Obligation Morgan Stanleigh 0.86% ( US61760QGQ10 ) en USD

Morgan Stanleigh

100 % ▲

Etas-Unis

US61760QGQ10 ( en USD )

0.86% par an ( paiement semestriel )

20/07/2025

Prospectus brochure de l'obligation Morgan Stanley US61760QGQ10 en USD 0.86%, échéance 20/07/2025

1 000 USD

6 560 000 USD

61760QGQ1

N/A

20/07/2025 ( Dans 14 jours )

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 émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61760QGQ10, paye un coupon de 0.86% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 20/07/2025

L'Obligation émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61760QGQ10, a été notée NR par l'agence de notation Moody's.

424B2 1 dp57978_424b2-ps376.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 Securities due 2025

$6,560,000

$762.27

J uly 2 0 1 5
Pricing Supplement No. 376
Registration Statement No. 333-200365
Dated July 15, 2015
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED PRODUCTS
Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
As further described below, interest will accrue on the securities (i) in year 1: at a rate of 10.00% per annum and (ii) in years 2 to
maturity: for each day that the closing value of the S&P 500® Index is greater than or equal to 75% 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
10.00% per annum for each interest payment period during the floating interest rate period and the minimum interest rate of 0.00%
per annum. The securities provide an above-market interest rate in year 1 ; however, for each interest payment period in years 2 to
maturity, the securities will not pay any interest with respect to the interest payment period if the CMS reference index level is equal
to or less than 0.00% on the related monthly CMS reference determination date. In addition, if, on any calendar day, the index
closing value is less than the index reference level, interest will accrue at a rate of 0.00% per annum for that day. At maturity, if the
final index value is greater than or equal to the barrier level of 50% of the initial index value, investors will receive the stated
principal amount of the securities plus any accrued but unpaid interest. However, if the final index value is less than the barrier
level, investors will be fully exposed to the decline in the value of the S&P 500 ® Index over the term of the securities, and the
payment at maturity will be less than 50% of the stated principal amount of the securities and could be zero. T he re is no
m inim um pa ym e nt a t m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y lose up t o t he ir e nt ire init ia l
inve st m e nt in t he se c urit ie s. Investors will not participate in any appreciation of the S&P 500® Index. These long-dated
securities are for investors who seek an opportunity to earn interest at a potentially above-market rate in exchange for the risk of
losing their principal and the risk of receiving little or no interest on the securities during the floating interest rate period.
All pa ym e nt s a re subje c t t o t he c re dit risk of M orga n St a nle y. I f M orga n St a nle y de fa ult s on it s obliga t ions,
you c ould lose som e or a ll of your inve st m e nt . T he se se c urit ie s a re not se c ure d obliga t ions a nd you w ill not
ha ve a ny se c urit y int e re st in, or ot he rw ise ha ve a ny a c c e ss t o, a ny unde rlying re fe re nc e a sse t or a sse t s.
FI N AL T ERM S
I ssue r:
Morgan Stanley
Aggre ga t e princ ipa l
$6,560,000. May be increased prior to the original issue date but we are not required to do so.
a m ount :
I ssue pric e :
At variable prices
St a t e d princ ipa l a m ount :
$1,000 per security
Pric ing da t e :
July 15, 2015
Origina l issue da t e :
July 20, 2015 (3 business days after the pricing date)
M a t urit y da t e :
July 20, 2025
I nt e re st a c c rua l da t e :
July 20, 2015
Pa ym e nt a t m a t urit y:
· If the final index value is greater than or equal to the barrier level: the stated
principal amount plus any accrued and unpaid interest
· If the final index value is less than the barrier level: (a) the stated principal amount
times the index performance factor plus (b) any accrued and unpaid interest. This amount
