9Y Capital Protected Note linked to a Commodity Alpha Strategy in CHF

Transcription

1 9Y Capial Proeced Noe linked o a Commodiy Alpha Sraegy in CHF THE NOTES HAVE NOT BEEN AND WILL NOT BE REGISTERED UNDER THE U.S. SECURITIES ACT OF 1933, AS AMENDED (THE SECURITIES ACT ), OR THE SECURITIES LAWS OF ANY STATE IN THE UNITED STATES. THE NOTES MAY NOT BE OFFERED, SOLD OR DELIVERED AT ANY TIME, DIRECTLY OR INDIRECTLY, WITHIN THE UNITED STATES (WHICH TERM INCLUDES THE TERRITORIES, THE POSSESSIONS AND ALL OTHER AREAS SUBJECT TO THE JURISDICTION OF THE UNITED STATES OF AMERICA) OR TO OR FOR THE ACCOUNT OR BENEFIT OF A U.S. PERSON (AS DEFINED IN REGULATION S UNDER THE SECURITIES ACT). IN PURCHASING THE NOTES, YOU HEREBY REPRESENT AND WARRANT THAT YOU ARE NEITHER LOCATED IN THE UNITED STATES NOR A U.S. PERSON AND THAT YOU ARE NOT PURCHASING FOR, OR FOR THE ACCOUNT OR BENEFIT OF, ANY SUCH PERSON. THE NOTES ARE NOT RATED. The Noes are senior unsecured obligaions of Morgan Sanley, and all paymens on he noes, including he repaymen of principal, are subjec o he credi risk of Morgan Sanley. The Noes are no bank deposis and are no insured or guaraneed by he Federal Deposi Insurance Corporaion or any oher governmenal agency, nor are hey obligaions of, or guaraneed by, a bank. POTENTIAL INVESTORS ARE URGED TO CONSULT WITH THEIR LEGAL, REGULATORY, INVESTMENT, ACCOUNTING, TAX AND OTHER ADVISORS WITH REGARD TO ANY PROPOSED OR ACTUAL INVESTMENT IN THESE SECURITIES. Terms used bu no defined herein are as defined in he Base Prospecus in respec of he Noes Series A and B, Warrans and Cerificaes daed 15 June Indicaive Terms and Condiions ISSUER GUARANTOR GUARANTOR RATING COUNTRY OF ISSUER DEALER TYPE SETTLEMENT CURRENCY Morgan Sanley & Co. Inernaional Plc., regisered office a 25 Cabo Square, Canary Wharf, London E14 4 QA, Unied Kinkdom Morgan Sanley A (S&P), A2 (Moody s), A (Fich) Incorporaed under he laws of England and Wales Morgan Sanley & Co. Inernaional Plc ( MSI ) Noe CHF PRINCIPAL AMOUNT CHF 1,000,000 DENOMINATIONS (PAR) CHF 1,000 ISSUE PRICE 92% of Par per Noe TRADE DATE 13 December 2010 STRIKE DATE 15 December 2010, subjec o adjusmen as se ou in Pricing Dae ISSUE DATE 27 December 2010 FINAL DETERMINATION DATE 16 December 2019, subjec o adjusmen as se ou in Pricing Dae MATURITY DATE 27 December 2019

