MORGAN STANLEY - Regulatory Filings 2015

CALCULATION OF REGISTRATION FEE

| | Maximum
Aggregate | Amount
of Registration |
| --- | --- | --- |
| Title
of Each Class of Securities Offered | Offering
Price | Fee |
| Worst
of Fixed Coupon Lock-In | $4,280,000 | $497.34 |
| RevCons SM due 2017 | | |

September 2015 Pricing Supplement No. 546 Registration Statement No. 333-200365 Dated September 9, 2015 Filed pursuant to Rule 424(b)(2)

Structured Investments

Opportunities in International Equities

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG

Principal at Risk Securities

The Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017 Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG, which we refer to as the securities, do not guarantee the repayment of any principal. Instead, the securities offer the opportunity for investors to earn a fixed annual coupon at an annual rate of 5.00%. The payment at maturity due on the securities will be, in addition to the final annual coupon, either (i) the stated principal amount, if either (a) a lock-in event has occurred, meaning that, on any of the weekly observation dates over the term of the securities, the determination closing price of each underlying stock is greater than or equal to 103% of its respective initial share price (the respective “lock-in price”), or (b) the final share price of each underlying stock is greater than or equal to 80% of its respective initial share price (the respective “downside threshold level”), or (ii) an amount reflecting the performance of the worst performing underlying stock, if a lock-in event has not occurred and the final share price of any underlying stock is less than its respective downside threshold level. Under these circumstances, the payment at maturity (excluding the final interest payment) will be less than 80% of the stated principal amount of the securities 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. Investors will not participate in the appreciation of any of the underlying stocks. The securities are for investors who are willing to risk their principal based on the performance of the worst performing underlying stock if a lock-in event has not occurred, and who are willing to forgo the opportunity to participate in any appreciation of the underlying stocks in exchange for the opportunity to earn interest at a potentially above-market rate. Because the payment at maturity on the securities is based on the worst performing underlying stock, a decline beyond the respective downside threshold level of any underlying stock may result in a significant loss of your investment, even if one or both of the other underlying stocks have appreciated or have not declined as much. Investors will therefore be exposed to the risks related to each underlying stock . The securities are unsecured obligations of Morgan Stanley, 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.

| SUMMARY
TERMS — Issuer: | Morgan Stanley | | |
| --- | --- | --- | --- |
| Underlying
stocks: | Credit Suisse
Group AG shares (the “CSGN Stock”), Adecco S.A. common shares (the “ADEN Stock”) and Novartis AG ordinary
shares (the “NOVN Stock”). The underlying stocks trade on the SIX Swiss Exchange and are quoted in
Swiss francs. | | |
| Aggregate
principal amount: | $4,280,000 | | |
| Stated
principal amount: | $1,000 per
security | | |
| Issue
price: | $1,000 per
security | | |
| Pricing
date: | September
9, 2015 | | |
| Original
issue date: | September
16, 2015 (5 business days after the pricing date) | | |
| Maturity
date: | September
18, 2017 | | |
| Determination
closing price: | With respect
to each underlying stock, the closing price of such underlying stock on any trading day other than the valuation date times the adjustment factor for such underlying stock on such day | | |
| Annual
coupon: | An annual
coupon at an annual rate of 5.00%, calculated on a 30/360 basis (corresponding to $50 per annum per security) is paid on each
coupon payment date. | | |
| Payment
at maturity: | · If
a lock-in event has occurred: | (i) the stated
principal amount plus (ii) the annual coupon for the final interest period | |
| | · If
a lock-in event has not occurred and the final share price of each underlying stock is greater than or equal to its
respective downside threshold level: | (i) the stated
principal amount plus (ii) the annual coupon for the final interest period | |
| | · If
a lock-in event has not occurred and the final share price of any underlying stock is less than its respective downside
threshold level: | (i) the annual
coupon for the final interest period plus (ii) the product of (a) the stated principal amount and (b)
the share performance factor of the worst performing underlying stock. Under these circumstances, the payment
at maturity will be significantly less than the stated principal amount of the securities and could be zero. | |
| Lock-in
event: | A lock-in
event will have occurred if, on any of the weekly observation dates over the term of the securities, the determination closing
price of each underlying stock is greater than or equal to its respective lock-in price. | | |
| Observation
dates: | Weekly, on
each Wednesday during the period from but excluding the pricing date to and including the valuation date, and the valuation
date itself (whether or not a Wednesday), subject, independently in the case of each underlying stock, to postponement for
non-trading days and certain market disruption events. If, however, the valuation date falls on a Thursday or Friday, the
immediately preceding Wednesday shall not be an observation date. | | |
| Share
performance factor: | With respect
to each underlying stock, the final share price divided by the initial share price | | |
| Adjustment
factor: | With respect
to each underlying stock, 1.0, subject to adjustment in the event of certain corporate events affecting such underlying stock | | |
| | Terms continued
on the following page | | |
| Agent: | Morgan Stanley
& Co. LLC (“MS & Co.”), a wholly owned subsidiary of Morgan Stanley. See “Supplemental
information regarding plan of distribution; conflicts of interest.” | | |
| Estimated
value on the pricing date: | $964.40 per
security. See “Investment Summary” on page 3. | | |
| Commissions
and issue price: | Price
to public | Agent’s
commissions (1) | Proceeds
to issuer (2) |
| Per
security | $1,000 | $10 | $990 |
| Total | $4,280,000 | $42,800 | $4,237,200 |

(1) Selected dealers and their financial advisors will collectively receive from the agent, MS & Co., a fixed sales commission of $10 for each security they sell. See “Supplemental information regarding plan of distribution; conflicts of interest.” For additional information, see “Plan of Distribution (Conflicts of Interest)” in the accompanying product supplement.

(2) See “Use of proceeds and hedging” on page 27.

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

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

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

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

Product Supplement for Reverse Convertible Securities dated November 19, 2014 Prospectus dated November 19, 2014

Field: Page; Sequence: 1

Field: /Page

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Terms continued from previous page:
Coupon
payment dates:	September 18, 2016 and the maturity date, subject
to postponement as described under “Postponement of coupon payment dates” below
Lock-in
price:	With respect to the CSGN
Stock, CHF26.976, which is equal to approximately 103% of its initial share price With respect to the ADEN
Stock, CHF78.486, which is equal to 103% of its initial share price With respect to the NOVN
Stock, CHF97.644, which is equal to 103% of its initial share price
Downside
threshold level:	With respect to the CSGN
Stock, CHF20.952, which is equal to 80% of its initial share price With respect to the ADEN
Stock, CHF60.96, which is equal to 80% of its initial share price With respect to the NOVN
Stock, CHF75.84, which is equal to 80% of its initial share price
Initial
share price:	With respect to the CSGN
Stock, CHF26.19, which is its closing price on the pricing date With respect to the ADEN
Stock, CHF76.20, which is its closing price on the pricing date With respect to the NOVN
Stock, CHF94.80, which is its closing price on the pricing date
Final
share price:	With respect to each underlying stock, the closing price of
such underlying stock on the valuation date times the adjustment factor for such underlying stock on such date
Valuation
date:	September 11, 2017, subject to postponement for non-trading
days and certain market disruption events.
Worst
performing underlying stock:	The underlying stock with the largest percentage decrease
from the respective initial share price to the respective final share price
CUSIP
/ ISIN:	61761JK81 / US61761JK813
Listing:	The securities will not be listed on any securities exchange.

Field: Page; Sequence: 2; Options: NewSection; Value: 2

September 2015 Page 2

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Investment Summary

Worst of Fixed Coupon Lock-In RevCons

Principal at Risk Securities

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 is less than $1,000. We estimate that the value of each security on the pricing date is $964.40.

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 stocks. The estimated value of the securities is determined using our own pricing and valuation models, market inputs and assumptions relating to the underlying stocks, instruments based on the underlying stocks, 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 annual coupon rate, the lock-in prices and the downside threshold levels, we use an internal funding rate, which is likely to be lower than our secondary market credit spreads and therefore advantageous to us. If the issuing, selling, structuring and hedging costs borne by you were lower or if the internal funding rate were higher, one or more of the economic terms of the securities would be more favorable to you.

What is the relationship between the estimated value on the pricing date and the secondary market price of the securities?

The price at which MS & Co. purchases the securities in the secondary market, absent changes in market conditions, including those related to the underlying stocks, 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 6 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 stocks, 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.

