MORGAN STANLEY — Capital/Financing Update 2013

Jan 29, 2013

The information in this pricing supplement is not complete and may be changed. We may not deliver these securities until a final pricing supplement is delivered. This pricing supplement and the accompanying prospectus and prospectus supplement do not constitute an offer to sell these securities and we are not soliciting an offer to buy these securities in any state where the offer or sale is not permitted.

Subject to Completion, Preliminary Pricing Supplement dated January 29, 2013

PROSPECTUS dated November 21, 2011	Pricing Supplement No. 554 to
PROSPECTUS SUPPLEMENT dated November 21, 2011	Registration Statement No. 333-178081
	Dated February , 2013
	Rule 424(b)(2)

$

GLOBAL MEDIUM-TERM NOTES, SERIES F

Senior Notes

Contingent Income Securities due February 26, 2021

Linked to the Performance of Brent Blend Crude Oil With Contingent Coupon Payments Subject to the Downside Threshold Feature and the Payment at Maturity Subject to the Knock-In Feature

Unlike ordinary debt securities, the Contingent Income Securities due February 26, 2021 Linked to the Performance of Brent Blend Crude Oil With Contingent Coupon Payments Subject to the Downside Threshold Feature and the Payment at Maturity Subject to the Knock-in Feature, which we refer to as the securities, do not provide for the regular payment of interest or guarantee the return of any principal at maturity. Instead, the securities offer the opportunity for investors to earn a contingent monthly payment but only if the price of Brent blend crude oil, which we refer to as the commodity price, on the applicable monthly determination date is greater than or equal to 75% of the initial commodity price, which we refer to as the downside threshold level. However, if the commodity price is less than the downside threshold level on any determination date, you will not receive any contingent monthly payment for that monthly period. As a result, investors must be willing to accept the risk of not receiving any contingent monthly payment during the entire eight-year term of the securities. In addition, at maturity, if the final commodity price is less than 65% of the initial commodity price, which we refer to as the knock-in level, investors will be exposed to the decline in the price of Brent blend crude oil and the payment at maturity will be less than 65% of the stated principal amount of the securities and could be zero. Accordingly, investors may lose their entire initial investment in the securities . Investors will not participate in any appreciation of the price of Brent blend crude oil. The securities are for investors who seek an opportunity to earn interest at an above-market rate in exchange for the risk of losing their principal if the price of Brent blend crude oil is below the knock-in level on the final determination date and the risk of receiving no contingent monthly coupon when the price of Brent blend crude oil on the related determination date is below the downside threshold level. The securities are senior unsecured obligations of Morgan Stanley, and all payments on the securities are subject to the credit risk of Morgan Stanley.

• The principal amount and original issue price of each security is $1,000.

• The securities will pay a contingent monthly payment of $6.6667 (corresponding to approximately 8% per annum of the stated principal amount) per security but only if the commodity price on the related determination date is greater than or equal to the downside threshold level.

However, if, on any monthly determination date, the commodity price is less than the downside threshold level, you will receive no contingent monthly payment for that monthly period.

• At maturity you will receive for each $1,000 stated principal amount you hold:

º if the final commodity price is greater than or equal to the downside threshold level: $1,000 plus the relevant contingent monthly payment;

º if the final commodity price is less than the downside threshold level, but greater than or equal to the knock-in level: $1,000;

º if the final commodity price is less than the knock-in level: $1,000 x the commodity performance factor. In this case, the payment at maturity will be less than 65% of the stated principal amount of the securities and could be zero.

• The downside threshold level is $ , which is 75% of the initial commodity price.

• The knock-in level is $ , which is 65% of the initial commodity price.

• The commodity performance factor will be a fraction equal to the final commodity price divided by the initial commodity price.

• The initial commodity price will equal the commodity price on February 25, 2013, the day we price the securities for initial sale to the public, which we refer to as the pricing date, subject to adjustments for non-trading days and certain market disruption events.

• The final commodity price will equal the commodity price on the final determination date.

• The determination dates are the th day of each month, from and including March , 2013, to and including the final determination date. The determination dates are subject to postponement due to non-trading days and certain market disruption events.

• The contingent payment dates are the third business day after the related determination date. If the related determination date is postponed, the contingent payment date will be the third business day after the related determination date as postponed. No adjustment will be made to any contingent monthly payment postponed due to the postponement of the applicable determination date.

• The maturity date may be postponed as a result of the postponement of the final determination date. No adjustment will be made to any contingent monthly payment made on that postponed date.

• Investing in the securities is not equivalent to investing directly in Brent blend crude oil or in futures contracts or forward contracts on Brent blend crude oil.

• The securities will not be listed on any securities exchange.

• The CUSIP number for the securities is 6174823X0 and the ISIN for the securities is US6174823X01.

You should read the more detailed description of the securities in this pricing supplement. In particular, you should review and understand the descriptions in “Summary of Pricing Supplement” and “Description of Securities.”

The securities are riskier than ordinary debt securities. See “Risk Factors” beginning on PS-10.

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

PRICE $1,000 PER SECURITY

	Price to public (1)	Agent’s commissions (2)
Per security	$1,000	$ $
Total	$	$ $

(1) The price to public for investors purchasing the securities in fee-based advisory accounts will be $970 per security.

(2) Selected dealers and their financial advisors will collectively receive from the agent, Morgan Stanley & Co. LLC (“MS & Co.”), a fixed sales commission of $ for each security they sell; provided that dealers selling to investors purchasing the securities in fee-based advisory accounts will receive a sales commission of $ per security. See “Description of Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest” in this pricing supplement. For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

The agent for this offering, Morgan Stanley & Co. LLC, is our wholly owned subsidiary. See “Description of Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest” in this pricing supplement.

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

MORGAN STANLEY

For a description of certain restrictions on offers, sales and deliveries of the securities and on the distribution of this pricing supplement and the accompanying prospectus supplement and prospectus relating to the securities, see the section of this pricing supplement called “Description of Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”

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 possession or distribution of this pricing supplement or the accompanying prospectus supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. Neither this pricing supplement nor the accompanying prospectus supplement and prospectus may be used for the purpose of an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not authorized or to any person to whom it is unlawful to make such an offer or solicitation.

The securities have not been and will not be registered with the Comissão de Valores Mobiliários (The Brazilian Securities Commission). The securities may not be offered or sold in the Federative Republic of Brazil except in circumstances which do not constitute a public offering or distribution under Brazilian laws and regulations.

The securities have not been registered with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the securities or distribution of this pricing supplement or the accompanying prospectus supplement or prospectus, may be made in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and regulations.

WARNING: The contents of this pricing supplement, the accompanying prospectus supplement and the accompanying prospectus have not been reviewed by any regulatory authority in Hong Kong. You are advised to exercise caution in relation to the offer. If you are in any doubt about any of the contents of this pricing supplement, the accompanying prospectus supplement or the accompanying prospectus, you should obtain independent professional advice.

None of this pricing supplement, the accompanying prospectus supplement, the accompanying prospectus and their contents have been reviewed by any regulatory authority in Hong Kong. Accordingly, no person may issue or have in its possession for 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 only to persons outside Hong Kong or only to “professional investors” within the meaning of the Securities and Futures Ordinance (Chapter 571 of Hong Kong) and any rules made under that Ordinance.

The securities have not been registered with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico. This pricing supplement and the accompanying prospectus supplement and prospectus may not be publicly distributed in Mexico.

None of this pricing supplement, the accompanying prospectus supplement and the accompanying prospectus have been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, none of this pricing supplement, the accompanying prospectus supplement and the accompanying 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 circulated 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 indirectly, to persons in Singapore other than (i) to an institutional investor under Section 274 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”), (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 275 of the SFA

or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA. Where securities are subscribed or purchased under Section 275 by a relevant person which is:

PS-2

(a) a corporation (which is not an accredited investor (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 individuals, each of whom is an accredited investor; or

(b) a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,

shares, debentures and units of shares and debentures of that corporation or the beneficiaries’ 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 Section 275 except:

(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, 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;

(2) where no consideration is or will be given for the transfer; or

(3) where the transfer is by operation of law.

PS-3

SUMMARY OF PRICING SUPPLEMENT

The following summary describes the securities we are offering to you in general terms only. You should read the summary together with the more detailed information that is contained in the rest of this pricing supplement and in the accompanying prospectus supplement and prospectus. You should carefully consider, among other things, the matters set forth in “Risk Factors.”

The securities offered are medium-term debt securities of Morgan Stanley. The securities do not provide for the regular payment of interest or guarantee the return of any principal at maturity. Instead, the securities offer the opportunity for investors to earn a contingent monthly payment with respect to each monthly determination date but only if the commodity price is greater than or equal to 75% of the initial commodity price, which we refer to as the downside threshold level. In addition, if the final commodity price is less than the knock-in level, investors will be exposed to the decline in the commodity price and the payment at maturity will be less than 65% of the stated principal amount of the securities and could be zero. The securities have been designed 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 securities or return of principal in exchange for an opportunity to earn interest at a potentially above-market rate if the commodity price is at or above the downside threshold level on each monthly determination date. Investors will not participate in any appreciation of the price of Brent blend crude oil. All payments on the securities are subject to the credit risk of Morgan Stanley.

