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<SEC-DOCUMENT>0000950103-12-003729.

txt : 20120724
<SEC-HEADER>0000950103-12-003729.hdr.sgml : 20120724
<ACCEPTANCE-DATETIME>20120724164615
ACCESSION NUMBER:
0000950103-12-003729
CONFORMED SUBMISSION TYPE:
424B2
PUBLIC DOCUMENT COUNT:
3
FILED AS OF DATE:
20120724
DATE AS OF CHANGE:
20120724
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME:
CENTRAL INDEX KEY:
STANDARD INDUSTRIAL CLASSIFICATION:
S & FLOTATION COMPANIES [6211]
IRS NUMBER:
STATE OF INCORPORATION:
FISCAL YEAR END:
FILING VALUES:
FORM TYPE:
SEC ACT:
SEC FILE NUMBER:
FILM NUMBER:

424B2
1933 Act
333-178081
12977006

BUSINESS ADDRESS:
STREET 1:
CITY:
STATE:
ZIP:
BUSINESS PHONE:

1585 BROADWAY
NEW YORK
NY
10036
212-761-4000

MAIL ADDRESS:
STREET 1:
CITY:
STATE:
ZIP:

1585 BROADWAY
NEW YORK
NY
10036

MORGAN STANLEY
0000895421
SECURITY BROKERS, DEALER
363145972
DE
1231

FORMER COMPANY:
FORMER CONFORMED NAME: MORGAN STANLEY DEAN WITTER & CO
DATE OF NAME CHANGE:
19980326
FORMER COMPANY:
FORMER CONFORMED NAME: DEAN WITTER DISCOVER & CO
DATE OF NAME CHANGE:
19960315
</SEC-HEADER>
<DOCUMENT>
<TYPE>424B2
<SEQUENCE>1
<FILENAME>dp31814_424b2-ps256.htm
<DESCRIPTION>FORM 424B2
<TEXT>
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<head>
<title></title>
</head>
<body bgcolor="#ffffff" style="TEXT-INDENT: 0pt; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; MARGIN-LEFT: 5%; FONT-SIZE: 10pt; MARGIN-RIGHT: 5%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="left">
<div>
<div>
<table bgcolor="white" cellpadding="0" cellspacing="0" width="100%" style="FONTFAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times ne
w roman">
<tr bgcolor="white">
<td colspan="5" valign="bottom" width="100%" style="TEXT-INDENT: 0pt; MARGIN-LEF
T: 0pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt" align="center
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ont style="DISPLAY: inline; FONT-WEIGHT: bold"><font style="FONT-STYLE: italic;
DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">CALCULATION OF R
EGISTRATION FEE</font></font></font></div>
</td>
</tr><tr bgcolor="white">
<td valign="bottom" width="30%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td width="10%"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">&#160;</font></td>
<td width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">&#160;</font></td>
<td width="10%"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">&#160;</font></td>
<td valign="bottom" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr bgcolor="white">
<td nowrap valign="bottom" width="30%" style="BORDER-BOTTOM: black 2px solid; TE
XT-ALIGN: left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 9pt"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">Title of Each Class of Securities Offered</font></f
ont></td>
<td width="10%" style="PADDING-BOTTOM: 2px"><font style="DISPLAY: inline; FONT-F
AMILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td width="25%" style="BORDER-BOTTOM: black 2px solid">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt" align="center
"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 9pt"><f
ont style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">Maximum Aggregate</font></font></div>
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt" align="center
"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 9pt"><f
ont style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">Offering Price</font></font></div>
</td>
<td width="10%" style="PADDING-BOTTOM: 2px"><font style="DISPLAY: inline; FONT-F
AMILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="bottom" width="25%" style="BORDER-BOTTOM: black 2px solid; TEXT-INDE
NT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt" align="center
"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 9pt"><f
ont style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">Amount of Registration</font></font></div>
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt" align="center
"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 9pt"><f
ont style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">Fee</font></font></div>
</td>

</tr><tr bgcolor="white">
<td nowrap valign="top" width="30%" style="TEXT-ALIGN: left">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Contingent Income Securities due 2017</font></div>
</div>
</div>
</td>
<td valign="top" width="10%" style="PADDING-BOTTOM: 2px"><font style="DISPLAY: i
nline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="25%">
<div style="TEXT-ALIGN: center">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">$4,483,000</font></div>
</div>
</div>
</td>
<td valign="top" width="10%" style="PADDING-BOTTOM: 2px"><font style="DISPLAY: i
nline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="25%" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-R
IGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt" align="left">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">$513.75</font></div>
</div>
</div>
</div>
</div>
</td>
</tr></table>
</div>
<div>&#160;</div>
</div>
<div align="center">
<table bgcolor="white" cellpadding="0" cellspacing="0" width="100%" style="FONTFAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times ne
w roman">
<tr>
<td width="50%">
<div><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt"><font style="DI
SPLAY: inline; FONT-WEIGHT: bold"><font style="FONT-STYLE: italic; DISPLAY: inli
ne">PROSPECTUS dated November 21, 2011</font></font></font></div>

<div><font style="DISPLAY: inline; FONT-WEIGHT: bold"><font style="FONT-STYLE: i


talic; DISPLAY: inline">PROSPECTUS SUPPLEMENT dated November 21, 2011</font></fo
nt></div>
<div><font style="DISPLAY: inline; FONT-WEIGHT: bold"><font style="FONT-STYLE: i
talic; DISPLAY: inline">INDEX SUPPLEMENT dated November 21, 2011&#160;</font></f
ont></div>
</td>
<td width="50%" style="TEXT-ALIGN: right; TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MA
RGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: right; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0p
t; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt
"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Pricing Supplement No. 256 to</font>
</font></div>
<div style="TEXT-ALIGN: right; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0p
t; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt
"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Registration Statement No. 333-17808
1</font></font></div>
<div style="TEXT-ALIGN: right; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0p
t; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt
"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Dated July 20, 2012 </font></font>
<div style="TEXT-ALIGN: right; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0p
t; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt
"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold"><font style="FONT-STYLE: italic; DIS
PLAY: inline; FONT-FAMILY: times new roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT:
bold">Rule 424(b)(2)</font></font></font></div>
</div>
</td>
</tr></table>
</div>
<div>&#160;</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman, serif; FONT-SIZE: 16pt; FONT-WEIGHT: bold">$4,483,000</font></
div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><img src="logo.jpg"></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">GLOBAL MEDIUM-TERM NOTES,
SERIES F</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:

Times New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Senior Notes </font>


<div>
<hr style="COLOR: #000000" align="center" noshade size="1" width="25%">
</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman, serif; FONT-SIZE: 13pt; FONT-WEIGHT: bold">Contingent Income S
ecurities due July 25, 2017</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold"><font style="DISPLAY: inli
ne; FONT-SIZE: 10pt">All Payments on the Securities Subject to the Downside Thre
shold Feature Linked to the S&amp;P 500</font><font style="DISPLAY: inline; FONT
-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> <font style="DISPLAY: inline
; FONT-SIZE: 10pt">Index</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 10pt">Unlike ordinary debt securities, the Contingent
Income Securities due July 25, 2017, All Payments on the Securities Subject to
the Downside Threshold Feature Linked to the S&amp;P 500<font style="DISPLAY: in
line; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index, which we re
fer to as the securities, do not provide for the regular payment of interest or
guarantee the return of any principal at maturity.&#160;&#160;Instead, the secur
ities offer the opportunity for investors to earn a contingent monthly payment <
font style="DISPLAY: inline; FONT-WEIGHT: bold">but only if</font> the index clo
sing value of the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTI
CAL-ALIGN: text-top">&#174;</font> Index on the applicable monthly determination
date is greater than or equal to 70% of the initial index value, which we refer
to as the downside threshold level.&#160;&#160;If the index closing value is le
ss than the downside threshold level on any determination date, you will not rec
eive any contingent monthly payment for that monthly period.&#160;&#160;As a res
ult, investors must be willing to accept the risk of not receiving any contingen
t monthly payment during the entire five-year term of the securities.&#160;&#160
;In addition, at maturity, if the final index value is less than the downside th
reshold level, investors will be exposed to the decline in the closing value of
the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: tex
t-top">&#174;</font> Index and the payment at maturity will be less than 70% of
the stated principal amount of the securities and could be zero.&#160;&#160;<fon
t style="DISPLAY: inline; FONT-WEIGHT: bold">Accordingly, investors may lose the
ir entire initial investment in the securities</font>.&#160;&#160;Investors will
not participate in any appreciation of the S&amp;P 500<font style="DISPLAY: inl
ine; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index.&#160;&#160;T
he securities are for investors who seek an opportunity to earn interest at an a
bove-market rate in exchange for the risk of losing their principal and the risk
of receiving no contingent monthly coupon when the S&amp;P 500<font style="DISP
LAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index on th
e related determination date closes below the downside threshold level.&#160;&#1
60;The securities are senior unsecured obligations of Morgan Stanley, and all pa
yments on the securities are subject to the credit risk of Morgan Stanley.</font
></div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">

<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The principal a
mount and original issue price of each security is $1,000.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The securities
will pay a contingent monthly payment of&#160;&#160;$7.9167 (corresponding to 9.
5% per annum of the stated principal amount) per security </font><font style="FO
NT-STYLE: italic; DISPLAY: inline; FONT-WEIGHT: bold">but only if</font><font st
yle="FONT-STYLE: italic; DISPLAY: inline"> the index closing value of the S&amp;
P 500</font><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-SIZE: 70%; VE
RTICAL-ALIGN: text-top">&#174;</font><font style="FONT-STYLE: italic; DISPLAY: i
nline"> Index on the related determination date is greater than or equal to the
downside threshold level.</font></font></div>
</td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 1.2pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMIL
Y: Times New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">However, if, on any mont
hly determination date, the index closing value is less than the downside thresh
old level, you will receive no contingent monthly payment for that monthly perio
d.</font></div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">At maturity you
will receive for each $1,000 stated principal amount you hold:</font></font></d

iv>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt
">&#160; </font></div>
</td>
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">&#186;</font></d
iv>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">if the final in
dex value is greater than or equal to the downside threshold level: $1,000 plus
the relevant contingent monthly payment; or</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt
">&#160; </font></div>
</td>
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt">&#186;</font></d
iv>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">if the final in
dex value is less than the downside threshold level: $1,000 x the index performa
nce factor.</font><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-WEIGHT:
bold">&#160;&#160;In this case, the payment at maturity will be less than 70% o
f the stated principal amount of the securities and could be zero.</font></font>
</div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">

<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="


DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The downside th
reshold level is 953.862, which is equal to 70% of the initial index value.</fon
t></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The index perfo
rmance factor will be a fraction equal to the final index value divided by the i
nitial index value.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The initial ind
ex value will equal the index closing value on July 20, 2012, the day we price t
he securities for initial sale to the public, which we refer to as the pricing d
ate.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS

PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>


</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The final index
value will equal the index closing value on the final determination date.</font
></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The contingent
payment dates are the 25th day of each month, beginning August 25, 2012; provide
d that if any such day is not a business day, that contingent monthly payment wi
ll be made on the next succeeding business day and no adjustment will be made to
any contingent monthly payment made on that succeeding business day.</font></fo
nt></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The determinati
on dates are three business days prior to the related contingent payment date,</
font><font style="DISPLAY: inline; FONT-SIZE: 10pt">&#160;</font><font style="FO
NT-STYLE: italic; DISPLAY: inline">except that the determination date immediatel
y preceding the maturity date, which we refer to as the final determination date
, shall be the second business day prior to the maturity date.&#160;&#160;The de
termination dates are subject to postponement due to non-index business days or
certain market disruption events.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE

: 10pt; FONT-FAMILY: times new roman">


<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The maturity da
te may be postponed as a result of the postponement of the final determination d
ate.&#160;&#160;No adjustment will be made to any contingent monthly payment mad
e on that postponed date.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The securities
will not be listed on any securities exchange.</font></font></div>
</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10pt"><font style="DIS
PLAY: inline; FONT-SIZE: 10pt">&#8226;</font></font></div>
</td>
<td>
<div align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">The CUSIP numbe
r for the securities is 617482V43 and the ISIN for the securities is US617482V43
8.</font></font></div>
</td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 10pt">You should read the more detailed description o

f the securities in this pricing supplement.&#160;&#160;In particular, you shoul


d review and understand the descriptions in &#8220;Summary of Pricing Supplement
&#8221; and &#8220;Description of Securities.&#8221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 12pt; FONT-WEIGHT: bold">The securities are riskier t
han ordinary debt securities.&#160;&#160;See &#8220;Risk Factors&#8221; beginnin
g on PS-10.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">The Securities and Exchange
Commission and state securities regulators have not approved or disapproved thes
e securities, or determined if this pricing supplement is truthful or complete.&
#160;&#160;Any representation to the contrary is a criminal offense.</font></div
>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center">
<hr style="COLOR: #000000" align="center" noshade size="1" width="25%">
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold"><font size="2">&#160
;</font>PRICE $1,000 PER SECURITY</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center">
<hr style="COLOR: #000000" align="center" noshade size="1" width="25%">
</div>
<div align="left">
<table cellpadding="0" cellspacing="5" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="bottom" width="44%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="13%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Price to Public</fon
t></div>
</div>
</td>
<td valign="bottom" width="17%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Agent&#8217;s Commis
sions<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">(1)
</font></font></div>
</div>
</td>
<td valign="bottom" width="15%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Proceeds to Issuer</
font></div>
</div>
</td>
</tr><tr>
<td align="left" valign="top" width="44%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAM
ILY: times new roman, serif; FONT-SIZE: 9pt">Per security</font></div>
</td>
<td valign="top" width="13%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$1,000</font></div>
</td>
<td valign="top" width="17%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$30</font></div>
</td>
<td valign="top" width="15%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$970</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="44%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAM
ILY: times new roman, serif; FONT-SIZE: 9pt">Total</font></div>
</td>
<td valign="top" width="13%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$4,483,000</font></div>
</td>
<td valign="top" width="17%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$134,490</font></div>
</td>
<td valign="top" width="15%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
times new roman, serif; FONT-SIZE: 9pt">$4,348,510</font></div>

</td>
</tr></table>
</div>
<div>
<table align="center" border="0" cellpadding="0" cellspacing="0" id="hanginginde
nt" width="100%" style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE
: 10pt; FONT-FAMILY: times new roman">
<tr valign="top">
<td style="WIDTH: 18pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt"><font style="
FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT-SIZE: 10
pt">(1)</font></div>
</td>
<td>
<div align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt">Selected dealers and their financial advisors
will collectively receive from the agent, Morgan Stanley &amp; Co. LLC (&#8220;
MS &amp; Co.&#8221;), a fixed sales commission of $30 for each security they sel
l.&#160;&#160;See &#8220;Description of Securities&#8212;Supplemental Informatio
n Concerning Plan of Distribution; Conflicts of Interest&#8221; in this pricing
supplement.&#160;&#160;For additional information, see &#8220;Plan of Distributi
on (Conflicts of Interest)&#8221; in the accompanying prospectus supplement.</fo
nt></div>
</td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">The agent for this offering,
Morgan Stanley &amp; Co. LLC, is our wholly owned subsidiary.&#160;&#160;See &#
8220;Description of Securities&#8212;Supplemental Information Concerning Plan of
Distribution; Conflicts of Interest&#8221; in this pricing supplement.</font></
div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY: T
imes New Roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">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 ban
k.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman, serif; FONT-SIZE: 16pt; FONT-WEIGHT: bold">MORGAN STANLEY</fon
t></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center">&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F

ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>


</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">For a description of certain restrictions on of
fers, sales and deliveries of the securities and on the distribution of this pri
cing supplement and the accompanying prospectus supplement and prospectus relati
ng to the securities, see the section of this pricing supplement called &#8220;D
escription of Securities&#8212;Supplemental Information Concerning Plan of Distr
ibution; Conflicts of Interest.&#8221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">No action has been or will be taken by us, the
agent or any dealer that would permit a public offering of the securities or pos
session or distribution of this pricing supplement or the accompanying prospectu
s supplement or prospectus in any jurisdiction, other than the United States, wh
ere action for that purpose is required.&#160;&#160;Neither this pricing supplem
ent nor the accompanying prospectus supplement and prospectus may be used for th
e purpose of an offer or solicitation by anyone in any jurisdiction in which suc
h offer or solicitation is not authorized or to any person to whom it is unlawfu
l to make such an offer or solicitation.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">The securities have not been and will not be re
gistered with the Comiss&#227;o de Valores Mobili&#225;rios (The Brazilian Secur
ities Commission).&#160;&#160;The securities may not be offered or sold in the F
ederative Republic of Brazil except in circumstances which do not constitute a p
ublic offering or distribution under Brazilian laws and regulations.</font></div
>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0


pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">The securities have not been registered with th
e Superintendencia de Valores y Seguros in Chile and may not be offered or sold
publicly in Chile.&#160;&#160;No offer, sales or deliveries of the securities or
distribution of this pricing supplement or the accompanying prospectus suppleme
nt, index supplement or prospectus, may be made in or from Chile except in circu
mstances which will result in compliance with any applicable Chilean laws and re
gulations.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">WARNING: The contents of this pricing supplemen
t, the accompanying prospectus supplement, the accompanying index supplement and
the accompanying prospectus have not been reviewed by any regulatory authority
in Hong Kong.&#160;&#160;You are advised to exercise caution in relation to the
offer.&#160;&#160;If you are in any doubt about any of the contents of this pric
ing supplement, the accompanying prospectus supplement, the accompanying index s
upplement or the accompanying prospectus, you should obtain independent professi
onal advice.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">None of this pricing supplement, the accompanyi
ng prospectus supplement, the accompanying index supplement, the accompanying pr
ospectus and their contents have been reviewed by any regulatory authority in Ho
ng Kong.&#160;&#160;Accordingly, no person may issue or have in its possession f
or the purposes of issue, whether in Hong Kong or elsewhere, any advertisement,
invitation or document relating to the securities, which is directed at, or the
contents of which are likely to be accessed or read by, the public of Hong Kong
(except if permitted to do so under the applicable securities law of Hong Kong)
other than with respect to the securities which are intended to be disposed of o
nly to persons outside Hong Kong or only to &#8220;professional investors&#8221;
within the meaning of the Securities and Futures Ordinance (Chapter 571 of Hong
Kong) and any rules made under that Ordinance.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">The securities have not been registered with th
e National Registry of Securities maintained by the Mexican National Banking and
Securities Commission and may not be offered or sold publicly in Mexico.&#160;&
#160;This pricing supplement and the accompanying prospectus supplement, index s
upplement and prospectus may not be publicly distributed in Mexico.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">None of this pricing supplement, the accompanyi

ng prospectus supplement, the accompanying index supplement and the accompanying


prospectus have been registered as a prospectus with the Monetary Authority of
Singapore.&#160;&#160;Accordingly, none of this pricing supplement, the accompan
ying prospectus supplement, the accompanying index supplement and the accompanyi
ng prospectus and any other document or material in connection with the offer or
sale, or invitation for subscription or purchase, of the securities may be circ
ulated or distributed, nor may the securities be offered or sold, or be made the
subject of an invitation for subscription or purchase, whether directly or indi
rectly, to persons in Singapore other than (i)&#160;&#160;to an institutional in
vestor under Section 274 of the Securities and Futures Act, Chapter 289 of Singa
pore (the &#8220;SFA&#8221;), (ii) to a relevant person pursuant Section 275(1),
or any person pursuant to Section 275(1A), and in accordance with the condition
s, specified in Section 275 of the SFA</font></div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left">&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
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<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-2</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">&#160;or (iii) otherwise pursuant to, and in ac
cordance with the conditions of, any other applicable provision of the SFA.&#160
;&#160;Where securities are subscribed or purchased under Section 275 by a relev
ant person which is:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">(a) a corporation (which is not an accredited i
nvestor (as defined in Section 4A of the SFA)) the sole business of which is to
hold investments and the entire share capital of which is owned by one or more i
ndividuals, each of whom is an accredited investor; or</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">(b) a trust (where the trustee is not an accred
ited investor) whose sole purpose is to hold investments and each beneficiary of
the trust is an individual who is an accredited investor,</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">shares, debentures and units of shares and deben
tures of that corporation or the beneficiaries&#8217; rights and interests (hows
oever described) in that trust shall not be transferred within six months after
that corporation or that trust has acquired the securities pursuant to an offer
made under Section 275 except:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">(1)&#160;&#160;&#160;&#160;&#160;&#160;to an in
stitutional investor (for corporations under Section 274 of the SFA) or to a rel
evant person defined in Section 275(2) of the SFA, or to any person pursuant to
an offer that is made on terms that such shares, debentures and units of shares
and debentures of that corporation or such rights and interest in that trust are
acquired at a consideration of not less than S$200,000 (or its equivalent in a
foreign currency) for each transaction, whether such amount is to be paid for in
cash or by exchange of securities or other assets, and further for corporations
, in accordance with the conditions specified in Section 275 of the SFA;</font><
/div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">(2)&#160;&#160;&#160;&#160;&#160;&#160;where no
consideration is or will be given for the transfer; or</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FON
T-SIZE: 10pt; FONT-WEIGHT: bold">(3)&#160;&#160;&#160;&#160;&#160;&#160;where th
e transfer is by operation of law.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>

<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">


<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-3</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">SUMMARY OF PRICING SUPPLEMENT</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt">The following summary describes the securities
in general terms only.&#160;&#160;You should read the summary together with the
more detailed information that is contained in the rest of this pricing supplem
ent and in the accompanying prospectus supplement, index supplement and prospect
us.&#160;&#160;You should carefully consider, among other things, the matters se
t forth in &#8220;Risk Factors.&#8221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt">The securities are medium-term debt securities
of Morgan Stanley.&#160;&#160;The securities do not provide for the regular pay
ment of interest or guarantee the return of any principal at maturity.&#160;&#16
0;Instead, the securities offer the opportunity for investors to earn a continge
nt monthly payment with respect to each monthly determination date <font style="
DISPLAY: inline; FONT-WEIGHT: bold">but only if</font> the index closing value o
f the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: t
ext-top">&#174;</font> Index is greater than or equal to 70% of the initial inde
x value, which we refer to as the downside threshold level.&#160;&#160;In additi
on, if the final index value is less than the downside threshold level, investor
s will be exposed to the decline in the closing value of the S&amp;P 500<font st
yle="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> In
dex and the payment at maturity will be less than 70% of the stated principal am
ount of the securities and could be zero.&#160;&#160;The securities have been de
signed for investors who are willing to forgo market floating interest rates and
accept the risk of no interest payments during the entire term of the securitie
s or return of principal in exchange for an opportunity to earn interest at a po
tentially above-market rate if the S&amp;P 500<font style="DISPLAY: inline; FONT
-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index closes at or above the

downside threshold level on each monthly determination date.&#160;&#160;Investo


rs will not participate in any appreciation of the S&amp;P 500<font style="DISPL
AY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index.&#160;
&#160;All payments on the securities are subject to the credit risk of Morgan St
anley.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 18pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0
pt" align="left"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY:
Times New Roman; FONT-SIZE: 10pt">&#8220;Standard &amp; Poor&#8217;s<font style=
"DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font>&#8221;
, &#8220;S&amp;P<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: te
xt-top">&#174;</font>&#8221;, &#8220;S&amp;P 500<font style="DISPLAY: inline; FO
NT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font>&#8221;, &#8220;Standard &a
mp; Poor&#8217;s 500&#8221; and &#8220;500&#8221; are trademarks of Standard and
Poor&#8217;s Financial Services LLC, an affiliate of The McGraw-Hill Companies,
Inc. and have been licensed for use by Morgan Stanley.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Each security costs $1,000</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">We, Morgan Stanley, are offering the Contingent Income Securities d
ue July 25, 2017, All Payments on the Securities Subject to the Downside Thresho
ld Feature Linked to the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%
; VERTICAL-ALIGN: text-top">&#174;</font> Index, which we refer to as the securi
ties.&#160;&#160;The principal amount and original issue price of each security
is $1,000.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The original issue price of the securities includes the agent&#8217
;s commissions paid with respect to the securities as well as the cost of hedgin
g our obligations under the securities.&#160;&#160;The cost of hedging includes
the projected profit that our subsidiaries may realize in consideration for assu
ming the risks inherent in managing the hedging transactions.&#160;&#160;The sec

ondary market price, if any, at which Morgan Stanley &amp; Co. LLC, which we ref
er to as MS &amp; Co., is willing to purchase the securities is expected to be a
ffected adversely by the inclusion of these commissions and hedging costs in the
original issue price.&#160;&#160;In addition, the secondary market price may be
lower due to the costs of unwinding the related hedging transactions at the tim
e of the secondary market transaction.&#160;&#160;See &#8220;Risk Factors&#8212;
The inclusion of commissions and projected profit from hedging in the original i
ssue price is likely to adversely affect secondary market prices&#8221; and &#82
20;Description of Securities&#8212;Use of Proceeds and Hedging.&#8221;</font></d
iv>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The securities do not guarantee the return of an
y principal at maturity</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%" style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; MARGIN-L
EFT: 0pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new rom
an; FONT-SIZE: 10pt">At maturity you will receive for each $1,000 stated princip
al amount you hold:</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new rom
an; FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new rom
an; FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&
#183;<font id="TAB2" style="LETTER-SPACING: 9pt">&#160; </font></font>if the fin
al index value is greater than or equal to the downside threshold level: $1,000
<font style="FONT-STYLE: italic; DISPLAY: inline">plus</font> the contingent mon
thly payment with respect to the final determination date; or</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new rom
an; FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&
#183;<font id="TAB2" style="LETTER-SPACING: 9pt">&#160; </font></font>if the fin
al index value, is less than the downside threshold level: $1,000 <font style="F
ONT-STYLE: italic; DISPLAY: inline">multiplied by</font> the index performance f
actor</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt">&#160;</div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-F
AMILY: times new roman; FONT-SIZE: 10pt">where,</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 1
8pt; MARGIN-RIGHT: 0pt">&#160;</div>

<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt


; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">final index value = The index closing value of the underlying
index on the final determination date.</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-4</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%" style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; MARGIN-L
EFT: 0pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">initial index value = 1,362.66, which is the index closing value
on the pricing date.</font></font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">downside threshold level = 953.862, which is 70% of the initial i
ndex value.</font></font></div>

<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt


; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">index closing value = On any index business day, the official clo
sing value of the underlying index published at the regular official weekday clo
se of trading on such index business day by the underlying index publisher, as d
etermined by the calculation agent.</font></font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">index performance factor = The final index value <font style="FON
T-STYLE: italic; DISPLAY: inline">divided by</font> the initial index value, as
expressed by the following formula:</font></font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt; TEXT-DECORATION: underline"><font style="DISPLAY: inline">final
index value</font></font></font></div>
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">initial index value</font></font></div>
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">&#160;</font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">If the final index value is less than the down
side threshold level, you will be exposed to the full amount of decline in the i
ndex closing value from the initial index value.&#160;&#160;Under this scenario,
your payment at maturity will be less than 70% of the stated principal amount a
nd could be zero.</font></font></div>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT

-SIZE: 10pt; FONT-WEIGHT: bold">The securities do not provide for regular intere
st payments</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The securities provide an opportunity for investors to earn a conti
ngent monthly payment, which is an amount equal to $7.9167 (corresponding to 9.5
% per annum of the stated principal amount) per security, <font style="DISPLAY:
inline; FONT-WEIGHT: bold">but only if</font> index closing value of the S&amp;P
500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#17
4;</font> Index, which we refer to as the underlying index, on the applicable mo
nthly determination date is greater than or equal to the downside threshold leve
l.&#160;&#160;The contingent monthly payment, if any, will be payable monthly on
the contingent payment date.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">It is possible that the index closing value of t
he underlying index could remain below the downside threshold level for extended
periods of time or even throughout the term of the securities so that you would
receive little or no contingent monthly payments.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">We refer to the coupon on the securities as contingent, because the
re is no guarantee that you will receive a coupon payment on any contingent paym
ent date.&#160;&#160;Even if the underlying index is greater than or equal to th
e downside threshold level on some monthly determination dates, it may fluctuate
below the downside threshold level on others.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The determination dates are three business days prior to the relate
d contingent payment date, except that the determination date immediately preced
ing the maturity date, which we refer to as the final determination date, shall
be the second business day prior to the maturity date.&#160;&#160;The determinat
ion dates are subject to postponement due to non-index business days or certain
market disruption events.&#160;&#160;See &#8220;Description of Securities&#8212;
Determination Dates.&#8221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block;
t" align="left"><font style="DISPLAY: inline;
-SIZE: 10pt">The contingent payment dates are
ing August 25, 2012; <font style="FONT-STYLE:
/font> that if any such day is not a business

MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


FONT-FAMILY: times new roman; FONT
the 25th day of each month, beginn
italic; DISPLAY: inline">provided<
day, that contingent monthly payme

nt will be made on the next succeeding business day and no adjustment will be ma
de to any contingent monthly payment made on that succeeding business day.</font
></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The maturity date may be postponed as a result of the postponement
of the final determination date.&#160;&#160;See &#8220;Description of Securities
&#8212;Maturity Date.&#8221;</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-5</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div>&#160;</div>
<div>&#160;</div>
</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Investors will not participate in any appreciati
on in the value of the underlying index</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT

-SIZE: 10pt">Investors will not participate in any appreciation in the value of


the underlying index from the initial index value, and the return on the securit
ies will be limited to the contingent monthly payments, if any, that are paid on
the securities.&#160;&#160;For example, if on the final determination date, the
underlying index has appreciated 25% from the initial index value, the payment
at maturity would be limited to the stated principal amount of $1,000 and the co
ntingent monthly payment of $7.9167 (corresponding to 9.5% per annum of the stat
ed principal amount) per security.&#160;&#160;Under this scenario, although the
underlying index has substantially increased, your principal payment at maturity
is not correspondingly increased and at maturity, the securities only provide f
or the payment of your initial investment and the contingent monthly payment.</f
ont></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Please review the historical performance of the underlying index fo
r the period from January 1, 2007 through July 20, 2012 in this pricing suppleme
nt under &#8220;Description of Securities&#8212;Historical Information.&#8221;&#
160;&#160;You cannot predict the future performance of the underlying index base
d on its historical performance.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Morgan Stanley &amp; Co. LLC will be the calcula
tion agent</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">We have appointed our affiliate, Morgan Stanley &amp; Co. LLC, whic
h we refer to as MS &amp; Co., to act as calculation agent for The Bank of New Y
ork Mellon, a New York banking corporation, the trustee for our senior debt secu
rities.&#160;&#160;As calculation agent, MS &amp; Co. has determined the initial
index value and the downside threshold level and will determine the final index
value, the index closing value on each determination date, whether the continge
nt monthly payment will be paid on each contingent payment date, whether a marke
t disruption event has occurred and the payment that you will receive at maturit
y, if any.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Morgan Stanley &amp; Co. LLC will be the agent;
conflicts of interest</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The agent for the offering of the securities, MS &amp; Co., our who
lly-owned subsidiary, will conduct this offering in compliance with the requirem
ents of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., wh
ich is commonly referred to as FINRA, regarding a FINRA member firm&#8217;s dist
ribution of the securities of an affiliate and related conflicts of interest.&#1
60;&#160;MS &amp; Co. or any of our other affiliates may not make sales in this
offering to any discretionary account.&#160;&#160;See &#8220;Description of Secu
rities&#8212;Supplemental Information Concerning Plan of Distribution; Conflicts
of Interest&#8221; on PS-24.</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Where you can find more information on the secur
ities</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The securities are unsecured senior debt securities issued as part
of our Series F medium-term note program.&#160;&#160;You can find a general desc
ription of our Series F medium-term note program in the accompanying prospectus
supplement dated November 21, 2011, the index supplement dated November 21, 2011
and the prospectus dated November 21, 2011.&#160;&#160;We describe the basic fe
atures of this type of debt security in the sections of the prospectus supplemen
t called &#8220;Description of Notes&#8212;Notes Linked to Commodity Prices, Sin
gle Securities, Baskets of Securities or Indices&#8221; and in the section of th
e prospectus called &#8220;Description of Debt Securities&#8212;Fixed Rate Debt
Securities.&#8221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Because this is a summary, it does not contain a
ll the information that may be important to you.&#160;&#160;For a detailed descr
iption of the terms of the securities, you should read the &#8220;Description of
Securities&#8221; section in this pricing supplement.&#160;&#160;You should als
o read about some of the risks involved in investing in the securities in the se
ction called &#8220;Risk Factors.&#8221;&#160;&#160;The tax treatment of investm
ents in equity-linked securities such as these differs from that of investments
in ordinary debt securities.&#160;&#160;See the section of this pricing suppleme
nt called &#8220;Description of Securities&#8212;United States Federal Income Ta
xation.&#8221;&#160;&#160;You should consult with your investment, legal, tax, a
ccounting and other advisors in connection with your investment in the securitie
s.</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-6</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">How to reach us</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">You may contact your local Morgan Stanley Smith Barney branch offic
e or our principal executive offices at 1585 Broadway, New York, New York 10036
(telephone number (212) 761-4000).</font></div>

</td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-7</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">HYPOTHETICAL EXAMPLES</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The following hypothetical examples are for illustrative purposes o
nly.&#160;&#160;Whether you receive a contingent monthly payment will be determi
ned on each monthly determination date and the payment at maturity, if any, will
be determined on the final determination date.&#160;&#160;The actual initial in
dex value and downside threshold level are set forth on the cover page of this p
ricing supplement.&#160;&#160;Any payment on the securities is subject to the cr
edit risk of Morgan Stanley.&#160;&#160;The numbers in the hypothetical examples
may be rounded for ease of analysis.&#160;&#160;The below examples are based on
the following terms:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div align="center">

<table cellpadding="2" cellspacing="0" width="90%" style="FONT-FAMILY: times new


roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr bgcolor="#d9d9d9">
<td align="left" valign="top" width="30%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Hypothetical Initial Index Value:</font></div>
</td>
<td align="left" valign="middle" width="41%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">1,300</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="30%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Hypothetical Downside Threshold Level:</font></div>
</td>
<td align="left" valign="middle" width="41%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">910, which is 70% of the hypothetical initial index value</font></d
iv>
</td>
</tr><tr bgcolor="#d9d9d9">
<td align="left" valign="top" width="30%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Contingent Monthly Payment:</font></div>
</td>
<td align="left" valign="middle" width="41%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">$7.9167 (corresponding to 9.5% per annum of the stated principal am
ount) per security</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="30%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Stated Principal Amount:</font></div>
</td>
<td align="left" valign="middle" width="41%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">$1,000 per security</font></div>
</td>
</tr><tr bgcolor="#d9d9d9">
<td align="left" valign="top" width="30%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Total Number of Determination Dates:</font></div>
</td>
<td align="left" valign="middle" width="41%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">60</font></div>
</td>
</tr></table>

</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">Example 1.&#160;&#
160;</font>On 3 determination dates prior to the final determination date, the i
ndex closing value is greater than or equal to the downside threshold level of 9
10, and the index closing value on each other determination date prior to the fi
nal determination date is less than the downside threshold level of 910.&#160;&#
160;Therefore, you would receive the contingent monthly payment of $7.9167 with
respect to those 3 determination dates, totaling $7.9167 x 3 = $23.75.&#160;&#16
0;On the final determination date, the index closing value is 520, which is less
than the downside threshold level.&#160;&#160;As the final index value is less
than the downside threshold level, you would receive a payment equal to the prod
uct of stated principal amount and the index performance factor, calculated as f
ollows:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt">stated principal amount x (final index value / initial index valu
e) = $1,000 x (520 / 1,300) = $400</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The total payment over the term of the securities is $23.75 + $400
= $423.75 per security.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">Example 2.&#160;&#
160;</font>On 36 determination dates prior to the final determination date, the
index closing value is greater than or equal to the downside threshold level of
910, and the index closing value on each other determination date prior to the f
inal determination date is less than the downside threshold level of 910.&#160;&
#160;Therefore, you would receive the contingent monthly payment of $7.9167 with
respect to those 36 determination dates, totaling $7.9167 x 36 = $285.&#160;&#1
60;On the final determination date, the index closing value is 520, which is les
s than the downside threshold level.&#160;&#160;As the final index value is less
than the downside threshold level, you would receive a payment equal to the pro
duct of stated principal amount and the index performance factor, calculated as
follows:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt">stated principal amount x (final index value / initial index valu

e) = $1,000 x (520 / 1,300) = $400</font></div>


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The total payment over the term of the securities is $285 + $400 =
$685 per security.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">Example 3.&#160;&#
160;</font>On 36 determination dates prior to the final determination date, the
index closing value is greater than or equal to the downside threshold level of
910, and the index closing value on each other determination date prior to the f
inal determination date is less than the downside threshold level of 910.&#160;&
#160;Therefore, you would receive the contingent monthly payment of $7.9167 with
respect to those 36 determination dates, totaling $7.9167 x 36 = $285.&#160;&#1
60;On the final determination date, the index closing value is 1,000, which is g
reater than the downside threshold level.&#160;&#160;As the final index value is
greater than or equal to the downside threshold level, you would receive the st
ated principal amount plus a contingent monthly payment with respect to the fina
l determination date, calculated as follows:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt">stated principal amount + contingent monthly payment = $1,000 + $
7.9167 = $1,007.9167</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The total payment over the term of the securities is $285 + $1,007.
9167 = $1,292.92 per security.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-8</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>

</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">Example 4.&#160;&#
160;</font>On each determination date prior to the final determination date, the
index closing value is greater than or equal to the downside threshold level of
910.&#160;&#160;Therefore, you would receive the contingent monthly payment of
$7.9167 with respect to each such determination date, totaling $7.9167 x 59 = $4
67.0853.&#160;&#160;On the final determination date, the index closing value is
1,680, which is greater than the downside threshold level.&#160;&#160;As the fin
al index value is greater than or equal to the downside threshold level, you wou
ld receive the stated principal amount plus a contingent monthly payment with re
spect to the final determination date, calculated as follows:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt">stated principal amount + contingent monthly payment = $1,000 + $
7.9167 = $1,007.9167</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The total payment over the term of the securities is $467.0853 + $1
,007.9167 = $1,475 per security.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-9</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;

FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>


</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block"><br>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold"><a name="RiskFactors"><!--EFPlaceholder--></a>
RISK FACTORS</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FONT
-SIZE: 10pt">The securities are not secured debt, are riskier than ordinary debt
securities and, unlike ordinary debt securities, the securities do not provide
for the regular payment of interest or guarantee any repayment of principal at m
aturity.&#160;&#160;The securities will pay a contingent monthly payment <font s
tyle="DISPLAY: inline; FONT-WEIGHT: bold">but</font> <font style="DISPLAY: inlin
e; FONT-WEIGHT: bold">only if</font> the index closing value of the S&amp;P 500<
font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</f
ont> Index is greater than or equal to the downside threshold level on the relat
ed determination date.&#160;&#160;In addition, if the final index value on the f
inal determination date is less than the downside threshold level, your payment
at maturity will be less than 70% of the stated principal amount and could be ze
ro.&#160;&#160;Investing in the securities is not equivalent to investing in a f
ixed rate debt security due to the fact that each interest payment is contingent
on the performance of the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 7
0%; VERTICAL-ALIGN: text-top">&#174;</font> Index and your principal will be at
risk if the final index value is less than the downside threshold level.&#160;&#
160;This section describes the most significant risks relating to the securities
.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The securities do not guarantee the return of an
y principal</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The terms of the securities differ from those of ordinary debt secu
rities in that the securities do not guarantee the payment of regular interest o
r the return of any of the principal amount at maturity.&#160;&#160;Instead, if
the final index value is less than the downside threshold level, you will be exp
osed to the decline in the index closing value of the underlying index, as compa
red to the initial index value, on a 1 to 1 basis and you will receive for each

security that you hold at maturity an amount of cash that is less than the state
d principal amount in proportion to the decline in the underlying index.&#160;&#
160;Under this scenario, the value of any such payment will be less than 70% of
the stated principal amount and could be zero.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">You will not receive any contingent monthly paym
ent for any monthly period where the index closing value on the related determin
ation date is less than the downside threshold level</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">You will receive a contingent monthly payment with respect to a mon
thly period but only if the index closing value on the related determination dat
e is greater than or equal to the downside threshold level.&#160;&#160;If the in
dex closing value remains below the downside threshold level on each determinati
on date over the term of the securities, you will not receive any contingent mon
thly payments.</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The contingent monthly payment, if any, is paid
on a monthly basis and is based solely on the index closing value of the underly
ing index on the specified determination dates</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Whether the contingent monthly payment will be made with respect to
a determination date will be based on the index closing value on such date or t
he final index value, as applicable.&#160;&#160;As a result, you will not know w
hether you will receive the contingent monthly payment until the related determi
nation date.&#160;&#160;Moreover, because the contingent monthly payment is base
d solely on the index closing value on a specific determination date, if such in
dex closing is less than the downside threshold level, you will not receive any
contingent monthly payment with respect to such determination date, even if the
index closing value of the underlying index was higher on other days during the
term of the securities.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Investors will not participate in any appreciati
on in the value of the underlying index</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Investors will not participate in any appreciation in the value of
the underlying index from the initial index value, and the return on the securit
ies will be limited to the contingent monthly payments, if any, that are paid on
the securities.&#160;&#160;For example, if on the final determination date, the
underlying index has appreciated 25% from the initial index value, the payment
at maturity would be limited to the stated principal amount of $1,000 and the co
ntingent monthly payment of $7.9167 (corresponding to 9.5% per annum of the stat
ed principal amount) per security.&#160;&#160;Under this scenario, although the
underlying index has substantially increased, your principal payment at maturity
is not correspondingly increased and at maturity, the securities only provide f
or the payment of your initial investment and the contingent monthly payment.</f
ont></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Market price will be influenced by many </font><
/div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Several factors, many of which are beyond our control, will influen
ce the value of the securities in the secondary market and the price at which MS
&amp; Co. may be willing</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-10</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">

</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">unpredictable factors<
/font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI
ZE: 10pt">to purchase or sell the securities in the secondary market.&#160;&#160
;We expect that generally the level of interest rates available in the market an
d the value of the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERT
ICAL-ALIGN: text-top">&#174;</font> Index on any day will affect the value of th
e securities more than any other factors.&#160;&#160;Other factors that may infl
uence the value of the securities include:</font></font></div>
</td>
</tr></table>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#183;</font></td>
<td align="left" valign="top" width="60%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI
ZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE:
10pt">the volatility (frequency and magnitude of changes in value) of the S&amp
;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#
174;</font> Index,</font></font></font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>

<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI


LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#183;</font></td>
<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt">whether the index closing value of the S&
amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top"
>&#174;</font> Index is currently or has been below the downside threshold level
on any determination date,</font></td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt"><font style="FONT-FAMILY: symbol; FONT-SIZ
E: 10pt">&#183;&#160;&#160;&#160;&#160;&#160;</font></font></td>
<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt">geopolitical conditions and economic, fin
ancial, political, regulatory or judicial events that affect the component stock
s of the underlying index or securities markets generally and which may affect t
he value of the underlying index,</font></td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt"><font style="FONT-FAMILY: symbol; FONT-SIZ
E: 10pt">&#183;</font></font></td>
<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt">dividend rates on the securities underlyi
ng the S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN:
text-top">&#174;</font> Index,</font></td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
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</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI

LY: symbol; FONT-SIZE: 10pt">&#183;</font></td>


<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
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font></td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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s,</font></td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
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<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
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<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
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<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: symbol; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-SIZE
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<td align="left" valign="top" width="60%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt"> </font>
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
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FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
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E: 10pt">any actual or anticipated changes in our credit ratings or credit sprea
ds.</font></font></font></font></div>
</td>
</tr></table>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI
ZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE:
10pt">Some or all of these factors will influence the price that you will recei
ve if you sell your securities prior to maturity.&#160;&#160;For example, you ma
y have to sell your securities at a substantial discount from the stated princip
al amount of $1,000 per security if the value of the S&amp;P 500<font style="DIS
PLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index at t
he time of sale is below the downside threshold level or if market interest rate
s rise.</font></font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
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<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI
ZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE:
10pt">You cannot predict the future performance of the S&amp;P 500<font style="
DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index b
ased on its historical performance.&#160;&#160;The value of the underlying index
may decrease and be below the downside threshold level on each determination da
te so that you will receive no return on your investment.&#160;&#160;There can b
e no assurance that the index closing value of the underlying index will be grea
ter than or equal to the downside threshold level on any determination date so t
hat you will receive any contingent monthly payment during the term of the secur
ities.&#160;&#160;See &#8220;Description of Securities&#8212;Historical Informat
ion&#8221; on PS-22.</font></font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
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</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The securities are subject to the credit risk of
Morgan Stanley, and any actual or anticipated changes to its credit ratings or
credit spreads may adversely affect the market value of the securities</font></d
iv>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">You are dependent on Morgan Stanley&#8217;s ability to pay all amou
nts due on the securities on each contingent payment date or at maturity, and th
erefore you are subject to the credit risk of Morgan Stanley.&#160;&#160;The sec
urities are not guaranteed by any other entity.&#160;&#160;If Morgan Stanley def
aults on its obligations under the securities, your investment would be at risk
and you could lose some or all of your investment.&#160;&#160;As a result, the m
arket value of the securities prior to maturity will be affected by changes in t
he market&#8217;s view of Morgan Stanley&#8217;s creditworthiness.&#160;&#160;An
y actual or anticipated decline in Morgan Stanley&#8217;s credit ratings or incr
ease in the credit spreads charged by the market for taking Morgan Stanley credi

t risk is likely to adversely affect the market value of the securities.</font><


/div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Not equivalent to investing in the underlying in
dex</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Investing in the securities is not equivalent to investing in the u
nderlying index or its component stocks.&#160;&#160;Investors in the securities
will not have voting rights or rights to receive dividends or other distribution
s or any other rights with respect to stocks that</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-11</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT

-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI


ZE: 10pt">constitute the underlying index.</font></font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The securities will not be listed on any securit
ies exchange and secondary trading may be limited</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The securities will not be listed on any securities exchange.&#160;
&#160;Therefore, there may be little or no secondary market for the securities.&
#160;&#160;MS &amp; Co. may, but is not obligated to, make a market in the secur
ities.&#160;&#160;Even if there is a secondary market, it may not provide enough
liquidity to allow you to trade or sell the securities easily.&#160;&#160;Becau
se we do not expect that other broker-dealers will participate significantly in
the secondary market for the securities, the price at which you may be able to t
rade your securities is likely to depend on the price, if any, at which MS &amp;
Co. is willing to transact.&#160;&#160;If, at any time, MS &amp; Co. were not t
o make a market in the securities, it is likely that there would be no secondary
market for the securities.&#160;&#160;Accordingly, you should be willing to hol
d your securities to maturity.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The inclusion of commissions and projected profi
t from hedging in the original issue price is likely to adversely affect seconda
ry market prices</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Assuming no change in market conditions or any other relevant facto
rs, the price, if any, at which MS &amp; Co. is willing to purchase the securiti
es at any time in secondary market transactions will likely be significantly low
er than the original issue price, since secondary market prices are likely to ex
clude commissions paid with respect to the securities and the cost of hedging ou
r obligations under the securities that are included in the original issue price
.&#160;&#160;The cost of hedging includes the projected profit that our subsidia
ries may realize in consideration for assuming the risks inherent in managing th
e hedging transactions.&#160;&#160;These secondary market prices are also likely

to be reduced by the costs of unwinding the related hedging transactions.&#160;


&#160;Our subsidiaries may realize a profit from the expected hedging activity e
ven if investors do not receive a favorable investment return under the terms of
the securities or in any secondary market transaction.&#160;&#160;In addition,
any secondary market prices may differ from values determined by pricing models
used by MS &amp; Co., as a result of dealer discounts, mark-ups or other transac
tion costs.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">Hedging and trading activity by our subsidiaries
could potentially affect the value of the securities</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">One or more of our subsidiaries have carried out, and will continue
to carry out, hedging activities related to the securities (and to other instru
ments linked to the underlying index or its component stocks), including trading
in the stocks that constitute the underlying index as well as in other instrume
nts related to the underlying index.&#160;&#160;Some of our subsidiaries also tr
ade the stocks that constitute the underlying index and other financial instrume
nts related to the underlying index on a regular basis as part of their general
broker-dealer and other businesses.&#160;&#160;Any of these hedging or trading a
ctivities on or prior to the pricing date could have increased the initial index
value and, as a result, could have increased the downside threshold level, whic
h is the value above which the underlying index must close on each determination
date in order for you to earn a contingent monthly payment and, with respect to
the final determination date, in order for you to avoid being exposed to the ne
gative performance of the underlying index at maturity.&#160;&#160;Additionally,
such hedging or trading activities during the term of the securities could pote
ntially affect the value of the underlying index on the determination dates and
accordingly, the payout to you at maturity and whether we pay a contingent month
ly payment on the securities.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The calculation agent, which is a subsidiary of
the issuer, will make determinations with respect to the securities</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">As calculation agent, MS &amp; Co. has determined&#160;&#160;the in
itial index value and the downside threshold level and will determine the final
index value, the index closing value on each determination date, whether the con

tingent monthly payment will be paid on each contingent payment date, whether a
market disruption event has occurred, and the payment that you will receive at m
aturity, if any.&#160;&#160;Any of these determinations made by MS &amp; Co. in
its capacity as calculation agent, including with respect to the occurrence or n
on-occurrence of market disruption events and the selection of a successor index
or calculation of the index closing value in the event of a market disruption e
vent or discontinuance of the underlying index, may adversely</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-12</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SI
ZE: 10pt">affect the payout t</font><font style="DISPLAY: inline; FONT-FAMILY: t
imes new roman; FONT-SIZE: 10pt">o you at maturity and whether we pay a continge
nt monthly payment.&#160;&#160;See the sections of this pricing supplement calle
d &#8220;Description of Securities&#8212;Market Disruption Event&#8221; and &#82
20;&#8212;Discontinuance of the Index; Alteration of Method of Calculation.&#822
1;</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT


-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">Adjustments to the
underlying</font> <font style="DISPLAY: inline; FONT-WEIGHT: bold">index could
adversely affect the value of the securities</font></font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">The publisher of the underlying index may add, delete or substitute
the component stocks of the underlying index or make other methodological chang
es that could change the value of the underlying index.&#160;&#160;Any of these
actions could adversely affect the value of the securities.&#160;&#160;The publi
sher of the underlying index may also discontinue or suspend calculation or publ
ication of the underlying index at any time.&#160;&#160;In these circumstances,
MS &amp; Co., as the calculation agent, will have the sole discretion to substit
ute a successor index that is comparable to the discontinued index.&#160;&#160;M
S &amp; Co. could have an economic interest that is different than that of inves
tors in the securities insofar as, for example, MS &amp; Co. is permitted to con
sider indices that are calculated and published by MS &amp; Co. or any of its af
filiates.&#160;&#160;If MS &amp; Co. determines that there is no appropriate suc
cessor index on any determination date, the determination of whether the conting
ent monthly payment will be payable on the securities on the applicable continge
nt payment date or the determination of the payment at maturity, as applicable w
ill be based on whether the value of the underlying index based on the closing p
rices of the stocks constituting the underlying index at the time of such discon
tinuance, without rebalancing or substitution, computed by MS &amp; Co. as calcu
lation agent in accordance with the formula for calculating the underlying index
last in effect prior to such discontinuance is less than the downside threshold
level.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td align="left" valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt; FONT-WEIGHT: bold">The U.S. federal income tax consequences of an i
nvestment in the securities are uncertain</font></div>
</td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">There is no direct legal authority as to the proper treatment of th
e securities for U.S. federal income tax purposes, and, therefore, significant a
spects of the tax treatment of the securities are uncertain.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Please read the discussion under &#8220;United States Federal Taxat
ion&#8221; in this pricing supplement concerning the U.S. federal income tax con
sequences of an investment in the securities.&#160;&#160;We intend to treat a se
curity for U.S. federal income tax purposes as a single financial contract that

provides for a contingent monthly payment that will be treated as gross income t
o you at the time received or accrued in accordance with your regular method of
tax accounting.&#160;&#160;We do not plan to request a ruling from the Internal
Revenue Service (the &#8220;IRS&#8221;) regarding the tax treatment of the secur
ities, and the IRS or a court may not agree with the tax treatment described her
ein.&#160;&#160;If the IRS were successful in asserting an alternative treatment
for the securities, the timing and character of income or loss on the securitie
s might differ significantly from the tax treatment described herein.&#160;&#160
;<font style="DISPLAY: inline; FONT-WEIGHT: bold">Non-U.S. Holders should note t
hat we currently intend to withhold on any contingent monthly payment paid to No
n-U.S. Holders and will not be required to pay any additional amounts with respe
ct to amounts withheld.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">In 2007, the U.S. Treasury Department and the IRS released a notice
requesting comments on the U.S. federal income tax treatment of &#8220;prepaid
forward contracts&#8221; and similar instruments.&#160;&#160;While it is not cle
ar whether the securities would be viewed as similar to the prepaid forward cont
racts described in the notice, it is possible that any Treasury regulations or o
ther guidance issued after consideration of these issues could materially and ad
versely affect the tax consequences of an investment in the securities, possibly
with retroactive effect.&#160;&#160;The notice focuses on a number of issues, t
he most relevant of which for holders of the securities are the character and ti
ming of income or loss and the degree, if any, to which income realized by non-U
.S. investors&#160;&#160;should be subject to withholding tax.&#160;&#160;Both U
.S. and Non-U.S. Holders (as defined below) should consult their tax advisers re
garding the U.S. federal income </font></div>
</td>
</tr></table>
<div>&#160;</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-13</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>

<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td align="left" valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></td>
<td align="left" valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMI
LY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
<td align="left" valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAM
ILY: times new roman; FONT-SIZE: 10pt">tax consequences of an investment in the
securities, including possible alternative treatments, the issues presented by t
his notice and any tax consequences arising under the laws of any state, local o
r foreign taxing jurisdictions.</font></td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center">&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-14</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">&#160;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; FO
NT-SIZE: 10pt; FONT-WEIGHT: bold">DESCRIPTION OF SECURITIES</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: Times New Roman; F
ONT-SIZE: 10pt">Terms not defined herein have the meanings given to such terms i
n the accompanying prospectus supplement.&#160;&#160;The term &#8220;Security&#8
221; refers to each $1,000 Stated Principal Amount of our Contingent Income Secu
rities due July 25, 2017, All Payments on the Securities Subject to the Downside
Threshold Feature Linked to the S&amp;P 500<font style="DISPLAY: inline; FONT-S
IZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index.&#160;&#160;In this pric
ing supplement, the terms &#8220;we,&#8221; &#8220;us&#8221; and &#8220;our&#822
1; refer to Morgan Stanley.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Aggregate Principal Amount</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">$4,483,000</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Pricing Date</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">July 20, 2012</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>

</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Original Issue Date (Settlement Date)</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">July 25, 2012 (3 Business Days after the Pricing Date)</font></d
iv>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Maturity Date</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">July 25, 2017, subject to extension as described below.</font></
div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If, due to a Market Disruption Event or otherwise, the Final Det
ermination Date is postponed so that it falls less than two Business Days prior
to the scheduled Maturity Date, the Maturity Date will be postponed to the secon
d Business Day following that Final Determination Date as postponed, and no adju
stment will be made to any Contingent Monthly Payment made on that postponed dat
e.&#160;&#160;See &#8220;&#8211;&#8211;Determination Dates&#8221; below.</font><
/div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne

w roman; FONT-SIZE: 10pt">&#160;</font></td>


<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Specified Currency</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">U.S. dollars</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">CUSIP Number</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">617482V43</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">ISIN Number</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">US617482V438</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne

w roman; FONT-SIZE: 10pt">&#160;</font></td>


<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Minimum Purchase Amount</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">$1,000 and integral multiples of $1,000 in excess thereof</font>
</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Original Issue Price</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">$1,000 (100%)</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Stated Principal Amount</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">$1,000</font></div>
</td>
</tr><tr>

<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne


w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Underlying Index</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VER
TICAL-ALIGN: text-top">&#174;</font> Index (the &#8220;Index&#8221;)</font></div
>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Index Publisher</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Standard &amp; Poor&#8217;s Financial Services LLC (&#8220;S&amp
;P&#8221;) or any successor thereto</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Contingent Monthly Payment</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F

ONT-SIZE: 10pt">The Securities will pay a Contingent Monthly Payment (as determi
ned by the Calculation Agent), if any, on the applicable Contingent Payment Date
as follows:</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr></table>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE:
10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE: 10pt">&#183;
</font></font></font></div>
</td>
<td valign="top" width="65%">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">if, on the relevant Determination Date, the Index Closing Value o
n such date or the Final Index Value, as applicable, is greater than or equal to
the Downside Threshold Level:</font></font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%">
<div align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">$7.9167 per Stated Principal Amount; and</font></font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>

<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new


roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE:
10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE: 10pt">&#183;
</font></font></font></div>
</td>
<td valign="top" width="65%">
<div align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">if, on the relevant Determination Date, the Index Closing Value o
n such date or the Final Index Value, as applicable, is less than the Downside T
hreshold Level:</font></font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%">
<div align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">$0 per Stated Principal Amount.</font></font></div>
</td>
</tr></table>
</div>
</div>
</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">

<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-15</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Contingent Monthly Payment, if any, payable on each Continge
nt Payment Date is fixed at $7.9167 per Stated Principal Amount, regardless of t
he number of actual days in such monthly period, subject to the &#8220;Alternate
Exchange Calculation in Case of an Event of Default&#8221; described below.</fo
nt></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Initial Index Value</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">1,362.66, which is the Index Closing Value on the Pricing Date.<
/font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Final Index Value</font></div>
</td>

<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new


roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Index Closing Value on the Final Determination Date, as dete
rmined by the Calculation Agent.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Downside Threshold Level</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">953.862, which is 70% of the Initial Index Value</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Index Closing Value</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Index Closing Value on any Index Business Day will be determ
ined by the Calculation Agent and will equal the official closing value of the I
ndex, or any Successor Index (as defined under &#8220;&#8212;Discontinuance of t
he Index; Alteration of Method of Calculation&#8221; below), published at the re
gular official weekday close of trading on such Index Business Day by the Index
Publisher.&#160;&#160;In certain circumstances, the Index Closing Value will be
based on the alternate calculation of the Index described under &#8220;&#8212;Di
scontinuance of the Index; Alteration of Method of Calculation.&#8221;</font></d
iv>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Contingent Payment Dates</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The 25th day of each month, beginning August 25, 2012; <font sty
le="FONT-STYLE: italic; DISPLAY: inline">provided</font> that if any such day is
not a Business Day, that Contingent Monthly Payment, if any, will be made on th
e next succeeding Business Day; <font style="FONT-STYLE: italic; DISPLAY: inline
">provided further </font>that if, due to a Market Disruption Event or otherwise
, any Determination Date is postponed so that it falls less than two Business Da
ys prior to the scheduled Contingent Payment Date, the Contingent Payment Date w
ill be postponed to the second Business Day following the Determination Date as
postponed.&#160;&#160;In either case, no adjustment will be made to any Continge
nt Monthly Payment made on that postponed date.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Record Date</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Record Date for each Contingent Payment Date will be the dat
e one Business Day prior to such scheduled Contingent Payment Date; <font style=
"FONT-STYLE: italic; DISPLAY: inline">provided</font>, however, that any Conting
ent Monthly Payment payable at maturity shall be payable to the person to whom t
he Payment at Maturity shall be payable.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Final Determination Date</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Determination Date immediately preceding the Maturity Date,
subject to postponement for non-Index Business Days or Market Disruption Events
as described in the second paragraph under &#8220;&#8212;Determination Dates.&#8
221;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Determination Dates</font></div>

