Obligation Morgan Stanleigh 8.75% ( US61761JKX62 ) en USD

Morgan Stanleigh

100 % ⇌

Etas-Unis

US61761JKX62 ( en USD )

8.75% par an ( paiement semestriel )

29/09/2028

Prospectus brochure de l'obligation Morgan Stanley US61761JKX62 en USD 8.75%, échéance 29/09/2028

1 000 USD

1 390 000 USD

61761JKX6

N/A

29/09/2025 ( Dans 85 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 US61761JKX62, paye un coupon de 8.75% par an.
Le paiement des coupons est semestriel et la maturité de l'Obligation est le 29/09/2028

L'Obligation émise par Morgan Stanleigh ( Etas-Unis ) , en USD, avec le code ISIN US61761JKX62, a été notée NR par l'agence de notation Moody's.

http://www.sec.gov/Archives/edgar/data/895421/000095010313005648/...
424B2 1 dp40922_424b2-ps1035.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

$ 1,390,000.00

$189.60

September 2013

Pricing Supplement No. 1,035
Registration Statement No. 333-178081
Dated September 25, 2013
Filed pursuant to Rule 424(b)(2)
STRUCTURED INVESTMENTS
Opportunities in U.S. and International Equities
Contingent Income Securities due September 29, 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 3 years. For the first 3 years, the securities will pay a fixed monthly coupon at the rate specified below. Thereafter, the securities will 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 75% of its
respective initial index value, which we refer to as the coupon barrier level. If the index closing value of either underlying index is less than the coupon barrier level
for such index on any observation date after the first 3 years, we wil pay no interest for the related interest period. At maturity, if the final index value of each underlying
index is greater than or equal to 50% of the respective initial index value, which we refer to as the downside threshold level, the payment at maturity will be the stated
principal amount and, if the final index value of each underlying index is also greater than or equal to its coupon barrier level, the related contingent monthly coupon. If,
however, the final index value of either underlying index is less than its downside threshold level, investors will be exposed to the decline in the worst performing
underlying index on a 1 to 1 basis and will receive a payment at maturity that is less than 50% of the stated principal amount of the securities and could be
zero. Accordingly, investors in the securities must be willing to accept the risk of losing their entire initial investment based on the performance of either
index and also the risk of not receiving any monthly coupons after the first 3 years. Because payments on the securities are based on the worst performing of the
underlying indices, a decline beyond the respective coupon barrier level and/or respective downside threshold level, as applicable, of either underlying index will result in
few or no contingent monthly coupons after the first 3 years and/or a significant loss of your investment, as applicable, even if the other underlying index has appreciated o
has not declined as much. These long-dated securities are for investors who are willing to risk their principal and seek an opportunity to earn interest at a potentially
above-market rate in exchange for the risk of receiving no monthly interest after the first 3 years if either underlying index closes below the coupon barrier level for such
index on the observation dates. The securities are 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:
Russell 2000® Index (the "RTY Index") and EURO STOXX 50® Index (the "SX5E Index")
Aggregate principal amount:
$1,390,000
Stated principal amount:
$1,000 per security
Issue price:
$1,000 per security (see "Commissions and issue price" below)
Pricing date:
September 25, 2013
Original issue date:
September 30, 2013 (3 business days after the pricing date)
Maturity date:
September 29, 2028
Monthly coupon:
Years 1-3: On all coupon payment dates through September 29, 2016, a fixed coupon at an annual rate of 8.75% (corresponding
to approximately $7.2917 per month per security) is paid monthly.

Years 4-15: Beginning with the October 29, 2016 coupon payment date, a contingent coupon at an annual rate of 8.75%
(corresponding to approximately $7.2917 per month per security) is paid monthly but only if the closing value of each
underlying index is at or above its respective coupon barrier level on the related observation date.

