Obligation Morgan Stanleigh 9% ( US61760QAN43 ) en USD

Morgan Stanleigh

98.25 % ▲

Etas-Unis

US61760QAN43 ( en USD )

9% par an ( paiement semestriel )

30/03/2032

Prospectus brochure de l'obligation Morgan Stanley US61760QAN43 en USD 9%, échéance 30/03/2032

1 000 USD

1 000 000 USD

61760QAN4

30/03/2026 ( Dans 108 jours )

Morgan Stanley est une firme mondiale de services financiers offrant des services de banque d'investissement, de gestion de patrimoine et de courtage à une clientèle institutionnelle et privée.

Morgan Stanley a émis une obligation (US61760QAN43, CUSIP 61760QAN4) de 1 000 000 USD, échéant le 30/03/2032, avec un coupon de 9%, négociée actuellement à 79,565% de sa valeur nominale en USD, par lots minimum de 1 000 USD et avec des paiements semestriels, non notée par Moody's et S&P.

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...
424B2 1 dp29239_424b2-ps111.htm FORM 424B2
CALCULATION OF REGISTRATION FEE

Maximum Aggregate

Amount of Registration
Title of Each Class of Securities Offered
Offering Price
Fee
Senior Fixed to Floating Rate Notes due

$1,000,000

$114.60
2032

March 2012

Pricing Supplement No. 111
Registration Statement No. 333-178081
Dated March 7, 2012
Filed pursuant to Rule 424(b)(2)
INTEREST RATE STRUCTURED INVESTMENTS

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

As further described below, interest wil accrue monthly on the notes at a rate of (i) Years 1 to 2: 9.00% per annum and (ii) Years 3 to maturity: 9.00% per annum for
each day that (A) the 30-Year Constant Maturity Swap Rate ("30CMS") is greater than or equal to the 2-Year Constant Maturity Swap Rate ("2CMS") and (B) the
closing level of the S&P 500® Index is greater than or equal to 950. The notes provide investors with the opportunity to earn interest at a higher rate in exchange for
taking the risk of receiving no interest during the floating interest rate period with respect to any day on which long-term interest rates, as measured by 30CMS, are
less than short-term interest rates, as measured by 2CMS, or on which the underlying equity index level is below the index reference level. All payments on the
notes, including the repayment of principal, are subject to the credit risk of Morgan Stanley.
FINAL TERMS
Issuer:
Morgan Stanley
Aggregate principal amount:
$1,000,000. May be increased prior to the original issue date but we are not required to do so.
Issue price:
At variable prices
Stated principal amount:
$1,000 per note
Pricing date:
March 7, 2012
Original issue date:
March 30, 2012 (17 business days after the pricing date)
Maturity date:
March 30, 2032
Interest accrual date:
March 30, 2012
Payment at maturity:
The payment at maturity per note wil be the stated principal amount plus accrued and unpaid interest, if any.
Interest:
From and including the original issue date to but excluding March 30, 2014: 9.00%
From and including March 30, 2014 to but excluding the maturity date (the "floating interest rate period"):
(x) 9.00% per annum times (y) N/ACT; where
"N" = the total number of calendar days in the applicable interest payment period on which (i) the level of the CMS
reference index is greater than or equal to the CMS reference index strike and (ii) the index closing value is greater than
or equal to the index reference level (each such day, an "accrual day"); and
"ACT" = the total number of calendar days in the applicable interest payment period.
If on any calendar day in the floating interest rate period the level of the CMS reference index is less than the CMS
reference index strike or the index closing value is less than the index reference level, interest will accrue at a rate of
0.00% per annum for that day.
Interest payment period:
Monthly
Interest payment period end dates:
Unadjusted
Interest payment dates:
The 30th day of each month (or, in the case of February, the last calendar day of such month), beginning April 30, 2012;
provided that if any such day is not a business day, that interest payment wil be made on the next succeeding business
day and no adjustment wil be made to any interest payment made on that succeeding business day.
Day-count convention:
Actual/Actual
Early redemption:
Not applicable
CMS reference index:
30-Year Constant Maturity Swap Rate minus 2-Year Constant Maturity Swap Rate, expressed as a percentage. Please
see "Additional Provisions--CMS Reference Index" below.
CMS reference index strike:
0.00%
CMS reference index cutoff:
Floating interest rate period: The level of the CMS reference index for any day from and including the third U.S.
government securities business day prior to the related interest payment date for any interest payment period shal be the
level of the CMS reference index on such third U.S. government securities business day prior to such interest payment
date.
Index:
The S&P 500® Index
Index closing value:
The daily closing value of the index. Please see "Additional Provisions--The S&P 500® Index" below.
Index reference level:
950
Index cutoff:
Floating interest rate period: The index closing value for any day from and including the third index business day prior to
the related interest payment date for any interest payment period shall be the index closing value on such third index
business day prior to such interest payment date.
Specified currency:
U.S. dollars
1 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...
CUSIP / ISIN:
61760QAN4 / US61760QAN43
Book-entry or certificated note:
Book-entry
Business day:
New York
Agent:
Morgan Stanley & Co. LLC ("MS & Co."), a whol y owned subsidiary of Morgan Stanley. See "Supplemental Information
Concerning Plan of Distribution; Conflicts of Interest."
Calculation agent:
Morgan Stanley Capital Services LLC
Trustee: The Bank of New York Mellon
Commissions and Issue Price:
Price to Public(1)(2)
Agent's Commission(2)
Proceeds to Issuer
Per Note
At variable prices
$40
$960
Total
At variable prices
$40,000
$960,000
(1) The notes will be offered from time to time in one or more negotiated transactions at varying prices to be determined at the time of each sale, which may
be at market prices prevailing, at prices related to such prevailing prices or at negotiated prices; provided, however, that such price will not be less than
$970 per note and will not be more than $1,000 per note. See "Risk Factors--The price you pay for the notes may be higher than the prices paid by other
investors."
(2) Morgan Stanley or one of our affiliates will pay varying discounts and commissions to dealers, including Morgan Stanley Smith Barney LLC (an affiliate of
the agent) and their financial advisors, of up to $40 per note depending on market conditions. See "Supplemental Information Concerning Plan of
Distribution; Conflicts of Interest." For additional information, see "Plan of Distribution (Conflicts of Interest)" in the accompanying prospectus supplement.

