MORGAN STANLEY — Capital/Financing Update 2015

Jul 23, 2015

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 July 23, 2015

PROSPECTUS Dated November 19, 2014 PROSPECTUS SUPPLEMENT Dated November 19, 2014 Pricing Supplement No. 430 to Registration Statement No. 333-200365 Dated July , 2015 Rule 424(b)(2)

$

GLOBAL MEDIUM-TERM NOTES, SERIES F Senior Notes

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Autocallable Dual Directional Quarterly Review Notes due August 12, 2016 Based on the Performance of the S&P GSCI TM Crude Oil Index – Excess Return Principal at Risk Securities**

Unlike ordinary debt securities, the Autocallable Dual Directional Quarterly Review Notes due August 12, 2016 Based on the Performance of the S&P GSCI TM Crude Oil Index – Excess Return, which we refer to as the securities, do not pay interest and do not guarantee the return of any principal at maturity. If the index closing value on any of the first three review dates is greater than or equal to the initial index value, the securities will be automatically called for a fixed cash payment per security, which we refer to as the call price, that will vary depending on the review date. If the securities are not called prior to maturity, you will receive at maturity for each security you hold an amount in cash that will vary depending on the index closing value on the final review date. If the securities are not called prior to maturity and the final index value is greater than or equal to the initial index value, investors will receive a fixed return on the securities, as specified below. If the underlying index has depreciated in value but by no more than 30%, investors will receive the stated principal amount of their investment plus a positive return equal to the absolute value of the percentage decline, which will effectively be limited to a positive 30% return. However, if the underlying index has depreciated in value by more than 30%, investors will be exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated principal amount for every 1% of decline. Under these circumstances, the payment at maturity will be less than $700 per security, and could be zero. The securities are for investors who seek a commodity index-based return and who are willing to risk their principal and forgo current income in exchange for the absolute return feature that applies to a limited range of performance of the underlying index and the opportunity to receive a fixed payment if the securities are called. There is no minimum payment at maturity on the securities. Accordingly, investors may lose their entire initial investment in the securities. The securities are notes issued as part of Morgan Stanley’s Series F Global Medium-Term Notes program.

All payments are subject to the credit risk of Morgan Stanley. If Morgan Stanley defaults on its obligations, you could lose some or all of your investment. These securities are not secured obligations and you will not have any security interest in, or otherwise have any access to, any underlying reference asset or assets.

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

• We will not pay interest on the securities.

• If, on any of the first three review dates, the index closing value is greater than or equal to the initial index value, the securities will be automatically called on the third business day following such review date for the applicable call price, which will vary depending on the applicable review date. The call prices will be determined on the day we price the securities for initial sale to the public, which we refer to as the pricing date, but will not be less than the call prices stated below for each review date:

º First review date, October 26, 2015: at least $1,031 (corresponding to at least 103.10% of the stated principal amount),

º Second review date, January 26, 2016: at least $1,062 (corresponding to at least 106.20% of the stated principal amount), or

º Third review date, April 26, 2016: at least $1,093 (corresponding to at least 109.30% of the stated principal amount)

• At maturity, if the securities have not previously been called, you will receive for each security that you hold an amount of cash equal to:

º if the index closing value on August 9, 2016, which we refer to as the final index value and the final review date, respectively, is greater than or equal to the initial index value: a fixed payment of at least $1,124 (corresponding to at least 112.40% of the stated principal amount),

º if the final index value is less than the initial index value, but is greater than or equal to , which means the underlying index has not declined by more than 30% from the initial index value: $1,000 + ($1,000 × absolute index return) , or

º if the final index value is less than , which means the underlying index has declined by more than 30% from the initial index value: $1,000 + ($1,000 × underlying index return).

In this scenario, investors will be fully exposed to the negative performance of the underlying index, and will lose 1% of their principal amount for every 1% decline in the final index value from the initial index value. For example, if the final index value declines by 50% from the initial index value, investors will lose 50% of their principal. . There is no minimum payment at maturity on the securities, and you could lose your entire initial investment in the securities.**

• Each review date, including the final review date, is subject to postponement for non-index business days and certain market disruption events.

• The underlying index return is the percentage change from the initial index value to the final index value, calculated as follows: (final index value – initial index value) / initial index value

• The absolute index return is the absolute value of the underlying index return. For example, a –5% underlying index return will result in a +5% absolute index return.

• The initial index value is the index closing value on the pricing date.

• Investing in the securities is not equivalent to investing directly in the S&P GSCI TM Crude Oil Index – Excess Return or the commodities futures contracts that underlie the S&P GSCI TM Crude Oil Index – Excess Return.

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

• The estimated value of the securities on the pricing date is approximately $982.90 per security, or within $10.00 of that estimate. See “Summary of Pricing Supplement” beginning on PS-3.

• The CUSIP number for the securities is 61762GEG5. The ISIN for the securities is US61762GEG55.

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-11.

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.

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PRICE $1,000 PER SECURITY

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| | Price
to public (1) | Fees
and commissions (1)(2) | Proceeds
to issuer (3) |
| --- | --- | --- | --- |
| Per security | $1,000 | $10 | $990 |
| Total | $ | $ | $ |

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(1) J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. will act as placement agents for the securities. The placement agents will forgo fees for sales to certain fiduciary accounts. The total fees represent the amount that the placement agents receive from sales to accounts other than such fiduciary accounts. The placement agents will receive a fee from the issuer or one of its affiliates that will not exceed $10 per $1,000 principal amount of securities.

(2) See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement.

(3) See “Use of Proceeds and Hedging” on PS-34.

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

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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 the Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”

No action has been or will be taken by us, the agents 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.

In addition to the selling restrictions set forth in “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement, the following selling restrictions also apply to the securities:

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.

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.

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SUMMARY OF PRICING SUPPLEMENT

The following summary describes the Autocallable Dual Directional Quarterly Review Notes due August 12, 2016 Based on the Performance of the S&P GSCI TM Crude Oil Index – Excess Return, which we refer to as 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 and prospectus supplement. 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 return on the securities is linked to the performance of the S&P GSCI TM Crude Oil Index – Excess Return, which we refer to as the underlying index. Investors in the securities must be willing to accept the risk of a complete loss of principal, and also be willing to forgo interest payments and potential returns above the specified returns, in exchange for the opportunity to receive the specified returns if the index closing value on any of the review dates is greater than or equal to the initial index value. The securities do not guarantee the return of any principal at maturity, and all payments on the securities are subject to the credit risk of Morgan Stanley.

| Each security costs $1,000 |
| --- |
| The original issue price of each security is $1,000. This price
includes costs associated with issuing, selling, structuring and hedging the securities, which are borne by you, and, consequently,
the estimated value of the securities on the pricing date will be less than $1,000. We estimate that the value of each security
on the pricing date will be approximately $982.90, or within $10.00 of that estimate. Our estimate of the value of the securities
as determined on the pricing date will be set forth in the final pricing supplement. What goes into the estimated value on the pricing date? In valuing the securities on the pricing date, we take into
account that the securities comprise both a debt component and a performance-based component linked to the underlying index. The
estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating
to the underlying index, instruments based on the underlying index, volatility and other factors including current and expected
interest rates, as well as an interest rate related to our secondary market credit spread, which is the implied interest rate at
which our conventional fixed rate debt trades in the secondary market. What determines the economic terms of the securities? In determining the economic terms of the securities, including
the call price, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore
advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate
were higher, one or more of the economic terms of the securities would be more favorable to you. What is the relationship between the estimated value on the
pricing date and the secondary market price of the securities? The price at which Morgan Stanley & Co. LLC, which
we refer to as MS & Co., purchases the securities in the secondary market, absent changes in market conditions, including
those related to the underlying index, may vary from, and be lower than, the estimated value on the pricing date, because the
secondary market price takes into account our secondary market credit spread as well as the bid-offer spread that MS & Co.
would charge in a secondary market transaction of this type and other factors. However, because the costs associated with issuing,
selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 5 months following |