Field: Page; Sequence: 3

September 2015 Page 3

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Key Investment Rationale

The securities offer investors an opportunity to earn a fixed annual coupon at an annual rate of 5.00%. The payment at maturity will vary depending on whether or not a lock-in event has occurred and the final share price of each underlying stock, as follows:

| Scenario 1 | A lock-in event has occurred, meaning that,
on any of the weekly observation dates over the term of the securities, the determination closing price of each underlying stock
is greater than or equal to its respective lock-in price of 103% of its respective initial share price. § The
payment due at maturity will be (i) the stated principal amount plus (ii) the annual coupon for the final interest period. § Investors
will not participate in any appreciation of any underlying stock. |
| --- | --- |
| Scenario 2 | A lock-in event has not occurred, and the
final share price of each underlying stock is greater than or equal to its respective downside threshold level. § The
payment due at maturity will be (i) the stated principal amount plus (ii) the annual coupon for the final interest period. § Investors
will not participate in any appreciation of any underlying stock. |
| Scenario 3 | A lock-in event has not occurred, and the
final share price of any underlying stock is less than its respective downside threshold level. § The
payment due at maturity will be(i) the annual coupon for the final interest period plus (ii) product of (a) the stated
principal amount and (b) the share performance factor of the worst performing underlying stock. § Under
this scenario, the payment at maturity will be significantly less than the stated principal amount of the securities and could
be zero. |

Field: Page; Sequence: 4

September 2015 Page 4

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Hypothetical Examples

The following hypothetical examples illustrate how to determine the payment at maturity. The following examples are for illustrative purposes only. The payment at maturity will be determined by reference to the final share price of each underlying stock on the valuation date as well as whether or not a lock-in event has occurred on any of the weekly observation dates over the term of the securities. The actual initial share price and downside threshold level for each underlying stock are set forth on the cover of this document. All payments on the securities are subject to the credit risk of Morgan Stanley. The below examples are based on the following terms:

Annual Coupon:	5.00% per annum (corresponding to $50.00 per annum per security).
Payment at Maturity:	· If
a lock-in event has occurred, meaning that, on any of the weekly observation dates over the term of the securities, the determination
closing price of each underlying stock is greater than or equal to its respective lock-in price: (i) the stated principal
amount plus (ii) the annual coupon for the final interest period. · If
a lock-in event has not occurred and the final share price of each underlying stock is greater than or equal to its respective
downside threshold level: (i) the stated principal amount plus (ii) the annual coupon for the final interest period. · If
a lock-in event has not occurred and the final share price of any underlying stock is less than its respective downside
threshold level: (i) the annual coupon for the final interest period plus (ii) product of (a) the stated principal
amount and (b) the share performance factor of the worst performing underlying stock. Under these circumstances, the
payment at maturity will be significantly less than the stated principal amount of the securities and could be zero.
Stated Principal Amount:	$1,000 per security
Hypothetical Initial Share Price:	With respect to the CSGN Stock: CHF26.00 With respect to the ADEN Stock: CHF76.00 With respect to the NOVN Stock: CHF92.00
Hypothetical Downside Threshold Level:	With respect to the CSGN Stock: CHF20.80, which is 80% of its
hypothetical initial share price With respect to the ADEN Stock: CHF60.80, which is 80% of its
hypothetical initial share price With respect to the NOVN Stock: CHF73.60, which is 80% of its
hypothetical initial share price
Hypothetical Adjustment Factor:	With respect to each underlying stock, 1.0

Field: Page; Sequence: 5

September 2015 Page 5

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

How to calculate the payment at maturity if a lock-in event has occurred:

If a lock-in event has occurred, meaning that, on any of the weekly observation dates over the term of the securities, the determination closing price of each underlying stock is greater than or equal to its respective lock-in price, investors will receive at maturity the stated principal amount of the securities and the annual coupon for the final interest period. Investors will not participate in the appreciation of any of the underlying stocks.

How to calculate the payment at maturity if a lock-in event has not occurred:

	Final Share Price on the Valuation Date — CSGN Stock	ADEN Stock	NOVN Stock	Payment at Maturity
Example 1:	CHF22.00 ( above the downside threshold level)	CHF68.00 ( above the downside threshold level)	CHF80.00 ( above the downside threshold level)	$1,050.00 (the stated principal amount plus the annual coupon for the final interest period)
Example 2:	CHF25.00 ( above the downside threshold level)	CHF71.00 ( above the downside threshold level)	CHF64.40 ( below the downside threshold level)	$50.00 (the annual coupon for the final interest
period) plus ($1,000 x share performance factor of the
worst performing underlying stock) = $50.00 + [$1,000 x (CHF64.40 / CHF92.00)] =$50.00 + $700 = $750.00
Example 3:	CHF10.40 ( below the downside threshold level)	CHF74.00 ( above the downside threshold level)	CHF82.00 ( above the downside threshold level)	= $49.50 + [$1,000 x (CHF10.40 / CHF26.00)] =$50.00 + $400 = $450.00
Example 4:	CHF28.00 ( above the downside threshold level)	CHF22.80 ( below the downside threshold level)	CHF36.80 ( below the downside threshold level)	= $50.00 + [$1,000 x (CHF22.80 / CHF76.00)] =$50.00 + $300 = $350.00
Example 5:	CHF13.00 ( below the downside threshold level)	CHF30.40 ( below the downside threshold level)	CHF18.40 ( below the downside threshold level)	= $50.00 + [$1,000 x (CHF18.40 / CHF92.00)] =$50.00 + $200 = $250.00

In example 1, the final share prices of the CSGN Stock, the ADEN Stock and NOVN Stock are all at or above their downside threshold levels. Therefore, although a lock-in event has not occurred on any of the weekly observation dates over the term of the securities, investors receive at maturity the stated principal amount of the securities and the annual coupon for the final interest period.

In examples 2 and 3, the final share prices of two underlying stocks are at or above their respective downside threshold levels, but the final share price of the other underlying stock is below its downside threshold level. Therefore, investors are exposed to the downside performance of the worst performing underlying stock at maturity and receive at maturity, in addition to the annual coupon for the final interest period, an amount based on the performance of the worst performing underlying stock.

Similarly, in example 4, the final share price of one underlying stock is greater than its respective downside threshold level, but the final share prices of the other two underlying stocks are below their respective downside threshold levels. Investors receive at maturity, in addition to the annual coupon for the final interest period, an amount based on the performance of the worst performing underlying stock. In example 4, the ADEN Stock has declined 70% from its initial share price to its final share price, while the NOVN Stock has declined 60% from its initial share price to its final price. Therefore, the payment at maturity is an amount based on the performance of ADEN Stock, which is the worst performing underlying stock in this example.

In example 5, the final share prices of the CSGN Stock, the ADEN Stock and the NOVN Stock are all below their downside threshold levels. In this example, the CSGN Stock has declined 50% from its initial share price to its final share price, the ADEN Stock has declined 60% from its initial share price to its final share price, and the NOVN Stock has declined 80% from its initial share price. Therefore, the payment at maturity is an amount based on the performance of NOVN Stock, which is the worst performing underlying stock in this example.

Field: Page; Sequence: 6

September 2015 Page 6

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

If a lock-in event has not occurred and the final share price of any underlying stock is less than its respective downside threshold level, you will be exposed to the downside performance of the worst performing underlying stock at maturity, and your payment at maturity will be significantly less than the stated principal amount and could be zero.

Field: Page; Sequence: 7

September 2015 Page 7

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Risk Factors

The following is a non-exhaustive list of certain key risk factors for investors in the securities. For further discussion of these and other risks, you should read the section entitled “Risk Factors” in the accompanying product supplement and prospectus. You should also consult your investment, legal, tax, accounting and other advisers in connection with your investment in the securities.

§ The securities do not guarantee the return of any principal. The terms of the securities differ from those of ordinary debt securities in that the securities do not guarantee the return of any of the principal amount at maturity. Instead, if a lock-in event has not occurred on any of the weekly observation dates over the term of the securities and the final share price of any underlying stock is less than its respective downside threshold level , you will be exposed to the decline in the closing price of the worst performing underlying stock, as compared to its initial share price, on a 1 to 1 basis, and you will receive for each security that you hold at maturity, in addition to the final annual coupon, an amount that is less than 80% of the stated principal amount of the securities based on the performance of the worst performing underlying stock. Under such circumstances, the payment at maturity will be significantly less than the stated principal amount of the securities and could be zero.

§ You are exposed to the price risk of each underlying stock. Your return on the securities is not linked to a basket consisting of the three underlying stocks. Rather, it will be contingent upon the independent performance of each underlying stock. Unlike an instrument with a return linked to a basket of underlying assets, in which risk is mitigated and diversified among all the components of the basket, you will be exposed to the risks related to each underlying stock. Poor performance by any underlying stock over the term of the securities may negatively affect your return and will not be offset or mitigated by any positive performance by the other underlying stocks. If, on any observation date, the determination closing price of any of the underlying stocks is less than its respective lock-in price, a lock-in event will not have occurred on such observation date. If a lock-in event has not occurred on any of the weekly observation dates over the term of the securities and the final share price of any underlying stock is less than its respective downside threshold level, you will be fully exposed to the decline in the worst performing underlying stock over the term of the securities on a 1 to 1 basis, even if the other underlying stocks have appreciated or have not declined as much. Accordingly, your investment is subject to the price risk of each underlying stock.