The notes involve risks not associated with an investment in ordinary debt securities. See "Risk Factors" beginning on page 8.

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

You should read this document together with the related prospectus supplement, index supplement and prospectus,
each of which can be accessed via the hyperlinks below.

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

The notes 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.

2 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

The notes are debt securities of Morgan Stanley. Interest on the notes during the floating interest rate period wil accrue for
each day that 30CMS is greater than or equal to 2CMS and the closing level of the S&P 500® Index is greater than or equal to
950. We describe the basic features of these notes in the sections of the accompanying prospectus cal ed "Description of Debt
Securities--Floating Rate Debt Securities" and prospectus supplement cal ed "Description of Notes," subject to and as modified
by the provisions described below. All payments on the notes are subject to the credit risk of Morgan Stanley.

The stated principal amount of each note is $1,000, and the issue price is variable. The issue price of the notes includes the
agent's commissions paid with respect to the notes as wel as the cost of hedging our obligations under the notes. The cost of
hedging includes the projected profit that our subsidiaries may realize in consideration for assuming the risks inherent in
managing the hedging transactions. This cost of hedging could be significant due to the term of the notes and the tailored
exposure provided by the notes. The secondary market price, if any, at which MS & Co. is willing to purchase the notes, is
expected to be affected adversely by the inclusion of these commissions and hedging costs in the issue price. In addition, the
secondary market price may be lower due to the costs of unwinding the related hedging transactions at the time of the
secondary market transaction. See "Risk Factors--Market Risk--The inclusion of commissions and projected profit from
hedging in the original issue price is likely to adversely affect secondary market prices."

CMS Reference Index

What are the 30-Year and 2-Year Constant Maturity Swap Rates?

The 30-Year Constant Maturity Swap Rate (which we refer to as "30CMS") is, on any day, the fixed rate of interest payable on
an interest rate swap with a 30-year maturity as reported on Reuters Page ISDAFIX1 or any successor page thereto at 11:00
a.m. New York City time on that day; provided that for the determination of 30CMS on any calendar day, the "interest
determination date" shal be that calendar day unless that calendar day is not a U.S. government securities business day, in
which case the 30CMS level shall be the 30CMS level on the immediately preceding U.S. government securities business
day. This rate is one of the market-accepted indicators of longer-term interest rates.

The 2-Year Constant Maturity Swap Rate (which we refer to as "2CMS") is, on any day, the fixed rate of interest payable on an
interest rate swap with a 2-year maturity as reported on Reuters Page ISDAFIX1 or any successor page thereto at 11:00 a.m.
New York City time on that day; provided that for the determination of 2CMS on any calendar day, the "interest determination
date" shall be that calendar day unless that calendar day is not a U.S. government securities business day, in which case the
2CMS level shall be the 2CMS level on the immediately preceding U.S. government securities business day. This rate is one of
the market-accepted indicators of shorter-term interest rates.