If, on any observation date in years 4-15, the closing value of either underlying index is less than the coupon barrier
level for such index, we will pay no coupon for the applicable interest period. It is possible that one or both
underlying indices will remain below the respective coupon barrier level(s) for extended periods of time or even
throughout years 4-15 so that you will receive few or no contingent monthly coupons during that period.
Coupon barrier level:
With respect to the RTY Index: 805.133, which is approximately 75% of the initial index value for such index
With respect to the SX5E Index: 2,195.513, which is approximately 75% of the initial index value for such index
Downside threshold level:
With respect to the RTY Index: 536.755, which is 50% of the initial index value for such index
With respect to the SX5E Index: 1,463.675, which is 50% of the initial index value for such index
Payment at maturity:
If the final index value of each underlying index is greater than or equal to its respective downside threshold level: the stated
principal amount and, if the final index value of each underlying index is also greater than or equal to its respective coupon
barrier level, the contingent monthly coupon with respect to the final observation date

If the final index value of either underlying index is less than its respective downside threshold level: (i) the stated principal
amount multiplied by (ii) the index performance factor of the worst performing underlying index. This amount will 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: $949.41 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
$1,390,000
$48,650
$1,341,350
(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
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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 27.

The securities involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 10.

The Securities and Exchange Commission and state securities regulators have not approved or disapproved these securities, or determined if this
document or the accompanying prospectus supplement, index supplement and prospectus is truthful or complete. Any representation to the contrary is a
criminal offense.

The securities are not bank deposits and are not insured by the Federal Deposit Insurance Corporation or any other governmental agency, nor are they
obligations of, or guaranteed by, a bank.

You should read this document together with the related prospectus supplement, index supplement and prospectus, each of which can be accessed via
the hyperlinks below. Please also see "Additional Information About the Securities" at the end of this document.

Prospectus Supplement dated November 21, 2011
Index Supplement dated November 21, 2011 Prospectus dated November 21, 2011

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Contingent Income Securities due September 29, 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: 1,073.51, which is the index closing value of such index on the pricing date
With respect to the SX5E Index: 2,927.35, 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 29th day of each month (or in the case of February, the last calendar day of such month), beginning October 29,
2013; provided that if any such day is not a business day, that monthly coupon, if any, will be paid on the next succeeding
business day and no adjustment will 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 October 29, 2016 coupon
payment date, subject to postponement for non-index business days and certain market disruption events. We also refer to the
third scheduled business day prior to the scheduled maturity date as the final observation date.
CUSIP / ISIN:
61761JKX6 / US61761JKX62
Listing:
The securities will not be listed on any securities exchange.

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Contingent Income Securities due September 29, 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 September 29, 2028 Payments on the Securities Based on the Worst Performing of the Russel 2000® Index and the
EURO STOXX 50® Index (the "securities") do not guarantee the repayment of principal and do not provide for the regular payment of interest after the
first 3 years. For the first 3 years, the securities wil pay a fixed monthly coupon at the rate specified below. Thereafter, the securities wil pay a
contingent monthly coupon but only if the index closing value of each of the Russell 2000® Index and the EURO STOXX 50® Index (which we refer to
together as the "underlying indices") is at or above 75% of its respective initial index value, which we refer to as the coupon barrier level, on the related
observation date. If the index closing value of either underlying index is less than the coupon barrier level for such index on any observation date after
the first 3 years, we wil pay no coupon for the related monthly period. It is possible that the index closing value of one or both underlying indices wil
remain below the respective coupon barrier level(s) for extended periods of time or even throughout years 4-15 so that you wil receive few or no
contingent monthly coupons during that period. We refer to the coupon on the securities after the first 3 years as contingent, because there is no
guarantee that you wil receive a coupon payment on any coupon payment date during that period. Even if an underlying index were to be at or above the
coupon barrier level for such index on some monthly observation dates, it may fluctuate below the coupon barrier level on others. In addition, even if one
underlying index were to be at or above the coupon barrier level for such index on all monthly observation dates, you wil receive a contingent monthly
coupon during years 4-15 only with respect to the observation dates on which the other underlying index is also at or above the coupon barrier level for
such index, if any. At maturity, if the final index value of each underlying index is greater than or equal to 50% of the respective initial index value, which
we refer to as the downside threshold level, the payment at maturity wil be the stated principal amount and, if the final index value of each underlying
index is also greater than or equal to its coupon barrier level, the related contingent monthly coupon. If, however, the final index value of either underlying
index is less than its downside threshold level, investors wil be exposed to the decline in the worst performing underlying index on a 1 to 1 basis and wil
receive a payment at maturity that is less than 50% of the stated principal amount of the securities and could be zero. Accordingly, investors in the
securities must be willing to accept the risk of losing their entire initial investment based on the performance of either index and also the risk
of not receiving any monthly coupons after the first 3 years.