</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Determination Dates are three Business Days prior to the rel
ated Contingent Payment Date, except that the Final Determination Date shall be
the second Business Day prior to the Maturity Date.&#160;&#160;The Determination
Dates are subject to postponement due to non-Index Business Days or certain Mar
ket Disruption Events as described in the following paragraph.</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: Times New Roman; FONT-SIZE: 10pt">PS-16</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If any scheduled Determination Date, including the Final Determi
nation Date, is not an Index Business Day or if there is a Market Disruption Eve
nt on such day, the relevant Determination Date shall be the next succeeding Ind
ex Business Day on which there is no Market Disruption Event; <font style="FONTSTYLE: italic; DISPLAY: inline">provided</font> that if a Market Disruption Even
t has occurred on each of the five Index Business Days immediately succeeding an
y of the scheduled Determination Dates, then (i) such fifth succeeding Index Bus
iness Day will be deemed to be the relevant Determination Date, notwithstanding
the occurrence of a Market Disruption Event on such day and (ii) with respect to
any such fifth Index Business Day on which a Market Disruption Event occurs, th
e Calculation Agent will determine the Index Closing Value on such fifth Index B

usiness Day in accordance with the formula for and method of calculating the Ind
ex last in effect prior to the commencement of the Market Disruption Event, usin
g the closing price (or, if trading in the relevant securities has been material
ly 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 o
f the principal trading session of the Relevant Exchange on such Index Business
Day of each security most recently constituting the Index without any rebalancin
g or substitution of such securities following the commencement of the Market Di
sruption Event.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Payment at Maturity</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The payment on the Maturity Date for each Stated Principal Amoun
t shall be (as determined by the Calculation Agent):</font></div>
</td>
</tr></table>
</div>
</div>
<div>&#160;</div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%">&#160;</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE:
10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE: 10pt">&#183;
</font></font></font></div>
</td>
<td valign="top" width="65%">
<div align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FO
NT-SIZE: 10pt">if the Final Index Value is greater than or equal to the Downside
Threshold Level:</font></font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>

<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne


w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%" style="TEXT-INDENT: 27pt">
<div style="TEXT-INDENT: 0pt; MARGIN-LEFT: 27pt" align="justify"><font style="DI
SPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">(i) the Stated Pri
ncipal Amount <font style="FONT-STYLE: italic; DISPLAY: inline">plus </font>(ii)
the Contingent Monthly Payment with respect to the Final Determination Date; or
</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE:
10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol; FONT-SIZE: 10pt">&#183;
</font></font></font></div>
</td>
<td valign="top" width="65%">
<div align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">if the Final Index Value is less than the Downside Threshold L
evel:</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="65%" style="TEXT-ALIGN: left; TEXT-INDENT: 27pt; MARGINLEFT: 0pt; MARGIN-RIGHT: 0pt">

<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 27p


t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
; FONT-SIZE: 10pt">(i) the Stated Principal Amount multiplied by (ii)&#160;&#160
;the Index Performance Factor, and no Contingent Monthly Payment will be payable
.</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
<div>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">We shall, or shall cause the Calculation Agent to (i) provide wr
itten notice to the Trustee, on which notice the Trustee may conclusively rely,
and to The Depository Trust Company (&#8220;DTC&#8221;) of the amount of cash to
be delivered, if any, with respect to each Stated Principal Amount of the Secur
ities, on or prior to 10:30 a.m. (New York City time) on the Business Day preced
ing the Maturity Date, and (ii) deliver the aggregate cash amount due with respe
ct to the Securities to the Trustee for delivery to DTC, as holder of the Securi
ties, on the Maturity Date.&#160;&#160;We expect such amount of cash will be dis
tributed to investors on the Maturity Date in accordance with the standard rules
and procedures of DTC and its direct and indirect participants.&#160;&#160;See
&#8220;&#8212;Book Entry</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-17</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>

<div>&#160;</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Note or Certificated Note&#8221; below and &#8220;Forms of Securiti
es&#8212;The Depositary&#8221; in the accompanying prospectus.</font></font></di
v>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Index Performance Factor</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">A fraction, as determined by the Calculation Agent, the numerato
r of which is the Final Index Value and the denominator of which is the Initial
Index Value, as described by the following formula:</font></div>
</td>
</tr></table>
</div>
<div>&#160;</div>
</div>
<div align="right">
<table cellpadding="0" cellspacing="0" width="70%" style="FONT-FAMILY: times new
roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td rowspan="2" valign="middle" width="26%" style="TEXT-ALIGN: left; PADDING-BOT
TOM: 2px">
<div style="TEXT-ALIGN: left; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt
; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">Index Performance Factor</font></div>
</td>
<td rowspan="2" valign="middle" width="7%" style="TEXT-ALIGN: center; PADDING-BO
TTOM: 2px">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">=</font></div>
</td>

<td valign="top" width="47%" style="BORDER-BOTTOM: #000000 2px solid">


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">Final Index Value</font></div>
</div>
</td>
<td valign="top" width="20%" style="PADDING-BOTTOM: 2px"><font style="DISPLAY: i
nline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr><tr>
<td valign="top" width="47%" style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; MARGIN
-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roma
n; FONT-SIZE: 10pt">Initial Index Value</font></div>
</td>
<td valign="top" width="20%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
</tr></table>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block"><br>
<div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Index Business Day</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">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 sche
duled to close prior to the time of the posting of its regular final weekday clo
sing price.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Business Day</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Any day, other than a Saturday or Sunday, that is neither a lega
l holiday nor a day on which banking institutions are authorized or required by
law or regulation to close in the City of New York.</font></div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Relevant Exchange</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Relevant Exchange means, with respect to the Index or its Succes
sor Index, the primary exchange(s) or market(s) of trading for (i) any security
then included in such index and (ii) any futures or options contracts related to
such index or to any security then included in such index.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Market Disruption Event</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Market Disruption Event means:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FON
T-SIZE: 10pt">(i) the occurrence or existence of a suspension, absence or materi
al limitation of trading of securities then constituting 20 percent or more of t
he value of the Index (or the Successor Index) on the Relevant Exchange(s) for s
uch securities for more than two hours of trading or during the one-half hour pe
riod preceding the close of the principal trading session on such Relevant Excha
nge(s); or a breakdown or failure in the price and trade reporting systems of an
y Relevant Exchange as a result of which the reported trading prices for securit
ies then constituting 20 percent or more of the value of the Index (or the Succe
ssor Index) during the last one-half hour preceding the close of the principal t
rading session on such Relevant Exchange(s) are materially inaccurate; or the su
spension, material limitation or absence of trading on any major U.S. securities
market for trading in futures or options contracts or exchange-traded funds rel

ated to the Index (or the Successor Index) for more than two hours of trading or
during the one-half hour period preceding the close of the principal trading se
ssion on such market, in each case as determined by the Calculation Agent in its
sole discretion; and</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FON
T-SIZE: 10pt">(ii) a determination by the Calculation Agent in its sole discreti
on that any event described in clause (i) above </font></font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-18</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FON
T-SIZE: 10pt">materially interfered with our ability or the ability of any of ou

r affiliates to unwind or adjust all or a material portion of the hedge position


with respect to the Securities.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">For the purpose of determining whether a Market Disruption Event
exists at any time, if trading in a security included in the Index is materiall
y suspended or materially limited at that time, then the relevant percentage con
tribution of that security to the value of the Index shall be based on a compari
son of (x) the portion of the value of the Index attributable to that security r
elative to (y) the overall value of the Index, in each case immediately before t
hat suspension or limitation.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">For the purpose of determining whether a Market Disruption Event
exists at any time: (1) a limitation on the hours or number of days of trading
will not constitute a Market Disruption Event if it results from an announced ch
ange in the regular business hours of the Relevant Exchange or market, (2) a dec
ision to permanently discontinue trading in the relevant futures or options cont
ract or exchange-traded fund will not constitute a Market Disruption Event, (3)
a suspension of trading in futures or options contracts or exchange-traded funds
on the Index by the primary securities market trading in such contracts or fund
s by reason of (A) a price change exceeding limits set by such securities exchan
ge or market, (B) an imbalance of orders relating to such contracts or funds or
(C) a disparity in bid and ask quotes relating to such contracts or funds will c
onstitute a suspension, absence or material limitation of trading in futures or
options contracts or exchange-traded funds related to the Index and (4) a &#8220
;suspension, absence or material limitation of trading&#8221; on any Relevant Ex
change or on the primary market on which futures or options contracts or exchang
e-traded funds related to the Index are traded will not include any time when su
ch securities market is itself closed for trading under ordinary circumstances.<
/font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%" style="TEXT-ALIGN: left">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9p
t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman

; FONT-SIZE: 10pt">Discontinuance of the Index;&#160;&#160;Alteration of Method


of Calculation</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If the Index Publisher discontinues publication of the Index and
the Index Publisher or another entity (including Morgan Stanley &amp; Co. LLC (
&#8220;MS &amp; Co.&#8221;)) publishes a successor or substitute index that the
Calculation Agent determines, in its sole discretion, to be comparable to the di
scontinued Index (such index being referred to herein as the &#8220;Successor In
dex&#8221;), then any subsequent Index Closing Value will be determined by refer
ence to the published value of such Successor Index at the regular weekday close
of trading on any Index Business Day that the Index Closing Value is to be dete
rmined.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">&#160;</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Upon any selection by the Calculation Agent of the Successor Index,
the Calculation Agent will cause written notice thereof to be furnished to the
Trustee, to us and to DTC, as holder of the Securities, within three Business Da
ys of such selection.&#160;&#160;We expect that such notice will be made availab
le to you, as a beneficial owner of the Securities, in accordance with the stand
ard</font></font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-19</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>

<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%">&#160;</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">rules and procedures of DTC and its direct and indirect participant
s.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If the Index Publisher discontinues publication of the Index or
the Successor Index prior to, and such discontinuance is continuing on, any Dete
rmination Date or the date of acceleration and the Calculation Agent determines,
in its sole discretion, that no successor index is available at such time, then
the Calculation Agent will determine the Index Closing Value for such date.&#16
0;&#160;The Index Closing Value of the Index or the Successor Index will be comp
uted by the Calculation Agent in accordance with the formula for and method of c
alculating such index last in effect prior to such discontinuance, using the clo
sing price (or, if trading in the relevant securities has been materially suspen
ded or materially limited, its good faith estimate of the closing price that wou
ld have prevailed but for such suspension or limitation) at the close of the pri
ncipal trading session of the Relevant Exchange on such date of each security mo
st recently constituting such index without any rebalancing or substitution of s
uch securities following such discontinuance.&#160;&#160;Notwithstanding these a
lternative arrangements, discontinuance of the publication of the Index may adve
rsely affect the value of the Securities.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If at any time, the method of calculating the Index or the Succe
ssor Index, or the value thereof, is changed in a material respect, or if the In
dex or the Successor Index is in any other way modified so that such index does
not, in the opinion of the Calculation Agent fairly represent the value of such

index had such changes or modifications not been made, then, from and after such
time, the Calculation Agent will, at the close of business in New York City on
each date on which the Index Closing Value is to be determined, make such calcul
ations and adjustments as, in the good faith judgment of the Calculation Agent,
may be necessary in order to arrive at a value of a stock index comparable to th
e Index or the Successor Index, as the case may be, as if such changes or modifi
cations had not been made, and the Calculation Agent will calculate the Index Cl
osing Value with reference to the Index or the Successor Index, as adjusted.&#16
0;&#160;Accordingly, if the method of calculating the Index or the Successor Ind
ex is modified so that the value of such index is a fraction of what it would ha
ve been if it had not been modified (e.g., due to a split in the index), then th
e Calculation Agent will adjust such index in order to arrive at a value of the
Index or the Successor Index as if it had not been modified (e.g., as if such sp
lit had not occurred).</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Book Entry Note or Certificated Note</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Book Entry.&#160;&#160;The Securities will be issued in the form
of one or more fully registered global securities which will be deposited with,
or on behalf of, DTC and will be registered in the name of a nominee of DTC.&#1
60;&#160;DTC&#8217;s nominee will be the only registered holder of the Securitie
s.&#160;&#160;Your beneficial interest in the Securities will be evidenced solel
y by entries on the books of the securities intermediary acting on your behalf a
s a direct or indirect participant in DTC.&#160;&#160;In this pricing supplement
, all references to</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-20</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>

</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">payments or notices to you will mean payments or notices to DTC, as
the registered holder of the Securities, for distribution to participants in ac
cordance with DTC&#8217;s procedures.&#160;&#160;For more information regarding
DTC and book entry notes, please read &#8220;The Depositary&#8221; in the accomp
anying prospectus supplement and &#8220;Forms of Securities&#8212;Global Securit
ies&#8212;Registered Global Securities&#8221; in the accompanying prospectus.</f
ont></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Senior Note or Subordinated Note</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Senior</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Trustee</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Bank of New York Mellon, a New York banking corporation</fon
t></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Agent</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">MS &amp; Co.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%" style="TEXT-ALIGN: left">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9p
t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
; FONT-SIZE: 10pt">Alternate Exchange Calculation in Case of an Event of Default
</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">In case an Event of Default with respect to the Securities shall
have occurred and be continuing, the amount declared due and payable, if any, f
or each Security upon any acceleration of the Securities (the &#8220;Acceleratio
n Amount&#8221;) will be determined by the Calculation Agent and will be an amou
nt in cash, if any, equal to the Payment at Maturity calculated as if the date o
f acceleration were the Final Determination Date; <font style="FONT-STYLE: itali
c; DISPLAY: inline">provided</font> that the unpaid portion of the Contingent Mo
nthly Payment, if any, due and payable will be calculated on a 30/360 basis.</fo
nt></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">If the maturity of the Securities is accelerated because of an E
vent of Default as described above, we shall, or shall cause the Calculation Age
nt to, provide written notice to the Trustee at its New York office, on which no
tice the Trustee may conclusively rely, and to DTC of the Acceleration Amount an
d the aggregate cash amount due, if any, with respect to the Securities as promp
tly as possible and in no event later than two Business Days after the date of a
cceleration.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Calculation Agent</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">MS &amp; Co. and its successors.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">All determinations made by the Calculation Agent will be at the
sole discretion of the Calculation Agent and will, in the absence of manifest er
ror, be conclusive for all purposes and binding on you, the Trustee and us.</fon
t></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">All calculations related to determination of the amount of cash
payable, if any, per Security will be rounded to the nearest ten-thousandth, wit
h five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up
to .7655); and all dollar amounts paid, if any, on the aggregate number of Secur
ities will be rounded to the nearest cent, with one-half cent rounded upward.</f
ont></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Because the Calculation Agent is our affiliate, the economic int

erests of the Calculation Agent and its affiliates may be adverse to your intere
sts as an investor in the Securities, including with respect to certain determin
ations and judgments that the Calculation Agent must make in determining the pay
ment that you will receive, if any, on each Contingent Payment Date and at matur
ity or whether a Market Disruption Event has occurred.&#160;&#160;See</font></di
v>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-21</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">&#8220;&#8212;Market Disruption Event&#8221; and &#8220;&#8212;Disc
ontinuance of the Index; Alteration of Method of Calculation&#8221; above.&#160;
&#160;MS &amp; Co. is obligated to carry out its duties and functions as Calcula
tion Agent in good faith and using its reasonable judgment.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F