An interest rate swap rate, at any given time, general y indicates the fixed rate of interest (paid semi-annual y) that a
counterparty in the swaps market would have to pay for a given maturity, in order to receive a floating rate (paid quarterly) equal
to 3-month LIBOR for that same maturity.

The level of the CMS reference index for any day from and including the third U.S. government securities business day prior to
the related interest payment date for any interest payment period shall be the level of the CMS reference index in effect on such
third U.S. government securities business day prior to such interest payment date.

U.S. Government Securities Business Day

U.S. government securities business day means any day except for a Saturday, Sunday or a day on which The Securities
Industry and Financial Markets Association recommends that the fixed income departments of its members be closed for the
3 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...
entire day for purposes of trading in U.S. government securities.

March 2012
Page 2

4 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

CMS Rate Fallback Provisions

If 30CMS or 2CMS is not displayed by 11:00 a.m. New York City time on the Reuters Screen ISDAFIX1 Page on any day on
which the level of the CMS reference index must be determined, any such affected rate for such day will be determined on the
basis of the mid-market semi-annual swap rate quotations to the calculation agent provided by five leading swap dealers in the
New York City interbank market (the "Reference Banks") at approximately 11:00 a.m., New York City time, on such day, and,
for this purpose, the mid-market semi-annual swap rate means the mean of the bid and offered rates for the semi-annual fixed
leg, calculated on a 30/360 day count basis, of a fixed-for-floating U.S. Dol ar interest rate swap transaction with a term equal
to the applicable 30 year or 2 year maturity commencing on such day and in a representative amount with an acknowledged
dealer of good credit in the swap market, where the floating leg, calculated on an actual/360 day count basis, is equivalent to
USD-LIBOR-BBA with a designated maturity of three months. The calculation agent wil request the principal New York City
office of each of the Reference Banks to provide a quotation of its rate. If at least three quotations are provided, the rate for
that day will be the arithmetic mean of the quotations, eliminating the highest quotation (or, in the event of equality, one of the
highest) and the lowest quotation (or, in the event of equality, one of the lowest). If fewer than three quotations are provided as
requested, the rate wil be determined by the calculation agent in good faith and in a commercially reasonable manner.

The S&P 500® Index

The S&P 500® Index (the "index"), which is calculated, maintained and published by Standard & Poor's Financial Services LLC
("S&P" or the "index publisher"), consists of 500 component stocks selected to provide a performance benchmark for the U.S.
equity markets. The calculation of the index is based on the relative value of the float adjusted aggregate market capitalization
of the 500 component companies as of a particular time as compared to the aggregate average market capitalization of the 500
similar companies during the base period of the years 1941 through 1943. For additional information about the S&P 500® Index,
see the information set forth under "Annex AThe S&P 500® Index" in this document and "S&P 500® Index" in the accompanying
index supplement.

Index Closing Value Fallback Provisions

The index closing value on any calendar day beginning January 31, 2013, on which the index level is to be determined (each, an
"index determination date") will equal the official closing value of the index as published by the index publisher or its successor,
or in the case of any successor index, the official closing value for any such successor index as published by the publisher of
such successor index or its successor, at the regular weekday close of trading on that calendar day, as determined by the
calculation agent; provided that the index closing value for any day from and including the third index business day prior to the
related interest payment date for any interest payment period shal be the index closing value in effect on such third index
business day prior to such interest payment date; provided further that if a market disruption event with respect to the index
occurs on any index determination date or if any such index determination date is not an index business day, the closing value of
the index for such index determination date will be the closing value of the index on the immediately preceding index business
day on which no market disruption event has occurred. In certain circumstances, the index closing value shal be based on the
alternate calculation of the index described under "Annex A--The S&P 500® Index--Discontinuance of the S&P 500 Index;
Alteration of Method of Calculation."

"Index business day" means a day, as determined by the calculation agent, on which trading is general y conducted on each of
the relevant exchange(s) for the index, other than a day on which trading on such exchange(s) is scheduled to close prior to the
time of the posting of its regular final weekday closing price.

"Relevant exchange" means the primary exchange(s) or market(s) of trading for (i) any security then included in the index, or any
successor index, and (ii) any futures or options contracts related to the index or to any security then included in the index.

For more information regarding market disruption events with respect to the index, discontinuance of the index and alteration of
the method of calculation, see "Annex A--The S&P 500® Index--Market Disruption Event" and "--Discontinuance of the S&P
500 Index; Alteration of Method of Calculation" herein.
5 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

March 2012
Page 3

6 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

The table below presents examples of hypothetical interest rates at which interest would accrue on the notes during any month in
the floating interest rate period based on the total number of calendar days in a monthly interest payment period on which the lev
of the CMS reference index is greater than or equal to the CMS reference index strike and the index closing value is greater than
equal to the index reference level. The table assumes that the interest payment period contains 30 calendar days and an interest
rate of 9.00% per annum.