Each security costs $1,000	We, Morgan Stanley, are offering the Contingent Income Securities due February 26, 2021 Linked to the Performance of Brent Blend Crude Oil With Contingent Coupon Payments Subject to the Downside Threshold Feature and the Payment at Maturity Subject to the Knock-in Feature, which we refer to as the securities. The principal amount and original issue price of each security is $1,000.
	The original issue price of the securities includes the agent’s commissions paid with respect to the securities as well as the cost of hedging our obligations under the securities. The cost of hedging includes the projected profit that our subsidiaries may realize in consideration for assuming the risks inherent in managing the hedging transactions. The secondary market price, if any, at which Morgan Stanley & Co. LLC, which we refer to as MS & Co., is willing to purchase the securities is expected to be affected adversely by the inclusion of these commissions and hedging costs in the original issue price. In addition, the secondary market price may be lower due to the costs of unwinding the related hedging transactions at the time of the secondary market transaction. See “Risk Factors—The inclusion of commissions and projected profit from hedging in the original issue price is likely to adversely affect secondary market prices” and “Description of Securities—Use of Proceeds and Hedging.”
The securities do not guarantee the return of any principal at maturity	At maturity you will receive for each $1,000 stated principal amount you hold: · if the final commodity price is greater than or equal to the downside threshold level: $1,000 plus the contingent monthly payment with respect to the final determination date; or · if the final commodity price is less than the downside threshold level, but greater than or equal to the knock-in level: $1,000; · if the final commodity price, is less than the knock-in level: $1,000 multiplied by the commodity performance factor where, final commodity price = the commodity price on the final determination date, subject to adjustment for non-trading days and certain market disruption events.

PS-4

initial commodity price = the commodity price on the pricing date, subject to adjustment for non-trading days and certain market disruption events. downside threshold level = $ , which is 75% of the initial commodity price knock-in level = $ , which is 65% of the initial commodity price commodity price = On any trading day, the official settlement price per barrel of Brent blend crude oil on ICE Futures Europe (“ICE”) of the first nearby month futures contract, as stated in U.S. dollars, as made public by ICE on such day. On November 7, 2011, IntercontinentalExchange, Inc. announced that ICE Futures Europe will introduce new ICE Brent NX (New Expiry) Crude Futures and Options contracts (“ICE Brent NX”), to be available for trading with a first trade date of December 5, 2011. During any period in which existing ICE Brent Futures and Options are still being used, the calculation agent may, in its sole discretion, determine that all payments on the securities will be based upon ICE Brent NX. The calculation agent may make such adjustments as it determines to be necessary to ensure that the price of the underlying commodity is comparable to the commodity price prior to all payments on the securities being based upon ICE Brent NX and fairly represents the value of the underlying commodity. commodity performance factor = The final commodity price divided by the initial commodity price, as expressed by the following formula: final commodity price initial commodity price If the final commodity price is less than the knock-in level, you will be exposed to the full amount of decline in the commodity price from the initial commodity price. Under this scenario, your payment at maturity will be less than 75% of the stated principal amount and could be zero.

The securities do not provide for regular interest payments

The securities provide an opportunity for investors to earn a contingent monthly payment, which is an amount equal to $6.6667 (corresponding to approximately 8% per annum of the stated principal amount) per security, but only if commodity price on the applicable monthly determination date is greater than or equal to the downside threshold level. The contingent monthly payment, if any, will be payable monthly on the contingent payment date. It is possible that the commodity price could remain below the downside threshold level for extended periods of time or even throughout the entire term of the securities so that you would receive few or no contingent monthly payments. We refer to the coupon on the securities as contingent, because there is no guarantee that you will receive a coupon payment on any contingent payment date. Even if the commodity price is greater than or equal to the downside threshold level on some monthly determination dates, it may fluctuate below the downside threshold level on others. The contingent payment dates occur on the third business day following each related determination date. The determination dates are the th day of each month, from and including March , 2013, to and including the final determination date. The determination dates, and hence the contingent payment dates, are subject to postponement due to non-trading days and certain market disruption events. No

PS-5

	adjustments will be made to any contingent payments that are paid on postponed contingent payment dates. See “Description of Securities—Determination Dates.” The maturity date may be postponed as a result of the postponement of the final determination date. See “Description of Securities—Maturity Date.”
Investing in the securities is not equivalent to investing directly in Brent blend crude oil or in futures contracts or forward contracts on Brent blend crude oil	Investing in the securities is not equivalent to investing directly in Brent blend crude oil or in futures contracts or in forward contracts on Brent blend crude oil. By purchasing the securities, you do not purchase any entitlement to Brent blend crude oil or futures contracts or forward contracts on Brent blend crude oil. Further, by purchasing the securities, you are assuming the credit risk of Morgan Stanley and not that of any counter-party to futures contracts or forward contracts on the underlying commodity.
Investors will not participate in any appreciation in the price of Brent blend crude oil	Investors will not participate in any appreciation in the price of Brent blend crude oil from the initial commodity price, and the return on the securities will be limited to the contingent monthly payments, if any, that are paid on the securities. For example, if on the final determination date, Brent blend crude oil has appreciated substantially from the initial commodity price, the payment at maturity would be limited to the stated principal amount of $1,000 and the contingent monthly payment of $6.6667 (corresponding to approximately 8% per annum of the stated principal amount) per security. Under this scenario, although the price of Brent blend crude oil has substantially increased, your payment at maturity is not correspondingly increased and at maturity, the securities only provide for the payment of your initial investment and the contingent monthly payment.
	Please review the historical performance of the price of Brent blend crude oil for the period from January 1, 2008 through January 24, 2013 in this pricing supplement under “Description of Securities—Historical Information.” You cannot predict the future performance of the price of Brent blend crude oil based on its historical performance.
Concentrated investment in Brent blend crude oil	All payments on the securities are linked exclusively to the price of Brent blend crude oil and not to a diverse basket of commodities or a broad-based commodity index. Therefore, the securities carry greater risk and may be more volatile than a security linked to the prices of multiple commodities or a broad-based commodity index.
You may revoke your offer to purchase the securities prior to our acceptance	We are using this pricing supplement to solicit from you an offer to purchase the securities. You may revoke your offer to purchase the securities at any time prior to the time at which we accept such offer by notifying the relevant agent. We reserve the right to change the terms of, or reject any offer to purchase, the securities prior to their issuance. In the event of any material changes to the terms of the securities, we will notify you.
Morgan Stanley Capital Group Inc. will be the calculation agent	We have appointed our affiliate, Morgan Stanley Capital Group Inc., which we refer to as MSCG, to act as calculation agent for The Bank of New York Mellon, a New York banking corporation, the trustee for our senior debt securities. As calculation agent, MSCG. will determine the initial commodity price, the downside threshold level, the knock-in level, the commodity price on each determination date, including the final commodity price, whether the contingent monthly payment will be paid on any contingent payment date, whether a market disruption event has occurred and the payment you will receive at maturity, if any.
Morgan Stanley & Co. LLC will be the agent;	The agent for the offering of the securities, MS & Co., our wholly-owned subsidiary, will conduct this offering in compliance with the requirements of FINRA Rule 5121

PS-6

conflicts of interest	of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account. See “Description of Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest” on PS-25.
Where you can find more information on the securities	The securities are unsecured senior debt securities issued as part of our Series F medium-term note program. You can find a general description of our Series F medium-term note program in the accompanying prospectus supplement dated November 21, 2011 and the prospectus dated November 21, 2011. We describe the basic features of this type of debt security in the sections of the prospectus supplement called “Description of Notes—Notes Linked to Commodity Prices, Single Securities, Baskets of Securities or Indices” and in the section of the prospectus called “Description of Debt Securities—Fixed Rate Debt Securities.”
	Because this is a summary, it does not contain all the information that may be important to you. For a detailed description of the terms of the securities, you should read the “Description of Securities” section in this pricing supplement. You should also read about some of the risks involved in investing in the securities in the section called “Risk Factors.” The tax treatment of investments in commodity-linked securities such as these differs from that of investments in ordinary debt securities. See the section of this pricing supplement called “Description of Securities—United States Federal Income Taxation.” You should consult with your investment, legal, tax, accounting and other advisors with regard to any proposed or actual investment in the securities.
How to reach us	You may contact your local Morgan Stanley Wealth Management branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (212) 761-4000).

PS-7

HYPOTHETICAL EXAMPLES

The following hypothetical examples are for illustrative purposes only. Whether you receive a contingent monthly payment will be determined on each monthly determination date and the payment at maturity, if any, will be determined on the final determination date. The actual initial commodity price and downside threshold level will be determined on the pricing date. Any payment on the securities is subject to the credit risk of Morgan Stanley. The numbers in the hypothetical examples may be rounded for ease of analysis. The below examples are based on the following terms:

Hypothetical Initial Commodity Price:	$100
Hypothetical Downside Threshold Level:	$75 (75% of the hypothetical initial commodity price)
Hypothetical Knock-in Level:	$65 (65% of the hypothetical initial commodity price)
Contingent Monthly Payment:	$6.6667 (corresponding to approximately 8% per annum of the stated principal amount) per security
Stated Principal Amount:	$1,000 per security
Total Number of Determination Dates:	96

Example 1. On 3 determination dates prior to the final determination date, the commodity price is greater than or equal to the downside threshold level of $75, and the commodity price on each other determination date prior to the final determination date is less than the downside threshold level of $75. Therefore, you would receive the contingent monthly payment of $6.6667 with respect to those 3 determination dates, totaling $6.6667 x 3 = $20.0001. On the final determination date, the commodity price is $40, which is less than the downside threshold level. Therefore, you would not receive a contingent monthly payment with respect to the final determination date. In addition, the final commodity price of $40 is less than the knock-in level of $65. Therefore, with respect to the final determination date, you would receive a payment equal to the product of the stated principal amount and the commodity performance factor, calculated as follows:

stated principal amount x (final commodity price / initial commodity price) = $1,000 x (40 / 100) = $400

The total payment over the term of the securities is $20.0001 + $400 = $420.00 per security.