will be less than 50% of the stated principal amount of the securities and could be zero.
I nt e re st :
From and including the original issue date to but excluding July 20, 2016 (the "fixed interest rate
period"): 10.00% per annum
From and including July 20, 2016 to but excluding the maturity date (the "floating interest rate
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period"):
For each interest payment period, a variable rate per annum equal to the product of:
(a ) le ve ra ge fa c t or times t he CM S re fe re nc e inde x ; subject to the minimum
interest rate and the maximum interest rate; a nd
(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.
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 10.00%
per annum for such interest payment period. Beginning July 20, 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 S&P 500® Index--Market Disruption Event" below.
Le ve ra ge fa c t or:
5
I nt e re st pa ym e nt pe riod:
Monthly
I nt e re st pa ym e nt pe riod
Unadjusted
e nd da t e s:
I nt e re st pa ym e nt da t e s:
The 20th calendar day of each month, beginning August 20, 2015; 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.
I nt e re st re se t da t e s:
The 20th calendar day of each month, beginning July 20, 2016
M a x im um int e re st ra t e :
10.00% per annum for each interest payment period during the floating interest rate period
M inim um int e re st ra t e :
0.00% per annum
Age nt :
Morgan Stanley & Co. LLC ("MS & Co."), a wholly owned subsidiary of Morgan Stanley. See
"Supplemental Information Concerning Plan of Distribution; Conflicts of Interest."
Terms continued on the following page
Est im a t e d va lue on t he
$901.20 per security. The estimated value on any subsequent pricing date may be lower than this
pric ing da t e :
estimate, but will in no case be less than $850.00 per security. See "The Securities" on page 3.
Com m issions a nd issue
Age nt 's
pric e :
Pric e t o public (1)(2)
c om m issions (2)
Proc e e ds t o issue r (3)
Pe r se c urit y
At variable prices
$35
$965
T ot a l
At variable prices
$229,600
$6,330,400
(1) The securities will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the
time of each sale, which may be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices;
provided, however, that such price will not be less than $970 per security and will not be more than $1,000 per security. See
"Risk Factors--The Price You Pay For The Securities May Be Higher Than The Prices Paid By Other Investors."
(2) Morgan Stanley or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Wealth
Management (an affiliate of the agent) and their financial advisors, of up to $35 per security depending on market conditions.
See "Supplemental Information Concerning Plan of Distribution; Conflicts of Interest." For additional information, see "Plan of
Distribution (Conflicts of Interest)" in the accompanying prospectus supplement.
(3) See "Use of Proceeds and Hedging" on page 16.
T he se c urit ie s involve risk s not a ssoc ia t e d w it h a n inve st m e nt in ordina ry de bt
se c urit ie s. Se e "Risk Fa c t ors" be ginning on pa ge 1 0 .
T he Se c urit ie s a nd Ex c ha nge Com m ission a nd st a t e se c urit ie s re gula t ors ha ve not a pprove d or disa pprove d
t he se se c urit ie s, or de t e rm ine d if t his pric ing supple m e nt or t he a c c om pa nying prospe c t us supple m e nt ,
inde x supple m e nt a nd prospe c t us is t rut hful or c om ple t e . Any re pre se nt a t ion t o t he c ont ra ry is a c rim ina l
offe nse .
Y ou should re a d t his doc um e nt t oge t he r w it h t he re la t e d prospe c t us supple m e nt , inde x supple m e nt a nd
prospe c t us, e a c h of w hic h c a n be
a c c e sse d via t he hype rlink s be low .
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Prospe c t us Supple m e nt da t e d N ove m be r 1 9 , 2 0 1 4
I nde x Supple m e nt da t e d N ove m be r 1 9 , 2 0 1 4 Prospe c t us da t e d N ove m be r 1 9 , 2 0 1 4
T he se c urit ie s a re not ba nk de posit s a nd a re not insure d by t he Fe de ra l De posit I nsura nc e Corpora t ion or
a ny ot he r gove rnm e nt a l a ge nc y, nor a re t he y obliga t ions of, or gua ra nt e e d by, a ba nk .

Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Terms continued from previous page:
I nde x :
The S&P 500® Index
U nde rlying inde x
S&P Dow Jones Indices LLC
publishe r:
CM S re fe re nc e
Two (2) U.S. government securities business days prior to the related interest reset date at the start
de t e rm ina t ion da t e s:
of the applicable interest payment period.
CM S re fe re nc e inde x :
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.

CM S re fe re nc e inde x
0.00%
st rik e :
I nde x re fe re nc e le ve l:
1,580.55, which is 75% of the initial index value
I nit ia l inde x va lue :
2,107.40, which is the index closing value on July 15, 2015
Ba rrie r le ve l:
1,053.70, which is 50% of the initial index value
Fina l inde x va lue :
The index closing value of the index on the final determination date
I nde x c losing va lue :
The closing value of the index. Please see "Additional Provisions--The S&P 500® Index" below.
Fina l de t e rm ina t ion
The third scheduled business day prior to the maturity date, subject to adjustment due to non-index
da t e :
business days or certain market disruption events.
I nde x c ut off:
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.
I nde x pe rform a nc e
The final index value divided by the initial index value
fa c t or:
Re de m pt ion:
None
Da y-c ount c onve nt ion:
Actual/Actual
Spe c ifie d c urre nc y:
U.S. dollars
CU SI P / I SI N :
61760QGQ1 / US61760QGQ10
Book -e nt ry or
Book-entry
c e rt ific a t e d se c urit y:
Busine ss da y:
New York
Ca lc ula t ion a ge nt :
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
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certain determinations and judgments that the calculation agent must make in determining the
payment that you will receive on each interest payment date and at maturity or whether a market
disruption event has occurred. Please see Annex A--The S&P 500® Index--Market Disruption
Event" and "--Discontinuance of the S&P 500® Index; Alteration of Method of Calculation" below.
The calculation agent is obligated to carry out its duties and functions as calculation agent in good
faith and using its reasonable judgment.
T rust e e :
The Bank of New York Mellon
Cont a c t inform a t ion:
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.

Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
The Securities
Principal at Risk Securities

The securities are debt securities of Morgan Stanley. In year 1, the securities pay interest at a rate of 10.00% per annum.
Beginning July 20, 2016, interest will accrue on the securities for each day that the closing value of the S&P 500® Index is greater
than or equal to 75% 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
10.00% per annum for each interest payment period and the minimum interest rate of 0.00% per annum. The floating interest rate
is based on the CMS reference index a nd the level of the S&P 500® Index. If 30CMS is less than or equal to 2CMS on the
applicable CMS reference determination date, the floating interest rate 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 securities 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 S&P 500® Index over the term of the securities, and the payment at maturity will be
less than 50% of the stated principal amount of the securities and could be zero. T he re is no m inim um pa ym e nt a t
m a t urit y on t he se c urit ie s. Ac c ordingly, inve st ors m a y lose up t o t he ir e nt ire init ia l inve st m e nt in t he
se c urit ie s. Investors will not participate in any appreciation of the S&P 500® 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
$901.20. The estimated value on any subsequent pricing date may be lower than this estimate, but will in no case 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 S&P 500® Index (the "index"). The estimated value of
the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the CMS
reference index and the index, instruments based on the CMS reference index and the index, volatility and other factors including
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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.

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.

July 2015
Page 3
Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Additional Provisions

CM S Re fe re nc e I nde x

Wha t a re t he 3 0 -Y e a r a nd 2 -Y e a r Const a nt M a t urit y Sw a p Ra t e s ?

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 approximately 11:00 a.m. New York City time for such 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 approximately 11:00 a.m. New York City time for such day. This rate is one of the market-accepted
indicators of shorter-term interest rates.

The rates reported on Reuters Page "ISDAFIX1" (or any successor page thereto) are calculated by ICE Benchmark Administration
Limited based on tradeable quotes for the related interest rate swaps of the relevant tenor that are sourced from electronic trading
venues.