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| | the issue date, to the extent that MS & Co. may buy or sell
the securities in the secondary market, absent changes in market conditions, including those related to the underlying index, and
to our secondary market credit spreads, it would do so based on values higher than the estimated value. We expect that those higher
values will also be reflected in your brokerage account statements. MS & Co. may, but is not obligated to, make a market
in the securities, and, if it once chooses to make a market, may cease doing so at any time. |
| --- | --- |
| The securities do not guarantee repayment of any principal at maturity; no interest | Unlike ordinary debt securities, the securities do not pay interest
and do not guarantee the repayment of any of the principal at maturity. If the securities have not been called prior to maturity,
you will receive a fixed cash payment if the index closing value is greater than or equal to the initial index value. If the underlying
index has depreciated in value but by no more than 30%, you will receive the stated principal amount of your investment plus a
positive return equal to the absolute value of the percentage decline, which will effectively be limited to a positive 30% return.
However, if the underlying index has depreciated in value by more than 30%, you will be exposed to the full amount of the percentage
decline in the underlying index and will lose 1% of the stated principal amount for every 1% of decline. Under these circumstances,
the payment at maturity will be less than $700 per security, and could be zero. There is no minimum payment at maturity on
the securities. Accordingly, you may lose your entire initial investment in the securities. The initial index value will equal the index closing value of
the underlying index, as published by the index publisher or its successor, on the day we price the securities for initial sale
to the public, which we refer to as the pricing date. The final index value will equal the index closing
value of the underlying index, as published by the index publisher or its successor, on August 9, 2016, which we refer to as the
final review date, subject to postponement for non-index business days and certain market disruption events. |
| The securities will be automatically called if the index closing value on any of the first three review dates is greater than or equal to the initial index value | If the index closing value on any of the first three review dates is greater than or equal to the initial index value, the securities will be automatically called for the call price on the third business day following the related review date, which we refer to as a call date. The call price will be an amount of cash that will vary depending on the applicable review date (in each case, as determined on the pricing date) as follows: |
| | • if the index closing
value on October 26, 2015, the first review date, is greater than or equal to the initial index value, the securities will be called
for at least $1,031 per security (corresponding to at least 103.10% of the stated principal amount), or • if the index closing
value on January 26, 2016, the second review date, is greater than or equal to the initial index value, the securities will be
called for at least $1,062 per security (corresponding to at least 106.20% of the stated principal amount), or • if
the index closing value on April 26, 2016, the third review date, is greater than or equal to the initial index value, the securities
will be called for at least $1,093 per security (corresponding to at least 109.30% of the stated principal amount) |
| | Each review date, including the final review date, is subject to postponement for non-index business days and certain market disruption events as described under “Description of Securities—Review Dates.” |
| If the securities are not | At maturity, if the securities have not previously
been called, you will receive for each |

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| automatically called prior to maturity, the payment at maturity will vary depending on the final index value |
| --- |
| • if the final index
value less than , which means the underlying index has declined by more than 30% from the initial index value: $1,000 + ($1,000 ×
underlying index return): |
| where, |

absolute index return	=	the absolute value of the underlying index return. For example, a –5% underlying index return will result in a +5% absolute index return.
underlying index return	=	final
index value - initial index value
		initial index value
final index value	=	the official settlement price of the underlying index, as published by the index publisher or its successor, on the final review date, subject to postponement for non-index business days and certain market disruption events.

| | If the final index value declines by more
than 30% from the initial index value, you will be fully exposed to the negative performance of the underlying index, and will
lose 1% of your principal amount for every 1% decline in the final index value from the initial index value. You could lose your
entire investment. All payments on the securities upon
an automatic early call or at maturity are subject to the credit risk of Morgan Stanley. |
| --- | --- |
| | Beginning on PS-7, we have provided examples titled “Hypothetical Payouts on the Securities upon Automatic Call or at Maturity,” which explain in more detail the possible payouts on the securities on each call date and at maturity assuming a variety of hypothetical index closing values for each review date, including the final review date. The table does not show every situation that can occur. |
| | You can review the historical values of the underlying index in the section of this pricing supplement called “Description of Securities—Historical Information” starting on PS-26. You cannot predict the future value of the underlying index based on its historical values. |
| | Investing in the securities is not equivalent to investing directly in the underlying index or the commodities futures contracts that underlie the underlying index. |
| The appreciation potential of the securities is limited | The appreciation potential of the securities is limited to the fixed return specified for each review date and at maturity, and by the absolute return feature at maturity |

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by the fixed returns specified for each call date and at maturity, and by the absolute return feature at maturity (which is applicable if the underlying index depreciates but by no more than 30%)	(which is applicable if the underlying index depreciates but by no more than 30%), regardless of any greater price performance of the underlying index, which could be significant. In addition, the automatic early call feature may limit the term of your investment to as short as three months. If the securities are called prior to maturity, you may not be able to reinvest at comparable terms or returns.
Postponement of maturity date	If, due to a market disruption event or otherwise, the final review date is postponed so that the final review date falls less than two business days prior to the scheduled maturity date, the maturity date will be the second business day following the final review date as postponed. See “Description of Securities—Maturity Date.”
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 securities. As calculation agent, MSCG will determine the initial index value, the index closing value on each review date, whether the index closing value on any review date, including the final review date, is greater than or equal to the initial index value and therefore whether the securities will be called following such review date and whether a market disruption event has occurred, and will calculate the payment that you will receive upon any automatic early call or at maturity, if any.
Morgan Stanley & Co. LLC will be the agent; conflicts of interest	The agent for the offering of the securities, Morgan Stanley & Co. LLC, our wholly-owned subsidiary, which we refer to as 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. See “Description of Securities—Supplemental Information Concerning Plan of Distribution; Conflicts of Interest.”
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.
Where you can find more information on the securities	The securities are unsecured 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 19, 2014 and prospectus dated November 19, 2014. We describe the basic features of this type of security in the section 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.”
	For a detailed description of the terms of the securities, you should read the section of this pricing supplement called “Description of Securities.” You should also read about some of the risks involved in investing in the securities in the section of this pricing supplement called “Risk Factors.” The tax and

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accounting treatment of investments in commodity-linked securities such as the securities may differ from that of investments in ordinary debt securities. See the section of this pricing supplement called “Description of Securities—United States Federal Taxation.” We urge you to consult with your investment, legal, tax, accounting and other advisers with regard to any proposed or actual investment in the securities.

How to reach us

You may contact your local Morgan Stanley branch office or call us at (800) 233-1087.

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HYPOTHETICAL PAYOUTS ON THE SECURITIES UPON AUTOMATIC CALL OR AT MATURITY

The following examples illustrate the payout on the securities for a range of index closing values for each of the review dates and are being provided for illustrative purposes only.

These examples are based on the following hypothetical terms:

• initial index value: 250

• call price:

º $1,031 if the securities are automatically called in October 2015

º $1,062 if the securities are automatically called in January 2016

º $1,093 if the securities are automatically called in April 2016

• payment at maturity if the final index value is greater than or equal to the initial index value: $1,124

• stated principal amount (per security): $1,000

In Examples 1 through 3, the index closing value on one of the first three review dates is greater than the initial index value. However, each example results in a different payment amount because the index closing value is greater than the initial index value on different review dates. Because the index closing value on one of the first three review dates is greater than the initial index value, the securities are automatically called following the relevant review date. In each of Examples 4, 5 and 6, the index closing value on each of the first three review dates is less than the initial index value, and, consequently, the securities are not automatically called prior to, and remain outstanding until, maturity.

| Review
Date | Example
1 — Hypothetical
Index Closing Value | Payout | Example
2 — Hypothetical
Index Closing Value | Payout | Example
3 — Hypothetical
Index Closing Value | Payout |
| --- | --- | --- | --- | --- | --- | --- |
| #1 | 260 | $1,031 | 200 | — | 200 | — |
| #2 | — | — | 270 | $1,062 | 220 | — |
| #3 | — | — | — | — | 600 | $1,093 |
| Total
Payout: | $1,031
in October 2015 | | $1,062
in January 2016 | | $1,093
in April 2016 | |

| Review
Date | Example
4 — Hypothetical
Index Closing Value | Payout | Example
5 — Hypothetical
Index Closing Value | Payout | Example
6 — Hypothetical
Index Closing Value | Payout |
| --- | --- | --- | --- | --- | --- | --- |
| #1 | 200 | — | 200 | — | 200 | — |
| #2 | 240 | — | 240 | — | 240 | — |
| #3 | 170 | — | 245 | — | 180 | — |
| Final
review date | 325 | $1,124 | 225 | $1,100 | 125 | $500 |
| Total
Payout: | $1,124
at maturity | | $1,100
at maturity | | $500
at maturity | |

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In Example 4, the final index value is 325, which is higher than the initial index value and which represents a 30% increase in the initial index value. The payment at maturity equals $1,124 per security, representing a 12.40% return on your investment. The return on your investment would be less than the 30% return you would receive on a comparable investment linked to the simple return on the underlying index.

In Example 5, the final index value is 225, which is less than the initial index value and which represents a 10% decline from the initial index value. Because the final index value has not declined by more than 30% from the initial index value, the payment at maturity equals the stated principal amount of $1,000 plus a positive return equal to the absolute value of the percentage decline, calculated as follows:

$1,000 + ($1,000 × absolute index return) = $1,000 + ($1,000 × 10%) = $1,100

In Example 6, the final index value is 125, which represents a 50% decline from the initial index value. Because the final index value has declined by more than 30% from the initial index value, investors will be exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated principal amount for every 1% of decline. The payment at maturity is calculated as follows:

$1,000 + ($1,000 × underlying index return) = $1,000 + ($1,000 × -50%) = $500

If the securities are not called prior to maturity and the underlying index declines in value by more than 30%, investors will be exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated principal amount for every 1% of decline. Under these circumstances, the payment at maturity will be less than $700 per security, and could be zero. There is no minimum payment at maturity on the securities.