Example 2. On 36 determination dates prior to the final determination date, the commodity price is greater than or equal to the downside threshold level of $75, and the commodity price on each other determination date prior to the final determination date is less than the downside threshold level of $75. Therefore, you would receive the contingent monthly payment of $6.6667 with respect to those 36 determination dates, totaling $6.6667 x 36 = $240.0012. On the final determination date, the commodity price is $50, which is less than the downside threshold level. Therefore, you would not receive a contingent monthly payment with respect to the final determination date. In addition, the final commodity price of $50 is less than the knock-in level of $65. Therefore, with respect to the final determination date, you would receive a payment equal to the product of the stated principal amount and the commodity performance factor, calculated as follows:

stated principal amount x (final commodity price / initial commodity price) = $1,000 x (50 / 100) = $500

The total payment over the term of the securities is $240.0012 + $500 = $740.00 per security.

Example 3. On 36 determination dates prior to the final determination date, the commodity price is greater than or equal to the downside threshold level of $75, and the commodity price on each other determination date prior to the final determination date is less than the downside threshold level of $75. Therefore, you would receive the contingent monthly payment of $6.6667 with respect to those 36 determination dates, totaling $6.6667 x 36 = $240.0012. On the final determination date, the commodity price is $70, which is less than the downside threshold level. Therefore, you would not receive a contingent monthly payment with respect to the final determination date. However, the final commodity price of $70 is greater than the knock-in level of $65. Therefore, with respect to the

PS-8

final determination date, you would receive a payment equal to the stated principal amount, and no contingent monthly payment would be payable in respect of such final determination date.

The total payment over the term of the securities is $240.0012 + $1,000 = $1,240.00 per security.

Example 4. On 36 determination dates prior to the final determination date, the commodity price is greater than or equal to the downside threshold level of $75, and the commodity price on each other determination date prior to the final determination date is less than the downside threshold level of $75. Therefore, you would receive the contingent monthly payment of $6.6667 with respect to those 36 determination dates, totaling $6.6667 x 36 = $240.0012. On the final determination date, the commodity price is $80, which is greater than the downside threshold level. Therefore, you would receive a contingent monthly payment with respect to the final determination date. In addition, the final commodity price of $80 is greater than the knock-in level of $65. Therefore, with respect to the final determination date, you would receive a payment equal to the sum of the stated principal amount and the contingent monthly payment, calculated as follows:

stated principal amount + contingent monthly payment = $1,000 + $6.6667 = $1,006.6667

The total payment over the term of the securities is $240.0012 + $1,006.6667 = $1,246.67 per security.

Example 5. On each determination date prior to the final determination date, the commodity price is greater than or equal to the downside threshold level of $75. Therefore, you would receive the contingent monthly payment of $6.6667 with respect to each such determination date, totaling $6.6667 x 95 = $633.3365. On the final determination date, the commodity price is $85, which is greater than the downside threshold level. Therefore, you would receive a contingent monthly payment with respect to the final determination date. In addition, the final commodity price of $85 is greater than the knock-in level of $65. Therefore, with respect to the final determination date, you would receive a payment equal to the sum of the stated principal amount and the contingent monthly payment, calculated as follows:

stated principal amount + contingent monthly payment = $1,000 + $6.6667 = $1,006.6667

The total payment over the term of the securities is $633.3365 + $1,006.6667 = $1,640.00 per security.

PS-9

EFPlaceholder RISK FACTORS

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 maturity. The securities will pay a contingent monthly payment but only if the commodity price is greater than or equal to the downside threshold level on the related determination date. In addition, if the final commodity price on the final determination date is less than the knock-in level, your payment at maturity will be less than 65% of the stated principal amount and could be zero. Investing in the securities is not equivalent to investing in a fixed rate debt security due to the fact that each interest payment is contingent on the price of Brent blend crude oil on the related determination date and your principal will be at risk if the final commodity price is less than the knock-in level. This section describes the most significant risks relating to the securities. You should carefully consider whether the securities are suited to your particular circumstances before you decide to purchase them.

The securities do not guarantee the return of any principal	The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the payment of regular interest or the return of any of the principal amount at maturity. Instead, if the final commodity price is less than the knock-in level, you will be exposed to the decline in the commodity price, as compared to the initial commodity price, 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 stated principal amount in proportion to the decline in the commodity price. Under this scenario, the value of any such payment will be less than 65% of the stated principal amount and could be zero.
You will not receive any contingent monthly payment for any monthly period where the commodity price on the related determination date is less than the downside threshold level	You will receive a contingent monthly payment with respect to a monthly period but only if the commodity price on the related determination date is greater than or equal to the downside threshold level. If the commodity price remains below the downside threshold level on each determination date over the term of the securities, you will not receive any contingent monthly payments.
The contingent monthly payment, if any, is paid on a monthly basis and is based solely on the price of Brent blend crude oil on the specified determination dates	Whether the contingent monthly payment will be made with respect to a determination date will be based on the commodity price on such date or the final commodity price, as applicable. As a result, you will not know whether you will receive the contingent monthly payment until the related determination date. Moreover, because the contingent monthly payment is based solely on the commodity price on a specific determination date, if such commodity price is less than the downside threshold level, you will not receive any contingent monthly payment with respect to such determination date, even if the price of Brent blend crude oil was higher on other days during the term of the securities.
Investors will not participate in any appreciation in the price of Brent blend crude oil	Investors will not participate in any appreciation in the price of Brent blend crude oil from the initial commodity price, and the return on the securities is limited to the contingent monthly payments, if any, that are paid on the securities. For example, if on the final determination date, the price of Brent blend crude oil has appreciated 25% from the initial commodity price, the payment at maturity would be limited to the stated principal amount of $1,000 and the contingent monthly payment of $6.6667 (corresponding to approximately 8% per annum of the stated principal amount) per security. Under this scenario, although the price of Brent blend crude oil has substantially increased, your payment at maturity is not correspondingly increased and at maturity, the securities would only provide for the payment of your initial investment and the contingent monthly payment.

PS-10

The market price will be influenced by many unpredictable factors	Several factors, many of which are beyond our control, will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. We expect that generally the level of interest rates available in the market and the price of Brent blend crude oil on any day will affect the value of the securities more than any other factors. Other factors that may influence the value of the securities include: · the market price of Brent blend crude oil and futures contracts on Brent blend crude oil and the volatility (frequency and magnitude of changes in price) of such prices; · whether or not the commodity price was less than the downside threshold level on any determination date; · trends of supply and demand for the Brent blend crude oil at any time, as well as the effects of speculation or any government actions that could affect the markets for the Brent blend crude oil; · interest and yield rates in the market; · geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying commodity or commodities markets generally and which may affect the price of Brent blend crude oil; · the time remaining until the maturity of the securities; · the availability of comparable instruments; and · any actual or anticipated changes in our credit ratings or credit spreads. Some or all of these factors will influence the price you will receive if you sell your securities prior to maturity. For example, you may have to sell your securities at a substantial loss if the price of Brent blend crude oil at the time of sale is at or below its initial price and especially if the commodity price has decreased below the downside threshold level or it is believed to be likely to do so in light of the then-current price of Brent blend crude oil. You cannot predict the future prices of Brent blend crude oil based on its historical prices. The commodity price may be less than the downside threshold level on any determination date during the period from but excluding the pricing date to and including the final determination date such that you would not be entitled to receive a contingent monthly payment in respect of such determination dates. In addition, there can be no assurance that the final commodity price will be greater than the knock-in level on the final determination date so that you would receive at maturity an amount equal to the stated principal amount of the securities, and you may lose some or all of your investment at maturity.
Single commodity prices tend to be more volatile than, and may not correlate with, the prices of commodities generally	The payment at maturity is linked exclusively to the price of Brent blend crude oil and not to a diverse basket of commodities or a broad-based commodity index. The price of Brent blend crude oil may not correlate to, and may diverge significantly from, the prices of commodities generally. Because the securities are linked to the price of a single commodity, they carry greater risk and may be more volatile than a security linked to the prices of multiple commodities or a broad-based commodity index. The price of Brent blend crude oil may be, and has recently been, highly volatile, and we can give you no assurance that the volatility will lessen.
The price of Brent blend crude oil may change unpredictably and affect the value of the securities in unforeseen ways	The price of Brent blend crude oil futures is primarily affected by the global demand for and supply of crude oil, but is also influenced significantly from time to time by speculative actions and by currency exchange rates. Brent crude oil (“Brent”) is light