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. Gove rnm e nt Se c urit ie s Busine ss Da y

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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.

CM S Ra t e Fa llba c k Provisions

If 30CMS or 2CMS is not displayed by approximately 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, any 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.

July 2015
Page 4
Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
T he S& P 5 0 0 ® I nde x

The S&P 500® Index, which is calculated, maintained and published by S&P Dow Jones Indices LLC ("S&P"), consists of stocks of
500 component companies 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. S&P has announced that it expects that, effective with the September 2015 rebalance, consolidated
share class lines will no longer be included in the S&P 500® Index. Each share class line will be subject to public float and liquidity
criteria individually, but the company's total market capitalization will be used to evaluate each share class line for purposes of
determining index membership eligibility. This may result in one listed share class line of a company being included in the S&P
500® Index while a second listed share class line of the same company is excluded. For additional information about the S&P
500® Index, see the information set forth under "Annex A--The S&P 500® Index" in this document and "S&P 500® Index" in the
accompanying index supplement.

I nde x Closing V a lue Fa llba c k 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 (other than the day on which the initial index value is determined or the final 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.

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If a market disruption event occurs on the day on which the initial index value is determined or the final determination date, or if
any such date is not an index business day, the relevant date shall be the next succeeding index business day on which there is
no market disruption event; provided that if a market disruption event has occurred on each of the five index business days
immediately succeeding any such scheduled date, then (i) such fifth succeeding index business day shall be deemed to be the
relevant date, notwithstanding the occurrence of a market disruption event on such day, and (ii) with respect to any such fifth
succeeding index business day on which a market disruption event occurs, the calculation agent shall determine the index closing
value on such fifth succeeding index business day in accordance with the formula for and method of calculating such index last in
effect prior to the commencement of the market disruption event, using the closing price (or, if trading in the relevant securities has
been materially suspended or materially limited, its good faith estimate of the closing price that would have prevailed but for such
suspension or limitation) at the close of the principal trading session of the relevant exchange on such index business day of each
security most recently constituting the index without any rebalancing or substitution of such securities following the commencement
of the market disruption event.

In certain circumstances, the index closing value shall be based on the alternate calculation of the index described under "Annex A
--The S&P 500® Index--Discontinuance of the S&P 500® Index; Alteration of Method of Calculation."

"Index business day" means a day, as determined by the calculation agent, on which trading is generally conducted on each of the
relevant exchange(s) for the index, other than a day on which trading on such exchange(s) is scheduled to close prior to the time
of the posting of its regular final weekday closing price.

"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the index, or any
successor index, and (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 S&P 500® Index--Market Disruption Event" and "--Discontinuance of the S&P 500®
Index; Alteration of Method of Calculation" herein.

July 2015
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Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Post pone m e nt of M a t urit y Da t e

If the scheduled final determination date is not an index business day or if a market disruption event occurs on that day so that the
final determination date is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date
of the securities will be postponed to the second business day following the final determination date as postponed.

July 2015
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Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
How the Securities Work

H ow t o c a lc ula t e t he int e re st pa ym e nt s:

http://www.sec.gov/Archives/edgar/data/895421/000095010315005668/dp57978_424b2-ps376.htm[7/16/2015 1:33:32 PM]

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 S&P 500® 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.

Annua lize d ra t e of int e re st pa id
5 times CM S
CM S
N um be r of da ys on w hic h t he inde x c losing va lue is gre a t e r t ha n or e qua l
Re fe re nc e
Re fe re nc e I nde x
t o t he inde x re fe re nc e le ve l
I nde x *
0
5
1 0
1 5
2 0
2 5
3 0
-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%
0.0000%
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%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.4000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.6000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
2.8000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.0000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.2000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
3.4000%
10.00%
0.000%
1.667%
3.333%
5.000%
6.667%
8.333%
10.000%
* Subject to the minimum interest rate of 0.00% and the maximum interest rate of 10.00%

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 S&P 500® Index is greater than or equal to the index reference level.