§ Investors will not participate in any appreciation in the price of any underlying stock. Investors will not participate in any appreciation in the price of any underlying stock from its respective initial share price, and the return on the securities will be limited to the annual coupon that is paid for each interest period until maturity.

§ The market price will be influenced by many unpredictable factors. Several factors will influence the value of the securities in the secondary market and the price at which MS & Co. may be willing to purchase or sell the securities in the secondary market. Although we expect that generally whether or not a lock-in event has occurred and the closing prices of the underlying stocks on any day, including in relation to the respective lock-in prices and downside threshold levels, will affect the value of the securities more than any other single factor, other factors that may influence the value of the securities include:

o whether the closing price of any underlying stock has declined near or below its respective downside threshold level,

o the trading price and volatility (frequency and magnitude of changes in value) of the underlying stocks,

o dividend rates on the underlying stocks,

o interest and yield rates in the market,

o time remaining until the securities mature,

o geopolitical conditions and economic, financial, political, regulatory or judicial events that affect the underlying stocks and which may affect the final share prices of the underlying stocks,

o the occurrence of certain events affecting the underlying stock that may or may not require an adjustment to the adjustment factor, and

o any actual or anticipated changes in our credit ratings or credit spreads.

The prices of the underlying stocks may be, and have recently been, volatile, and we can give you no assurance that the volatility will lessen. See “Credit Suisse Group AG Overview,” “Adecco S.A. Overview” and “Novartis AG Overview” below. You may receive less, and possibly significantly less, than the stated principal amount per security if you try to sell your securities prior to maturity.

Field: Page; Sequence: 8

September 2015 Page 8

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

§ The securities are subject to the credit risk of Morgan Stanley, and any actual or anticipated changes to its credit ratings or credit spreads may adversely affect the market value of the securities. You are dependent on Morgan Stanley’s ability to pay all amounts due on the securities on each coupon payment date, 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.

§ Investing in the securities is not equivalent to investing in the underlying stocks. Investors in the securities will not participate in any appreciation in the underlying stocks, and will not have voting rights or rights to receive dividends or other distributions or any other rights with respect to the underlying stocks.

§ No affiliation with the underlying stock issuers. The underlying stock issuers are not affiliates of ours, are not involved with this offering in any way, and have no obligation to consider your interests in taking any corporate actions that might affect the value of the securities. We have not made any due diligence inquiry with respect to the underlying stock issuers in connection with this offering.

§ We may engage in business with or involving the underlying stock issuers without regard to your interests. We or our affiliates may presently or from time to time engage in business with the underlying stock issuers without regard to your interests and thus may acquire non-public information about the underlying issuers. Neither we nor any of our affiliates undertakes to disclose any such information to you. In addition, we or our affiliates from time to time have published and in the future may publish research reports with respect to the underlying stock issuers, which may or may not recommend that investors buy or hold the underlying stocks.

§ The antidilution adjustments the calculation agent is required to make do not cover every corporate event that could affect the underlying stock. MS & Co., as calculation agent, will adjust the adjustment factors for certain corporate events affecting the underlying stocks, such as stock splits and stock dividends, and certain other corporate actions involving the issuers of the underlying stocks, such as mergers. However, the calculation agent will not make an adjustment for every corporate event that can affect the underlying stocks. For example, the calculation agent is not required to make any adjustments if the issuers of the underlying stocks or anyone else makes a partial tender or partial exchange offer for the underlying stocks, nor will adjustments be made following the valuation date. If an event occurs that does not require the calculation agent to adjust an adjustment factor, the market price of the securities may be materially and adversely affected.

§ The securities will not be listed on any securities exchange and secondary trading may be limited. The securities will not be listed on any securities exchange. Therefore, there may be little or no secondary market for the securities. MS & Co. may, but is not obligated to, make a market in the securities 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.

§ 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.

Field: Page; Sequence: 9

September 2015 Page 9

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

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 6 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 stock, 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 will be influenced by many unpredictable factors” above.

§ Hedging and trading activity by our subsidiaries could potentially adversely affect the value of the securities. One or more of our subsidiaries and/or third-party dealers have carried out, and will continue to carry out, hedging activities related to the securities (and to other instruments linked to the underlying stocks), including trading in the underlying stocks. 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 valuation date approaches. Some of our subsidiaries also trade the underlying stocks and other financial instruments related to the underlying stocks on a regular basis as part of their general broker-dealer and other businesses. Any of these hedging or trading activities on or prior to the pricing date could have increased the initial share price of an underlying stock, and, as a result, could have increased the lock-in price for such underlying stock, and the downside threshold level for such underlying stock, which, if a lock-in event does not occur, is the price at or above which such underlying stock must close on the valuation date so that investors are not exposed to the negative price performance of the worst performing underlying stock at maturity (depending also on the performance of the other underlying stocks). Additionally, such hedging or trading activities during the term of the securities could potentially affect the price of any underlying stock on any trading day, including on the observation dates and on the valuation date, which could affect the payment 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, MS & Co. has determined the initial share prices, the lock-in prices and the downside threshold levels, and will determine the determination closing prices of the underlying stocks on the observation dates, the final share prices, whether a lock-in event has occurred, whether a market disruption event has occurred, whether to make any adjustments to the adjustment factors and the payment that you will receive at maturity, if any. Moreover, certain determinations made by MS & Co., in its capacity as calculation agent, may require it to exercise discretion and make subjective judgments, such as with respect to the occurrence or nonoccurrence of market disruption events and certain adjustments to the adjustment factor. These potentially subjective determinations may affect the payout to you at maturity, if any. For further information regarding these types of determinations, see “Description of RevCons—Antidilution Adjustments,” —Alternate Exchange Calculation in Case of an Event of Default” and “—Calculation Agent and Calculations” in the accompanying product supplement. In addition, MS & Co. has determined the estimated value of the securities on the pricing date.

§ The U.S. federal income tax consequences of an investment in the securities are uncertain. There is no direct legal authority as to the proper treatment of the securities for U.S. federal income tax purposes, and, therefore, significant aspects of the tax treatment of the securities are uncertain.

Please read the discussion under “Additional Provisions―Tax considerations” in this document concerning the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security, under current law, as a unit consisting of (i) a Put Right (as defined below under “Additional Provisions―Tax considerations”) written by you to us that, if exercised, requires you to pay to us an amount equal to the Deposit (as defined below under “Additional Provisions―Tax considerations”), in exchange for the cash value of the underlying shares, and (ii) a Deposit with us of a fixed amount of cash to secure your obligation under the Put Right. Alternative U.S. federal income tax treatments of the

Field: Page; Sequence: 10

September 2015 Page 10

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

securities are possible, and if the Internal Revenue Service (the “IRS”) were successful in asserting such an alternative tax treatment for the securities the timing and the character of income on the securities might differ significantly from the tax treatment described herein. In addition, the tax consequences of the occurrence of a lock-in event are unclear, as discussed under “Additional Provisions―Tax considerations―Tax Consequences to U.S. Holders―Tax Treatment of the Securities―Lock-in Event.” 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.

Non-U.S. Holders should note that we currently do not intend to withhold on any payments made with respect to the securities to Non-U.S. Holders (subject to compliance by such holders with certification necessary to establish an exemption from withholding and to the discussion under “FATCA Legislation”). 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 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 U.S. federal income tax consequences of an investment in the securities, including possible alternative treatments, the issues presented by this notice and any tax consequences arising under the laws of any state, local or non-U.S. taxing jurisdiction.

Field: Page; Sequence: 11

September 2015 Page 11

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Credit Suisse Group AG Overview

Credit Suisse Group AG is a financial services provider headquartered in Switzerland. The CSGN Stock consists of shares of Credit Suisse Group AG, which are traded on the SIX Swiss Exchange (“SIX”) and are quoted in Swiss francs. Information provided to or filed with the Securities and Exchange Commission by Credit Suisse Group AG pursuant to the Securities Exchange Act of 1934, as amended (the “Exchange Act”), can be located by reference to the Securities and Exchange Commission file number 001-15244 through the Securities and Exchange Commission’s website at . www.sec.gov. In addition, information regarding Credit Suisse Group AG may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the CSGN Stock is accurate or complete.