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The following graph illustrate the payout on the securities for a range of index closing values at maturity, assuming the securities are not called prior to maturity, and is being provided for illustrative purposes only.

Securities Payoff Diagram

How it works

§ Upside Scenario if the Underlying Index Appreciates. If the final index value is greater than or equal to the initial index value, the investor would receive a fixed payment of $1,124 per security (corresponding to 112.40% of the stated principal amount).

§ Absolute Return Scenario. If the final index value is less than the initial index value, but has not declined by more than 30% from the initial index value, the investor would receive a 1% positive return on the securities for each 1% negative return on the underlying index.

§ If the underlying index depreciates 10%, the investor would receive a 10% return, or $1,100 per security.

§ The maximum return you may receive in this scenario is a positive 30% return at maturity.

§ Downside Scenario. If the final index value has declined by more than 30% from the initial index value, the investor would receive an amount significantly less than the $1,000 principal amount, based on a 1% loss of principal for each 1% decline in the underlying index. Under these circumstances, the payment at maturity will be less than 70% of the principal amount per security. There is no minimum payment at maturity on the securities.

§ If the underlying index depreciates 70%, the investor would lose 70% of the investor’s principal and receive only $300 per security at maturity, or 30% of the stated principal amount.

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RISK FACTORS

The securities are not secured debt, are riskier than ordinary debt securities, do not pay any interest and, unlike ordinary debt securities, do not guarantee the return of any principal at maturity. Investing in the securities is not equivalent to directly investing in the underlying index or in the commodities futures contracts that underlie the underlying index. This section describes the most significant risks relating to the securities. For a complete list of risk factors, please see the accompanying prospectus. You should carefully consider whether the securities are suited to your particular circumstances before you decide to purchase them.

The securities do not pay interest or guarantee the return of any principal at maturity	The terms of the securities differ from those of ordinary debt securities in that we do not pay you interest on the securities and do not guarantee to pay you any of the principal at maturity. Instead, if the securities have not been automatically called prior to maturity, you will receive at maturity for each security you hold an amount in cash that will vary depending on the index closing value on the final review date, which we refer to as the final index value. If the final index value has declined by more than 30% from the initial index value, you will be exposed to the full amount of the percentage decline in the underlying index and will lose 1% of the stated principal amount for every 1% of decline. Under these circumstances, the payment at maturity will be less than $700 per security, and could be zero. There is no minimum payment at maturity on the securities. Accordingly, investors may lose their entire initial investment in the securities.
The appreciation potential is limited	The appreciation potential of the securities is limited to the fixed return specified for each review date and at maturity, and by the absolute return feature at maturity (which is applicable if the underlying index depreciates but by no more than 30%), regardless of any greater price performance of the underlying index, which could be significant. In addition, the automatic early call feature may limit the term of your investment to as short as three months. If the securities are called prior to maturity, you may not be able to reinvest at comparable terms or returns.
The market price of the securities may be influenced by many unpredictable factors	Several factors, some of which are beyond our control, will
influence the value of the securities in the secondary market and the price at which Morgan Stanley & Co. LLC, which we refer
to as MS & Co., may be willing to purchase or sell the securities in the secondary market. We expect that generally the value
of the underlying index on any day will affect the value of the securities more than any other single factor. However, because
the payout on the securities is not directly correlated to the underlying index, the securities will trade differently from the
underlying index. Factors that may influence the value of the securities include: • the volatility (frequency
and magnitude of changes in value) of the underlying index; • the price of the
index contracts that underlie the underlying index and the volatility of such prices; • trends of supply
and demand for the commodity contracts that underlie the underlying index; • interest and yield
rates in the market; • geopolitical conditions
and economic, financial, political, regulatory or judicial events that affect the commodities markets generally and which may affect
the value of the underlying index; • the time
remaining until the next review date and the maturity of the securities; and

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| | • any actual or anticipated
changes to our credit ratings or credit spreads. In addition, the commodities markets are subject to temporary
distortions or other disruptions due to various factors, including lack of liquidity, participation of speculators and government
intervention. As a result, the market value of the securities will vary and may be less than the original issue price at any time
prior to maturity and a sale of the securities prior to maturity may result in a loss. for example, you may have to sell your securities
at a substantial loss if on that date the index closing value is below the initial index value. You cannot predict the future levels of the underlying
index based on its historical levels. If the securities are not called prior to maturity and the final index value has declined
by more than 30% from the initial index value, you will be exposed to the full amount of the percentage decline in the underlying
index and will lose 1% of the stated principal amount for every 1% of decline. As a result, you may lose a significant portion
or all of your investment at maturity. There can be no assurance that the securities will be called prior to maturity or that
the underlying index will not decline by more than 30% so that you do not suffer a significant loss on your initial investment
in 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, and therefore you are subject to the credit risk of Morgan Stanley. 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. |
| An investment in the securities will expose you to concentrated risks relating to crude oil | The underlying index is composed entirely of crude oil futures contracts included in the S&P GSCI TM –ER. An investment in the securities may therefore bear risks similar to a securities investment concentrated in a single underlying sector. The price of 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. 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 Petroleum Exporting Countries (OPEC) and other crude oil producers. 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 a cessation of hostilities that may exist in countries producing oil, the introduction of new or previously withheld |

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	supplies into the market or the introduction of substitute products or commodities. The price of crude oil futures has experienced very severe price fluctuations over the recent past and there can be no assurance that this extreme price volatility will not continue in the future.
Higher future prices of the index commodity relative to its current prices may adversely affect the value of the underlying index and the value of the securities	The S&P GSCI TM –ER, on which the underlying index is based, is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for delivery of the underlying physical commodity. As the futures contracts that compose the underlying index approach expiration, they are replaced by contracts that have a later expiration. Thus, for example, a contract purchased and held in September may specify an October expiration. As time passes, the contract expiring in October is replaced by a contract for delivery in November. This process is referred to as “rolling.” If the market for these contracts is (putting aside other considerations) in “backwardation,” where the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a “roll yield.” However, crude oil and certain other commodities included in the S&P GSCI TM –ER have historically traded in “contango” markets. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The presence of contango and absence of backwardation in the crude oil markets generally results in negative “roll yields,” which would adversely affect the value of the underlying index, and, accordingly, the value of the securities.
An investment linked to commodity futures contracts is not equivalent to an investment linked to the spot prices of physical commodities	The underlying index has returns based on the change in price of futures contracts included in such underlying index, not the change in the spot price of actual physical commodities 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.

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Suspensions or disruptions of market trading in commodity and related futures markets could adversely affect the price 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 value of the underlying index, and, therefore, the value of the securities.
Adjustments to the underlying index could adversely affect the value of the securities	The publisher of the underlying index may add, delete or substitute the commodity contracts constituting the underlying index or make other methodological changes that could change the value of the underlying index. The underlying index publisher may discontinue or suspend calculation or publication of the underlying index at any time. Any of these actions could adversely affect the value of the securities. Where the underlying index is discontinued, the calculation agent will have the sole discretion to substitute a successor index that is comparable to the underlying index and will be permitted to consider indices that are calculated and published by the calculation agent or any of its affiliates.
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 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 certain commodity
futures contracts and swaps, futures and options that are economically equivalent to such contracts. While the effects of these
or other regulatory developments are difficult to predict, when adopted, such rules may have the effect of making the markets
for commodities, commodity futures contracts, options on futures contracts and other related derivatives more volatile and over
time potentially less liquid. Such restrictions may force market participants, including us and our affiliates, or such market
participants may decide, to sell their positions in such futures contracts and other instruments subject to the limits. If this
broad market selling were to occur, it would likely lead to declines, possibly significant declines, in commodity prices, in the
price of such commodity futures contracts or instruments and potentially, the value of the securities.

