. If at least three quotations are provided, the
rate for that day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the
highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as requested,
the rate will be determined by the calculation agent in good faith and in a commercially reasonable manner.
October 2014
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Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
The Russell 2000® Index
The Russell 2000® Index is an index calculated, published and disseminated by Russell Investments, and measures the composite price
performance of stocks of 2,000 companies incorporated in the U.S. and its territories. All 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 Russell 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 Russell 2000® Index
consists of the smallest 2,000 companies included in the Russell 3000® Index and represents a small portion of the total market
capitalization of the Russell 3000® Index. The Russell 2000® Index is designed to track the performance of the small capitalization segment
of the U.S. equity market. For additional information about the Russell 2000® Index, see the information set forth under "Annex A--The
Russell 2000® Index" in this document and "Russell 2000® Index" in the accompanying index supplement.
Index Closing Value Fallback Provisions
The index closing value on any calendar day during the term of the securities on which the index level is to be determined (each, an "index
determination date") will equal the official closing value of the index as published by the underlying index publisher or its successor, or in the
case of any successor index, the official closing value for such successor index as published by the publisher of such successor index or its
successor, at the regular weekday close of trading on that calendar day, as determined by the calculation agent; provided that the index
closing value for any day from and including the third index business day prior to the related interest payment date for any interest payment
period shall be the index closing value in effect on such third index business day prior to such interest payment date; provided further that if
a market disruption event with respect to the index occurs on any index determination date or if any such index determination date is not an
index business day, the closing value of the index for such index determination date will be the closing value of the index on the immediately
preceding index business day on which no market disruption event has occurred. In certain circumstances, the index closing value shall be
based on the alternate calculation of the index described under "Annex A--The Russell 2000® Index--Discontinuance of the Russell 2000®
Index; Alteration of Method of Calculation."
"Index business day" means a day, as determined by the calculation agent, on which trading is generally conducted on each of the relevant
exchange(s) for the index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time of the posting of its
regular final weekday closing price.
"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the index, or any successor
index, and (ii) any futures or options contracts related to the index or to any security then included in the index.
For more information regarding market disruption events with respect to the index, discontinuance of the index and alteration of the method
of calculation, see "Annex A--The Russell 2000® Index--Market Disruption Event" and "--Discontinuance of the Russell 2000® Index;
Alteration of Method of Calculation" herein.
October 2014
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Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
How the Securities Work
How to calculate the interest payments:
The table below presents examples of hypothetical interest that would accrue on the securities during any month in the floating interest rate
period. The examples below are for purposes of illustration only. The examples of the hypothetical floating interest rate that would accrue on
the securities are based on both the level of the CMS reference index level on the applicable CMS reference determination date and the total
number of calendar days in a monthly interest payment period on which the index closing value is greater than or equal to the index reference
level.
The actual interest payment amounts during the floating interest rate period will depend on the actual level of the CMS reference index on
each CMS reference determination date and the index closing value of the Russell 2000® Index on each day during the floating interest
payment period. The applicable interest rate for each monthly interest payment period will be determined on a per-annum basis but will apply
only to that interest payment period. The table assumes that the interest payment period contains 30 calendar days. The examples below
are for purposes of illustration only and would provide different results if different assumptions were made.
Annualized rate of interest paid
5 times CMS
CMS
Number of days on which the index closing value is greater than or equal to the index reference
Reference
Reference Index
level
Index*
0
5
10
15
20
25
30
-2.6000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-2.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-2.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-2.0000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.8000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.6000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-1.0000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.8000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.6000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.4000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
-0.2000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.00000%
0.00%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.000%
0.2000%
1.00%
0.000%
0.167%
0.333%
0.500%
0.667%
0.833%
1.000%
0.4000%
2.00%
0.000%
0.333%
0.667%
1.000%
1.333%
1.667%
2.000%
0.6000%
3.00%
0.000%
0.500%
1.000%
1.500%
2.000%
2.500%
3.000%
0.8000%
4.00%
0.000%
0.667%
1.333%
2.000%
2.667%
3.333%
4.000%
1.0000%
5.00%
0.000%
0.833%
1.667%
2.500%
3.333%
4.167%
5.000%
1.2000%
6.00%
0.000%
1.000%
2.000%
3.000%
4.000%
5.000%
6.000%
1.4000%
7.00%
0.000%
1.167%
2.333%
3.500%
4.667%
5.833%
7.000%
1.6000%
8.00%
0.000%
1.333%
2.667%
4.000%
5.333%
6.667%
8.000%
1.8000%
9.00%
0.000%
1.500%
3.000%
4.500%
6.000%
7.500%
9.000%
2.0000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.2000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
2.4000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
2.6000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
2.8000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
3.0000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
3.2000%
11.00%
0.000%
1.833%
3.667%
5.500%
7.333%
9.167%
11.000%
* Subject to the minimum interest rate of 0.00% and the maximum interest rate of 11.00%
http://www.sec.gov/Archives/edgar/data/895421/000095010314007003/dp50057_424b2-p... 10/7/2014

Page 9 of 38
If 30CMS is less than or equal to 2CMS on the applicable CMS reference determination date, the floating interest rate will be the minimum
interest rate of 0.00% and no interest will accrue on the securities for such interest period regardless of the total number of calendar days in
the interest payment period on which the index closing value of the Russell 2000® Index is greater than or equal to the index reference level.
October 2014
Page 6
http://www.sec.gov/Archives/edgar/data/895421/000095010314007003/dp50057_424b2-p... 10/7/2014

Page 10 of 38
Fixed to Floating Rate Securities due 2034
Leveraged CMS Curve and Russell 2000® Index Linked Securities With the Payment at Maturity Subject to the Barrier Level Feature
Linked to the Russell 2000® Index
Principal at Risk Securities
How to calculate the payment at maturity (excluding any interest with respect to the final interest period):
The payoff diagram below illustrates the payment at maturity (excluding any interest with respect to the final interest period) on the securities
based on the following terms:
Stated principal amount:
$1,000 per security
Barrier level:
50% of the initial index value
Minimum payment at maturity:
None
How it works

Par Scenario. If the final index value is greater than the barrier level of 50% of the initial index value, the investor would receive $1,000
stated principal amount.

If the index depreciates 30%, the investor would receive the $1,000 stated principal amount.

Downside Scenario. If the final index value is less than the barrier level of 50% of the initial index value, the investor would receive an
amount that is significantly less than the $1,000 stated principal amount, based on a 1% loss of principal for each 1% decline in the
index. This amount will be less than $500 per security. There is no minimum payment at maturity on the securities. Accordingly,
investors may lose up to their entire initial investment in the securities.

If the index depreciates 60%, the investor would lose 60% of the investor's principal and receive only $400 per security at maturity,
or 40% of the stated principal amount.
http://www.sec.gov/Archives/edgar/data/895421/000095010314007003/dp50057_424b2-p... 10/7/2014