ONT-SIZE: 10pt">Historical Information</font></div>


</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The following table sets forth the published high, low and end-o
f-quarter closing values of the Index for each calendar quarter in the period fr
om January 1, 2007 through July 20, 2012.&#160;&#160;The graph following the tab
le sets forth the daily closing values of the Index for the same period.&#160;&#
160;On July 20, 2012, the Index Closing Value for the Index was 1,362.66.&#160;&
#160;We obtained the information in the tables and graph from Bloomberg Financia
l Markets, without independent verification. The historical performance of the I
ndex should not be taken as an indication of its future performance.&#160;&#160;
The Index may be, and has been, volatile, and we can give you no assurance that
the volatility will lessen.</font></div>
</td>
</tr></table>
</div>
</div>
<div>&#160;</div>
<div>
<div align="right">
<table cellpadding="0" cellspacing="5" width="70%" style="FONT-FAMILY: times new
roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td colspan="4" valign="bottom" width="45%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold"><font style="DISPLAY: inline; FONT-FAMIL
Y: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">The S&amp;P 500<font sty
le="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Ind
ex</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold"><font style="DISPLAY: inline; FONT-FAMIL
Y: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Historical High, Low and
Period End Closing Values</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold"><font style="DISPLAY: inline; FONT-FAMIL
Y: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">January 1, 2007 through
July 20, 2012</font></font></div>
</td>
</tr><tr>
<td valign="bottom" width="18%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">S&amp;P 500<font style="DISPLAY: inline;
FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index</font></div>
</div>

</td>
<td valign="bottom" width="9%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">High</font></div>
</div>
</td>
<td valign="bottom" width="9%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Low</font></div>
</div>
</td>
<td valign="top" width="9%" style="BORDER-BOTTOM: #000000 2px solid">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t">
<div style="TEXT-INDENT: 0pt; DISPLAY: block">&#160;</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">Period End</font></div>
</div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2007</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,459.68</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,374.12</font></div>
</td>

<td valign="bottom" width="9%">


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,420.86</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Second Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,539.18</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,424.55</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,503.35</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Third Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,553.08</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,406.70</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,526.75</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Fourth Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,565.15</font></div>

</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,407.22</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,468.36</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2008</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,447.16</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,273.37</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,322.70</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Second Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,426.63</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se

rif; FONT-SIZE: 9pt">1,278.38</font></div>


</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,280.00</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Third Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,305.32</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,106.39</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,166.36</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Fourth Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,161.06</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">752.44</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">903.25</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2009</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times

new roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">934.70</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">676.53</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">797.87</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Second Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">946.21</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">811.08</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">919.32</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Third Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,071.66</font></div>
</td>
<td valign="bottom" width="9%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">879.13</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,057.08</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Fourth Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,127.78</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,025.21</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,115.10</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2010</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,174.17</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,056.74</font></div>
</td>

<td valign="bottom" width="9%">


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,169.43</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Second Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,217.28</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,030.71</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,030.71</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Third Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,148.67</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,022.58</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,141.20</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Fourth Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,259.78</font></div>

</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,137.03</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,257.64</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2011</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,343.01</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,256.88</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,325.83</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Second Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,363.61</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se

rif; FONT-SIZE: 9pt">1,265.42</font></div>


</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,320.64</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Third Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,353.22</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,119.46</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,131.42</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">Fourth Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt"
></font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,285.09</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,099.23</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,257.60</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt; FONT-WEIGHT: bold">2012</font></div>
</td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times

new roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="bottom" width="9%"><font style="DISPLAY: inline; FONT-FAMILY: times
new roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -18pt; DISPLAY: block; MARGIN-LEFT: 18pt; MARGIN-RIGHT:
9.35pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
, serif; FONT-SIZE: 9pt">First Quarter<font id="TAB1" style="MARGIN-LEFT: 12pt">
</font></font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,416.51</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,277.06</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,408.47</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, seri
f; FONT-SIZE: 9pt">Second Quarter&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160
;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&
#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;&#160;</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,419.04</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,278.04</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,362.16</font></div>
</td>
</tr><tr>
<td align="left" valign="top" width="18%">
<div style="TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9pt; MARGIN-RIGHT: 0
pt" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, ser
if; FONT-SIZE: 9pt">Third Quarter (through July 20, 2012)</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman, se
rif; FONT-SIZE: 9pt">1,376.51</font></div>
</td>
<td valign="bottom" width="9%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT:


t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman,
rif; FONT-SIZE: 9pt">1,334.76</font></div>
</td>
<td valign="bottom" width="9%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT:
t" align="center"><font style="DISPLAY: inline; FONT-FAMILY: times new roman,
rif; FONT-SIZE: 9pt">1,362.66</font></div>
</td>
</tr></table>
</div>

0p
se

0p
se

<div align="right">&#160;</div>
</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-22</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>&#160;</div>
<div align="center">
<table bgcolor="white" cellpadding="2" cellspacing="0" width="100%" style="FONTFAMILY: times new roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times ne
w roman">
<tr>
<td width="20%"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#16
0;</font></td>
<td width="80%">
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block"><font style="F
ONT-FAMILY: times new roman; FONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT
-FAMILY: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">S&amp;P 500<font s
tyle="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> I
ndex</font></font></div>
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0
pt; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10p
t"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt;
FONT-WEIGHT: bold">Daily Closing Values</font></font></div>
<div style="TEXT-ALIGN: center; TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0

pt; MARGIN-RIGHT: 0pt"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10p


t"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt;
FONT-WEIGHT: bold">January 1, 2007 through July 20, 2012</font></font></div>
</td>
</tr><tr>
<td width="20%"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#16
0;</font></td>
<td width="80%"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#16
0;</font></td>
</tr><tr>
<td width="20%"><font style="FONT-FAMILY: times new roman; FONT-SIZE: 10pt">&#16
0;</font></td>
<td width="80%" style="TEXT-ALIGN: center"><img src="p23.jpg"></td>
</tr></table>
</div>
<div>&#160;</div>
<div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VER
TICAL-ALIGN: text-top">&#174;</font> Index</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VER
TICAL-ALIGN: text-top">&#174;</font> Index, which is calculated, maintained and
published by S&amp;P, consists of 500 component stocks selected to provide a per
formance benchmark for the U.S. equity markets.&#160;&#160;The calculation of th
e S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: texttop">&#174;</font> Index is based on the relative value of the float adjusted ag
gregate market capitalization of the 500 component companies as of a particular
time as compared to the aggregate average market capitalization of 500 similar c
ompanies during the base period of the years 1941 through 1943.&#160;&#160;For a
dditional information about the S&amp;P 500<font style="DISPLAY: inline; FONT-SI
ZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font> Index, see the information set
forth under &#8220;S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERT
ICAL-ALIGN: text-top">&#174;</font> Index&#8221; in the accompanying index suppl
ement.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%" style="TEXT-ALIGN: left">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9p
t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
; FONT-SIZE: 10pt">License Agreement between S&amp;P and Morgan Stanley</font></
div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new

roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#8220;Standard &amp; Poor&#8217;s<font style="DISPLAY: inline;
FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</font>,&#8221; &#8220;S&amp;P<f
ont style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174;</fo
nt>,&#8221; &#8220;S&amp;P 500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERT
ICAL-ALIGN: text-top">&#174;</font>,&#8221; &#8220;Standard &amp; Poor&#8217;s 5
00&#8221; and &#8220;500&#8221; are trademarks of S&amp;P and have been licensed
for use by Morgan Stanley.&#160;&#160;For more information, see &#8220;S&amp;P
500<font style="DISPLAY: inline; FONT-SIZE: 70%; VERTICAL-ALIGN: text-top">&#174
;</font> Index&#8212;License Agreement Between S&amp;P and Morgan Stanley&#8221;
in the accompanying index supplement.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9pt; MARGIN-RIGHT: 0
pt" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman;
FONT-SIZE: 10pt">Use of Proceeds and Hedging</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The net proceeds we receive from the sale of the Securities will
be used for general corporate purposes and, in part, in connection with hedging
our obligations under the Securities through one or more of our subsidiaries.&#
160;&#160;The Original Issue Price of the Securities includes the Agent&#8217;s
commissions (as shown on the cover page of this pricing supplement) paid with re
spect to the Securities and the cost of hedging our obligations under the Securi
ties.&#160;&#160;The cost of hedging includes the projected profit that our subs
idiaries expect to realize in consideration for assuming the risks inherent in m
anaging the hedging transactions.&#160;&#160;Since hedging our obligations entai
ls risk and may be influenced by market forces beyond our or our subsidiaries&#8
217; control, such</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-23</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>

<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">hedging may result in a profit that is more or less than initially
projected, or could result in a loss.&#160;&#160;See also &#8220;Use of Proceeds
&#8221; in the accompanying prospectus.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">On or prior to the Pricing Date, we, through our subsidiaries or
others, expect to hedge our anticipated exposure in connection with the Securit
ies by taking positions in the stocks constituting the Index and in futures and/
or options contracts on the Index or its component stocks listed on major securi
ties markets.&#160;&#160;Such purchase activity could have increased the Initial
Index Value and, as a result, could have increased the Downside Threshold Level
, which is the level above which the Index must close on each Determination Date
in order for you to earn a Contingent Monthly Payment and, with respect to the
Final Determination Date, in order for you to avoid being exposed to the negativ
e performance of the Index at maturity.&#160;&#160;We cannot give any assurance
that our hedging activities will not affect the value of the Index and, therefor
e, adversely affect the value of the Securities, the Contingent Monthly Payments
you receive, if any, over the term of your investment in the Securities or the
payment you receive, if any, at maturity.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%" style="TEXT-ALIGN: left">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9p
t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
; FONT-SIZE: 10pt">Supplemental Information Concerning Plan of Distribution; Con
flicts of Interest</font></div>

</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td align="left" valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">Under the terms and subject to the conditions contained in the U.S.
distribution agreement referred to in the prospectus supplement under &#8220;Pl
an of Distribution (Conflicts of Interest)&#8221; the Agent, acting as principal
for its own account, has agreed to purchase, and we have agreed to sell, the ag
gregate principal amount of Securities set forth on the cover of this pricing su
pplement.&#160;&#160;The Agent proposes initially to offer the Securities direct
ly to the public at the public offering price set forth on the cover page of thi
s pricing supplement.&#160;&#160;Selected dealers, which may include our affilia
tes, and their financial advisors will collectively receive from the Agent, a fi
xed sales commission of $30 for each Security they sell.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="left">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">MS &amp; Co. is our wholly-owned subsidiary. MS &amp; Co. will c
onduct this offering in compliance with the requirements of FINRA Rule 5121 of t
he Financial Industry Regulatory Authority, Inc., which is commonly referred to
as FINRA, regarding a FINRA member firm&#8217;s distribution of the securities o
f an affiliate and related conflicts of interest.&#160;&#160;MS &amp; Co. or any
of our other affiliates may not make sales in this offering to any discretionar
y account.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">In order to facilitate the offering of the Securities, the Agent
may engage in transactions that stabilize, maintain or otherwise affect the pri
ce of the Securities.&#160;&#160;Specifically, the Agent may sell more Securitie
s than it is obligated to purchase in connection with the offering, creating a n
aked short position in the Securities, for its own account.&#160;&#160;The Agent
must close out any naked short position by purchasing the Securities in the ope
n market.&#160;&#160;A naked short position is more likely to be created if the
Agent is concerned that there may be downward pressure on the price of the Secur
ities in</font></div>
</td>
</tr></table>
<div>&#160;</div>

<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">


<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-24</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">the open market after pricing that could adversely affect investors
who purchase in the offering.&#160;&#160;As an additional means of facilitating
the offering, the Agent may bid for, and purchase, the Securities or the securi
ties underlying the Index in the open market to stabilize the price of the Secur
ities.&#160;&#160;Any of these activities may raise or maintain the market price
of the Securities above independent market levels or prevent or retard a declin
e in the market price of the Securities.&#160;&#160;The Agent is not required to
engage in these activities, and may end any of these activities at any time.&#1
60;&#160;An affiliate of the Agent has entered into a hedgin</font><font style="
DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">g transaction wi
th us in connection with this offering of Securities.&#160;&#160;See &#8220;&#82
12;Use of Proceeds and Hedging&#8221; above.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F

ONT-SIZE: 10pt; FONT-WEIGHT: bold">General</font></div>


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">No action has been or will be taken by us, the Agent or any deal
er that would permit a public offering of the Securities or possession or distri
bution of this pricing supplement or the accompanying prospectus supplement, ind
ex supplement or prospectus in any jurisdiction, other than the United States, w
here action for that purpose is required.&#160;&#160;No offers, sales or deliver
ies of the Securities, or distribution of this pricing supplement or the accompa
nying prospectus supplement, index supplement or prospectus or any other offerin
g material relating to the Securities, may be made in or from any jurisdiction e
xcept in circumstances which will result in compliance with any applicable laws
and regulations and will not impose any obligations on us, the Agent or any deal
er.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Agent has represented and agreed, and each dealer through wh
ich we may offer the Securities has represented and agreed, that it (i) will com
ply with all applicable laws and regulations in force in each non-U.S. jurisdict
ion in which it purchases, offers, sells or delivers the Securities or possesses
or distributes this pricing supplement and the accompanying prospectus suppleme
nt, index supplement and prospectus and (ii) will obtain any consent, approval o
r permission required by it for the purchase, offer or sale by it of the Securit
ies under the laws and regulations in force in each non-U.S. jurisdiction to whi
ch it is subject or in which it makes purchases, offers or sales of the Securiti
es.&#160;&#160;We shall not have responsibility for the Agent&#8217;s or any dea
ler&#8217;s compliance with the applicable laws and regulations or obtaining any
required consent, approval or permission.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F

ONT-SIZE: 10pt; FONT-WEIGHT: bold">Brazil</font></div>


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Securities have not been and will not be registered with the
Comiss&#227;o de Valores Mobili&#225;rios (The Brazilian Securities Commission)
.&#160;&#160;The Securities may not be offered or sold in the Federative Republi
c of Brazil except in circumstances which do not constitute a public offering or
distribution under Brazilian laws and regulations.</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-25</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Chile</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Securities have not been registered with the Superintendenci
a de Valores y Seguros in Chile and may not be offered or sold publicly in Chile
.&#160;&#160;No offer, sales or deliveries of the Securities or distribution of
this pricing supplement or the accompanying prospectus supplement, index supplem
ent or prospectus, may be made in or from Chile except in circumstances which wi
ll result in compliance with any applicable Chilean laws and regulations.</font>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Hong Kong</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">WARNING: The contents of this pricing supplement, the accompanyi
ng prospectus supplement, index supplement and the accompanying prospectus have
not been reviewed by any regulatory authority in Hong Kong.&#160;&#160;You are a
dvised to exercise caution in relation to the offer.&#160;&#160;If you are in an
y doubt about any of the contents of this pricing supplement, the accompanying p
rospectus supplement, the accompanying index supplement or the accompanying pros
pectus, you should obtain independent professional advice.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F