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	sweet crude oil from the North Sea. Most refinement takes place in Northwest Europe. Brent prices are generally more volatile and subject to dislocation than prices of other commodities. Demand for refined petroleum products by consumers, as well as the agricultural, manufacturing and transportation industries, affects the price of crude oil. Crude oil’s end-use as a refined product is often as transport fuel, industrial fuel and in-home heating fuel. Potential for substitution in most areas exists, although considerations including relative cost often limit substitution levels. Because the precursors of demand for petroleum products are linked to economic activity, demand will tend to reflect economic conditions. Demand is also influenced by government regulations, such as environmental or consumption policies. In addition to general economic activity and demand, prices for crude oil are affected by political events, labor activity and, in particular, direct government intervention (such as embargos) or supply disruptions in major oil producing regions of the world. Such events tend to affect oil prices worldwide, regardless of the location of the event. Supply for crude oil may increase or decrease depending on many factors. These include production decisions by the Organization of the Petroleum Exporting Countries (“OPEC”) and other crude oil producers. OPEC has the potential to influence oil prices worldwide because its members possess a significant portion of the world’s oil supply. In the event of sudden disruptions in the supplies of oil, such as those caused by war, natural events, accidents or acts of terrorism, prices of oil futures contracts could become extremely volatile and unpredictable. Also, sudden and dramatic changes in the futures market may occur, for example, upon the commencement or cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld supplies into the market or the introduction of substitute products or commodities. Crude oil prices may also be affected by short-term changes in supply and demand because of trading activities in the oil market and seasonality ( e.g. , weather conditions such as hurricanes). See “Description of Securities—Historical Information.”
An investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities	The securities have returns based on the change in price of futures contracts on the underlying commodity, not the change in the spot price of actual physical commodity to which such futures contracts relate. The price of a futures contract reflects the expected value of the commodity upon delivery in the future, whereas the price of a physical commodity reflects the value of such commodity upon immediate delivery, which is referred to as the spot price. Several factors can result in differences between the price of a commodity futures contract and the spot price of a commodity, including the cost of storing such commodity for the length of the futures contract, interest costs related to financing the purchase of such commodity and expectations of supply and demand for such commodity. While the changes in the price of a futures contract are usually correlated with the changes in the spot price, such correlation is not exact. In some cases, the performance of a commodity futures contract can deviate significantly from the spot price performance of the related underlying commodity, especially over longer periods of time. Accordingly, investments linked to the return of commodities futures contracts may underperform similar investments that reflect the spot price return on physical commodities.
Suspension or disruptions of market trading in commodity and related futures markets may adversely affect the value of the securities	The commodity markets are subject to temporary distortions or other disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. These limits are generally referred to as “daily price fluctuation limits” and the maximum or minimum price of a contract on any given day as a result of these limits is referred to as a “limit price.” Once the limit price has been reached in a particular contract, no trades may be made at a different price. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. These circumstances could adversely affect the

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	value of the underlying asset and, therefore, the value of the securities.
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	You are dependent on Morgan Stanley’s ability to pay all amounts due on the securities on each contingent payment date or at maturity, and therefore you are subject to the credit risk of Morgan Stanley. The securities are not guaranteed by any other entity. If Morgan Stanley defaults on its obligations under the securities, your investment would be at risk and you could lose some or all of your investment. As a result, the market value of the securities prior to maturity will be affected by changes in the market’s view of Morgan Stanley’s creditworthiness. Any actual or anticipated decline in Morgan Stanley’s credit ratings or increase in the credit spreads charged by the market for taking Morgan Stanley credit risk is likely to adversely affect the market value of the securities.
The securities will not be listed on any securities exchange and secondary trading may be limited	The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is not obligated to, make a market in the securities. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the securities easily. Because 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 trade your securities is likely to depend on the price, if any, at which MS & Co. is willing to transact. If, at any time, MS & Co. were not to make a market in the securities, it is likely that there would be no secondary market for the securities. Accordingly, you should be willing to hold your securities to maturity.
The inclusion of commissions and projected profit from hedging in the original issue price is likely to adversely affect secondary market prices	Assuming no change in market conditions or any other relevant factors, the price, if any, at which MS & Co. is willing to purchase the securities at any time in secondary market transactions will likely be significantly lower than the original issue price, since secondary market prices are likely to exclude commissions paid with respect to the securities and the cost of hedging our obligations under the securities that are included in the original issue price. The cost of hedging includes the projected profit that our subsidiaries may realize in consideration for assuming the risks inherent in managing the hedging transactions. These secondary market prices are also likely to be reduced by the costs of unwinding the related hedging transactions. Our subsidiaries may realize a profit from the expected hedging activity even if investors do not receive a favorable investment return under the terms of the securities or in any secondary market transaction. In addition, any secondary market prices may differ from values determined by pricing models used by MS & Co., as a result of dealer discounts, mark-ups or other transaction costs.
Hedging and trading activity by our subsidiaries could potentially affect the value of the securities	One or more of our subsidiaries expect to carry out hedging activities related to the securities (and to other instruments linked to Brent blend crude oil), including trading in futures contracts on Brent blend crude oil, and possibly in other instruments related to Brent blend crude oil. Some of our subsidiaries also trade Brent blend crude oil and other financial instruments related to Brent blend crude oil on a regular basis as part of their general broker-dealer, commodity trading, proprietary trading and other businesses. Any of these hedging or trading activities on or prior to the pricing date could potentially increase the initial commodity price and, as a result, could increase the downside threshold level and knock-in level, which would reduce the probability of your receiving contingent monthly payments and your principal back at maturity. Additionally, such hedging or trading activities during the term of the securities could potentially affect the commodity price, and whether the commodity price is less than the downside threshold level on any determination date during the period from but excluding the pricing date to and including the final determination date and whether the commodity price is less than the knock-in level on the final determination date, and, accordingly, the amount of cash you will receive

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	upon a sale of the securities or at maturity.
The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the securities	As calculation agent, Morgan Stanley Capital Group Inc. will determine the initial commodity price, the final commodity price, whether the commodity price was less than the downside threshold level on any determination date during the period or the commodity price was less than the knock-in level on the final determination date, and whether a market disruption event has occurred, and will calculate the amount of cash, if any, you will receive at maturity. Determinations made by the calculation agent, including with respect to the occurrence or non-occurrence of market disruption events or calculation of any commodity price in the event of a market disruption event, may adversely affect the payout to you at maturity. See the section of this pricing supplement called “Description of Securities—Market Disruption Event.”
Investing in the securities is not equivalent to investing directly in Brent blend crude oil or in futures contracts or forward contracts on Brent blend crude oil	Investing in the securities is not equivalent to investing directly in Brent blend crude oil or in futures contracts or in forward contracts on Brent blend crude oil. By purchasing the securities, you do not purchase any entitlement to Brent blend crude oil or futures contracts or forward contracts on Brent blend crude oil. Further, by purchasing the securities, you are taking credit risk to Morgan Stanley and not to any counter-party to futures contracts or forward contracts on Brent blend crude oil.
Legal and regulatory changes could adversely affect the return on and value of your securities	Futures contracts and options on futures contracts, including those related to the underlying commodities or the index commodities, are subject to extensive statutes, regulations, and margin requirements. The Commodity Futures Trading Commission, commonly referred to as the “CFTC,” and the exchanges on which such futures contracts trade are authorized to take extraordinary actions in the event of a market emergency, including, for example, the retroactive implementation of speculative position limits or higher margin requirements, the establishment of daily limits and the suspension of trading. Furthermore, certain exchanges have regulations that limit the amount of fluctuations in futures contract prices that may occur during a single five-minute trading period. These limits could adversely affect the market prices of relevant futures and options contracts and forward contracts. The regulation of commodity transactions in the U.S. is subject to ongoing modification by government and judicial action. In addition, various non-U.S. governments have expressed concern regarding the disruptive effects of speculative trading in the commodity markets and the need to regulate the derivative markets in general. The effect on the value of the securities of any future regulatory change is impossible to predict, but could be substantial and adverse to the interests of holders of the securities. For example, the Dodd-Frank Act, which was enacted on July 21, 2010, requires the CFTC to establish limits on the amount of positions that may be held by any person in futures contracts on a commodity, options on such futures contracts and swaps that are economically equivalent to such contracts. In particular, on October 18, 2011, the CFTC adopted interim and final position limits that would have applied to a party’s combined futures, options and swaps position in any one of 28 physical commodities and economically equivalent futures, options and swaps. These limits would have, among other things, expanded existing position limits applicable to options and futures contracts to apply to swaps and applied them across affiliated and controlled entities and accounts. However, the International Swaps and Derivatives Association and the Securities Industry and Financial Markets Association jointly filed a legal challenge to the position limit rules, which were due to take effect on October 12, 2012, in the U.S. District Court for the District of Columbia. On September 28, 2012, the court vacated the position limit rules and remanded them to

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the CFTC. It is unclear whether the CFTC will decide to appeal the court’s ruling or seek to repropose position limit rules. If position limit rules are ultimately upheld in an appeal or if substantially similar rules are adopted and implemented by the CFTC, such rules could interfere with our ability to enter into or maintain hedge positions in instruments subject to the limits, and consequently, we may need to decide, or be forced, to sell a portion, possibly a substantial portion, of our hedge position in such underlying commodity or futures contracts on such underlying commodity or related contracts. Similarly, other market participants would be subject to the same regulatory issues and could decide, or be required to, sell their positions in such underlying commodity or futures contracts on such underlying commodity or related contracts. While the effect of these or other regulatory developments are difficult to predict, if this broad market selling were to occur, it would likely lead to declines, possibly significant declines, in the price of such underlying commodity or futures contracts on such underlying commodity and therefore, the value of the securities.

The U.S. federal income tax consequences of an investment in the securities are uncertain

There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects of the tax treatment of the securities are uncertain. Please read the discussion under “United States Federal Taxation” in this pricing supplement concerning the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security 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 to you at the time received or accrued in accordance with your regular method of tax accounting. We do not plan to request a ruling from the Internal Revenue Service (the “IRS”) regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein. If the IRS were successful in asserting an alternative treatment for the securities, the timing and character of income or loss on the securities might differ significantly from the tax treatment described herein. For example, under one possible treatment, the IRS could seek to recharacterize the securities as debt instruments. In that event, U.S. Holders could be required to accrue into income original issue discount on the securities every year at a “comparable yield” determined at the time of issuance (as adjusted based on the difference, if any, between the actual and the projected amount of any contingent payments on the securities) and recognize all income and gain in respect of the securities as ordinary income. Because a security provides for the return of principal except where the final commodity price has declined below the knock-in level, the risk that a security would be recharacterized, for U.S. federal income tax purposes, as a debt instrument is higher than with other commodity-linked securities that do not contain similar provisions. Non-U.S. Holders should note that we currently intend to withhold on any contingent monthly payment paid to Non-U.S. Holders generally at a rate of 30%, or at a reduced rate specified by an applicable income tax treaty under an “other income” or similar provision, and will not be required to pay any additional amounts with respect to amounts withheld. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that any Treasury regulations or other guidance issued after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for holders of the securities are the character and timing

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of income or loss and the degree, if any, to which income realized by non-U.S. investors should be subject to withholding tax. Both U.S. and Non-U.S. Holders (as defined below) should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.