Information as of market close on September 9, 2015:

Bloomberg Ticker Symbol:	CSGN
Exchange:	SIX
Current Stock Price:	CHF26.19
52 Weeks Ago:	CHF25.54
52 Week High (on 8/3/2015):	CHF28.70
52 Week Low (on 1/16/2015):	CHF18.75
Current Dividend Yield:	2.72%

The following table sets forth the published high and low closing prices of, as well as dividends on, the CSGN Stock for each quarter from January 1, 2012 through September 9, 2015. The closing price of the CSGN Stock on September 9, 2015 was CHF26.19. The associated graph shows the closing prices of the CSGN Stock for each day from January 1, 2010 through September 9, 2015. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the CSGN Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the CSGN Stock at any time, including on the observation dates and the valuation date.

| Shares
of Credit Suisse Group AG (ISIN CH0012138530) | High
(CHF) | Low
(CHF) | Dividends
(CHF) |
| --- | --- | --- | --- |
| 2012 | | | |
| First Quarter | 26.55 | 20.49 | — |
| Second Quarter | 25.31 | 16.19 | 0.732143 |
| Third Quarter | 21.33 | 15.63 | — |
| Fourth Quarter | 22.51 | 20.08 | — |
| 2013 | | | |
| First Quarter | 26.79 | 22.90 | — |
| Second Quarter | 29.25 | 23.77 | 0.097619 |
| Third Quarter | 28.99 | 25.04 | — |
| Fourth Quarter | 30.29 | 25.94 | — |
| 2014 | | | |
| First Quarter | 30.08 | 26.56 | — |
| Second Quarter | 29.45 | 25.28 | 0.70 |
| Third Quarter | 26.47 | 24.17 | — |
| Fourth Quarter | 26.67 | 23.77 | — |
| 2015 | | | |
| First Quarter | 26.18 | 18.75 | — |
| Second Quarter | 27.12 | 24.01 | 0.70 |
| Third Quarter (through September 9, 2015) | 28.70 | 24.84 | — |

We make no representation as to the amount of dividends, if any, that Credit Suisse Group AG may pay in the future. In any event, as an investor in the Worst of Fixed Coupon Lock-In RevCons, you will not be entitled to receive dividends, if any, that may be payable on the common shares of Credit Suisse Group AG

Field: Page; Sequence: 12

September 2015 Page 12

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Shares of Credit Suisse Group AG – Daily Closing Prices January 1, 2010 to September 9, 2015

The green solid line indicates the lock-in price of CHF26.976, which is approximately 103% of the initial share price, and the red solid line indicates the downside threshold level of CHF20.952, which is 80% of the initial share price.

This document relates only to the securities referenced hereby and does not relate to the CSGN Stock or other securities of Credit Suisse Group AG. We have derived all disclosures contained in this document regarding the shares of Credit Suisse Group AG from the publicly available documents described in the preceding paragraph. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Credit Suisse Group AG. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Credit Suisse Group AG is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of the CSGN Stock (and therefore the price of the CSGN Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Credit Suisse Group AG could affect the value received at maturity with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the CSGN Stock.

Field: Page; Sequence: 13

September 2015 Page 13

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Adecco S.A. Overview

Adecco S.A. is a human resources consulting company headquartered in Switzerland. The ADEN Stock consists of common shares of Adecco S.A., which are traded on SIX and are quoted in Swiss francs. Information provided to or filed with the Securities and Exchange Commission by Adecco S.A. pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-14996 through the Securities and Exchange Commission’s website at . www.sec.gov. In addition, information regarding Adecco S.A. may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the ADEN Stock is accurate or complete.

Information as of market close on September 9, 2015:

Bloomberg Ticker Symbol:	ADEN
Exchange:	SIX
Current Stock Price:	CHF76.20
52 Weeks Ago:	CHF69.45
52 Week High (on 8/5/2015):	CHF83.60
52 Week Low (on 10/15/2014):	CHF58.85
Current Dividend Yield:	2.78%

The following table sets forth the published high and low closing prices of, as well as dividends on, the ADEN Stock for each quarter from January 1, 2012 through September 9, 2015. The closing price of the ADEN Stock on September 9, 2015 was CHF76.20. The associated graph shows the closing prices of the ADEN Stock for each day from January 1, 2010 through September 9, 2015. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the ADEN Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the ADEN Stock at any time, including on the observation dates and the valuation date.

| Common
Shares of Adecco S.A. (ISIN CH0012138605) | High
(CHF) | Low
(CHF) | Dividends
(CHF) |
| --- | --- | --- | --- |
| 2012 | | | |
| First Quarter | 49.18 | 40.62 | – |
| Second Quarter | 47.78 | 36.33 | – |
| Third Quarter | 48.68 | 39.95 | – |
| Fourth Quarter | 49.14 | 44.00 | – |
| 2013 | | | |
| First Quarter | 55.40 | 49.05 | – |
| Second Quarter | 57.15 | 47.72 | 1.80 |
| Third Quarter | 64.40 | 54.10 | – |
| Fourth Quarter | 70.60 | 63.95 | – |
| 2014 | | | |
| First Quarter | 78.60 | 69.65 | – |
| Second Quarter | 77.00 | 69.45 | 2.00 |
| Third Quarter | 73.40 | 63.70 | – |
| Fourth Quarter | 69.85 | 58.85 | – |
| 2015 | | | |
| First Quarter | 82.45 | 59.35 | – |
| Second Quarter | 82.60 | 70.00 | 2.10 |
| Third Quarter (through September 9, 2015) | 83.60 | 72.50 | – |

We make no representation as to the amount of dividends, if any, that Adecco S.A. may pay in the future. In any event, as an investor in the Worst of Fixed Coupon Lock-In RevCons, you will not be entitled to receive dividends, if any, that may be payable on the common shares of Adecco S.A.

Field: Page; Sequence: 14

September 2015 Page 14

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Common Shares of Adecco S.A. – Daily Closing Prices January 1, 2010 to September 9, 2015

The green solid line indicates the lock-in price of CHF78.486, which is 103% of the initial share price, and the red solid line indicates the downside threshold level of CHF60.96, which is 80% of the initial share price.

This document relates only to the securities referenced hereby and does not relate to the ADEN Stock or other securities of Adecco S.A. We have derived all disclosures contained in this document regarding the common shares of Adecco S.A. from the publicly available documents described in the preceding paragraph. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Adecco S.A. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Adecco S.A. is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of the ADEN Stock (and therefore the price of the ADEN Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Adecco S.A. could affect the value received at maturity with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the ADEN Stock.

Field: Page; Sequence: 15

September 2015 Page 15

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Novartis AG Overview

Novartis AG is a pharmaceutical company headquartered in Switzerland. The NOVN Stock consists of ordinary shares of Novartis AG, which are traded on SIX and are quoted in Swiss francs. Information provided to or filed with the Securities and Exchange Commission by Novartis AG pursuant to the Exchange Act can be located by reference to the Securities and Exchange Commission file number 001-15024 through the Securities and Exchange Commission’s website at . www.sec.gov. In addition, information regarding Novartis AG may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly disseminated documents. Neither the issuer nor the agent makes any representation that such publicly available documents or any other publicly available information regarding the issuer of the NOVN Stock is accurate or complete.

Information as of market close on September 9, 2015:

Bloomberg Ticker Symbol:	NOVN
Exchange:	SIX
Current Stock Price:	CHF94.80
52 Weeks Ago:	CHF87.85
52 Week High (on 7/20/2015):	CHF102.30
52 Week Low (on 10/16/2014):	CHF80.00
Current Dividend Yield:	2.77%

The following table sets forth the published high and low closing prices of, as well as dividends on, the NOVN Stock for each quarter from January 1, 2012 through September 9, 2015. The closing price of the NOVN Stock on September 9, 2015 was CHF94.80. The associated graph shows the closing prices of the NOVN Stock for each day from January 1, 2010 through September 9, 2015. We obtained the information in the table and graph below from Bloomberg Financial Markets, without independent verification. The historical performance of the NOVN Stock should not be taken as an indication of its future performance, and no assurance can be given as to the price of the NOVN Stock at any time, including on the observation dates and the valuation date.

| Ordinary
Shares of Novartis AG (ISIN CH0012005267) | High
(CHF) | Low
(CHF) | Dividends
(CHF) |
| --- | --- | --- | --- |
| 2012 | | | |
| First Quarter | 54.70 | 49.00 | 2.25 |
| Second Quarter | 52.90 | 48.80 | – |
| Third Quarter | 58.75 | 53.35 | – |
| Fourth Quarter | 59.00 | 55.45 | – |
| 2013 | | | |
| First Quarter | 67.45 | 58.70 | 2.30 |
| Second Quarter | 73.65 | 63.25 | – |
| Third Quarter | 71.20 | 66.20 | – |
| Fourth Quarter | 72.75 | 66.60 | – |
| 2014 | | | |
| First Quarter | 75.30 | 70.65 | 2.45 |
| Second Quarter | 81.40 | 72.90 | – |
| Third Quarter | 90.15 | 76.95 | – |
| Fourth Quarter | 93.80 | 80.00 | – |
| 2015 | | | |
| First Quarter | 99.70 | 84.30 | 2.60 |
| Second Quarter | 101.40 | 92.00 | – |
| Third Quarter (through September 9, 2015) | 102.30 | 89.60 | – |

We make no representation as to the amount of dividends, if any, that Novartis AG may pay in the future. In any event, as an investor in the Worst of Fixed Coupon Lock-In RevCons, you will not be entitled to receive dividends, if any, that may be payable on the ordinary shares of Novartis AG.