Maturity:
Approximately 15 years
Monthly coupon:
Years 1-3: On all coupon payment dates through September 2016, a fixed coupon at an annual rate of 8.75%
(corresponding to approximately $7.2917 per month per security) is paid monthly.

Years 4-15: Beginning with the October 2016 coupon payment date, a contingent coupon at an annual rate of 8.75%
(corresponding to approximately $7.2917 per month per security) is paid monthly but only if the closing value of each
underlying index is at or above its respective coupon barrier level on the related observation date.

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

If the final index value of either underlying index is less than its respective downside threshold level: (i) the stated
principal amount multiplied by (i ) the index performance factor of the worst performing underlying index. This amount
wil be less than 50% of the stated principal amount of the securities and could be zero.
Morgan Stanley clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York
10036 (telephone number (866) 477-4776). Al other clients may contact their local brokerage representative. Third-party distributors may contact
Morgan Stanley Structured Investment Sales at (800) 233-1087.

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Contingent Income Securities due September 29, 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 $949.41.

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, the coupon barrier level or the downside threshold 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 September 29, 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 3 years. Thereafter, the securities do not provide for the
regular payment of interest and instead wil pay a contingent monthly coupon but only if the index closing value of each underlying index is at or above
75% of its initial index value, which we refer to as the coupon barrier level, on the related observation date. These securities are for investors who are
wil ing to risk their principal and seek an opportunity to earn interest at a potential y above-market rate in exchange for the risk of receiving no monthly
interest after the first 3 years if either underlying index closes below the coupon barrier level for such index on the observation dates. The fol owing
scenarios are for il ustration purposes only to demonstrate how the payment at maturity and monthly coupon is calculated, and do not attempt to
demonstrate every situation that may occur. Accordingly, the contingent monthly coupon may be payable with respect to none of, or some but not al of,
the monthly periods during years 4-15, and the payment at maturity may be less than 50% of the stated principal amount and could be zero.

Scenario 1: A contingent monthly
This scenario assumes that during years 4-15, each underlying index closes at or above its respective
coupon is paid for al interest periods,
coupon barrier level on every monthly observation date. Investors receive the 8.75% per annum contingent
and investors receive principal back at
monthly coupon for each interest period during the term of the securities. At maturity, each underlying index
maturity, which is the best case
closes above its respective downside threshold level and coupon barrier level, and so investors receive the
scenario.
stated principal amount and the contingent monthly coupon with respect to the final observation date.
Scenario 2: A contingent monthly
This scenario assumes that each underlying index closes at or above its respective coupon barrier level on
coupon is paid for some, but not al ,
some monthly observation dates after the first 3 years, but one or both underlying indices close below the
interest periods, and investors receive
respective coupon barrier level(s) for such index on the others. Investors receive the fixed monthly coupon
principal back at maturity.
for the monthly interest periods during the first 3 years. Investors wil receive the contingent monthly coupon
for the monthly interest periods during years 4-15 for which the index closing value of each underlying index is
at or above its respective coupon barrier level on the related observation date, but not for the interest periods
for which one or both underlying indices close below the respective coupon barrier level(s) on the related
observation date. On the final observation date, each underlying index closes at or above its downside
threshold level. At maturity, investors receive the stated principal amount and, depending on whether each
final index value is greater than, equal to or below the respective coupon barrier level, the contingent monthly
coupon with respect to the final observation date.
Scenario 3 : No contingent monthly
This scenario assumes that one or both underlying indices close below the respective coupon barrier level(s)
coupon is paid for any interest period
on every monthly observation date during years 4-15. Since one or both underlying indices close below the
during years 4-15, and investors
respective coupon barrier level(s) on every monthly observation date during years 4-15, investors do not
suffer a substantial loss of principal at
receive any contingent monthly coupon during this period. On the final observation date, one or both
maturity.
underlying indices close below the respective downside threshold level(s). At maturity, investors wil receive
an amount equal to the stated principal amount multiplied by the index performance factor of the worst
performing underlying index, which wil be less than 50% of the stated principal amount and could be zero.