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DESCRIPTION OF SECURITIES

Terms not defined herein have the meanings given to such terms in the accompanying prospectus supplement. The term “Security” refers to each $1,000 Stated Principal Amount of our Contingent Income Securities due February 26, 2021 Linked to the Performance of Brent Blend Crude Oil With Contingent Coupon Payments Subject to the Downside Threshold Feature and the Payment at Maturity Subject to the Knock-in Feature. In this pricing supplement, the terms “we,” “us” and “our” refer to Morgan Stanley.

Aggregate Principal Amount	$
Pricing Date	February 25, 2013
Original Issue Date (Settlement Date)	February 28, 2013 (3 Business Days after the Pricing Date)
Maturity Date	February 26, 2021, subject to extension as described below.
	If, due to a Market Disruption Event or otherwise, the Final Determination 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 second Business Day following that Final Determination Date as postponed, and no adjustment will be made to any Contingent Monthly Payment made on that postponed date. See “––Determination Dates” below.
Specified Currency	U.S. dollars
CUSIP Number	6174823X0
ISIN Number	US6174823X01
Minimum Purchase Amount	$1,000 and integral multiples of $1,000 in excess thereof
Original Issue Price	$1,000 (100%)
Stated Principal Amount	$1,000
Underlying Commodity	Brent blend crude oil
Contingent Monthly Payment	The Securities will pay a Contingent Monthly Payment (as determined by the Calculation Agent), if any, on the applicable Contingent Payment Date as follows:

·	if, on the relevant Determination Date, the Commodity Price on such date or the Final Commodity Price, as applicable, is greater than or equal to the Downside Threshold Level:
	$6.6667 per Stated Principal Amount; or
·	if, on the relevant Determination Date, the Commodity Price on such date or the Final Commodity Price, as applicable, is less than the Downside Threshold Level:
	$0 per Stated Principal Amount.

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	The Contingent Monthly Payment, if any, payable on each Contingent Payment Date will be fixed at $6.6667 per Stated Principal Amount, regardless of the number of actual days in such monthly period.
Initial Commodity Price	The Commodity Price on the Pricing Date, provided that if the Pricing Date is not a Trading Day with respect to the Underlying Commodity or if a Market Disruption Event occurs on the Pricing Date, the Initial Commodity Price will be determined on the immediately succeeding Trading Day on which no Market Disruption Event occurs, provided further that if a Market Disruption Event has occurred on each of the three consecutive Trading Days immediately succeeding the Pricing Date, the Calculation Agent will determine the Initial Commodity Price on such third succeeding Trading Day by requesting the principal office of each of the three leading dealers in the relevant market, selected by the Calculation Agent, to provide a quotation for the relevant price. If such quotations are provided as requested, the Initial Commodity Price shall be the arithmetic mean of such quotations. If fewer than three quotations are provided as requested, the Initial Commodity Price shall be determined by the Calculation Agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant.
	If the Initial Commodity Price as finally published by the Relevant Exchange differs from the relevant Initial Commodity Price specified in the pricing supplement, we will include the definitive Initial Commodity Price in an amended pricing supplement.
Final Commodity Price	The Commodity Price on the Final Determination Date
Downside Threshold Level	$ , which is 75% of the Initial Commodity Price
Knock-in Level	$ , which is 65% of the Initial Commodity Price
Commodity Price	The Commodity Price for the Underlying Commodity on any Trading Day, including the Final Determination Date, will equal the official settlement price per barrel of Brent blend crude oil on the Relevant Exchange of the first nearby month futures contract, as stated in U.S. dollars, as made public by the Relevant Exchange on such day.
	Reuters, Bloomberg and various other third party sources may report prices of the Underlying Commodity. If any such reported price differs from that as published by the Relevant Exchange for the Underlying Commodity, the price as published by such Relevant Exchange will prevail.
	On November 7, 2011, IntercontinentalExchange, Inc. announced that ICE Futures Europe will introduce new ICE Brent NX (New Expiry) Crude Futures and Options contracts (“ICE Brent NX”), to be available for trading with a first trade date of December 5, 2011. During any period in which existing ICE Brent Futures and Options are still being used, the Calculation Agent may, in its sole

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	discretion, determine that all payments on the Securities will be based upon ICE Brent NX. The Calculation Agent may make such adjustments as it determines to be necessary to ensure that the price of the Underlying Commodity is comparable to the Commodity Price prior to all payments on the Securities being based upon ICE Brent NX and fairly represents the value of the Underlying Commodity.
Contingent Payment Dates	With respect to each Determination Date other than the Final Determination Date, the third Business Day after the related Determination Date. The payment of the Contingent Monthly Payment, if any, with respect to the Final Determination Date, will be made on the Maturity Date. The Determination Dates, and therefore the Contingent Payment Dates, are subject to postponement due to non-Trading Days and Market Disruption Events, such that the Contingent Payment Dates will be the third Business Day after the related Determination Date as postponed. No adjustments will be made to any Contingent Monthly Payments that are paid on postponed Contingent Payment Dates. See “—Determination Dates” below.
Record Date	The Record Date for each Contingent Payment Date will be the date one Business Day prior to the related scheduled Determination Date; provided , however, that any Contingent Monthly Payment payable at maturity shall be payable to the person to whom the Payment at Maturity shall be payable.
Final Determination Date	February 23, 2021, subject to postponement for non-Trading Days or Market Disruption Events as described in the second paragraph under “—Determination Dates.”
Determination Dates	The Determination Dates are the th day of each month, from and including March , 2013, to and including the Final Determination Date. The Determination Dates are subject to postponement due to non-Trading Days or Market Disruption Events as described in the following paragraph.
	If any scheduled Determination Date, including the Final Determination Date, is not a Trading Day or if a Market Disruption Event occurs on such scheduled Determination Date, such Determination Date will be postponed and the Commodity Price will be determined on the immediately succeeding Trading Day on which no Market Disruption Event occurs. The Commodity Price will be determined on the Determination Date as so postponed; provided that if a Market Disruption Event has occurred on each of the three consecutive Trading Days immediately succeeding such Determination Date, the Calculation Agent will determine the Commodity Price with respect to such Determination Date on such third succeeding Trading Day by requesting the principal office of each of the three leading dealers in the relevant market, selected by the Calculation Agent, to provide a quotation for the relevant price. If such quotations are provided as requested, the Commodity Price as of such Determination Date will be the arithmetic mean of such

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	quotations. If fewer than three quotations are provided as requested, such Commodity Price shall be determined by the Calculation Agent in its sole and absolute discretion (acting in good faith) taking into account any information that it deems relevant.
Payment at Maturity	The payment on the Maturity Date for each Stated Principal Amount shall be (as determined by the Calculation Agent):

·	if the Final Commodity Price is greater than or equal to the Downside Threshold Level:
	(i) the Stated Principal Amount plus (ii) the Contingent Monthly Payment with respect to the Final Determination Date; or
·	if the Final Commodity Price is less than the Downside Threshold Level but greater than or equal to the Knock-in Level:
	(i) the Stated Principal Amount, and no Contingent Monthly Payment will be payable; or
·	if the Final Commodity Price is less than the Knock-in Level:
	(i) the Stated Principal Amount multiplied by (ii) the Commodity Performance Factor, and no Contingent Monthly Payment will be payable.

We shall, or shall cause the Calculation Agent to (i) provide written notice to the Trustee, on which notice the Trustee may conclusively rely, and to The Depository Trust Company (“DTC”) of the amount of cash to be delivered, if any, with respect to each Stated Principal Amount of the Securities, on or prior to 10:30 a.m. (New York City time) on the Business Day preceding the Maturity Date, and (ii) deliver the aggregate cash amount due, if any, with respect to the Securities to the Trustee for delivery to DTC, as holder of the Securities, on the Maturity Date. We expect such amount of cash will be distributed to investors on the Maturity Date in accordance with the standard rules and procedures of DTC and its direct and indirect participants. See “—Book Entry Note or Certificated Note” below and “Forms of Securities—The Depositary” in the accompanying prospectus.