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| The rate we are willing to pay for securities of this type, maturity and issuance size is likely to be lower than the rate implied by our secondary market credit spreads and advantageous to us. Both the lower rate and the inclusion of costs associated with issuing, selling, structuring and hedging the securities in the original issue price reduce the economic terms of the securities, cause the estimated value of the securities to be less than the original issue price and will adversely affect secondary market prices | Assuming no change in market conditions or any other relevant
factors, the prices, if any, at which dealers, including MS & Co., may be willing to purchase the securities in secondary market
transactions will likely be significantly lower than the original issue price, because secondary market prices will exclude the
issuing, selling, structuring and hedging-related costs that are included in the original issue price and borne by you and because
the secondary market prices will reflect our secondary market credit spreads and the bid-offer spread that any dealer would charge
in a secondary market transaction of this type as well as other factors. The inclusion of the costs of issuing, selling, structuring
and hedging the securities in the original issue price and the lower rate we are willing to pay as issuer make the economic terms
of the securities less favorable to you than they otherwise would be. However, because the costs associated with issuing,
selling, structuring and hedging the securities are not fully deducted upon issuance, for a period of up to 5 months following
the issue date, to the extent that MS & Co. may buy or sell the securities in the secondary market, absent changes in market
conditions, including those related to the underlying index, and to our secondary market credit spreads, it would do so based
on values higher than the estimated value, and we expect that those higher values will also be reflected in your brokerage account
statements. |
| --- | --- |
| The estimated value of the securities is determined by reference to our pricing and valuation models, which may differ from those of other dealers and is not a maximum or minimum secondary market price | These pricing and valuation models are proprietary and rely in part on subjective views of certain market inputs and certain assumptions about future events, which may prove to be incorrect. As a result, because there is no market-standard way to value these types of securities, our models may yield a higher estimated value of the securities than those generated by others, including other dealers in the market, if they attempted to value the securities. In addition, the estimated value on the pricing date does not represent a minimum or maximum price at which dealers, including MS & Co., would be willing to purchase your securities in the secondary market (if any exists) at any time. The value of your securities at any time after the date of this pricing supplement will vary based on many factors that cannot be predicted with accuracy, including our creditworthiness and changes in market conditions. See also “The market price of the securities may be influenced by many unpredictable factors” above. |
| The securities will not be listed 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 and, if it once chooses to make a market, may cease doing so at any time. When it does make a market, it will generally do so for transactions of routine secondary market size at prices based on its estimate of the current value of the securities, taking into account its bid/offer spread, our credit spreads, market volatility, the notional size of the proposed sale, the cost of unwinding any related hedging positions, the time remaining to maturity and the likelihood that it will be able to resell 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. Since other broker-dealers may not 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 to cease making 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. |
| Hedging and trading activity by the calculation agent and its affiliates | One or more of our subsidiaries and/or third-party dealers expect to carry out hedging activities related to the securities (and possibly to other instruments linked to the underlying index), including trading in swaps or futures contracts on the |

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could potentially adversely affect the value of the securities	underlying index and on commodities that underlie the underlying index. As a result, these entities may be unwinding or adjusting hedge positions during the term of the securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final review date approaches. Some of our subsidiaries also trade in financial instruments related to the underlying index or the prices of the commodities or contracts that underlie the underlying index on a regular basis as part of their general commodity trading and other businesses. Any of these hedging or trading activities on or prior to the pricing date could increase the initial index value and, as a result, increase (i) the value at or above which the index closing value must close on any of the first three review dates in order for the securities to be automatically called prior to maturity, or, (ii) if the securities are not called prior to maturity, the value at or above which the index closing value must close on the final review date so that investors do not suffer a significant loss on their initial investment in the securities. In addition, through our subsidiaries, we are likely to modify our hedge position throughout the term of the securities by purchasing and selling swaps and futures contracts on one or more commodity contracts underlying the underlying index 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 on one or more review dates. We cannot give any assurance that our hedging activities will not affect the index closing value and, therefore, adversely affect the value of the securities, whether the securities are called early, or the payment you will receive at maturity, if any.
The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the securities	As calculation agent, MSCG will determine the initial index value, the index closing value on each review date, whether the index closing value on any of the first three review dates is greater than or equal to the initial index value and therefore whether the securities will be called following such review date and whether a market disruption event has occurred, and, if the securities are not called prior to maturity, will calculate the amount of cash, if any, you will receive at maturity. Moreover, certain determinations made by MSCG in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or non-occurrence of market disruption events or calculation of any index closing value in the event of a market disruption event. These potentially subjective determinations may adversely affect the payout to you on the securities, if any. For further information regarding these types of determinations, see “Description of Securities—Review Dates,” “—Discontinuance of the Underlying Index, Alteration of Method of Calculation,” “—Alternate Exchange Calculation in Case of an Event of Default” and “—Calculation Agent” below. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.
Investing in the securities is not equivalent to investing in the underlying index	Investing in the securities is not equivalent to investing in the underlying index or the futures contracts that underlie the underlying index.
The offering of the securities may be terminated before the pricing date	If we determine prior to pricing that it is not reasonable to treat your purchase and ownership of the securities as an “open transaction” for U.S. federal income tax purposes, the offering of the securities will be terminated.
The U.S. federal income tax consequences of an investment
in the securities are uncertain	Please note that the discussions in this pricing
supplement concerning the U.S. federal income tax consequences of an investment in the securities supersede the discussions contained
in the accompanying prospectus supplement. Subject to the discussion under “United
States Federal Taxation” in this pricing supplement, although there is uncertainty regarding the U.S. federal income tax

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consequences of an investment in the securities due to the lack of governing authority, in the opinion of our counsel, Davis Polk & Wardwell LLP (“our counsel”), under current law, and based on current market conditions, each security should be treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative treatment for the securities, the timing and character of income 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 would be required to accrue into income original issue discount on the securities every year at a “comparable yield” determined at the time of issuance and recognize all income and gain in respect of the securities as ordinary income. The risk that financial instruments providing for buffers, triggers or similar downside protection features, such as the securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features. We do not plan to request a ruling from the IRS regarding the tax treatment of the securities, and the IRS or a court may not agree with the tax treatment described herein. 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 in particular on whether to require holders of these 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; the degree, if any, to which income (including any mandated accruals) realized by non-U.S. investors should be subject to withholding tax; and 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. While the notice requests comments on appropriate transition rules and effective dates, 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. Both U.S. and Non-U.S. Holders should read carefully the discussion under “United States Federal Taxation” in this pricing supplement and consult their tax advisers regarding all aspects of the U.S. federal 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 non-U.S. 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 Autocallable Dual Directional Quarterly Review Notes due August 12, 2016 Based on the Performance of the S&P GSCI TM Crude Oil Index – Excess Return. In this pricing supplement, the terms “we,” “us” and “our” refer to Morgan Stanley.

Aggregate Principal Amount $

Pricing Date July 24, 2015

Original Issue Date (Settlement Date) July 29, 2015 (3 Business Days after the Pricing Date).

Maturity Date August 12, 2016, subject to extension in accordance with the following paragraph.

If, due to a Market Disruption Event or otherwise, the scheduled final Review 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 such final Review Date as postponed. See “––Review Dates” below.

Interest Rate None

Specified Currency U.S. dollars

Stated Principal Amount $1,000 per Security

Original Issue Price $1,000 per Security

CUSIP Number 61762GEG5

ISIN US61762GEG55

Denominations $1,000 and integral multiples thereof

Underlying Index S&P GSCI TM Crude Oil Index – Excess Return (the “Index”). For more information on the Underlying Index, see “––The S&P GSCI TM Crude Oil Index – Excess Return” below.

Index Publisher S&P Dow Jones Indices LLC and any successor publisher thereof (“S&P”).

Automatic Early Call If, on any of the first three Review Dates, the Index Closing Value is greater than or equal to the Initial Index Value, we will call the Securities, in whole and not in part, for the applicable Call Price on the third Business Day following such Review Date (as may be postponed under “––Review Dates” below) (the “Call Date”).

In the event that the Securities are subject to Automatic Early Call, we will, or will cause the Calculation Agent to, (i) on the Business Day following the applicable Review Date (as may be postponed under “––Review Dates” below), give notice of the Automatic Early Call of the Securities and the applicable Call Price, including specifying the payment date of the applicable amount due upon the Automatic Early Call (the Call Date), to the Trustee, upon which notice the Trustee may conclusively rely, and

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to The Depository Trust Company, which we refer to as DTC, and (ii) deliver the aggregate cash amount due with respect to the Securities to the Trustee for delivery to DTC, as holder of the Securities, on or prior to the applicable Call Date. See “—Book-Entry Security or Certificated Security” below, and see “Forms of Securities—The Depositary” in the accompanying prospectus.

Call Price The Call Price will equal:

• at least $1,031 (corresponding to at least 103.10% of the Stated Principal Amount), as determined on the Pricing Date, if the Automatic Early Call occurs in October 2015,

• at least $1,062 (corresponding to at least 106.20% of the Stated Principal Amount), as determined on the Pricing Date, if the Automatic Early Call occurs in January 2016, or

• at least $1,093 (corresponding to at least 109.30% of the Stated Principal Amount), as determined on the Pricing Date, if the Automatic Early Call occurs in April 2016.