2 PRICING DATE INDEX REFERENCE PRICE Each of he Srike Dae, he Observaion Dae and he Final Deerminaion Dae; if such a dae is no a Commodiy Business Day, he relevan Pricing Dae should be he nex following Commodiy Business Day, or if a Commodiy Index Disrupion Even occurs in respec of he Underlying Commodiy Index on ha day, subjec o Commodiy Index Disrupion Fallbacks 1. Backwardaion Enhanced S&P GSCI Ligh Energy Commodiy Index ER wih Early Roll: The price on any Pricing Dae will be ha day s Official Selemen Price for he Backwardaion Enhanced S&P GSCI Ligh Energy Commodiy Index ER, saed in U.S. Dollars, calculaed, mainained and published daily by S&P or is successor 2. S&P GSCI Ligh Energy Commodiy Index ER: The price on any Pricing Dae will be ha day s Official Selemen Price for he S&P GSCI Ligh Energy Commodiy Index ER, saed in U.S. Dollars, published by S&P or is successor i Underlying Index Bloomberg Code Currency Price 0 1 Backwardaion Enhanced S&P GSCI Ligh Energy Commodiy Index ER wih Early Roll SPBBLP Index USD TBD 2 S&P GSCI Ligh Energy Commodiy Index ER SPGSLEP Index USD TBD COMMODITY INDEX DISRUPTION EVENTS COMMODITY INDEX DISRUPTION FALLBACKS Wih respec o he Underlying Commodiy Index, a emporary or permanen failure by he Price Source o announce or publish he Underlying Commodiy Index Reference Price; and Commodiy Index Disrupion Even wih respec o a componen of a Underlying Commodiy Index shall be each of Price Source Disrupion, Trading Disrupion, Disappearance of Underlying Commodiy Index Reference Price, Maerial Change in Formula, Maerial Change in Conen, Tax Disrupion If any Commodiy Index Disrupion Even coninues for more han 5 Business Days, he Issuer shall deermine wheher he Noe shall be erminaed early, if so, he Deerminaion Agen shall deermine he early erminaion amoun ha shall ake ino accoun of he hedging unwind cos and any coss or fees suffered by MSI plc; If he Issuer deermines ha he Noe shall coninue, he Deerminaion Agen shall make such adjusmen o he Commodiy Index as se ou in condiion FINAL REDEMPTION AMOUNT The Noes will be redeemed on he Mauriy Dae a he following amoun: ILVT T ILVT0 PAR 100% Max(0, ) ILVT0 INDEX LEVEL VOL TARGET ( ILVT ) From Observaion Dae 1 (included) o Observaion Dae T (included) he Index Level Vol Targe (ILVT ) is defined by he Deerminaion Agen as follows: ILVT = IL IL 1 ILVT 1 100% ( E 1 ( )) IL 1 Wih ILVT 0 = 100

3 OBSERVATION DATE INDEX LEVEL ( IL ) Each Commodiy Business Day from (and including) he Srike Dae, = 0, o (and including) he Final Deerminaion Dae, = T From Observaion Dae 1 (included) o Observaion Dae T (included) he Index Level (IL ) is defined by he Deerminaion Agen as follows: IL Price i1, Pricei 2, IL 1 100% ( ) Pricei 1, 1 Pricei 2, 1 Wih IL 0 = 100 PRICE i, The Reference Price of he Underlying Index i on he Observaion Dae EXPOSURE ( E ) On each Observaion Dae he Exposure (E ) is defined by he Deerminaion Agen as follows: TargeVolailiy Min ( ML, ) CV 1 MAXIMUM ( ML ) LEVERAGE 200% TARGET VOLATILITY 8% CONTROL ( CV ) VOLATILITY On each Observaion Dae, he Conrol Volailiy, CV, is he greaes hisorical volailiy compued over he 10 Observaion Daes prior o he Observaion Dae (included) and deermined by he calculaion Agen as follows: Max( HV ) y9 y HISTORICAL VOLATILITY ( HV ) ANNUALIZING FACTOR ( AF ) SETTLEMENT TYPE BUSINESS DAYS DETERMINATION AGENT/CALCULATION AGENT EXERCISE DETAILS, EXERCISE STYLE On each Observaion Dae, HV is calculaed by he Calculaion Agen as follows: 252 Cash New York and London AF j0 IL j IL IL j1 j1 Morgan Sanley & Co. Inernaional plc ( MSI plc ). All calculaions will be a he Deerminaions Agen s sole discreion and, in he absence of manifes error, will be conclusive. No Applicable 2