Commodity Performance Factor

A fraction, as determined by the Calculation Agent, the numerator of which is the Final Commodity Price and the denominator of which is the Initial Commodity Price, as described by the following formula:

Commodity Performance Factor = Final Commodity Price Initial Commodity Price

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Trading Day	Trading Day means a day, as determined by the Calculation Agent, that is a day on which the Relevant Exchange is open for trading during its regular trading session, notwithstanding any such Relevant Exchange closing prior to its scheduled closing time.
Business Day	Any day, other than a Saturday or Sunday, that is neither a legal holiday nor a day on which banking institutions are authorized or required by law or regulation to close in the City of New York.
Relevant Exchange	Relevant Exchange means ICE Futures Europe or, if ICE Futures Europe is no longer the principal exchange or trading market for Brent blend crude oil, such exchange or principal trading market for Brent blend crude oil that serves as the source of prices for Brent blend crude oil and any principal exchanges where options or futures contracts on Brent blend crude oil are traded.
Market Disruption Event	Market Disruption Event means any of Price Source Disruption, Disappearance of Commodity Reference Price, Trading Disruption or Tax Disruption, as determined by the Calculation Agent.
Price Source Disruption	Price Source Disruption means the temporary or permanent failure of the Relevant Exchange to announce or publish the Commodity Price.
Disappearance of Commodity
Reference Price	Disappearance of Commodity Reference Price means either (i) the failure of trading to commence, or the permanent discontinuance of trading, in the Underlying Commodity or futures contracts related to the Underlying Commodity on the Relevant Exchange for the Underlying Commodity or (ii) the disappearance of, or of trading in, the Underlying Commodity.
Trading Disruption	Trading Disruption means the material suspension of, or material limitation imposed on, trading in the Underlying Commodity or futures contracts related to the Underlying Commodity on the Relevant Exchange.
Tax Disruption	Tax Disruption means the imposition of, change in or removal of an excise, severance, sales, use, value-added, transfer, stamp, documentary, recording or similar tax on, or measured by reference to, the Underlying Commodity (other than a tax on, or measured by reference to, overall gross or net income) by any government or taxation authority after the Pricing Date, if the direct effect of such imposition, change or removal is to raise or lower the Commodity Price of the Underlying Commodity on any Trading Day from what it would have been without that imposition, change or removal.
Book Entry Note or Certificated Note	Book Entry. 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. DTC’s nominee will be the only registered holder of the Securities. Your beneficial interest in the Securities

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	will be evidenced solely by entries on the books of the securities intermediary acting on your behalf as a direct or indirect participant in DTC. In this pricing supplement, all references to payments or notices to you will mean payments or notices to DTC, as the registered holder of the Securities, for distribution to participants in accordance with DTC’s procedures. For more information regarding DTC and book entry notes, please read “The Depositary” in the accompanying prospectus supplement and “Forms of Securities—Global Securities—Registered Global Securities” in the accompanying prospectus.
Senior Note or Subordinated Note	Senior
Trustee	The Bank of New York Mellon, a New York banking corporation
Agent	MS & Co.
Alternate Exchange Calculation
in Case of an Event of Default	If an Event of Default with respect to the Securities shall have occurred and be continuing, the amount declared due and payable upon any acceleration of the Securities (the “Acceleration Amount”) will be an amount, determined by the Calculation Agent in its sole discretion, that is equal to the cost of having a Qualified Financial Institution, of the kind and selected as described below, expressly assume all our payment and other obligations with respect to the Securities as of that day and as if no default or acceleration had occurred, or to undertake other obligations providing substantially equivalent economic value to you with respect to the Securities. That cost will equal:

•	the lowest amount that a Qualified Financial Institution would charge to effect this assumption or undertaking, plus
•	the reasonable expenses, including reasonable attorneys’ fees, incurred by the holders of the Securities in preparing any documentation necessary for this assumption or undertaking.

During the Default Quotation Period for the Securities, which we describe below, the holders of the Securities and/or we may request a Qualified Financial Institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest—or, if there is only one, the only—quotation obtained, and as to which notice is so given, during the Default Quotation Period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the Qualified Financial Institution providing the quotation and notify the other party in writing of those grounds within two Business Days after the last day of the Default

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Quotation Period, in which case that quotation will be disregarded in determining the Acceleration Amount.
Notwithstanding the foregoing, if a voluntary or involuntary liquidation, bankruptcy or insolvency of, or any analogous proceeding is filed with respect to Morgan Stanley, then depending on applicable bankruptcy law, your claim may be limited to an amount that could be less than the Acceleration Amount.
If the maturity of the Securities is accelerated because of an Event of Default as described above, we shall, or shall cause the Calculation Agent to, provide written notice to the Trustee at its New York office, on which notice the Trustee may conclusively rely, and to DTC of the Acceleration Amount and the aggregate cash amount due, if any, with respect to the Securities as promptly as possible and in no event later than two Business Days after the date of such acceleration.
Default Quotation Period
The Default Quotation Period is the period beginning on the day the Acceleration Amount first becomes due and ending on the third Business Day after that day, unless:

•	no quotation of the kind referred to above is obtained, or
•	every quotation of that kind obtained is objected to within five Business Days after the due date as described above.

If either of these two events occurs, the Default Quotation Period will continue until the third Business Day after the first Business Day on which prompt notice of a quotation is given as described above. If that quotation is objected to as described above within five Business Days after that first Business Day, however, the Default Quotation Period will continue as described in the prior sentence and this sentence.
In any event, if the Default Quotation Period and the subsequent two Business Day objection period have not ended before the Final Determination Date, then the Acceleration Amount will equal the principal amount of the Securities.
Qualified Financial Institutions
For the purpose of determining the Acceleration Amount at any time, a Qualified Financial Institution must be a financial institution organized under the laws of any jurisdiction in the United States or Europe, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and rated either:

• A-2 or higher by Standard & Poor’s Ratings Services or any successor, or any other comparable rating then used by that rating agency, or

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• P-2 or higher by Moody’s Investors Service or any successor, or any other comparable rating then used by that rating agency.

Calculation Agent	Morgan Stanley Capital Group Inc. and its successors.
	All determinations made by the Calculation Agent will be at the sole discretion of the Calculation Agent and will, in the absence of manifest error, be conclusive for all purposes and binding on you, the Trustee and us.
	All calculations related to determination of the amount of cash payable, if any, per Security will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward (e.g., .76545 would be rounded up to .7655), provided that the Calculation Agent will not apply rounding for the purpose of determining whether the Downside Threshold Value or the Knock-in Value has been reached; and all dollar amounts paid, if any, on the aggregate number of Securities will be rounded to the nearest cent, with one-half cent rounded upward.
	Because the Calculation Agent is our affiliate, the economic interests of the Calculation Agent and its affiliates may be adverse to your interests as an investor in the Securities, including with respect to certain determinations and judgments that the Calculation Agent must make in determining the payment that you will receive, if any, on each Contingent Payment Date and at maturity or whether a Market Disruption Event has occurred. See “—Market Disruption Event” above. The Calculation Agent is obligated to carry out its duties and functions as Calculation Agent in good faith and using its reasonable judgment.
Historical Information	The following table sets forth the published high, low and end-of-quarter daily commodity prices of the Underlying Commodity for each calendar quarter in the period from January 1, 2008 through January 24, 2013. The graph following the table sets forth the daily Commodity Prices for the period from January 1, 2003 through January 24, 2013. On January 24, 2013, the Commodity Price was $113.28. We obtained the information in the tables and graph from Bloomberg Financial Markets, without independent verification. The Commodity Prices with respect to the Pricing Date and on each Determination Date will be determined with reference to the prices published by the Relevant Exchange in accordance with the provisions set forth herein, rather than the prices published by Bloomberg Financial Markets on such dates. The historical performance of the Underlying Commodity set out in the table and graph below should not be taken as an indication of its future performance. We cannot give you any assurance that the Downside Threshold Level or the Knock-in Level will not be reached. The price of the Underlying Commodity may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen.

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Brent Blend Crude Oil
High and Low Daily Commodity Prices and
End-of-Quarter Prices
January 1, 2008 through January 24, 2013
(stated in U.S. dollars per barrel)

Brent Blend Crude Oil	High	Low	Period End
2008
First Quarter	107.55	86.62	100.30
Second Quarter	140.31	100.17	139.83
Third Quarter	146.08	89.22	98.17
Fourth Quarter	95.33	36.61	45.59
2009
First Quarter	53.50	39.55	49.23
Second Quarter	71.79	48.44	69.30
Third Quarter	75.51	60.43	69.07
Fourth Quarter	79.69	67.20	77.93
2010
First Quarter	82.70	69.59	82.70
Second Quarter	88.94	69.55	75.01
Third Quarter	82.68	71.45	82.31
Fourth Quarter	94.75	81.10	94.75
2011
First Quarter	117.36	93.33	117.36
Second Quarter	126.65	105.12	112.48
Third Quarter	118.78	102.57	102.76
Fourth Quarter	115.00	99.79	107.38
2012
First Quarter	126.22	107.38	122.88
Second Quarter	125.43	89.23	97.80
Third Quarter	116.90	97.34	112.39
Fourth Quarter	115.80	105.68	111.11
2013
First Quarter (through January 24, 2013)	113.28	110.30	113.28

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Brent Blend Crude Oil
Daily Commodity Price – January 1, 2003 through January 24, 2013
●

* The black dashed line in the graph indicates the hypothetical Downside Threshold Level and the red solid line indicates the hypothetical Knock-in Level, in each case, assuming the Commodity Price on January 24, 2013 were the Initial Commodity Price.

Use of Proceeds and Hedging

The net proceeds we receive from the sale of the Securities will be used for general corporate purposes and, in part, by us or by one or more of our affiliates in connection with hedging our obligations under the Securities. The Original Issue Price of the Securities includes the Agent’s commissions (as shown on the cover page of this pricing supplement) paid with respect to the Securities and the cost of hedging our obligations under the Securities. Assuming no change in market conditions or any other relevant factors, the price, if any, at which MS & Co. is willing to purchase the Securities at any time in secondary market transactions will likely be significantly lower than the Original Issue Price, since secondary market prices are likely to exclude commissions paid with respect to the Securities and the cost of hedging our obligations under the Securities that will be included in the Original Issue Price. The cost of hedging includes the projected profit that our subsidiaries may realize in consideration for assuming the risks inherent in managing the hedging transactions. These secondary market prices are also likely to be reduced by the costs of unwinding the related hedging transactions. Our subsidiaries may realize a profit from the expected hedging activity even if investors do not receive a favorable investment return under the terms of the Securities or in any secondary market transaction. In addition, any secondary market prices may differ from values determined by pricing models used by MS & Co., as a result of dealer discounts, mark-ups or other transaction costs. See also “Use of Proceeds” in the accompanying prospectus.