Field: Page; Sequence: 16

September 2015 Page 16

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Ordinary Shares of Novartis AG– Daily Closing Prices January 1, 2010 to September 9, 2015

The green solid line indicates the lock-in price of CHF97.644, which is 103% of the initial share price, and the red solid line indicates the downside threshold level of CHF75.84, which is 80% of the initial share price.

This document relates only to the securities referenced hereby and does not relate to the NOVN Stock or other securities of Novartis AG. We have derived all disclosures contained in this document regarding the ordinary shares of Novartis AG from the publicly available documents described in the preceding paragraph. In connection with the offering of the securities, neither we nor the agent has participated in the preparation of such documents or made any due diligence inquiry with respect to Novartis AG. Neither we nor the agent makes any representation that such publicly available documents or any other publicly available information regarding Novartis AG is accurate or complete. Furthermore, we cannot give any assurance that all events occurring prior to the date hereof (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that would affect the trading price of the NOVN Stock (and therefore the price of the NOVN Stock at the time we priced the securities) have been publicly disclosed. Subsequent disclosure of any such events or the disclosure of or failure to disclose material future events concerning Novartis AG could affect the value received at maturity with respect to the securities and therefore the value of the securities.

Neither the issuer nor any of its affiliates makes any representation to you as to the performance of the NOVN Stock.

Field: Page; Sequence: 17

September 2015 Page 17

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Additional Information About the Securities

Please read this information in conjunction with the summary terms on the front cover of this document.

| Additional
Provisions: | |
| --- | --- |
| Day
count convention: | 30/360 |
| Interest
period: | Annual |
| Record
date: | The record date for each coupon payment date shall be the date one business day prior to such scheduled coupon payment date; provided, however, that any annual coupon payable at maturity shall be payable to the person to whom the payment at maturity shall be payable. |
| Trading
day: | The following replaces “trading day” in the accompanying
product supplement for reverse convertible securities in its entirety. With respect to any underlying stock, “trading day”
means a day on which trading is generally conducted on the SIX Swiss Exchange, as determined by the calculation agent. |
| Underlying
stock: | The accompanying product supplement refers to the underlying stock as the “underlying shares.” |
| Underlying
stock issuer: | With respect to the CSGN Stock, Credit Suisse Group AG. With respect to the ADEN Stock, Adecco S.A. With respect to the NOVN Stock, Novartis AG. The accompanying product supplement refers to the underlying stock
issuer as the “underlying company.” |
| Postponement
of coupon payment dates: | If any scheduled coupon payment date is not a business day, the annual coupon shall be paid on the next succeeding business day; provided that the annual coupon with respect to the final interest period shall be paid on the maturity date; provided further no adjustment shall be made to any annual coupon paid on that postponed date. |
| Postponement
of maturity date: | If the scheduled valuation date is not a trading day or if a market disruption event with respect to any underlying stock occurs on that day so that the valuation date for any underlying stock is postponed and falls less than two business days prior to the scheduled maturity date, the maturity date of the securities will be postponed to the second business day following that valuation date as postponed. |
| Antidilution
adjustments: | The following replaces in its entirety the portion of the section
entitled “Antidilution Adjustments” in the accompanying product supplement for reverse convertible securities from
the start of paragraph 5 to the end of such section. 5. If, with respect to one or more underlying stocks, (i) there
occurs any reclassification or change of such underlying stock, including, without limitation, as a result of the issuance of any
tracking stock by the underlying stock issuer for such underlying stock, (ii) such underlying stock issuer or any surviving entity
or subsequent surviving entity of such underlying stock issuer (the “successor corporation”) has been subject to a
merger, combination or consolidation and is not the surviving entity, (iii) any statutory exchange of securities of such underlying
stock issuer or any successor corporation with another corporation occurs (other than pursuant to clause (ii) above), (iv) such
underlying stock issuer is liquidated, (v) such underlying stock issuer issues to all of its shareholders equity securities of
an issuer other than such underlying stock issuer (other than in a transaction described in clause (ii), (iii) or (iv) above) (a
“spin-off event”) or (vi) a tender or exchange offer or going-private transaction is consummated for all the outstanding
shares of such underlying stock (any such event in clauses (i) through (vi), a “reorganization event”), the method
of determining the amount payable at maturity for each security will be as follows: · You will receive for each security that you hold a payment at maturity equal to: Ø If
either (a) the determination closing price of such underlying stock was greater than or equal to its respective lock-in price on
any of the weekly observation dates during the period from but excluding the pricing date to but excluding the effective date of
the reorganization event, and the determination closing prices (or exchange property values, as applicable) of the other underlying
stocks were both greater than or equal to their respective lock-in prices on the same observation date, or (b) the exchange property
value was greater than or equal to the respective lock-in price on any of the weekly observation dates
during the period from and including the effective date of the reorganization event to and including the valuation date, and the
determination closing prices (or exchange property values, as applicable) of the other underlying stocks were both greater than
or equal to their respective lock-in prices on the same observation date (each of (a) and (b) will constitute a lock-in
event): (i) the stated principal amount plus (ii) the annual coupon for the final interest period. Ø If
a lock-in event has not occurred, the exchange property value on the valuation date is greater than or equal to
the respective downside threshold level and the final share prices (or exchange property values, as applicable) of the other underlying
stocks on the valuation date are both greater than or equal to their respective downside threshold levels: (i) the stated principal
amount plus (ii) the annual coupon for the final interest period. Ø If
a lock-in event has not occurred, and either (a) the exchange property value on the valuation date is less than the respective
downside threshold level, or (b) the final share price (or exchange property value, as applicable) of any of the underlying stocks
on the valuation date is less than its |