4 FEES IMPOSED ON THE PURCHASER DURING THE TERM OF THE INVESTMENT AFTER ISSUE SECONDARY MARKET No Applicable Morgan Sanley & Co. Inernaional plc will use is reasonable effors o provide you wih indicaive daily bid/offer quoaions for he Noes subjec o marke condiions, law, regulaion and inernal policy EXIT FEES Exi Fees will apply as follows: Y1: 5.50%, Y2: 2.50%, Y3: 0% SETTLEMENT LISTING ISIN Euroclear None XS COMMON CODE VALOREN FORM RESTRICTION ON TRANSFERABILITY, TRADEBILITY, TRADING DETAILS GOVERNING LAW, PLACE OF JURISDICTION SWISS TAX SECTION Regisered Whils Morgan Sanley & Co. Inernaional plc will use effors o provide a secondary marke, invesors should be aware of he poenially limied liquidiy of he Noes. English law, he cours of England The Swiss ax secion is valid a he ime of he issuance of he produc. Swiss ax laws and he pracice of he Swiss ax auhoriies may change, possibly wih reroacive effec. Prospecive Swiss residen, EU residen and hird counry residen purchasers of he produc should consul heir own ax advisers concerning he ax consequences of purchasing, holding and disposing of he produc in he ligh of heir paricular circumsances. This produc is no subjec o Swiss wihholding ax and Swiss samp issuance ax. Secondary marke ransacions concerning his produc are subjec o Swiss samp ransfer ax. Tax Treamen for Swiss residen individuals This produc is classified as a non-swiss ransparen bond-like derivaive financial insrumen wih a predominanly one-ime ineres paymen ( IUP') for Swiss ax purposes. As a resul, he posiive difference beween he value of he bond floor a he redempion/disposal and he value of he bond floor a he issuance/acquisiion of he produc is axable income for Swiss residen individual invesors holding he produc for privae invesmen purposes. The value of he bond floor a issuance is [xx.xxx]%. A capial loss on he bond floor is only ax-deducible o he exen ha i can be offse agains gains on he disposal of oher IUP producs. Tax Treamen for EU residen individuals

5 For Swiss paying agens, he produc is no subjec o EU Savings Tax (Telekurs Code 2). Morgan Sanley is no qualified o give legal, ax or accouning advice o is cliens and does no purpor o do so in his documen. Cliens are urged o seek he advice of heir own professional advisers abou he consequences of he proposals conained herein. US Treasury Circular 230 Noice - Morgan Sanley does no render advice on ax and ax accouning maers o cliens. This maerial was no inended or wrien o be used, and i canno be used by any axpayer, for he purpose of avoiding penalies ha may be imposed on he axpayer under U.S. federal ax laws. Special Consideraions: Risk Facors The Noes are only suiable for sophisicaed invesors who are willing o ake cerain risks and can absorb a parial or complee loss of heir iniial invesmen. Adjusmen and Disrupion Risk: The commodiies markes are subjec o emporary disorions or oher disrupions due o various facors, including he lack of liquidiy in he markes, he paricipaion of speculaors and governmen regulaion and inervenion. These circumsances could adversely affec he values of he Underlying Commodiy Index and, herefore, he Final Redempion Amoun in respec of he Noes. Adjusmens by he Deerminaion Agen: The erms and condiions of he Noes will allow he Deerminaion Agen o make adjusmens or ake any oher appropriae acion if circumsances occur where he Noes or any exchanges are affeced by marke disrupion, adjusmen evens or circumsances affecing normal aciviies Credi Risk: The holder of he Noes will be exposed o he credi risk of he Issuer. Commodiy Risk: Prices for commodiies are affeced by a variey of facors, including changes in supply and demand relaionships, governmenal programs and policies, naional and inernaional poliical and economic evens, wars and acs of error, changes in ineres and exchange raes, rading aciviies in commodiies and relaed conracs, weaher, and agriculural, rade fiscal, moneary and exchange conrol policies. The price volailiy of each commodiy also affecs he value of he fuures and forward conracs relaed o ha commodiy and herefore is price a any such ime. These facors may affec he prices for he Underlying Commodiy Index and he value of he Noes in varying ways and may cause he closing levels and closing prices of he Underlying Commodiy Index o move in inconsisen direcions and a inconsisen raes. Exi Risk: The secondary marke price of he Noes will depend on many facors, including he value and volailiy of he Underlying Commodiy Index, he price of he Underlying Commodiy Index a any ime on any day and he ime lef unil he mauriy of he Noes, ineres raes, ime remaining o mauriy and he crediworhiness of he Issuer. Therefore he holder may receive an amoun which may be less ha he hen inrinsic marke value of he Noes and which may also be less han he amoun he holder would have received had he holder held he Noes hrough o mauriy. Hedging Risk: On or prior o and afer he Trade Dae, he Issuer, hrough is affiliaes or ohers, will likely hedge is anicipaed exposure under he Noes by aking posiions in he Underlying Commodiy Index, in opion conracs on he Underlying Commodiy Index or posiions in any oher available securiies or insrumens. In addiion, he Issuer and is affiliaes rade he Underlying Commodiy Index as par of heir general businesses. Any of hese aciviies could poenially affec he value of he Underlying Commodiy Index Reference Prices, including on he Deerminaion Dae, and accordingly, could significanly affec he payou o holders on he Noes. Poenial Conflic of Ineres: The Deerminaion Agen is an affiliae of he Issuer and he economic ineress of he Deerminaion Agen may be adverse o he ineress of holders of he Noes. Deerminaions made by he Deerminaion Agen, including in he even of a marke disrupion may affec he amoun payable o holders pursuan o he erms of he Noes. Selling Resricions No public offering of he produc, or possession or disribuion of any offering maerial in relaion hereo, is permied in any oher jurisdicion unless in compliance wih all applicable laws, regulaions, codes, direcives, orders and/or regulaory