Payment at Maturity If the Securities have not been automatically called prior to maturity, you will receive for each $1,000 Stated Principal Amount of Securities that you hold a Payment at Maturity equal to:

• if the Final Index Value is greater than or equal to the Initial Index Value, a fixed payment of at least $1,124 (corresponding to 112.40% of the Stated Principal Amount), as determined on the Pricing Date,

• if the Final Index Value is less than the Initial Index Value, but is greater than or equal to , which means the Underlying Index has not declined by more than 30% from the Initial Index Value: $1,000 + ($1,000 × Absolute Index Return), or

• if the Final Index Value less than , which means the Underlying Index has declined by more than 30% from the Initial Index Value: $1,000 + ($1,000 × Underlying Index Return).

If the Final Index Value declines by more than 30% from the Initial Index Value, you will be fully exposed to the negative performance of the Underlying Index, and will lose 1% of your principal amount for every 1% decline in the Final Index Value from the Initial Index Value. You could lose your entire investment.

We shall, or shall cause the Calculation Agent to, (i) provide written notice to the Trustee, upon which notice the Trustee may conclusively rely, and to DTC of the amount of cash, if any, to be delivered with respect to each $1,000 Stated Principal Amount of 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, if any, due with respect to the Securities

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to the Trustee for delivery to DTC, as holder of the Securities, on or prior to the Maturity Date. We expect such amount of cash, if any, 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 Security or Certificated Security” below, and see “Forms of Securities—The Depositary” in the accompanying prospectus.

Underlying Index Return A fraction, the numerator of which is the Final Index Value on the relevant Review Date minus the Initial Index Value and the denominator of which is the Initial Index Value, as described by the following formula:

Underlying Index Return
Initial Index Value

Absolute Index Return The absolute value of the Underlying Index Return. For example, a –5% Underlying Index Return will result in a +5% Absolute Index Return.

Index Closing Value The Index Closing Value on any Index Business Day will be determined by the Calculation Agent and will equal the official settlement price of the Underlying Index as published by the Index Publisher, or any Successor Index (as defined under “—Discontinuance of the Underlying Index; Alteration of Method of Calculation”). In certain circumstances, the Index Closing Value will be based on the alternate calculation of the Underlying Index described under “—Discontinuance of the Underlying Index; Alteration of Method of Calculation.”

Reuters and various other third party sources may report the official settlement price of the Underlying Index. If any such reported price differs from that as determined by the Index Publisher or its successor, the official settlement price published by such Index Publisher or successor will prevail.

Initial Index Value , which is the Index Closing Value on the Pricing Date, provided that if the Pricing Date is not an Index Business Day or if a Market Disruption Event occurs on that date, the Initial Index Value will be, subject to the succeeding paragraph below, the Index Closing Value on the next Index Business Day on which no Market Disruption Event occurs.

If there is a Market Disruption Event on the Pricing Date, the Initial Index Value will be determined in accordance with the mechanics described in the second paragraph under “––Review Dates” below.

If the Initial Index Value as finally published by the Index Publisher, as determined by the Calculation Agent, differs from the Initial Index Value specified in this pricing supplement, we will include the definitive Initial Index Value in an amended pricing supplement.

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See “Discontinuance of the Underlying Index; Alteration of Method of Calculation.”

Final Index Value The Index Closing Value on the final Review Date, as determined by the Calculation Agent.

Review Dates October 26, 2015 (first Review Date), January 26, 2016 (second Review Date), April 26, 2016 (third Review Date) and August 9, 2016 (final Review Date); provided that if any Review Date is not an Index Business Day, the relevant Review Date shall be the next succeeding Index Business Day; provided further that if a Market Disruption Event relating to the Underlying Index or one or more commodity contracts underlying the Underlying Index (each, an “Index Contract”) occurs on any Review Date, the Index Closing Value for the relevant Review Date shall be determined in accordance with the next succeeding paragraph.

If a Market Disruption Event relating to the Underlying Index or any Index Contract occurs on any Review Date, the Calculation Agent will calculate the Index Closing Value for such Review Date using as a price (i) for each Index Contract that did not suffer a Market Disruption Event on such Review Date, the official settlement price of such Index Contract on such Review Date and (ii) for each Index Contract that did suffer a Market Disruption Event on such date, the official settlement price of such Index Contract on the first succeeding Trading Day on which no Market Disruption Event is existing with respect to such Index Contract; provided that , if a Market Disruption Event has occurred with respect to such Index Contract on each of the three consecutive Trading Days immediately succeeding any Review Date, the Calculation Agent will determine the price of such Index Contract for such Review 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 price of the relevant Index Contract for the relevant Review Date shall be the arithmetic mean of such quotations. Quotations of Morgan Stanley & Co. LLC (“MS & Co.”), Morgan Stanley Capital Group Inc. (“MSCG”) or any of their affiliates may be included in the calculation of such mean, but only to the extent that any such bid is the highest of the quotes obtained. If fewer than three quotations are provided as requested, the price of the relevant Index Contract for the relevant Review Date shall be determined by the Calculation Agent in its sole discretion (acting in good faith) taking into account any information that it deems relevant. In calculating the Index Closing Value in the circumstances described in this paragraph, the Calculation Agent shall use the formula for calculating the Underlying Index last in effect prior to the relevant Review Date; provided that if the relevant Market Disruption Event is due to a Material Change in Formula, the Calculation Agent will use the formula last in effect prior to that Market Disruption Event.

Market Disruption Event Market Disruption Event means, with respect to the Underlying Index or any Index Contract, any of a Price Source Disruption,

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Trading Disruption, Disappearance of Commodity Reference Price, Tax Disruption, Material Change in Formula or Material Change in Content, in each case, as determined by the Calculation Agent.

Price Source Disruption Price Source Disruption means (a) with respect to the Underlying Index, either (i) the temporary failure of the Index Publisher to announce or publish the official settlement price of the Index (or the price of any Successor Index, if applicable) or the information necessary for determining such price (or the price of any Successor Index, if applicable) or (ii) the temporary discontinuance or unavailability of the Underlying Index, and (b) with respect to any Index Contract, the temporary or permanent failure of any Relevant Exchange to announce or publish the relevant price for such Index Contract.

Disappearance of Commodity

Reference Price Disappearance of Commodity Reference Price means (a) with respect to the Underlying Index, the disappearance or permanent discontinuance or unavailability of the official settlement price of the Underlying Index, notwithstanding the availability of the price source or the status of trading in the Index Contracts or futures contracts related to the Index Contracts, and (b) with respect to any Index Contract, either (i) the failure of trading to commence, or the permanent discontinuance of trading, in such Index Contract or futures contracts related to such Index Contract on the Relevant Exchange for such Index Contract or (ii) the disappearance of, or of trading in, such Index Contract.

For purposes of this definition, a discontinuance of publication of the Underlying Index will not be a Disappearance of Commodity Reference Price if MSCG has selected a Successor Index in accordance with “—Discontinuance of the Underlying Index; Alteration of Method of Calculation.”

Trading Disruption Trading Disruption means, with respect to any Index Contract, the material suspension of, or the material limitation imposed on, trading in an Index Contract or futures contracts related to such Index Contract on the Relevant Exchange for such Index Contract.

Material Change in Formula Material Change in Formula means the occurrence since the date of this pricing supplement of a material change in the formula for, or the method of calculating, the official settlement price of the Underlying Index.

Material Change in Content Material Change in Content means the occurrence since the date of this pricing supplement of a material change in the content, composition or constitution of the Underlying Index or relevant futures contracts.

Tax Disruption With respect to any Index Contract, 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, such Index Contract (other than a tax on, or measured by reference to overall gross or

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net income) by any government or taxation authority after the date of this pricing supplement, if the direct effect of such imposition, change or removal is to raise or lower the price of such Index Contract on any day that would otherwise be a Review Date from what it would have been without that imposition, change or removal.

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.

Index Business Day Any day on which the official settlement price of the Underlying Index is scheduled to be published by the Index Publisher or its successor.

Relevant Exchange Relevant Exchange means the principal exchange or trading market for any contract or commodity then included in the Underlying Index or any Successor Index.

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.

Discontinuance of the Underlying Index;

Alteration of Method of Calculation If, following the Original Issue Date, the Index Publisher discontinues publication of the Underlying Index and the Index Publisher or another entity (including MSCG or MS & Co.) publishes a successor or substitute index that MSCG, as the Calculation Agent, determines, in its sole discretion, to be comparable to the discontinued Underlying Index (such index being referred to herein as a “Successor Index”), then any subsequent Index Closing Value will be determined by reference to the published value of such Successor Index at the regular weekday close of trading on the Index Business Day that any Index Closing Value is to be determined, and, to the extent the Index Closing Value of the Successor Index differs from the Index Closing Value of the Underlying Index at the time of such substitution, a proportionate adjustment will be made by the Calculation Agent to the Initial Index Value.