Field: Page; Sequence: 18

September 2015 Page 18

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| | respective downside threshold level: the
annual coupon for the final interest period plus: Ø If the worst performing underlying stock has not undergone a reorganization event as described
in paragraph 5 above: (i) the stated principal amount multiplied by (ii) the share performance factor of the worst performing
underlying stock. Ø If the worst performing underlying stock has undergone a reorganization event as described
in paragraph 5 above: the per-share cash value, determined as of the valuation date, of the securities, cash or any other assets
distributed to holders of the worst performing underlying stock in or as a result of any such reorganization event, including (A)
in the case of the issuance of tracking stock, the reclassified share of such worst performing underlying stock, (B) in the case
of a spin-off event, the share of such worst performing underlying stock with respect to which the spun-off security was issued,
and (C) in the case of any other reorganization event where such worst performing underlying stock continues to be held by the
holders receiving such distribution, such worst performing underlying stock (collectively, the “exchange property”). If exchange property includes a cash component,
investors will not receive any interest accrued on such cash component. In the event exchange property consists of securities,
those securities will, in turn, be subject to the antidilution adjustments set forth in paragraphs 1 through 5. For purposes of determining whether or not the
exchange property value is less than the respective lock-in price or less than the respective downside threshold level, or for
determining the worst performing underlying stock, “exchange property value” means (x) for any cash received in any
reorganization event, the value, as determined by the calculation agent, as of the date of receipt, of such cash received for one
share of such underlying stock, as adjusted by the adjustment factor at the time of such reorganization event, (y) for any property
other than cash or securities received in any such reorganization event, the market value, as determined by the calculation agent
in its sole discretion, as of the date of receipt, of such exchange property received for one share of such underlying stock, as
adjusted by the adjustment factor at the time of such reorganization event and (z) for any security received in any such reorganization
event, an amount equal to the determination closing price, as of the day on which the exchange property value is determined, per
share of such security multiplied by the quantity of such security received for each share of such underlying stock, as adjusted
by the adjustment factor at the time of such reorganization event. For purposes of paragraph 5 above, in the case
of a consummated tender or exchange offer or going-private transaction involving consideration of particular types, exchange property
shall be deemed to include the amount of cash or other property delivered by the offeror in the tender or exchange offer (in an
amount determined on the basis of the rate of exchange in such tender or exchange offer or going-private transaction). In the event
of a tender or exchange offer or a going-private transaction with respect to exchange property in which an offeree may elect to
receive cash or other property, exchange property shall be deemed to include the kind and amount of cash and other property received
by offerees who elect to receive cash. Following the occurrence of any reorganization
event referred to in paragraph 5 above, all references in this offering document and in the related product supplement with respect
to the securities to such “underlying stock” shall be deemed to refer to the exchange property and references to a
“share” or “shares” of such underlying stock shall be deemed to refer to the applicable unit or units of
such exchange property, unless the context otherwise requires. No adjustment to the adjustment factor will
be required unless such adjustment would require a change of at least 0.1% in the adjustment factor then in effect. The adjustment
factor resulting from any of the adjustments specified above will be rounded to the nearest one hundred-thousandth, with five one-millionths
rounded upward. Adjustments to the adjustment factor will be made up to the close of business on the valuation date. No adjustments to the adjustment factor or method
of calculating the adjustment factor will be required other than those specified above. The adjustments specified above do not
cover all events that could affect the determination closing price or the final share price of an underlying stock, including,
without limitation, a partial tender or exchange offer for such underlying stock. The calculation agent shall be solely responsible
for the determination and calculation of any adjustments to an adjustment factor or method of calculating an adjustment factor
and of any related determinations and calculations with respect to any distributions of stock, other securities or other property
or assets (including cash) in connection with any corporate event described in paragraphs 1 through 5 above, and its determinations
and calculations with respect thereto shall be conclusive in the absence of manifest error. If any of the exchange property is
denominated in a currency other than the Swiss franc, the calculation agent, in determining the exchange property value, will determine
the value of such exchange property in Swiss francs, subject to any currency exchange costs. The calculation agent will provide information as to any adjustments
to an adjustment factor or to the method of calculating the amount payable at maturity of the securities made pursuant to paragraph
5 above upon written request by any investor in the securities. |
| --- | --- |
| Listing: | The securities will not be listed on any securities exchange. |

Field: Page; Sequence: 19

September 2015 Page 19

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| Minimum
ticketing size: | $1,000 / 1 security |
| --- | --- |
| Trustee: | The Bank of New York Mellon |
| Calculation
agent: | MS & Co. |

Tax considerations: Prospective investors should note that the discussion under the section called “United States Federal Taxation” in the accompanying product supplement does not apply to the securities issued under this document and is superseded by the following discussion. The following is a general discussion of the material U.S. federal income tax consequences and certain estate tax consequences of ownership and disposition of the securities. This discussion applies only to initial investors in the securities who: · purchase the securities at their “issue price,” which will equal the first price at which a substantial amount of the securities is sold to the public (not including bond houses, brokers, or similar persons or organizations acting in the capacity of underwriters, placement agents or wholesalers); and · 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; or · tax-exempt entities, including “individual retirement accounts” or “Roth IRAs” as defined in Section 408 or 408A of the Code, respectively. 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 alternative minimum tax consequences or 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 Due to the lack of any controlling legal authority, there is substantial uncertainty regarding the U.S. federal income tax consequences of an investment in the securities. We intend to treat a security, under current law, for U.S. federal income tax purposes, as a unit consisting of the following: (i) a put right (the “Put Right”) written by you to us that, if exercised, requires you to pay us an amount equal to the Deposit (as defined below) in exchange for the cash value of the underlying shares; and (ii) a deposit with us of a fixed amount of cash, equal to the issue price, to secure your obligation under the Put Right (the “Deposit”) that pays interest based on our cost of borrowing at the time of issuance (the “Yield on the Deposit”). Based on the treatment set forth above, a portion of the coupon on the securities will be treated as the Yield on the Deposit, and the remainder will be attributable to the premium on the Put Right (the “Put Premium”) as set forth below:

Field: Page; Sequence: 20

September 2015 Page 20

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Underlying Stock	Coupon Rate	Yield on the Deposit	Put Premium
Common Stock of Credit Suisse Group AG (CSGN), Adecco SA (ADEN) and Novartis AG (NOVN)	5.00% p.a.	1.5429% p.a.	3.4571% p.a.

We will allocate 100% of the issue price of the securities to the Deposit and none to the Put Right. Our allocation of the issue price between the Put Right and the Deposit will be binding on you, unless you timely and explicitly disclose to the Internal Revenue Service (the “IRS”) that your allocation is different from ours. This allocation is not, however, binding on the IRS or a court. No statutory, judicial or administrative authority directly addresses the treatment of the securities or instruments similar to the securities for U.S. federal income tax purposes, and no ruling is being requested from the IRS with respect to the securities. Significant aspects of the U.S. federal income tax consequences of an investment in the securities are uncertain, and no assurance can be given that the IRS or a court will agree with the treatment described herein. In the opinion of our counsel, Davis Polk & Wardwell LLP, the treatment of the securities described above is reasonable under current law; however, our counsel has advised us that it is unable to conclude affirmatively that this treatment is more likely than not to be upheld, and that alternative treatments are possible. Accordingly, you should consult your tax adviser regarding the U.S. federal income tax consequences of an investment in the securities (including alternative treatments of the securities). Unless otherwise stated, the following discussion is based on the treatment and the allocation 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, 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 and allocation of the issue price as set forth above are respected, and subject to the discussion below under “Lock-in Event,” the following U.S. federal income tax consequences should result. Coupon Payments on the Securities. Under the characterization described above under “—General,” only a portion of the coupon payments on the securities will be attributable to the Yield on the Deposit. The remainder of the coupon payments will represent payments attributable to the Put Premium. To the extent attributable to the Yield on the Deposit, coupon payments on the securities will generally be taxable to a U.S. Holder as ordinary interest income at the time accrued or received in accordance with the U.S. Holder’s method of accounting for U.S. federal income tax purposes. The Put Premium will not be taxable to a U.S. Holder upon receipt but will be accounted for as described below. Tax Basis. Based on our determination set forth above, the U.S. Holder’s initial tax basis in the Deposit will be 100% of the issue price. The determination of gain or loss with respect to the Put Right is described below. Receipt of Stated Principal Amount upon Settlement of the Securities. If, upon settlement of a security, a U.S. Holder receives the stated principal amount of the security (excluding coupon payments on the security, which would be taxed as described above under “—Coupon Payments on the Securities”), the Put Right will be deemed to have expired unexercised. In such case, the U.S. Holder will not recognize any gain upon the return of the Deposit, but will recognize the total amount of Put Premium received by the U.S. Holder over the term of the securities (including Put Premium received upon settlement) as short-term capital gain at such time.