ONT-SIZE: 10pt">None of this pricing supplement, the accompanying prospectus sup
plement, the accompanying index supplement, the accompanying prospectus and thei
r contents have been reviewed by any regulatory authority in Hong Kong.&#160;&#1
60;Accordingly, no person may issue or have in its possession for the purposes o
f issue, whether in Hong Kong or elsewhere, any advertisement, invitation or doc
ument relating to the Securities, which is directed at, or the contents of which
are likely to be accessed or read by, the public of Hong Kong (except if permit
ted to do so under the applicable securities law of Hong Kong) other than with r
espect to the Securities which are intended to be disposed of only to persons ou
tside Hong Kong or only to &#8220;professional investors&#8221; within the meani
ng of the Securities and Futures Ordinance (Chapter 571 of Hong Kong) and any ru
les made under that Ordinance.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Mexico</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Securities have not been registered with the National Regist
ry of Securities maintained by the Mexican National Banking and Securities Commi
ssion and may not be offered or sold publicly in Mexico.&#160;&#160;This pricing
supplement, the accompanying prospectus supplement, the accompanying index supp
lement and the accompanying prospectus may not be publicly distributed in Mexico
.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Singapore</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">None of this pricing supplement, the accompanying prospectus sup
plement, the accompanying index supplement and the accompanying prospectus have
been registered as a prospectus with the Monetary Authority of Singapore.&#160;&
#160;Accordingly, none of this pricing supplement, the accompanying prospectus s
upplement, </font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-26</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">the accompanying index supplement and the accompanying prospectus a
nd any other document or material in connection with the offer or sale, or invit
ation for subscription or purchase, of the Securities may be circulated or distr
ibuted, nor may the Securities be offered or sold, or be made the subject of an
invitation for subscription or purchase, whether directly or indirectly, to pers
ons in Singapore other than (i) to an institutional investor under Section 274 o

f the Securities and Futures Act, Chapter 289 of Singapore (the &#8220;SFA&#8221
;), (ii) to a relevant person pursuant Section 275(1), or any person pursuant to
Section 275(1A), and in accordance with the conditions, specified in Section 27
5 of the SFA or (iii) otherwise pursuant to, and in accordance with the conditio
ns of, any other applicable provision of the SFA.&#160;&#160;Where Securities ar
e subscribed or purchased under Section 275 by a relevant person which is:</font
></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(a) a corporation (which is not an accredited investor (as defin
ed in Section 4A of the SFA)) the sole business of which is to hold investments
and the entire share capital of which is owned by one or more individuals, each
of whom is an accredited investor; or</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(b) a trust (where the trustee is not an accredited investor) wh
ose sole purpose is to hold investments and each beneficiary of the trust is an
individual who is an accredited investor,</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">shares, debentures and units of shares and debentures of that co
rporation or the beneficiaries&#8217; rights and interests (howsoever described)
in that trust shall not be transferred within six months after that corporation
or that trust has acquired the Securities pursuant to an offer made under Secti
on 275 except:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>

</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(1) to an institutional investor (for corporations under Section
274 of the SFA) or to a relevant person defined in Section 275(2) of the SFA, o
r to any person pursuant to an offer that is made on terms that such shares, deb
entures and units of shares and debentures of that corporation or such rights an
d interest in that trust are acquired at a consideration of not less than S$200,
000 (or its equivalent in a foreign currency) for each transaction, whether such
amount is to be paid for in cash or by exchange of securities or other assets,
and further for corporations, in accordance with the conditions specified in Sec
tion 275 of the SFA;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(2) where no consideration is or will be given for the transfer;
or</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(3) where the transfer is by operation of law.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Validity of the Securities</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">In the opinion of Davis Polk &amp; Wardwell LLP, as special coun

sel to Morgan Stanley, when the Securities offered by this pricing supplement ha
ve been executed and issued by Morgan Stanley, authenticated by the trustee purs
uant to the Senior Debt Indenture and delivered against payment as contemplated
herein, such Securities will be valid and binding obligations of Morgan Stanley,
enforceable in accordance with their terms, subject to applicable bankruptcy, i
nsolvency and similar laws affecting creditors&#8217; rights</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-27</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">generally, concepts of reasonableness and equitable principles of g
eneral applicability (including, without limitation, concepts of good faith, fai
r dealing and the lack of bad faith), <font style="FONT-STYLE: italic; DISPLAY:
inline">provided</font> that such counsel expresses no opinion as to the effect
of fraudulent conveyance, fraudulent transfer or similar provision of applicable
law on the conclusions expressed above.&#160;&#160;This opinion is given as of
the date hereof and is limited to the laws of the State of New York and the Gene
ral Corporation Law of the State of Delaware.&#160;&#160;In addition, this opini
on is subject to customary assumptions about the trustee&#8217;s authorization,
execution and delivery of the Senior Debt Indenture and its authentication of th
e Securities and the validity, binding nature and enforceability of the Senior D
ebt Indenture with respect to the trustee, all as stated in the letter of such c
ounsel dated November 21, 2011, which is Exhibit 5-a to the Registration Stateme
nt on Form S-3 filed by Morgan Stanley on November 21, 2011.</font></font></div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Benefit Plan Investor Considerations</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Each fiduciary of a pension, profit-sharing or other employee be
nefit plan subject to the Employee Retirement Income Security Act of 1974, as am
ended (&#8220;ERISA&#8221;), which we refer to as a &#8220;plan,&#8221; should c
onsider the fiduciary standards of ERISA in the context of the plan&#8217;s part
icular circumstances before authorizing an investment in the Securities. Accordi
ngly, among other factors, the fiduciary should consider whether the investment
would satisfy the prudence and diversification requirements of ERISA and would b
e consistent with the documents and instruments governing the plan.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">In addition, we and certain of our subsidiaries and affiliates,
including MS &amp; Co., may each be considered &#8220;parties in interest&#8221;
within the meaning of ERISA, or &#8220;disqualified persons&#8221; within the m
eaning of the Internal Revenue Code of 1986, as amended (the &#8220;Code&#8221;)
, with respect to many plans, as well as many individual retirement accounts and
Keogh plans (also &#8220;plans&#8221;).&#160;&#160;ERISA Section 406 and Code S
ection 4975 generally prohibit transactions between plans and parties in interes
t or disqualified persons.&#160;&#160;Prohibited transactions within the meaning
of ERISA or the Code would likely arise, for example, if the Securities are acq
uired by or with the assets of a plan with respect to which MS &amp; Co. or any
of its affiliates is a service provider or other party in interest, unless the S
ecurities are acquired pursuant to an exemption from the &#8220;prohibited trans
action&#8221; rules.&#160;&#160;A violation of these &#8220;prohibited transacti
on&#8221; rules could result in an excise tax or other liabilities under ERISA a
nd/or Section 4975 of the Code for such persons, unless exemptive relief is avai
lable under an applicable statutory or administrative exemption.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new

roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The U.S. Department of Labor has issued five prohibited transact
ion class exemptions (&#8220;PTCEs&#8221;) that may provide exemptive relief for
direct or indirect prohibited transactions resulting from the purchase or holdi
ng of the Securities.&#160;&#160;Those class exemptions are PTCE 96-23 (for cert
ain transactions determined by in-house asset managers), PTCE 95-60 (for certain
transactions involving insurance company general accounts), </font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-28</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">PTCE 91-38 (for certain transactions involving bank collective inve
stment funds), PTCE 90-1 (for certain transactions involving insurance company s
eparate accounts) and PTCE 84-14 (for certain transactions determined by indepen
dent qualified professional asset managers).&#160;&#160;In addition, ERISA Secti
on 408(b)(17) and Section 4975(d)(20) of the Code may provide an exemption for t
he purchase and sale of securities and the related lending transactions, <font s
tyle="FONT-STYLE: italic; DISPLAY: inline">provided</font> that neither the issu
er of the securities nor any of its affiliates has or exercises any discretionar
y authority or control or renders any investment advice with respect to the asse
ts of the plan involved in the transaction, and <font style="FONT-STYLE: italic;

DISPLAY: inline">provided further</font> that the plan pays no more, and receiv
es no less, than &#8220;adequate consideration&#8221; in connection with the tra
nsaction (the so-called &#8220;service provider&#8221; exemption).&#160;&#160;Th
ere can be no assurance that any of these class or statutory exemptions will be
available with respect to transactions involving the Securities.</font></font></
div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Because we may be considered a party in interest with respect to
many plans, the Securities may not be purchased, held or disposed of by any pla
n, any entity whose underlying assets include &#8220;plan assets&#8221; by reaso
n of any plan&#8217;s investment in the entity (a &#8220;plan asset entity&#8221
;) or any person investing &#8220;plan assets&#8221; of any plan, unless such pu
rchase, holding or disposition is eligible for exemptive relief, including relie
f available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider
exemption or such purchase, holding or disposition is otherwise not prohibited.
&#160;&#160;Any purchaser, including any fiduciary purchasing on behalf of a pla
n, transferee or holder of the Securities will be deemed to have represented, in
its corporate and its fiduciary capacity, by its purchase and holding of the Se
curities that either (a) it is not a plan or a plan asset entity and is not purc
hasing such Securities on behalf of or with &#8220;plan assets&#8221; of any pla
n, or with any assets of a governmental, non-U.S. or church plan that is subject
to any federal, state, local or non-U.S. law that is substantially similar to t
he provisions of Section 406 of ERISA or Section 4975 of the Code (&#8220;Simila
r Law&#8221;) or (b) its purchase, holding and disposition are eligible for exem
ptive relief or such purchase, holding and disposition are not prohibited by ERI
SA or Section 4975 of the Code or any Similar Law.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Due to the complexity of these rules and the penalties that may
be imposed upon persons involved in non-exempt prohibited transactions, it is pa
rticularly important that fiduciaries or other persons considering purchasing th
e Securities on behalf of or with &#8220;plan assets&#8221; of any plan consult
with their counsel regarding the availability of exemptive relief.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>

<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne


w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The Securities are contractual financial instruments.&#160;&#160
;The financial exposure provided by the Securities is not a substitute or proxy
for, and is not intended as a substitute or proxy for, individualized investment
management or advice for the benefit of any purchaser or holder of the Securiti
es.&#160;&#160;The Securities have not been designed and will not be administere
d in a manner intended to reflect the</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
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</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-29</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">individualized needs and objectives of any purchaser or holder of t
he Securities.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>

<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne


w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Each purchaser or holder of any Securities acknowledges and agre
es that:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(i) the purchaser or holder or its fiduciary has made and shall
make all investment decisions for the purchaser or holder and the purchaser or h
older has not relied and shall not rely in any way upon us or our affiliates to
act as a fiduciary or adviser of the purchaser or holder with respect to (A) the
design and terms of the Securities, (B) the purchaser or holder&#8217;s investm
ent in the Securities, or (C) the exercise of or failure to exercise any rights
we have under or with respect to the Securities;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(ii) we and our affiliates have acted and will act solely for ou
r own account in connection with (A) all transactions relating to the Securities
and (B) all hedging transactions in connection with our obligations under the S
ecurities;</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(iii) any and all assets and positions relating to hedging trans
actions by us or our affiliates are assets and positions of those entities and a
re not assets and positions held for the benefit of the purchaser or holder;</fo
nt></div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(iv) our interests are adverse to the interests of the purchaser
or holder; and</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">(v) neither we nor any of our affiliates is a fiduciary or advis
er of the purchaser or holder in connection with any such assets, positions or t
ransactions, and any information that we or any of our affiliates may provide is
not intended to be impartial investment advice.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Each purchaser and holder of the Securities has exclusive respon
sibility for ensuring that its purchase, holding and disposition of the Securiti
es does not violate the prohibited transaction rules of ERISA or the Code or any
Similar Law.&#160;&#160;The sale of any Securities to any plan or plan subject
to Similar Law is in no respect a representation by us or any of our affiliates
or representatives that such an investment meets all relevant legal requirements
with respect to investments by plans generally or any particular plan, or that
such an investment is appropriate for plans generally or any particular plan.</f
ont></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>

<td valign="top" width="70%">


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t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">However, individual retirement accounts, individual retirement a
nnuities and Keogh plans, as well as employee benefit plans that permit particip
ants to direct the investment of their accounts, will not be permitted to purcha
se or hold the securities if the account, plan or annuity is for the benefit of
an employee of Citigroup Global Markets Inc., Morgan Stanley Smith Barney LLC (&
#8220;MSSB&#8221;) or a family member and the employee receives any compensation
(such as, for example, an addition to bonus) based on the purchase of securitie
s by the account, plan or annuity.</font></div>
</td>
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<div>&#160;</div>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
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</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-30</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Client accounts over which Citigroup Inc., Morgan Stanley, MSSB
or any of their respective subsidiaries have investment discretion are not permi
tted to purchase the securities, either directly or indirectly.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>

</td>
</tr><tr>
<td valign="top" width="25%" style="TEXT-ALIGN: left">
<div style="TEXT-ALIGN: left; TEXT-INDENT: -9pt; DISPLAY: block; MARGIN-LEFT: 9p
t; MARGIN-RIGHT: 0pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman
; FONT-SIZE: 10pt">United States Federal Income Taxation</font></div>
</td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold"><font style="DISPLAY: inline">Prospective inv
estors should note that </font>the discussion under the section called &#8220;Un
ited States Federal Taxation&#8221; in the accompanying prospectus supplement do
es not apply to the Securities issued under this pricing supplement and is super
seded by the following discussion.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
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<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The following summary is a general discussion of the principal U
.S. federal tax consequences of ownership and disposition of the Securities.&#16
0;&#160;This discussion applies only to initial investors in the Securities who:
</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
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</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>purchase the <font style="DISPLAY: inline">Securities</font> at th
eir &#8220;issue price&#8221;; and</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>will hold the <font style="DISPLAY: inline">Securities</font> as c
apital assets within the meaning of Section 1221 of the Internal Revenue Code of

1986, as amended (the &#8220;Code&#8221;).</font></div>


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">This discussion does not describe all of the tax consequences th
at may be relevant to a holder in light of the holder&#8217;s particular circums
tances or to holders subject to special rules, such as:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>certain financial institutions;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>insurance companies;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>certain dealers and traders in <font style="DISPLAY: inline">secur
ities</font>, commodities or foreign currencies;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>investors holding the <font style="DISPLAY: inline">Securities </f
ont>as part of a &#8220;straddle,&#8221; wash sale, conversion transaction, inte
grated transaction or constructive sale transaction;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>U.S. Holders (as defined below) whose functional currency is not t
he U.S. dollar;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>partnerships or other entities classified as partnerships for U.S.
federal income tax purposes;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>regulated investment companies;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>real estate investment trusts;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
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<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F