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	On or prior to the Pricing Date, we, through our subsidiaries or others, expect to hedge our anticipated exposure in connection with the Securities by taking positions in futures contracts on the Underlying Commodity or positions in any other available instruments that we may wish to use in connection with such hedging. Such purchase activity could potentially increase the Initial Commodity Price, and, as a result, could increase the Downside Threshold Level and Knock-in Level, which would reduce the probability of your receiving Contingent Monthly Payments and your principal back at maturity. In addition, through our subsidiaries, we are likely to modify our hedge position throughout the life of the Securities by purchasing and selling futures contracts on the Underlying Commodity or positions in any other available instruments that we may wish to use in connection with such hedging activities, including by selling any such instruments during the term of the Securities, including on any Determination Date. We cannot give any assurance that our hedging activities will not affect the Commodity Price and, therefore, adversely affect the value of the Securities, the Contingent Monthly Payments or the payment you will receive at maturity.
Supplemental Information Concerning
Plan of Distribution; Conflicts of Interest	Under the terms and subject to the conditions contained in the U.S. distribution agreement referred to in the prospectus supplement under “Plan of Distribution (Conflicts of Interest)” the Agent, acting as principal for its own account, has agreed to purchase, and we have agreed to sell, the aggregate principal amount of Securities set forth on the cover of this pricing supplement. The Agent proposes initially to offer the Securities directly to the public at the public offering price set forth on the cover page of this pricing supplement. Selected dealers, which may include our affiliates, and their financial advisors will collectively receive from the Agent, a fixed sales commission of $ for each Security they sell; provided that dealers selling to investors purchasing the Securities in fee-based advisory accounts will receive a sales commission of $ per Security.

MS & Co. is our wholly-owned subsidiary. MS & Co. will conduct this offering in compliance with the requirements of FINRA Rule 5121 of the Financial Industry Regulatory Authority, Inc., which is commonly referred to as FINRA, regarding a FINRA member firm’s distribution of the securities of an affiliate and related conflicts of interest. MS & Co. or any of our other affiliates may not make sales in this offering to any discretionary account.

In order to facilitate the offering of the Securities, the Agent may engage in transactions that stabilize, maintain or otherwise affect the price of the Securities. Specifically, the Agent may sell more Securities than it is obligated to purchase in connection with the offering, creating a naked short position in the Securities for its own account. The Agent must close out any naked short position by purchasing the Securities in the open market after the offering.

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A naked short position in the Securities is more likely to be created if the Agent is concerned that there may be downward pressure on the price of the Securities in the open market after pricing that could adversely affect investors who purchase in the offering. As an additional means of facilitating the offering, the Agent may bid for, and purchase, the Securities or futures contracts or other instruments on the Underlying Commodity in the open market to stabilize the price of the Securities. Any of these activities may raise or maintain the market price of the Securities above independent market prices or prevent or retard a decline in the market price of the Securities. The Agent is not required to engage in these activities, and may end any of these activities at any time. An affiliate of the Agent has entered into hedging transactions with us in connection with this offering of the Securities. See “—Use of Proceeds and Hedging” above.
General
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 possession or distribution of this pricing supplement or the accompanying prospectus supplement or prospectus in any jurisdiction, other than the United States, where action for that purpose is required. No offers, sales or deliveries of the Securities, or distribution of this pricing supplement or the accompanying prospectus supplement or prospectus or any other offering material relating to the Securities, may be made in or from any jurisdiction except 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 dealer.
The Agent has represented and agreed, and each dealer through which we may offer the Securities has represented and agreed, that it (i) will comply with all applicable laws and regulations in force in each non-U.S. jurisdiction in which it purchases, offers, sells or delivers the Securities or possesses or distributes this pricing supplement and the accompanying prospectus supplement and prospectus and (ii) will obtain any consent, approval or permission required by it for the purchase, offer or sale by it of the Securities under the laws and regulations in force in each non-U.S. jurisdiction to which it is subject or in which it makes purchases, offers or sales of the Securities. We shall not have responsibility for the Agent’s or any dealer’s compliance with the applicable laws and regulations or obtaining any required consent, approval or permission.
Brazil
The Securities have not been and will not be registered with the Comissão de Valores Mobiliários (The Brazilian Securities Commission). The Securities may not be offered or sold in the Federative Republic of Brazil except in circumstances which do not constitute a public offering or distribution under Brazilian laws and regulations.

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Chile
The Securities have not been registered with the Superintendencia de Valores y Seguros in Chile and may not be offered or sold publicly in Chile. No offer, sales or deliveries of the Securities or distribution of this pricing supplement or the accompanying prospectus supplement or prospectus, may be made in or from Chile except in circumstances which will result in compliance with any applicable Chilean laws and regulations.
Hong Kong
WARNING: The contents of this pricing supplement, the accompanying prospectus supplement and the accompanying prospectus have not been reviewed by any regulatory authority in Hong Kong. You are advised to exercise caution in relation to the offer. If you are in any doubt about any of the contents of this pricing supplement, the accompanying prospectus supplement or the accompanying prospectus, you should obtain independent professional advice.
None of this pricing supplement, the accompanying prospectus supplement, the accompanying prospectus and their contents have been reviewed by any regulatory authority in Hong Kong. Accordingly, no person may issue or have in its possession for 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 only to persons outside Hong Kong or only to “professional investors” within the meaning of the Securities and Futures Ordinance (Chapter 571 of Hong Kong) and any rules made under that Ordinance.
Mexico
The Securities have not been registered with the National Registry of Securities maintained by the Mexican National Banking and Securities Commission and may not be offered or sold publicly in Mexico. This pricing supplement, the accompanying prospectus supplement and the accompanying prospectus may not be publicly distributed in Mexico.
Singapore
None of this pricing supplement, the accompanying prospectus supplement and the accompanying prospectus have been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, none of this pricing supplement, the accompanying prospectus supplement and the accompanying 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 circulated or distributed, nor may the Securities

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be offered or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than (i) to an institutional investor under Section 274 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”), (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 275 of the SFA or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provision of the SFA. Where Securities are subscribed or purchased under Section 275 by a relevant person which is:
(a) a corporation (which is not an accredited investor (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 individuals, each of whom is an accredited investor; or
(b) a trust (where the trustee is not an accredited investor) whose sole purpose is to hold investments and each beneficiary of the trust is an individual who is an accredited investor,
shares, debentures and units of shares and debentures of that corporation or the beneficiaries’ 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 Section 275 except:
(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, 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;
(2) where no consideration is or will be given for the transfer; or
(3) where the transfer is by operation of law.

Benefit Plan Investor Considerations Each fiduciary of a pension, profit-sharing or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), which we refer to as a “plan,” should consider the fiduciary standards of ERISA in the context of the plan’s particular circumstances before authorizing an investment in the Securities. Accordingly, among other factors, the fiduciary should consider whether the investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the plan.

In addition, we and certain of our subsidiaries and affiliates, including MS & Co., may each be considered “parties in interest”

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within the meaning of ERISA, or “disqualified persons” within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to many plans, as well as many individual retirement accounts and Keogh plans (also “plans”). ERISA Section 406 and Code Section 4975 generally prohibit transactions between plans and parties in interest or disqualified persons. Prohibited transactions within the meaning of ERISA or the Code would likely arise, for example, if the Securities are acquired by or with the assets of a plan with respect to which MS & Co. or any of its affiliates is a service provider or other party in interest, unless the Securities are acquired pursuant to an exemption from the “prohibited transaction” rules. A violation of these “prohibited transaction” rules could result in an excise tax or other liabilities under ERISA and/or Section 4975 of the Code for such persons, unless exemptive relief is available under an applicable statutory or administrative exemption.
The U.S. Department of Labor has issued five prohibited transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of the Securities. Those class exemptions are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified professional asset managers). In addition, ERISA Section 408(b)(17) and Section 4975(d)(20) of the Code may provide an exemption for the purchase and sale of securities and the related lending transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises any discretionary authority or control or renders any investment advice with respect to the assets of the plan involved in the transaction, and provided further that the plan pays no more, and receives no less, than “adequate consideration” in connection with the transaction (the so-called “service provider” exemption). There can be no assurance that any of these class or statutory exemptions will be available with respect to transactions involving the Securities.
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 plan, any entity whose underlying assets include “plan assets” by reason of any plan’s investment in the entity (a “plan asset entity”) or any person investing “plan assets” of any plan, unless such purchase, holding or disposition is eligible for exemptive relief, including relief 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. Any purchaser, including any fiduciary purchasing on behalf of a plan, transferee or holder of the Securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its

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purchase and holding of the Securities that either (a) it is not a plan or a plan asset entity and is not purchasing such Securities on behalf of or with “plan assets” of any plan, 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 the provisions of Section 406 of ERISA or Section 4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition are eligible for exemptive relief or such purchase, holding and disposition are not prohibited by ERISA or Section 4975 of the Code or any Similar Law.
Due to the complexity of these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries or other persons considering purchasing the Securities on behalf of or with “plan assets” of any plan consult with their counsel regarding the availability of exemptive relief.
The Securities are contractual financial instruments. 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 Securities. The Securities have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of any purchaser or holder of the Securities.
Each purchaser or holder of any Securities acknowledges and agrees that:
(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 holder 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’s investment in the Securities, or (C) the exercise of or failure to exercise any rights we have under or with respect to the Securities;
(ii) we and our affiliates have acted and will act solely for our own account in connection with (A) all transactions relating to the Securities and (B) all hedging transactions in connection with our obligations under the Securities;
(iii) any and all assets and positions relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets and positions held for the benefit of the purchaser or holder;
(iv) our interests are adverse to the interests of the purchaser or holder; and
(v) neither we nor any of our affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions, and any information that we or any of

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our affiliates may provide is not intended to be impartial investment advice.
Each purchaser and holder of the Securities has exclusive responsibility for ensuring that its purchase, holding and disposition of the Securities do not violate the prohibited transaction rules of ERISA or the Code or any Similar Law. 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.
However, individual retirement accounts, individual retirement annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts, will not be permitted to purchase 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 (“MSSB”) or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of Securities by the account, plan or annuity.
Client accounts over which Citigroup Inc., Morgan Stanley, MSSB or any of their respective subsidiaries have investment discretion are not permitted to purchase the Securities, either directly or indirectly.