Field: Page; Sequence: 21

September 2015 Page 21

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

Receipt of Amount Equal to the Value of Underlying Shares Upon Maturity of the Securities. If, at maturity, a U.S. Holder receives an amount of cash (excluding coupon payments on the securities, which would be taxed as described above under “—Coupon Payments on the Securities”) that is less than the stated principal amount of the securities, the Put Right will be deemed to have been exercised and the U.S. Holder will be deemed to have applied the Deposit toward the settlement of the Put Right. In such case, a U.S. Holder will not recognize any gain or loss in respect of the Deposit, but will recognize short-term capital gain or loss in an amount equal to the difference between (i) the amount received by the U.S. Holder at maturity (excluding amounts attributable to coupon payments on the securities), plus the total Put Premium received by the U.S. Holder over the term of the securities (including the Put Premium received at maturity) and (ii) the Deposit. Sale or Exchange of the Securities Prior to Settlement. Upon the sale or exchange of a security, a U.S. Holder will generally recognize long-term capital gain or loss with respect to the Deposit if the U.S. Holder has held the securities for more than one year at the time of such sale or exchange and short-term capital gain or loss otherwise. The U.S. Holder will also generally recognize short-term capital gain or loss with respect to the Put Right. For the purpose of determining such gain or loss, a U.S. Holder should apportion the amount realized on the sale or exchange of a security (excluding any amount attributable to accrued but unpaid Yield on the Deposit, which would be taxed as described under “—Coupon Payments on the Securities”) between the Deposit and the Put Right based on their respective values on the date of such sale or exchange. The amount of capital gain or loss on the Deposit will equal the amount realized that is attributable to the Deposit, less the U.S. Holder’s adjusted tax basis in the Deposit. The amount realized that is attributable to the Put Right, together with the total Put Premium received by the U.S. Holder over the term of the security, will be treated as short-term capital gain. If the value of the Deposit on the date of such sale or exchange exceeds the total amount realized on the sale or exchange of the security, the U.S. Holder will be treated as having (i) sold or exchanged the Deposit for an amount equal to its value on that date and (ii) made a payment (the “Put Right Assumption Payment”) to the purchaser of the security equal to the amount of such excess, in exchange for the purchaser’s assumption of the U.S. Holder’s rights and obligations under the Put Right. In such a case, the U.S. Holder will recognize short-term capital gain or loss in respect of the Put Right in an amount equal to the total Put Premium received by the U.S. Holder over the term of the security, less the amount of the Put Right Assumption Payment deemed to be made by the U.S. Holder. Lock-in Event. Notwithstanding the foregoing, the occurrence of a lock-in event could affect the tax treatment of the Put Right. Although the tax consequences of a lock-in event are unclear, it is likely that a U.S. Holder will be required to recognize any Put Premium previously received as short-term capital gain upon the occurrence of a lock-in event. The treatment of any Put Premium not yet received is uncertain. For example, it is possible that a U.S. Holder may be required to recognize such Put Premium as short-term capital gain at the time it is received during the remaining term of the securities. Alternatively, a U.S. Holder may be required to recognize the present value of such remaining Put Premium at the time of the lock-in event as short-term capital gain and then treat the difference between the amount of the remaining Put Premium and such present value as ordinary income that would be recognized at the time received or accrued depending on the U.S. Holder's method of tax accounting. You should consult your tax adviser regarding the tax consequences of the occurrence of a lock-in event. Possible Alternative Tax Treatments of an Investment in the Securities Due to the absence of authorities that directly address the proper characterization 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 or the Deposit as a debt instrument subject to Treasury regulations governing contingent payment debt instruments (the “Contingent Debt Regulations”). If the IRS were successful in asserting that the Contingent Debt Regulations applied to the securities or to the Deposit, the timing and character of income thereon would be significantly affected. Among other things, a U.S. Holder would be required to accrue interest income as original issue discount, subject to adjustments, at a “comparable yield” based on our cost of borrowing. Furthermore, if the securities or Deposit were treated as contingent payment debt instruments, any gain realized with respect to the securities or the Deposit would generally be treated 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. Even if the Contingent Debt Regulations do not apply to the securities, other alternative U.S. federal income tax characterizations or treatments of the securities are also possible, which if applied could significantly affect the timing and character of the income or loss with respect to the securities. It is possible, for example, that a security could be treated as constituting an “open transaction” with the result that the coupon payments on the securities might not be accounted for separately as giving rise to income to U.S. Holders until the sale, exchange or retirement of the securities. Alternatively, the entire coupon on the securities could be required to be included in income by a U.S. Holder at the time received or accrued. Other alternative characterizations are also possible. Accordingly, prospective purchasers should consult their tax advisers regarding the U.S. federal income tax consequences of an investment in the securities.

Field: Page; Sequence: 22

September 2015 Page 22

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

In 2007, the U.S. Treasury Department and the IRS released a notice requesting comments on the U.S. federal income tax treatment of “prepaid forward contracts” and similar instruments. While it is not clear whether the securities would be viewed as similar to the prepaid forward contracts described in the notice, it is possible that any Treasury regulations or other guidance promulgated after consideration of these issues could materially and adversely affect the tax consequences of an investment in the securities, possibly with retroactive effect. The notice focuses on a number of issues, the most relevant of which for U.S. Holders of the securities is the character and timing of income or loss realized with respect to these instruments (including whether the Put Premium might be required to be included currently as ordinary income). 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 applicable requirements of the backup withholding rules. The amounts withheld under the backup withholding rules are not an additional tax and may be refunded, or credited against the U.S. Holder’s U.S. federal income tax liability, provided that the required information is timely furnished to the IRS. In addition, information returns will 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 trust or estate. 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. General Assuming the treatment of the securities as set forth above is respected and subject to the discussion below regarding FATCA, payments with respect to a security, and gain realized on the sale, exchange or other disposition of such security, should not be subject to U.S. federal income or withholding tax under current law, 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; • 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 fulfilled with respect to the beneficial owner. Certification Requirement. The certification requirement referred to in the preceding paragraph will be fulfilled 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. Possible Alternative Tax Treatments of an Investment in the Securities

Field: Page; Sequence: 23

September 2015 Page 23

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| | As described above under “—Tax
Consequences to U.S. Holders—Possible Alternative Tax Treatments of an Investment in the Securities,” the IRS may seek
to apply a different characterization and tax treatment from the treatment described herein. While the U.S. federal income and
withholding tax consequences to a Non-U.S. Holder of ownership and disposition of a security under current law should generally
be the same as those described immediately above under current law, it is possible that a Non-U.S. Holder could be subject to withholding
tax under certain recharacterizations of the securities. However, among the issues addressed in the
IRS notice described in “Additional Provisions―Tax considerations—Tax Consequences to U.S. Holders—”
is the degree, if any, to which income realized by Non-U.S. Holders should be subject to 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 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 the notice discussed above. Prospective investors should note that we currently do not intend
to withhold on any of the payments made with respect to the securities to Non-U.S. Holders (subject to compliance by such holders
with the certification requirement described above and to 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. 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 Information returns may be filed with the
IRS in connection with payments on the securities as well as in connection with the 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 under “—General—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 (“FDAP income”). Withholding (if applicable)
applies to payments of U.S.-source FDAP income and, for dispositions after December 31, 2016, to payments of gross proceeds of
the disposition (including upon retirement) of certain financial instruments treated as providing for U.S.-source interest or dividends.
While the treatment of the securities is unclear, you should assume that any coupon payment on the securities will be treated in
whole or in part as subject to the FATCA rules. It is also possible in light of this uncertainty that an applicable withholding
agent will treat gross proceeds of a disposition (including upon retirement) of the securities after 2016 as being subject to the
FATCA rules. 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 under “Additional
Provisions―Tax considerations,” insofar as it purports to describe provisions of U.S. federal income tax laws or legal
conclusions with respect thereto, constitutes the full opinion of Davis Polk & Wardwell LLP regarding the material U.S. federal
income tax consequences of an investment in the securities. |
| --- | --- |
| 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 |

Field: Page; Sequence: 24

September 2015 Page 24

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| | commissions. The costs of the securities borne by you and described
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 hedged our anticipated exposure
in connection with the securities by entering into hedging transactions with our subsidiaries and/or third party dealers. We expect
our hedging counterparties to have taken positions in the underlying stocks and in futures or options contracts on the underlying
stocks. Such purchase activity could have increased the initial share price of an underlying stock, and, as a result, could have
increased the lock-in price for such underlying stock, and the downside threshold level for such underlying stock, which, if a
lock-in event does not occur, is the price at or above which such underlying stock must on the valuation date so that investors
are not exposed to the negative price performance of the worst performing underlying stock at maturity (depending also on the performance
of the other underlying stocks). In addition, through our subsidiaries, we are likely to modify our hedge position throughout the
life of the securities, including on the observation dates and on the valuation date, by purchasing and selling the underlying
stocks, options contracts relating to the underlying stocks or any other available securities or instruments that we may wish to
use in connection with such hedging activities. 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 valuation date approaches. We cannot give any assurance that our hedging activities will not affect the value of any underlying
stock, and, therefore, adversely affect the value of the securities or the payment you will receive at maturity, if any. |
| --- | --- |
| 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”) (a “Plan”),
should consider the fiduciary standards of ERISA in the context of the Plan’s particular circumstances before authorizing
an investment in the securities. Accordingly, among other factors, the fiduciary should consider whether the investment would satisfy
the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the
Plan. In addition, we and certain of our subsidiaries and
affiliates, including MS & Co., may each be considered a “party in interest” within the meaning of ERISA, or a
“disqualified person” within the meaning of the Internal Revenue Code of 1986, as amended (the “Code”),
with respect to many Plans, as well as many individual retirement accounts and Keogh plans (also “Plans”). ERISA Section
406 and Code Section 4975 generally prohibit transactions between Plans and parties in interest or disqualified persons. Prohibited
transactions within the meaning of ERISA or the Code would likely arise, for example, if the securities are acquired by or with
the assets of a Plan with respect to which MS & Co. or any of its affiliates is a service provider or other party in interest,
unless the securities are acquired pursuant to an exemption from the “prohibited transaction” rules. A violation of
these “prohibited transaction” rules could result in an excise tax or other liabilities under ERISA and/or Section
4975 of the Code for such persons, unless exemptive relief is available under an applicable statutory or administrative exemption. The U.S. Department of Labor has issued five prohibited
transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions
resulting from the purchase or holding of the securities. Those class exemptions are PTCE 96-23 (for certain transactions determined
by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for
certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company
separate accounts) and PTCE 84-14 (for certain transactions determined by independent qualified professional asset managers). In
addition, ERISA Section 408(b)(17) and Code Section 4975(d)(20) may provide an exemption for the purchase and sale of securities
and the related lending transactions, provided that neither the issuer of the securities nor any of its affiliates has or exercises
any discretionary authority or control or renders any investment advice with respect to the assets of the Plan involved in the
transaction and provided further that the Plan pays no more, and receives no less, than “adequate consideration” in
connection with the transaction (the so-called “service provider” exemption). There can be no assurance that any of
these class or statutory exemptions will be available with respect to transactions involving the securities. Because we may be considered a party in interest with
respect to many Plans, the securities may not be purchased, held or disposed of by any Plan, any entity whose underlying assets
include “plan assets” by reason of any Plan’s investment in the entity (a “Plan Asset Entity”) or
any person investing “plan assets” of any Plan, unless such purchase, holding or disposition is eligible for exemptive
relief, including relief available under PTCEs 96-23, 95-60, 91-38, 90-1, 84-14 or the service provider exemption or such purchase,
holding or disposition is otherwise not prohibited. Any purchaser, including any fiduciary purchasing on behalf of a Plan, transferee
or holder of the securities will be deemed to have represented, in its corporate and its fiduciary capacity, by its purchase and
holding of the securities that either (a) it is not a Plan or a Plan Asset Entity and is not purchasing such securities on behalf
of or with “plan assets” of any Plan or with any assets of a governmental, non-U.S. or church plan that is subject
to any federal, state, local or non-U.S. law that is substantially similar to the provisions of Section 406 of ERISA or Section
4975 of the Code (“Similar Law”) or (b) its purchase, holding and disposition are eligible for exemptive relief or
such purchase, holding and disposition are not prohibited by ERISA or Section 4975 of the Code or any Similar Law. Due to the complexity of these rules and the penalties
that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that fiduciaries
or other persons considering purchasing the securities on behalf of or with “plan assets” of any Plan consult with
their counsel regarding |