Upon any selection by the Calculation Agent of a Successor Index, the Calculation Agent will cause written notice thereof to be furnished to the Trustee, to Morgan Stanley and to DTC, as holder of the Securities, within three Business Days of such selection. We expect that such notice will be made available to you, as a beneficial owner of the Securities, in accordance with the standard rules and procedures of DTC and its direct and indirect participants.

If, following the Original Issue Date, the Index Publisher ceases to publish the Underlying Index and no other entity undertakes to publish a commodity index using the same methods of computation and the same composition of futures contracts as in effect immediately prior to such cessation, then the Index Closing

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Value will be calculated by the Calculation Agent in accordance with the formula used to calculate the Underlying Index and composition of the futures contracts of the Underlying Index on the last day on which the Underlying Index was published.

If the Index Publisher changes its method of calculating the Underlying Index in any material respect that the Calculation Agent determines, in its sole discretion, not to be a Material Change in Formula, the Calculation Agent may make adjustments necessary in order to arrive at a calculation of value comparable to the Underlying Index as if such changes or modifications had not been made and calculate any Index Closing Value in accordance with such adjustments. Notwithstanding these alternative arrangements, discontinuance of the publication of the Underlying Index may adversely affect the value of the Securities.

Book Entry Security or

Certificated Security 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 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 actions taken by “you” or to be taken by “you” refer to actions taken or to be taken by DTC and its participants acting on your behalf, and 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 securities, please read “Forms of Securities—The Depositary” 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

Agents J.P. Morgan Securities LLC and JPMorgan Chase Bank, N.A. (also called “Placement Agents”)

Calculation Agent Morgan Stanley Capital Group Inc. and its successors (“MSCG”)

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 with respect to the Payment at Maturity, if any, will be rounded to the nearest one hundred-thousandth, with five one-millionths rounded upward ( e.g. , .876545 would be rounded to .87655); all dollar amounts related to determination of the amount of cash payable per Security, if any, will be rounded to the nearest ten-thousandth, with five one hundred-thousandths rounded upward ( e.g. , .76545 would be rounded up to .7655); and

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all dollar amounts paid on the aggregate number of Securities, if any, 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 Initial Index Value, the Index Closing Value on each Review Date, whether the Index Closing Value on any Review Date is greater than or equal to the Initial Index Value and therefore whether the Securities will be called following such Review Date, or whether a Market Disruption Event has occurred and the payment upon any Automatic Early Call or at maturity. See “—Discontinuance of the Underlying Index; Alteration of Method of Calculation” and “––Market Disruption Event” below. MSCG is obligated to carry out its duties and functions as Calculation Agent in good faith and using its reasonable judgment. See also “Risk Factors––The calculation agent, which is a subsidiary of the issuer, will make determinations with respect to the securities.”

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

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quotation and notify the other party in writing of those grounds within two Business Days after the last day of the Default 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 will, or will 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 Review 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.

The S&P GSCI TM

Crude Oil Index – Excess Return We have derived all information contained in this pricing supplement regarding the Underlying Index, including, without limitation, its make-up, method of calculation and changes in its components, from publicly available information, and we have not participated in the preparation of, or verified, such publicly available information. Such information reflects the policies of, and is subject to change by, S&P. The Index was developed, and is calculated, maintained and published by S&P.

The Underlying Index is a sub-index of the S&P GSCI TM -ER. It represents only the crude oil component of the S&P GSCI TM -ER. The value of the Underlying Index on any given day is calculated in the same manner as the S&P GSCI TM -ER except that (i) the daily contract reference prices, the contract production weight (“CPW”) and roll weights used in performing such calculations are limited to the crude oil futures contracts included in the Underlying Index; and (ii) the Underlying Index has a separate normalizing constant.

The S&P GSCI TM -ER

The S&P GSCI TM -ER is a world production-weighted index that is designed to reflect the relative significance of each of the underlying commodities in the world economy. The S&P GSCI TM -ER represents the return of a portfolio of commodity futures contracts included in the S&P GSCI TM , the composition of which, on any given day, reflects the CPW and “roll weights” of the contracts included in the S&P GSCI TM (discussed below).

Value of the S&P GSCI TM -ER

The value of the S&P GSCI™-ER on any given day is equal to the product of (i) the value of the S&P GSCI™-ER on the immediately preceding day multiplied by (ii) one plus the contract daily return on the day on which the calculation is made. The value of the S&P GSCI™-ER is indexed to a normalized value of 100 on January 2, 1970.

Contract Daily Return

The contract daily return on any given day is equal to the sum, for each of the commodities included in the S&P GSCI™, of the applicable daily contract reference price on the relevant contract multiplied by the appropriate CPW and the appropriate “roll weight,” divided by the total dollar weight of the S&P GSCI™ on the preceding day, minus one.

The total dollar weight of the S&P GSCI™ is the sum of the dollar weight of each of its underlying commodities. The dollar weight of each such commodity on any given day is equal to (i) the daily contract reference price, (ii) multiplied by the

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appropriate CPWs and (iii) during a roll period, the appropriate “roll weights” (discussed below).

The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided that, if the price is not made available or corrected by 4:00 P.M. Eastern time, S&P may, if it deems such action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI™ calculation.

The “roll weight” of each commodity reflects the fact that the positions in contracts must be liquidated or rolled forward into more distant contract expirations as they approach expiration. Since the S&P GSCI™ is designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the S&P GSCI™ also takes place over a period of days at the beginning of each month (referred to as the “roll period”). On each day of the roll period, the “roll weights” of the first nearby contract expirations on a particular commodity and the more distant contract expiration into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the S&P GSCI™ is gradually shifted from the first nearby contract expiration to the more distant contract expiration.

If any of the following conditions exists on any day during a roll period, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist: (i) no daily contract reference price is available for a given contract expiration; (ii) any such price represents the maximum or minimum price for such contract month, based on exchange price limits; (iii) the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 P.M., Eastern time (in such event, S&P may determine a daily contract reference price and complete the relevant portion of the roll based on such price, but must revise the portion of the roll if the trading facility publishes a price before the opening of trading on the next day); or (iv) trading in the relevant contract terminates prior to its scheduled closing time.

If any of these conditions exist throughout the roll period, the roll will be effected in its entirety on the next day on which such conditions no longer exist.

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The S&P GSCI TM

The S&P GSCI™ is an index on a production-weighted basket of principal non-financial commodities (i.e., physical commodities) that satisfy specified criteria. The S&P GSCI™ is designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the S&P GSCI™ are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities included in the S&P GSCI™ are weighted, on a production basis, to reflect the relative significance (in the view of S&P, in consultation with the Index Committee and the Commodity Index Advisory Panel, as described below) of such commodities to the world economy. The fluctuations in the value of the S&P GSCI™ are intended generally to correlate with changes in the prices of such physical commodities in global markets. The S&P GSCI™ was established in 1991 and has been normalized such that its hypothetical level on January 2, 1970 was 100. Futures contracts on the S&P GSCI™, and options on such futures contracts, are currently listed for trading on the Chicago Mercantile Exchange.

Set forth below is a summary of the composition of and the methodology currently used to calculate the S&P GSCI™. The methodology for determining the composition and weighting of the S&P GSCI™ and for calculating its value is subject to modification in a manner consistent with the purposes of the S&P GSCI™, as described below. S&P makes the official calculations of the S&P GSCI™.

The Index Committee established by S&P to assist it in connection with the operation of the S&P GSCI™ generally meets once each year to discuss the composition of the S&P GSCI™. The Commodity Index Advisory Panel has an advisory role and cannot bind the Index Committee to any changes. The Commodity Index Advisory Panel meets at least annually to discuss market developments and potential changes to the S&P GSCI™.

On July 2, 2012, The McGraw-Hill Companies, Inc. (“McGraw-Hill”), the owner of the S&P Indices business, and CME Group Inc. (“CME Group”), the 90% owner of the CME Group and Dow Jones & Company, Inc. joint venture that owns the Dow Jones Indexes business, launched a new joint venture, S&P Dow Jones Indices LLC, which owns the S&P Indices business and the Dow Jones Indexes business, including the S&P GSCI™ Indices.

Composition of the S&P GSCI™

In order to be included in the S&P GSCI™ a contract must satisfy the following eligibility criteria:

· The contract must be in respect of a physical commodity and not a financial commodity.

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· The contract must (a) have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and (b) at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement; and (c) be traded on a trading facility which allows market participants to execute spread transactions, through a single order entry, between the pairs of contract expirations included in the S&P GSCI™ that, at any given point in time, will be involved in rolls to be effected pursuant to the S&P GSCI™.

· The commodity must be the subject of a contract that is (a) denominated in U.S. dollars and (b) traded on or through an exchange, facility or other platform (referred to as a trading facility) that has its principal place of business or operations in a country which is a member of the Organization for Economic Cooperation and Development and that meets other criteria relating to the availability of market price quotations and trading volume information, acceptance of bids and offers from multiple participants or price providers and accessibility by a sufficiently broad range of participants.