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&#160; </font>tax-exempt entities, including &#8220;individual retirement accoun
ts&#8221; or &#8220;Roth IRAs&#8221; as defined in Section 408 or 408A of the Co
de, respectively; or</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>persons subject to the alternative minimum tax.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">As the law applicable to the U.S. federal income taxation of ins
truments such as the <font style="DISPLAY: inline">Securities </font>is technica
l and complex, the discussion below necessarily represents only a general summar
y.&#160;&#160;Moreover, the effect of any applicable state, local or foreign tax
laws is not discussed.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">This discussion is based on the Code, administrative pronounceme
nts, judicial decisions and final, temporary and proposed Treasury regulations,
all as of the date hereof, changes to any of which subsequent to the date of thi
s pricing supplement may affect the tax consequences described herein.&#160;&#16
0;Persons</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>

<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">


<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-31</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt
"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT-SIZE: 10pt">c
onsidering the purchase of the <font style="DISPLAY: inline">Securities </font>s
hould consult their tax advisers with regard to the application of the U.S. fede
ral income tax laws to their particular situations as well as any tax consequenc
es arising under the laws of any state, local or foreign taxing jurisdiction.</f
ont></font></div>
<div>&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">General</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Due to the absence of statutory, judicial or administrative auth
orities that directly address the treatment of the Securities or instruments tha
t are similar to the Securities for U.S. federal income tax purposes, no assuran

ce can be given that the IRS or the courts will agree with the tax treatment des
cribed herein.&#160;&#160;We intend to treat a Security for U.S. federal income
tax purposes as a single financial contract that provides for a contingent month
ly payment that will be treated as gross income to you at the time received or a
ccrued in accordance with your regular method of tax accounting.&#160;&#160;In t
he opinion of our counsel, Davis Polk &amp; Wardwell LLP, this treatment of the
Securities is reasonable under current law; however, our counsel has advised us
that it is unable to conclude affirmatively that this treatment is more likely t
han not to be upheld, and that alternative treatments are possible.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-WEIGHT: bold">You should cons
ult your tax advisers regarding all aspects of the U.S. federal tax consequences
of an investment in the Securities</font> <font style="DISPLAY: inline; FONT-WE
IGHT: bold">(including possible alternative treatments of the Securities) and wi
th respect to any tax consequences arising under the laws of any state, local or
foreign taxing jurisdiction.&#160;&#160;Unless otherwise stated, the following
discussion is based on the treatment of each Security as described in the previo
us paragraph.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Tax Consequences to U.S. Holders</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline">This section applies to you only i
f you are a U.S. Holder.&#160;&#160;As used </font>herein<font style="DISPLAY: i
nline">, the term &#8220;U.S. Holder&#8221; means a beneficial owner of a Securi
ty that is, for U.S. federal income tax purposes:</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a citizen or individual resident of the United States;</font></div
>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a corporation, or other entity taxable as a corporation for U.S. f
ederal income tax purposes, created or organized in or under the laws of the Uni
ted States, any state thereof or the District of Columbia; or</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>an estate or trust the income of which is subject to U.S. federal
income taxation regardless of its source.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The term &#8220;U.S. Holder&#8221; also includes certain former
citizens and residents of the United States.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new

roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY
: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Tax Treatment of the Secu
rities</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Assuming the treatment of the Securities as set forth above is r
espected, the following U.S. federal income tax consequences should result.</fon
t></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-32</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F

ONT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">Tax Basis</fon


t>.&#160;&#160;A U.S. Holder&#8217;s tax basis in the Securities should equal th
e amount paid by the U.S. Holder to acquire the Securities.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">Tax Treatment
of Contingent Monthly Payment</font>.&#160;&#160;Any contingent monthly payment
on the Securities should be taxable as ordinary income to a U.S. Holder at the t
ime received or accrued in accordance with the U.S. Holder&#8217;s regular metho
d of accounting for U.S. federal income tax purposes.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline">Sale, Exchange
or Settlement </font><font style="FONT-STYLE: italic; DISPLAY: inline">of the S
ecurities</font>.&#160;&#160;Upon a sale, exchange or settlement of the <font st
yle="DISPLAY: inline">Securities</font>, a U.S. Holder should recognize gain or
loss equal to the difference between the amount realized (other than with respec
t to cash attributable to the contingent monthly payment, which should be treate
d as discussed above) on the sale, exchange or settlement and the U.S. Holder&#8
217;s tax basis in the <font style="DISPLAY: inline">Securities </font>sold, exc
hanged or settled.&#160;&#160;Any such gain or loss recognized should be long-te
rm capital gain or loss if the U.S. Holder has held the <font style="DISPLAY: in
line">Securities </font>for more than one year at the time of the sale, exchange
or settlement, <font style="DISPLAY: inline">and should be short-term capital g
ain or loss otherwise</font>.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY
: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Possible Alternative Tax
Treatments of an Investment in the Securities</font></div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline">Due to the absence of authorities
that directly address the proper tax treatment of the Securities, no assurance c
an be given that the IRS will accept, or that a court will uphold, the tax treat
ment described above.&#160;&#160;In particular, the IRS could seek to analyze th
e U.S. federal income tax consequences of owning the Securities under </font>Tre
asury<font style="DISPLAY: inline"> regulations governing contingent payment deb
t instruments (the &#8220;Contingent Debt Regulations&#8221;).</font>&#160;&#160
;<font style="DISPLAY: inline">If the IRS were successful in asserting that the
Contingent Debt Regulations applied to the Securities, the timing and character
of income thereon would be significantly affected.&#160;&#160;Among other things
, a U.S. Holder would be required to accrue original issue </font>discount<font
style="DISPLAY: inline"> on the Securities every year at a &#8220;comparable yie
ld&#8221; determined at the time of their issuance, adjusted upward or downward
to reflect the difference, if any, between the actual and the projected amount o
f any contingent payments on the Securities.&#160;&#160;Furthermore, any gain re
alized by a U.S. Holder at maturity or upon a sale, exchange or other dispositio
n of the Securities would be treated as ordinary income, and </font>any<font sty
le="DISPLAY: inline"> loss realized at maturity would be treated as ordinary los
s to the extent of the U.S. Holder&#8217;s prior accruals of original issue disc
ount, and as capital loss thereafter.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Other alternative federal income tax treatments of the <font sty
le="DISPLAY: inline">Securities </font>are also possible, which if applied could
also affect the timing and character of the income or loss with respect to the
<font style="DISPLAY: inline">Securities</font>.&#160;&#160;In 2007, the U.S. Tr
easury Department and the IRS released a notice requesting comments on the U.S.
federal income tax treatment of &#8220;prepaid forward contracts&#8221; and simi
lar instruments.&#160;&#160;The notice focuses on whether to require holders of
&#8220;prepaid forward contracts&#8221; and similar instruments to accrue income
over the term</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F

ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>


</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-33</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">of their investment.&#160;&#160;It also asks for comments on a numb
er of related topics, including the character of income or loss with respect to
these instruments; whether short-term instruments should be subject to any such
accrual regime; the relevance of factors such as the exchange&#8211;traded statu
s of the instruments and the nature of the underlying property to which the inst
ruments are linked; whether these instruments are or should be subject to the &#
8220;constructive ownership&#8221; rule, which very generally can operate to rec
haracterize certain long-term capital gain as ordinary income and impose an inte
rest charge; and appropriate transition rules and effective dates.&#160;&#160;Wh
ile it is not clear whether instruments such as the <font style="DISPLAY: inline
">Securities </font>would be viewed as similar to the prepaid forward contracts
described in the notice, any Treasury regulations or other guidance promulgated
after consideration of these issues could materially and adversely affect the ta
x consequences of an investment in the <font style="DISPLAY: inline">Securities<
/font>, possibly with retroactive effect.&#160;&#160;U.S. Holders should consult
their tax advisers regarding the U.S. federal income tax consequences of an inv
estment in the <font style="DISPLAY: inline">Securities</font>, including possib
le alternative treatments and the issues presented by this notice.</font></font>
</div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new

roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-WEIGHT: b
old">Backup Withholding and Information Reporting</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline">Backup withholding may apply in re
spect of payments on the Securities and the proceeds from a sale, exchange or ot
her disposition of the Securities, unless a U.S. Holder provides proof of an app
licable exemption or a correct taxpayer identification number, and otherwise com
plies with applicable requirements of the backup withholding rules. The amounts
withheld under the backup withholding rules are not an additional tax and may be
refunded, or credited against the U.S. Holder&#8217;s U.S. federal income tax l
iability, provided that the required information is furnished to the IRS.&#160;&
#160;In addition, information returns will be filed with the IRS in connection w
ith payments on the Securities and the proceeds from a sale, exchange or other d
isposition of the Securities, unless the U.S. Holder provides proof of an applic
able exemption from the information reporting rules.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">Tax Consequences to Non-U.S. Holders</font></
div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">This section applies to you only if you are a<font style="DISPLA
Y: inline"> Non-U.S. Holder.&#160;&#160;As used herein, the term &#8220;Non-U.S.
Holder&#8221; means a beneficial owner of a Security that is for U.S. federal i
ncome tax purposes:</font></font></div>

<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p


t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>an individual who is classified as a nonresident alien;</font></di
v>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a foreign corporation; or</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a foreign estate or trust.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">The term &#8220;Non-U.S. Holder&#8221; does not include any of t
he following holders:</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>

<td valign="top" width="70%">


<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a holder who is an individual present in the United States for 183
days or more in the taxable year of disposition and who is not</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-34</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<div align="left">
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">otherwise a resident of the United States for U.S. federal income t
ax purposes;</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F


ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>certain former citizens or residents of the United States; or</fon
t></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: symbol, serif">&#183;
&#160; </font>a holder for whom income or gain in respect of the <font style="DI
SPLAY: inline">Securities </font>is effectively connected with the conduct of a
trade or business in the United States.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Such holders should consult their tax advisers regarding the U.S
. federal income tax consequences of an investment in the <font style="DISPLAY:
inline">Securities</font>.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Although significant<font style="DISPLAY: inline"> aspects of th
e tax treatment of each Security are uncertain, we intend to withhold on any con
tingent monthly payment made to a Non-U.S. Holder generally at a rate of 30% or
at a reduced rate specified by an applicable income tax treaty under an &#8220;o
ther income&#8221; or similar provision.&#160;&#160;We will not be required to p
ay any additional amounts with respect to amounts withheld.&#160;&#160;In order
to claim an exemption from or a reduction in the 30% withholding tax, a Non-U.S.
Holder of the Securities must comply with certification requirements to establi
sh that it is not a U.S. person and is eligible for a reduction of, or an exempt
ion from withholding under, an applicable tax treaty.&#160;&#160;</font>If you a
re a Non-U.S. Holder, you should consult your tax advisers regarding the tax tre
atment of the <font style="DISPLAY: inline">Securities</font>, including the pos
sibility of obtaining a refund of any withholding tax and the certification requ
irement described above.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p

t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY
: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">U.S. Federal Estate Tax</
font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Individual Non-U.S. Holders and entities the property of which i
s potentially includible in such an individual&#8217;s gross estate for U.S. fed
eral estate tax purposes (for example, a trust funded by such an individual and
with respect to which the individual has retained certain interests or powers),
should note that, absent an applicable treaty benefit, the Securities may be tre
ated as U.S. situs property subject to U.S. federal estate tax.&#160;&#160;Prosp
ective investors that are non-U.S. individuals, or are entities of the type desc
ribed above, should consult their tax advisers regarding the U.S. federal estate
tax consequences of an investment in the Securities.</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="FONT-STYLE: italic; DISPLAY: inline; FONT-FAMILY
: times new roman; FONT-SIZE: 10pt; FONT-WEIGHT: bold">Backup Withholding and In
formation Reporting</font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify">&#160;</div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">Information returns will be filed with the IRS in connection wit

h any contingent monthly payment and may be filed with the IRS in connection wit
h the payment at maturity on the <font style="DISPLAY: inline">Securities </font
>and the proceeds from a sale, exchange or other disposition.&#160;&#160;A Non-U
.S. Holder may be subject to backup withholding in respect of amounts paid to th
e Non-U.S. Holder, unless such Non-U.S. Holder complies with certification proce
dures to establish that it is not a U.S. person for U.S. federal income tax purp
oses or otherwise establishes an exemption.&#160;&#160;The amount of any backup
withholding from a payment to a Non-U.S. Holder will be allowed as a credit agai
nst the Non-U.S. Holder&#8217;s U.S. federal income tax liability and may entitl
e the Non-U.S. Holder to a</font></div>
</td>
</tr></table>
<div>&#160;</div>
<div id="PGBRK" style="TEXT-INDENT: 0pt; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0pt">
<div id="FTR">
<div id="GLFTR" style="WIDTH: 100%" align="left"><font style="DISPLAY: inline; F
ONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
<div id="PN" style="PAGE-BREAK-AFTER: always; WIDTH: 100%">
<div style="TEXT-ALIGN: center; WIDTH: 100%"><font style="DISPLAY: inline; FONTFAMILY: times new roman; FONT-SIZE: 10pt">PS-35</font></div>
<div style="TEXT-ALIGN: center; WIDTH: 100%">
<hr style="COLOR: black" noshade size="2">
</div>
</div>
<div id="HDR">
<div id="GLHDR" style="WIDTH: 100%" align="right"><font style="DISPLAY: inline;
FONT-FAMILY: Times New Roman; FONT-SIZE: 8pt">&#160; </font></div>
</div>
</div>
<div>&#160;</div>
<table cellpadding="0" cellspacing="0" width="100%" style="FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt; FONT-SIZE: 10pt; FONT-FAMILY: times new roman">
<tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160;</font></td>
<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; FONT
-SIZE: 10pt">refund, provided that the required information is furnished to the
IRS.</font></font></div>
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt">&#160;</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new

roman; FONT-SIZE: 10pt">&#160; </font></td>


<td valign="top" width="70%">
<div style="TEXT-INDENT: 0pt; DISPLAY: block; MARGIN-LEFT: 0pt; MARGIN-RIGHT: 0p
t" align="justify"><font style="DISPLAY: inline; FONT-FAMILY: times new roman; F
ONT-SIZE: 10pt; FONT-WEIGHT: bold">The discussion in the preceding paragraphs, i
nsofar as it purports to describe provisions of U.S. federal income tax laws or
legal conclusions with respect thereto, constitutes the full opinion of Davis Po
lk &amp; Wardwell LLP regarding the material U.S. federal tax consequences of an
investment in the <font style="DISPLAY: inline">Securities</font>.</font></div>
</td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
roman; FONT-SIZE: 10pt">&#160; </font></td>
<td valign="top" width="70%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
w roman; FONT-SIZE: 10pt">&#160; </font></td>
</tr><tr>
<td valign="top" width="25%"><font style="DISPLAY: inline; FONT-FAMILY: times ne
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<td valign="top" width="5%"><font style="DISPLAY: inline; FONT-FAMILY: times new
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`
end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>

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