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Contingent Income Securities due September 29, 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 September 25, 2013:

Bloomberg Ticker Symbol:
RTY
Current Index Value:
1,073.51
52 Weeks Ago:
839.12
52 Week High (on 9/18/2013):
1,076.97
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 September 25, 2013:

Bloomberg Ticker Symbol:
SX5E
Current Index Value:
2,927.35
52 Weeks Ago:
2,568.48
52 Week High (on 9/19/2013):
2,936.20
52 Week Low (on 11/16/2012):
2,427.32

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 September 29, 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 3 years, you will receive a fixed monthly
coupon at a rate of 8.75% per annum regardless of the performance of the underlying indices. Whether you receive a contingent monthly coupon after the
first 3 years wil be determined by reference to the index closing value of each underlying index on each monthly observation date, and the amount you wil
receive at maturity, if any, wil be determined by reference to the final index value of each underlying index on the final observation date. The actual initial
index value, coupon barrier level, and downside threshold level for each underlying index are set forth on the cover of this document. Al payments on the
securities, if any, are subject to the credit risk of Morgan Stanley. The below examples are based on the fol owing terms:

Monthly Coupon:
Years 1-3: On al coupon payment dates through September 2016, a fixed coupon at an annual rate of 8.75%
(corresponding to approximately $7.2917 per month per security) is paid monthly.*

Years 4-15: Beginning with the October 2016 coupon payment date, a contingent coupon at an annual rate of
8.75% (corresponding to approximately $7.2917 per month per security) is paid monthly but only if the closing
value of each underlying index is at or above its respective coupon barrier level on the related observation date.*

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

If the final index value of either underlying index is less than its respective downside threshold level: (i) the
stated principal amount multiplied by (i ) the index performance factor of the worst performing underlying
index. This amount wil be less than 50% of the stated principal amount of the securities and could be zero.
Stated Principal Amount:
$1,000
Hypothetical Initial Index Value:
With respect to the RTY Index: 1,000
With respect to the SX5E Index: 2,700
Hypothetical Coupon Barrier Level:
With respect to the RTY Index: 750, which is 75% of the hypothetical initial index value for such index
With respect to the SX5E Index: 2,025, which is 75% of the hypothetical initial index value for such index
Hypothetical Downside Threshold 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 will 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 $7.2917 is used in these examples for ease of analysis.

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Contingent Income Securities due September 29, 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

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

Index Closing Value
Contingent Monthly Coupon

RTY Index
SX5E Index

Hypothetical Observation Date 1
900 (at or above coupon
2,200 (at or above coupon barrier
$7.2917
barrier level)
level)
Hypothetical Observation Date 2
1,200 (at or above coupon
1,600 (below coupon barrier level)
$0
barrier level)
Hypothetical Observation Date 3
600 (below coupon barrier
2,300 (at or above coupon barrier
$0
level)
level)
Hypothetical Observation Date 4
500 (below coupon barrier
1,500 (below coupon barrier level)
$0
level)

On hypothetical observation date 1, both the RTY Index and SX5E Index close at or above their respective coupon barrier levels. Therefore a contingent
monthly coupon of $7.2917 is paid on the relevant coupon payment date.

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

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

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

How to calculate the payment at maturity:

Final Index Value
Payment at Maturity

RTY Index
SX5E Index

Example 1:
900 (at or above the downside 2,300 (at or above the downside threshold level and coupon$1,007.2917 (the stated principal amount
threshold level and coupon
barrier level)
plus the contingent monthly coupon with
barrier level)
respect to the final observation date)
Example 2:
600 (at or above the downside 2,200 (at or above the downside threshold level and coupon
$1,000.00
threshold level but below the
barrier level)
(the stated principal amount)
coupon barrier level)
Example 3:
850 (at or above the downside
1,080 (below the downside threshold level)
$1,000 x index performance factor of the
threshold level)
worst performing underlying index =
$1,000 x (1,080 / 2,700) = $400
Example 4:
400 (below the downside
1,400 (at or above the downside threshold level)
$1,000 x (400 / 1,000) = $400
threshold level)
Example 5:
300 (below the downside
1,080 (below the downside threshold level)
$1,000 x (300 / 1,000) = $300
threshold level)
Example 6:
400 (below the downside
810 (below the downside threshold level)
$1,000 x (810 / 2,700) = $300
threshold level)

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http://www.sec.gov/Archives/edgar/data/895421/000095010313005648/...

Contingent Income Securities due September 29, 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

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

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

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

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

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

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