· The price of the relevant contract that is used as a reference or benchmark by market participants (referred to as the daily contract reference price) generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI™.

· At and after the time a contract is included in the S&P GSCI™, the daily contract reference price for such contract must be published between 10:00 AM. and 4:00 P.M., Eastern time, on each business day relating to such contract by the trading facility on or through which it is traded.

· For a contract to be eligible for inclusion in the S&P GSCI™, volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made.

· Contracts must also satisfy volume trading requirements and certain percentage dollar weight requirements to be eligible for inclusion in the S&P GSCI™.

· The contracts currently included in the S&P GSCI™ are all futures contracts traded on the NYMEX, the ICE Futures, the Chicago Mercantile Exchange, the Chicago Board of Trade, the Coffee, Sugar & Cocoa Exchange, Inc., the New York Cotton Exchange, the Kansas City Board of Trade, the Commodities Exchange, Inc. and the LME.

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Calculation of the S&P GSCI™

The value of the S&P GSCI™ on any given day is equal to the total dollar weight of the S&P GSCI™ divided by a normalizing constant that assures the continuity of the S&P GSCI™ over time.

Contract Expirations

Because the S&P GSCI™ is composed of actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as “contract expirations.” The contract expirations included in the S&P GSCI™ for each commodity during a given year are designated by S&P, provided that each such contract must be an “active contract.” An “active contract” for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry.

If a trading facility deletes one or more contract expirations, the S&P GSCI™ will be calculated during the remainder of the year in which such deletion occurs on the basis of the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate a replacement contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the S&P GSCI™. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the S&P GSCI™.

License Agreement between S&P

and Morgan Stanley S&P and Morgan Stanley have entered into a non-exclusive license agreement providing for the license to Morgan Stanley, and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Underlying Index, which is owned and published by S&P, in connection with securities, including the Securities.

The license agreement between S&P and Morgan Stanley provides that the following language must be set forth in this pricing supplement:

The Securities are not sponsored, endorsed, sold or promoted by The McGraw-Hill Companies, Inc. (including its affiliates) (S&P, with its affiliates, are referred to as the “Corporations”). The Corporations have not passed on the legality or suitability of, or the accuracy or adequacy of descriptions and disclosures relating to, the Securities. The Corporations make no representation or warranty, express or implied, to the holders of the Securities or any member of the public regarding the advisability of investing in securities generally or in the Securities particularly, or the ability of the Underlying Index to track general agricultural commodity market performance. The Corporations’ only relationship to us (the “Licensee”) is in the licensing of the

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Underlying Index and S&P ® trademarks or service marks and certain trade names of the Corporations and the use of the Underlying Index which is determined, composed and calculated by S&P without regard to the Licensee or the Securities. S&P has no obligation to take the needs of the Licensee or the owners of the Securities into consideration in determining, composing or calculating the Underlying Index. The Corporations are not responsible for and have not participated in the determination of the timing, prices, or quantities of the Securities to be issued or in the determination or calculation of the equation by which the Securities are to be converted into cash. The Corporations have no liability in connection with the administration, marketing or trading of the Securities.

THE CORPORATIONS DO NOT GUARANTEE THE ACCURACY AND/OR UNINTERRUPTED CALCULATION OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE LICENSEE, OWNERS OF THE SECURITIES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. THE CORPORATIONS MAKE NO EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL THE CORPORATIONS HAVE ANY LIABILITY FOR LOST PROFITS OR SPECIAL, INCIDENTAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES, EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

“Standard & Poor’s ® ,” “S&P ® ” and “S&P GSCI TM ” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Morgan Stanley. The Securities have not been passed on by the Corporations as to their legality or suitability. The Securities are not issued, endorsed, sold or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE SECURITIES.

Historical Information The following table sets forth the published high and low Index Closing Values, as well as end-of-quarter Index Closing Values, of the Underlying Index for each quarter in the period from January 1, 2010 through July 17, 2015. The related graph shows the daily Index Closing Values for the Underlying Index in the same period. The Index Closing Value on July 17, 2015 was 247.1594. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The Index Closing Value on each Review Date will be determined with reference to the official settlement price of the Underlying Index, as determined pursuant to “––Index Closing Value” above, rather than the prices published by Bloomberg Financial Markets on each such date. The historical performance

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of the Underlying Index set out in the table and graph below should not be taken as an indication of its future performance, and no assurance can be given as to the Index Closing Value on any of the Review Dates. If the Securities are not automatically called prior to maturity and if the Final Index Value has declined by more than 30% from the Initial Index Value, you will lose a significant portion or all of your initial investment at maturity. We cannot give you any assurance that the Securities will be called prior to maturity or that the Underlying Index will not decline by more than 30% so that you do not suffer a significant loss on your initial investment in the in the Securities. The Underlying Index may be, and has recently been, volatile, and we can give you no assurance that the volatility will lessen.

S&P GSCI TM Crude Oil Index – Excess Return

High and Low Index Closing Values and End-of-Quarter Index Closing Values

January 1, 2010 through July 17, 2015

| | High | Low | Period
End |
| --- | --- | --- | --- |
| 2010 | | | |
| First Quarter | 580.7973 | 494.2745 | 575.7510 |
| Second Quarter | 596.9223 | 444.4116 | 480.7402 |
| Third Quarter | 521.3389 | 449.7758 | 494.2388 |
| Fourth Quarter | 553.5523 | 490.9833 | 552.7660 |
| 2011 | | | |
| First Quarter | 607.1437 | 503.8268 | 607.1437 |
| Second Quarter | 644.4647 | 506.8806 | 533.7882 |
| Third Quarter | 556.0875 | 438.3955 | 438.3955 |
| Fourth Quarter | 567.1342 | 418.8559 | 545.2173 |
| 2012 | | | |
| First Quarter | 601.9905 | 530.5137 | 562.3674 |
| Second Quarter | 576.7051 | 419.0127 | 458.2227 |
| Third Quarter | 529.9358 | 451.6967 | 491.8431 |
| Fourth Quarter | 493.3903 | 448.5244 | 481.9584 |
| 2013 | | | |
| First Quarter | 511.6316 | 468.0970 | 502.6795 |
| Second Quarter | 505.8752 | 448.0953 | 495.0573 |
| Third Quarter | 572.0864 | 502.3888 | 533.9717 |
| Fourth Quarter | 543.2078 | 480.0819 | 510.6378 |
| 2014 | | | |
| First Quarter | 545.7297 | 475.5971 | 530.6062 |
| Second Quarter | 571.2074 | 520.3681 | 563.4010 |
| Third Quarter | 563.2406 | 496.6154 | 498.5767 |
| Fourth Quarter | 497.7563 | 293.2265 | 293.2265 |
| 2015 | | | |
| First Quarter | 293.2265 | 232.6960 | 245.1058 |
| Second Quarter | 303.8245 | 253.0357 | 289.5632 |
| Third Quarter (through July 17, 2015) | 277.3419 | 247.1594 | 247.1594 |

S&P GSCI™ Crude Oil Index - Excess Return

Daily Index Closing Values

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January 1, 2010 through July 17, 2015

Use of Proceeds and Hedging The proceeds we receive from the sale of the Securities will be used for general corporate purposes. We will receive, in aggregate, $1,000 per Security issued, because, when we enter into hedging transactions in order to meet our obligations under the Securities, our hedging counterparty will reimburse the cost of the Agent’s commissions. The costs of the Securities borne by you and described beginning on page 3 above comprise the Agent’s commissions and the cost of issuing, structuring and hedging the Securities.

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 swaps and futures contracts on the Index Contracts underlying the Underlying Index or positions in any other available instruments that we may wish to use in connection with such hedging. As a result, these entities may be unwinding or adjusting hedge positions during the term of the Securities, and the hedging strategy may involve greater and more frequent dynamic adjustments to the hedge as the final Review Date approaches. Such purchase activity could potentially increase the Initial Index Value, and, as a result, increase (i) the value at or above which the Index Closing Value must close on any of the first three Review Dates in order for the Securities to be automatically called prior to maturity, or, (ii) if the Securities are not called prior to maturity, the value at or above which the Index Closing Value must close on the final Review Date so that investors do not suffer a significant loss on their initial investment in the Securities. In addition, through our subsidiaries, we are likely to modify our hedge position throughout the term of the Securities by purchasing and selling swaps and futures contracts on the Index Contracts underlying the Underlying Index 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 on one or more Review Dates. We cannot give any assurance that our

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hedging activities will not affect the Index Closing Value and, therefore, adversely affect the value of the Securities, whether the Securities are called early, or the payment you will receive at maturity, if any.