United States Federal Income Taxation. Prospective investors should note that the discussion under the section called “United States Federal Taxation” in the accompanying prospectus supplement does not apply to the Securities issued under this pricing supplement and is superseded by the following discussion.

The following is a general discussion of the material U.S. federal income tax consequences and certain estate tax consequences of ownership and disposition of the Securities. This discussion applies only to initial investors in the Securities who:
· purchase the Securities at their “issue price,” which will equal the first price at which a substantial amount of the Securities is sold to the public (not including bond houses, brokers, or similar persons or organizations acting in the capacity of underwriters, placement agents or wholesalers); and
· will hold the Securities as capital assets within the meaning of Section 1221 of the Internal Revenue Code of 1986, as amended (the “Code”).
This discussion does not describe all of the tax consequences that may be relevant to a holder in light of the holder’s particular circumstances or to holders subject to special rules, such as:
· certain financial institutions;
· insurance companies;

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· certain dealers and traders in securities, commodities or foreign currencies;
· investors holding the Securities as part of a “straddle,” wash sale, conversion transaction, integrated transaction or constructive sale transaction;
· U.S. Holders (as defined below) whose functional currency is not the U.S. dollar;
· partnerships or other entities classified as partnerships for U.S. federal income tax purposes;
· regulated investment companies;
· real estate investment trusts;
· tax-exempt entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408 or 408A of the Code, respectively; or
· persons subject to the alternative minimum tax.
As the law applicable to the U.S. federal income taxation of instruments such as the Securities is technical and complex, the discussion below necessarily represents only a general summary. Moreover, the effect of any applicable state, local or foreign tax laws is not discussed, nor any consequences resulting from the Medicare tax on investment income.
This discussion is based on the Code, administrative pronouncements, 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 this pricing supplement may affect the tax consequences described herein. Persons considering the purchase of the Securities should consult their tax advisers with regard to the application of the U.S. federal income tax laws to their particular situations as well as any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.
General
Due to the absence of statutory, judicial or administrative authorities that directly address the treatment of the Securities or instruments that are similar to the Securities for U.S. federal income tax purposes, no assurance can be given that the IRS or a court will agree with the tax treatment described herein. We intend to treat a Security 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 to you at the time received or accrued in accordance with your regular method of tax accounting. In the opinion of our counsel, Davis Polk & 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 than not to be upheld, and that alternative treatments are possible.
You should consult your tax advisers regarding all aspects of the U.S. federal tax consequences of an investment in the

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Securities (including possible alternative treatments of the Securities) and with respect to any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction. Unless otherwise stated, the following discussion is based on the treatment of each Security as described in the previous paragraph.
Tax Consequences to U.S. Holders
This section applies to you only if you are a U.S. Holder. As used herein, the term “U.S. Holder” means a beneficial owner of a Security that is, for U.S. federal income tax purposes:
· a citizen or individual resident of the United States;
· a corporation, or other entity taxable as a corporation for U.S. federal income tax purposes, created or organized in or under the laws of the United States, any state thereof or the District of Columbia; or
· an estate or trust the income of which is subject to U.S. federal income taxation regardless of its source.
The term “U.S. Holder” also includes certain former citizens and residents of the United States.
Tax Treatment of the Securities
Assuming the treatment of the Securities as set forth above is respected, the following U.S. federal income tax consequences should result.
Tax Basis . A U.S. Holder’s tax basis in the Securities should equal the amount paid by the U.S. Holder to acquire the Securities.
Tax Treatment of Contingent Monthly Payment . Any contingent monthly payment on the Securities should be taxable as ordinary income to a U.S. Holder at the time received or accrued in accordance with the U.S. Holder’s regular method of accounting for U.S. federal income tax purposes.
Sale, Exchange or Settlement of the Securities . Upon a sale, exchange or settlement of the Securities, a U.S. Holder should recognize gain or loss equal to the difference between the amount realized (other than with respect to cash attributable to the contingent monthly payment, which should be treated as discussed above) on the sale, exchange or settlement and the U.S. Holder’s tax basis in the Securities sold, exchanged or settled. Any such gain or loss recognized should be long-term capital gain or loss if the U.S. Holder has held the Securities for more than one year at the time of the sale, exchange or settlement, and should be short-term capital gain or loss otherwise.
Possible Alternative Tax Treatments of an Investment in the Securities

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Due to the absence of authorities that directly address the proper tax treatment of the Securities, no assurance can be given that the IRS will accept, or that a court will uphold, the tax treatment described above. In particular, the IRS could seek to analyze the U.S. federal income tax consequences of owning the Securities under Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). 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. Among other things, a U.S. Holder would be required to accrue into income original issue discount on the Securities every year at a “comparable yield” determined at the time of their issuance, adjusted upward or downward to reflect the difference, if any, between the actual and the projected amount of any contingent payments on the Securities. Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the Securities would be treated as ordinary income, and any loss realized at maturity would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of original issue discount and as capital loss thereafter. Because a Security provides for the return of principal except where the Final Commodity Price has declined below the Knock-in Level, the risk that a Security would be recharacterized, for U.S. federal income tax purposes, as a debt instrument is higher than with other commodity-linked securities that do not contain similar provisions.

Other alternative federal income tax treatments of the Securities are possible, which, if applied, could significantly affect the timing and character of the income or loss with respect to the Securities. In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. The notice focuses on whether to require holders of “prepaid forward contracts” and similar instruments to accrue income over the term of their investment. It also asks for comments on a number 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–traded status of the instruments and the nature of the underlying property to which the instruments are linked; whether these instruments are or should be subject to the “constructive ownership” rule, which very generally can operate to recharacterize certain long-term capital gain as ordinary income and impose an interest charge; and appropriate transition rules and effective dates. While it is not clear whether instruments such as the Securities 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 tax consequences of an investment in the Securities, possibly with retroactive effect. U.S. Holders should consult their tax advisers regarding the U.S. federal income tax consequences of an

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investment in the Securities, including possible alternative treatments and the issues presented by this notice.
Backup Withholding and Information Reporting
Backup withholding may apply in respect of payments on the Securities and the proceeds from a sale, exchange or other disposition of the Securities, unless a U.S. Holder provides proof of an applicable exemption or a correct taxpayer identification number and otherwise complies 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’s U.S. federal income tax liability, provided that the required information is furnished to the IRS. In addition, information returns will be filed with the IRS in connection with payments on the Securities and the proceeds from a sale, exchange or other disposition of the Securities, unless the U.S. Holder provides proof of an applicable exemption from the information reporting rules.
Tax Consequences to Non-U.S. Holders
This section applies to you only if you are a Non-U.S. Holder. As used herein, the term “Non-U.S. Holder” means a beneficial owner of a Security that is for U.S. federal income tax purposes:
· an individual who is classified as a nonresident alien;
· a foreign corporation; or
· a foreign estate or trust.
The term “Non-U.S. Holder” does not include any of the following holders:
· 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 otherwise a resident of the United States for U.S. federal income tax purposes;
· certain former citizens or residents of the United States; or
· a holder for whom income or gain in respect of the Securities is effectively connected with the conduct of a trade or business in the United States.
Such holders should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the Securities.
Although significant aspects of the tax treatment of each Security are uncertain, we intend to withhold on any contingent 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 “other income” or similar provision. We will not be required to pay any additional amounts with respect to amounts withheld. 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 establish that it is

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not a U.S. person and is eligible for a reduction of, or an exemption from withholding under, an applicable tax treaty. If you are a Non-U.S. Holder, you should consult your tax advisers regarding the tax treatment of the Securities, including the possibility of obtaining a refund of any withholding tax and the certification requirement described above.
U.S. Federal Estate Tax
Individual Non-U.S. Holders and entities the property of which is potentially includible in such an individual’s gross estate for U.S. federal 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 treated as U.S. situs property subject to U.S. federal estate tax. Prospective investors that are non-U.S. individuals, or are entities of the type described above, should consult their tax advisers regarding the U.S. federal estate tax consequences of an investment in the Securities.
Backup Withholding and Information Reporting
Information returns will be filed with the IRS in connection with any contingent monthly payment and may be filed with the IRS in connection with the payment at maturity on the Securities and the proceeds from a sale, exchange or other disposition. A Non-U.S. Holder may be subject to backup withholding in respect of amounts paid to the Non-U.S. Holder, unless such Non-U.S. Holder complies with certification procedures to establish that it is not a U.S. person for U.S. federal income tax purposes or otherwise establishes an exemption. The amount of any backup withholding from a payment to a Non-U.S. Holder will be allowed as a credit against the Non-U.S. Holder’s U.S. federal income tax liability and may entitle the Non-U.S. Holder to a refund, provided that the required information is furnished to the IRS.
The discussion in the preceding paragraphs and the discussion under “Tax considerations” in the accompanying free writing prospectus, insofar as they purport to describe provisions of U.S. federal income tax laws or legal conclusions with respect thereto, constitute the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal tax consequences of an investment in the Securities.

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