July 2015
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Fixed to Floating Rate Securities due 2025
Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
http://www.sec.gov/Archives/edgar/data/895421/000095010315005668/dp57978_424b2-ps376.htm[7/16/2015 1:33:32 PM]

Princ ipa l a t Risk Se c urit ie s
H ow t o c a lc ula t e t he pa ym e nt a t m a t urit y (e x c luding a ny int e re st w it h re spe c t t o t he fina l int e re st pe riod):

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:

St a t e d princ ipa l a m ount :
$1,000 per security
Ba rrie r le ve l:
50% of the initial index value
M inim um pa ym e nt a t m a t urit y:
None

Pa yoff Dia gra m
H ow it w ork s

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.

Dow nside 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 70%, the investor would lose 70% of the investor's principal and receive only $300 per security at
maturity, or 30% of the stated principal amount.

July 2015
Page 8
Fixed to Floating Rate Securities due 2025
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Le ve ra ge d CM S Curve a nd S& P 5 0 0 ® I nde x Link e d Se c urit ie s Wit h t he Pa ym e nt a t M a t urit y Subje c t t o t he
Ba rrie r Le ve l Fe a t ure Link e d t o t he S& P 5 0 0 ® I nde x
Princ ipa l a t Risk Se c urit ie s
Historical Information

T he CM S Re fe re nc e I nde x

The following graph sets forth the historical difference between the 30-Year Constant Maturity Swap Rate and the 2-Year Constant
Maturity Swap Rate for the period from January 1, 2000 to July 15, 2015 (the "historical period"). The historical difference between
the 30-Year Constant Maturity Swap Rate and the 2-Year Constant Maturity Swap Rate should not be taken as an indication of
the future performance of the CMS reference index. The graph below does not reflect the return the securities would have yielded
during the period presented because it does not take into account the index closing values or the leverage factor. We cannot give
you any assurance that the level of the CMS reference index will be positive on any CMS reference determination date. We
obtained the information in the graph below, without independent verification, from Bloomberg Financial Markets ("USSW"), which
closely parallels but is not necessarily exactly the same as the Reuters Page price sources used to determine the level of the CMS
reference index.

* T he bold line in t he gra ph indic a t e s t he CM S re fe re nc e inde x st rik e of 0 .0 0 % .

The historical performance shown above is not indicative of future performance. The CMS reference index level may be negative
on one or more specific CMS reference determination dates during the floating interest rate period even if the level of the CMS
reference index is generally positive and, moreover, the level of the CMS reference index has in the past been, and may in the
future be, negative.

I f t he le ve l of t he CM S re fe re nc e inde x is ne ga t ive on a ny CM S re fe re nc e de t e rm ina t ion da t e during t he
floa t ing int e re st ra t e pe riod, you w ill not re c e ive a ny int e re st for t he re la t e d int e re st pa ym e nt pe riod.
M ore ove r, e ve n if t he le ve l of t he CM S re fe re nc e inde x is posit ive on a ny suc h CM S re fe re nc e de t e rm ina t ion
da t e , if t he inde x c losing va lue is le ss t ha n t he inde x re fe re nc e le ve l on a ny da y during t he int e re st
pa ym e nt pe riod, you w ill not re c e ive a ny int e re st w it h re spe c t t o suc h da y, a nd if t he inde x c losing va lue
re m a ins be low t he inde x re fe re nc e le ve l for e a c h da y in t he a pplic a ble int e re st pa ym e nt pe riod, you w ill
re c e ive no int e re st for t ha t int e re st pa ym e nt pe riod.

July 2015
Page 9
http://www.sec.gov/Archives/edgar/data/895421/000095010315005668/dp57978_424b2-ps376.htm[7/16/2015 1:33:32 PM]

Document Outline

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