Field: Page; Sequence: 25

September 2015 Page 25

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| | the availability of exemptive relief. The securities are contractual financial instruments.
The financial exposure provided by the securities is not a substitute or proxy for, and is not intended as a substitute or proxy
for, individualized investment management or advice for the benefit of any purchaser or holder of the securities. The securities
have not been designed and will not be administered in a manner intended to reflect the individualized needs and objectives of
any purchaser or holder of the securities. Each purchaser or holder of any securities acknowledges
and agrees that: (i) the purchaser or holder
or its fiduciary has made and shall make all investment decisions for the purchaser or holder and the purchaser or holder has not
relied and shall not rely in any way upon us or our affiliates to act as a fiduciary or adviser of the purchaser or holder with
respect to (A) the design and terms of the securities, (B) the purchaser or holder’s investment in the securities, or (C)
the exercise of or failure to exercise any rights we have under or with respect to the securities; (ii) we and our affiliates
have acted and will act solely for our own account in connection with (A) all transactions relating to the securities and (B) all
hedging transactions in connection with our obligations under the securities; (iii) any and all assets and
positions relating to hedging transactions by us or our affiliates are assets and positions of those entities and are not assets
and positions held for the benefit of the purchaser or holder; (iv) our interests are adverse
to the interests of the purchaser or holder; and (v) neither we nor any of our
affiliates is a fiduciary or adviser of the purchaser or holder in connection with any such assets, positions or transactions,
and any information that we or any of our affiliates may provide is not intended to be impartial investment advice. Each purchaser and holder of the securities has exclusive
responsibility for ensuring that its purchase, holding and disposition of the securities do not violate the prohibited transaction
rules of ERISA or the Code or any Similar Law. The sale of any securities to any Plan or plan subject to Similar Law is in no respect
a representation by us or any of our affiliates or representatives that such an investment meets all relevant legal requirements
with respect to investments by plans generally or any particular plan, or that such an investment is appropriate for plans generally
or any particular plan. However, individual retirement accounts, individual retirement
annuities and Keogh plans, as well as employee benefit plans that permit participants to direct the investment of their accounts,
will not be permitted to purchase or hold the securities if the account, plan or annuity is for the benefit of an employee of Morgan
Stanley or 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. |
| --- | --- |
| Additional considerations: | 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. |
| Supplemental information regarding plan of distribution; conflicts of interest: | The agent may distribute the securities through Morgan
Stanley Smith Barney LLC (“Morgan Stanley Wealth Management”), as selected dealer, or other dealers, which may include
Morgan Stanley & Co. International plc (“MSIP”) and Bank Morgan Stanley AG. Morgan Stanley Wealth Management, MSIP
and Bank Morgan Stanley AG are affiliates of Morgan Stanley. Selected dealers, which may include our affiliates, and their financial
advisors will collectively receive from the agent a fixed sales commission of $10 for each security they sell. 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. 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 “Plan of
Distribution (Conflicts of Interest)” and “Use of Proceeds and Hedging” in the accompanying product supplement. |
| Validity of the securities: | In the opinion of
Davis Polk & Wardwell LLP, as special counsel to Morgan Stanley, when the securities offered by this pricing
supplement have been executed and issued by Morgan Stanley, authenticated by the trustee pursuant to the Senior Debt
Indenture and delivered against payment as contemplated herein, such securities will be valid and binding obligations of
Morgan Stanley, enforceable in accordance with their terms, subject to applicable bankruptcy, insolvency and similar laws
affecting creditors’ rights generally, concepts of reasonableness and equitable principles of general applicability
(including, without limitation, concepts of good faith, fair dealing and the lack of bad faith), provided that such
counsel expresses no opinion as to the effect of fraudulent conveyance, fraudulent transfer or similar provision of
applicable law on the conclusions expressed above. This opinion is given as of the date hereof and is limited to the
laws |

Field: Page; Sequence: 26

September 2015 Page 26

Worst of Fixed Coupon Lock-In RevCons SM due September 18, 2017

Payments on the RevCons Based on the Worst Performing of the Shares of Credit Suisse Group AG, the Common Shares of Adecco S.A. and the Ordinary Shares of Novartis AG Principal at Risk Securities

Field: /Page

| | of the State of New
York and the General Corporation Law of the State of Delaware. In addition, this opinion is subject to customary
assumptions about the trustee’s authorization, execution and delivery of the Senior Debt Indenture and its
authentication of the securities and the validity, binding nature and enforceability of the Senior Debt Indenture with
respect to the trustee, all as stated in the letter of such counsel dated November 19, 2014, which is Exhibit 5-a to the
Registration Statement on Form S-3 filed by Morgan Stanley on November 19, 2014. |
| --- | --- |
| Contact: | Morgan Stanley Wealth Management clients may contact their local Morgan Stanley branch office or our principal executive offices at 1585 Broadway, New York, New York 10036 (telephone number (866) 477-4776). All other clients may contact their local brokerage representative. Third-party distributors may contact Morgan Stanley Structured Investment Sales at (800) 233-1087. |
| Where you can find more information: | Morgan Stanley has filed a registration statement (including a
prospectus, as supplemented by the product supplement for reverse convertible securities) with the Securities and Exchange Commission,
or SEC, for the offering to which this communication relates. Before you invest, you should read the prospectus in that registration
statement, the product supplement for reverse convertible securities and any other documents relating to this offering that Morgan
Stanley has filed with the SEC for more complete information about Morgan Stanley and this offering. You may get these documents
without cost by visiting EDGAR on the SEC web site at www.sec.gov. Alternatively, Morgan Stanley, any underwriter or any dealer
participating in the offering will arrange to send you the prospectus and the product supplement for reverse convertible securities
if you so request by calling toll-free 1-(800)-584-6837. You may access these documents on the SEC web site at . www.sec.gov
as follows: Product
Supplement for Reverse Convertible Securities dated November 19, 2014 Prospectus
dated November 19, 2014 Terms used but not defined in this document are defined
in the product supplement for reverse convertible securities or in the prospectus. As used in this document, the “Company,”
“we,” “us” and “our” refer to Morgan Stanley. |

Field: Page; Sequence: 27; Options: Last

September 2015 Page 27

Field: /Page

AI assistant

MORGAN STANLEY Regulatory Filings 2015

29766_prs_2015-09-11_51237dc3-1c86-415a-bbb7-ab625c3c15fb.zip

AI assistant

MORGAN STANLEY — Regulatory Filings 2015

29766_prs_2015-09-11_51237dc3-1c86-415a-bbb7-ab625c3c15fb.zip

More from MORGAN STANLEY

MORGAN STANLEY Regulatory Filings 2015