The example below is for purposes of illustration only and would provide different results if different assumptions were made. Th
actual monthly interest payments will depend on the actual number of calendar days in each interest payment period and the actu
level of the CMS reference index and index closing value on each day. The applicable interest rate for each monthly interest
payment period will be determined on a per-annum basis but will apply only to that interest payment period.

N

Hypothetical Interest Rate
0

0.0000%
5

1.5000%
10

3.0000%
15

4.5000%
20

6.0000%
25

7.5000%
30

9.0000%

March 2012
Page 4

7 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

CMS Reference Index

The fol owing graph sets forth the historical difference between the 30-Year Constant Maturity Swap Rate and the 2-Year
Constant Maturity Swap Rate for the period from January 1, 1997 to March 7, 2012. The historical difference between the
30-Year Constant Maturity Swap Rate and the 2-Year Constant Maturity Swap Rate should not be taken as an indication of the
future performance of the CMS reference index. We cannot give you any assurance that the level of the CMS reference index
wil be greater than or equal to the CMS reference index strike on any day of any interest payment period during the floating
interest rate period. We obtained the information in the graph below, without independent verification, from Bloomberg Financial
Markets ("USSW"), which closely paral els but is not necessarily exactly the same as the Reuters Page price sources used to
determine the CMS reference index level.

*The bold line in the graph above represents the CMS reference index strike of 0.00%.

Historical period

Total number of days in historical period
5,545
Number of days that CMS reference index was greater than or equal to 0.00%
5,532
Number of days that CMS reference index was less than 0.00%
13

The historical performance shown above is not indicative of future performance. The CMS reference index level may in the
future be negative for extended periods of time. During the floating interest rate period, you will not receive interest for
any day that the CMS reference index is negative.

Moreover, during the floating interest rate period, even if the CMS reference index level is greater than or equal to
zero on any day, if the S&P 500® Index level is less than the index reference level on that day, you will not receive any
interest for that day.

March 2012
Page 5
8 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

9 of 22
3/12/2012 7:50 AM

http://www.sec.gov/Archives/edgar/data/895421/000095010312001273/...

Senior Fixed to Floating Rate Notes due March 30, 2032
CMS Curve and S&P 500® Index Linked Range Accrual Notes

S&P 500® Index

The fol owing table sets forth the published high and low index closing values, as wel as end-of-quarter index closing values, for
the index for each quarter in the period from January 1, 2007 through March 7, 2012. The graph fol owing the table sets forth
the daily index closing values for the period from January 1, 1997 through March 7, 2012. The index closing value on March 7,
2012 was 1,352.63. The historical values of the index should not be taken as an indication of future performance, and no
assurance can be given as to the level of the index on any day of any interest payment period during the floating interest rate
period. The payment of dividends on the stocks that constitute the index are not reflected in its level and, therefore, have no
effect on the calculation of the payment of interest. We obtained the information in the graph below from Bloomberg Financial
Markets, without independent verification.
S&P 500® Index
High
Low
Period End
2007

First Quarter
1,459.68
1,374.12
1,420.86
Second Quarter
1,539.18
1,424.55
1,503.35
Third Quarter
1,553.08
1,406.70
1,526.75
Fourth Quarter
1,565.15
1,407.22
1,468.36
2008

First Quarter
1,447.16
1,273.37
1,322.70
Second Quarter
1,426.63
1,278.38
1,280.00
Third Quarter
1,305.32
1,106.39
1,166.36
Fourth Quarter
1,161.06
752.44
903.25
2009

First Quarter
934.70
676.53
797.87
Second Quarter
946.21
811.08
919.32
Third Quarter
1,071.66
879.13
1,057.08
Fourth Quarter
1,127.78
1,025.21
1,115.10
2010

First Quarter
1,174.17
1,056.74
1,169.43
Second Quarter
1,217.28
1,030.71
1,030.71
Third Quarter
1,148.67
1,022.58
1,141.20
Fourth Quarter
1,259.78
1,137.03
1,257.64
2011

First Quarter
1,343.01
1,256.88
1,325.83
Second Quarter
1,363.61
1,265.42
1,320.64
Third Quarter
1,353.22
1,119.46
1,131.42
Fourth Quarter
1,285.09
1,099.23
1,229.10
2012

First Quarter (through March 7, 2012)
1,374.09
1,277.06
1,352.63

March 2012
Page 6

10 of 22
3/12/2012 7:50 AM