Supplemental Information Concerning

Plan of Distribution; Conflicts of Interest JPMorgan Chase Bank, N.A., J.P. Morgan Securities LLC and its affiliates will act as placement agents for the Securities and will receive a fee from the Issuer or one of its affiliates that will not exceed $10 per $1,000 principal amount of Securities, but will forgo any fees for sales to certain fiduciary accounts..

MS & Co. is our wholly-owned subsidiary and it and other subsidiaries of ours expect to make a profit by selling, structuring and, when applicable, hedging the Securities. When MS & Co. prices this offering of Securities, it will determine the economic terms of the Securities such that for each Security the estimated value on the Pricing Date will be no lower than the minimum level described in “Summary of Pricing Supplement” beginning on PS-3.

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 Agents may engage in transactions that stabilize, maintain or otherwise affect the price of the Securities. Specifically, the Agents may sell more Securities than they are obligated to purchase in connection with the offering, creating a naked short position in the Securities for their own account. The Agents must close out any naked short position by purchasing the Securities in the open market after the offering. A naked short position in the Securities is more likely to be created if the Agents are 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 Agents may bid for, and purchase, the Securities or the commodities contracts underlying the Underlying Index 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 Agents are not required to engage in these activities, and may end any of these activities at any time.

General

No action has been or will be taken by us, the Agents 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

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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 Agents or any dealer.

The Agents have each 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 Agents’ or any dealer’s compliance with the applicable laws and regulations or obtaining any required consent, approval or permission.

In addition to the selling restrictions set forth in “Plan of Distribution (Conflicts of Interest)” in the accompanying prospectus supplement, the following selling restrictions also apply to the Securities:

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.

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.

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 and the accompanying prospectus supplement and prospectus may not be publicly distributed in Mexico.

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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 these 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” within the meaning of ERISA or “disqualified persons” within the meaning of 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 these 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 those 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 these 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 asset managers). In addition, ERISA Section 408(b)(17) and Section 4975(d)(20) of the Code 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 any plan involved in the transaction and provided further that the plan pays no more 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 these Securities.

Because we may be considered a party in interest with respect to many plans, unless otherwise specified in the applicable

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prospectus supplement, these 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. Unless otherwise specified in the applicable prospectus supplement, any purchaser, including any fiduciary purchasing on behalf of a plan, transferee or holder of these Securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and holding thereof that either (a) it is not a plan or a plan asset entity, is not purchasing such Securities on behalf of or with “plan assets” of any plan, or with any assets of a governmental 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 or 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 nonexempt prohibited transactions, it is particularly important that fiduciaries or other persons considering purchasing these 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;

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(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 our affiliates may provide is not intended to be impartial investment advice.

Each purchaser and holder of these 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 of these 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 Morgan Stanley Wealth Management or a family member and the employee receives any compensation (such as, for example, an addition to bonus) based on the purchase of the Securities by the account, plan or annuity.

Client accounts over which Morgan Stanley, Morgan Stanley Wealth Management or any of their respective subsidiaries have investment discretion are not permitted to purchase the Securities, either directly or indirectly.

United States Federal 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 the 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

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· 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;

· certain dealers and traders in securities or commodities;

· 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 non-U.S. tax laws is not discussed, nor are 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 hereof 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 non-U.S. taxing jurisdiction.

General

Although there is uncertainty regarding the U.S. federal income tax consequences of an investment in the Securities due to the lack of governing authority, in the opinion of our counsel, under current law, and based on current market conditions, each Security should be treated as a single financial contract that is an “open transaction” for U.S. federal income tax purposes.

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

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that the Internal Revenue Service (the “IRS”) or a court will agree with the tax treatment described herein. Accordingly, you should consult your tax adviser regarding all aspects of the U.S. federal tax consequences of an investment in the Securities (including possible alternative treatments of the Securities). Unless otherwise stated, the following discussion is based on the treatment of the Securities as described above.

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.

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 Treatment Prior to Settlement. A U.S. Holder should not be required to recognize taxable income over the term of the Securities prior to settlement, other than pursuant to a sale or exchange as described below.

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.

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 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 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

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 treatment described above. In particular, the IRS could seek to treat a Security as a debt instrument. The risk that financial instruments

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providing for buffers, triggers or similar downside protection features, such as the Securities, would be recharacterized as debt is greater than the risk of recharacterization for comparable financial instruments that do not have such features.

If a Security were treated as a debt instrument for U.S. federal income tax purposes, it would be subject to Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If 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 (“OID”) on the Securities every year at a “comparable yield” determined at the time of their issuance. Furthermore, any gain realized by a U.S. Holder at maturity or upon a sale, exchange or other disposition of the Securities would generally be treated as ordinary income, and any loss realized would be treated as ordinary loss to the extent of the U.S. Holder’s prior accruals of OID and as capital loss thereafter.

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 in particular on whether to require holders of these 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; and 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. While the notice requests comments on appropriate transition rules and effective dates, 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. Accordingly, prospective investors should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Securities, including the possible implications of this notice.

Backup Withholding and Information Reporting

Backup withholding may apply in respect of payments on the Securities and the payment of 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 the applicable requirements of the backup withholding rules. The amounts

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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 timely furnished to the IRS. In addition, information returns may be filed with the IRS in connection with payments on the Securities and the payment of 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.

Tax Treatment upon Sale, Exchange or Settlement of the Securities

In general. Assuming the treatment of the Securities as set forth above is respected, and subject to the discussion below concerning backup withholding, a Non-U.S. Holder of the Securities generally will not be subject to U.S. federal income or withholding tax in respect of amounts paid to the Non-U.S. Holder.

Subject to the discussion regarding the possible application of FATCA, if all or any portion of a Security were recharacterized as a debt instrument, any payment made to a Non-U.S. Holder with respect to the Securities would not be subject to U.S. federal withholding tax, provided that:

· the Non-U.S. Holder does not own, directly or by attribution, ten percent or more of the total combined voting power of all classes of our stock entitled to vote;

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· the Non-U.S. Holder is not a controlled foreign corporation related, directly or indirectly, to us through stock ownership;

· the Non-U.S. Holder is not a bank receiving interest under Section 881(c)(3)(A) of the Code, and

· the certification requirement described below has been satisfied with respect to the beneficial owner.

Certification Requirement. The certification requirement referred to in the preceding paragraph will be satisfied if the beneficial owner of a Security (or a financial institution holding a Security on behalf of the beneficial owner) furnishes to the applicable withholding agent an IRS Form W-8BEN (or other appropriate form) on which the beneficial owner certifies under penalties of perjury that it is not a U.S. person.

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. Among the issues addressed in the notice is the degree, if any, to which any income with respect to instruments such as the Securities should be subject to U.S. withholding tax. It is possible that any Treasury regulations or other guidance issued after consideration of this issue could materially and adversely affect the withholding tax consequences of ownership and disposition of the Securities, possibly on a retroactive basis. Non-U.S. Holders should note that we currently do not intend to withhold on any payment made with respect to the Securities to Non-U.S. Holders (subject to compliance by such holders with the certification requirement described above and the discussion below regarding FATCA). However, in the event of a change of law or any formal or informal guidance by the IRS, the U.S. Treasury Department or Congress, we may decide to withhold on payments made with respect to the Securities to Non-U.S. Holders and we will not be required to pay any additional amounts with respect to amounts withheld. Accordingly, Non-U.S. Holders should consult their tax advisers regarding all aspects of the U.S. federal income tax consequences of an investment in the Securities, including the possible implications of the notice referred to 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 exemption, 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

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Information returns may be filed with the IRS in connection with payments on the Securities as well as in connection with the payment of proceeds from a sale, exchange or other disposition of the Securities. 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. Compliance with the certification procedures described above under “―Tax Treatment upon Sale, Exchange or Settlement of the Securities – Certification Requirement” will satisfy the certification requirements necessary to avoid backup withholding as well. 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 timely furnished to the IRS.

FATCA Legislation

Legislation commonly referred to as “FATCA” generally imposes a withholding tax of 30% on payments to certain non-U.S. entities (including financial intermediaries) with respect to certain financial instruments, unless various U.S. information reporting and due diligence requirements have been satisfied. An intergovernmental agreement between the United States and the non-U.S. entity’s jurisdiction may modify these requirements. This legislation generally applies to certain financial instruments that are treated as paying U.S.-source interest or other U.S.-source “fixed or determinable annual or periodical” income. If the Securities were recharacterized as debt instruments, this legislation would apply to any payment of amounts treated as interest. If withholding applies to the Securities, we will not be required to pay any additional amounts with respect to amounts withheld. Both U.S. and Non-U.S. Holders should consult their tax advisers regarding the potential application of FATCA to the Securities.

The discussion in the preceding paragraphs and the discussion under “Additional provisions—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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