6 requiremens, rules and guidance in force from ime o ime including, for he avoidance of doub, he EU Prospecus Direcive (2003/71/EC) and any implemening measures and Regulaion S of he Unied Saes Securiies Ac 1933 as amended (he Securiies Ac). The produc may no be offered, sold, ransferred or delivered direcly or indirecly in he Unied Saes o, or for he accoun or benefi of, any U.S. Person (as defined in Regulaion S under he Securiies Ac). This Noe does no consiue any Collecive Invesmen Schemes Uni in he meaning of he Swiss Federal Ac on Collecive Invesmen Schemes (CISA). Accordingly, holders of his Noe do no benefi from he invesor proecion under he CISA or he approval or supervision by he Swiss Financial Marke Supervisory Auhoriy ( FINMA ). Invesors are exposed o he credi risk of he issuer. Accordingly, he value of he Noe is no only subjec o he performance of he underlying asses bu, among ohers, also he solvency of he issuer. This informaion is no an issue prospecus as ha erm is undersood pursuan o aricle 652a or aricle 1156 of he Swiss Federal Code of Obligaions nor a simplified prospecus according o Aricle 5 paragraph 4 of he Swiss CISA. This documen is personal o each offerree and does no consiue an offer o any person. Invesor Represenaions Any invesmen in he produc made wih he inenion o offer, sell or oherwise ransfer (ogeher, disribue and each a disribuion ) such produc o prospecive invesors will be deemed o include, wihou limiaion, he following represenaions, underakings and acknowledgemens: a) you shall only disribue as principal or, alernaively, acing on a commission basis in your own name for he accoun of your invesors and will no do so as agen for any Morgan Sanley eniy (ogeher Morgan Sanley ) who shall assume no responsibiliy or liabiliy whasoever in relaion o any such disribuion. You shall disribue he produc in your own name and o such cusomers as you idenify in your own discreion, a your own risk and under your sole responsibiliy. You shall make such enquiries you deem relevan in order o saisfy yourself ha prospecive invesors have he requisie capaciy and auhoriy o purchase he produc and ha he produc is suiable for hose invesors; b) you shall no make any represenaion or offer any warrany o invesors regarding he produc, he Issuer or Morgan Sanley or make any use of he Issuer s or Morgan Sanley s name, brand or inellecual propery which is no expressly auhorised and you shall no represen you are acing as an agen of Morgan Sanley in such disribuion. You acknowledge ha neiher he Issuer nor Morgan Sanley assume any responsibiliy or liabiliy whasoever in relaion o any represenaion or warrany you make in breach hereof; c) if you disribue any maerial prepared and ransmied by he Issuer or by Morgan Sanley, you shall only disribue he enire maerial and no pars hereof. Any maerial you, or any hird pary you engage on your behalf, prepare shall be rue and accurae in all maerial respecs and consisen in all maerial respecs wih he conen of he Base Prospecus and he Final Terms and shall no conain any omissions ha would make hem misleading. You shall only prepare and disribue such maerial in accordance wih all applicable laws, regulaions, codes, direcives, orders and/or regulaory requiremens, rules and guidance in force from ime o ime ( Regulaions ). You acknowledge ha neiher he Issuer nor Morgan Sanley shall have any liabiliy in respec of such maerial which shall, for he avoidance of doub, a all imes be your sole responsibiliy; d) you will no, direcly or indirecly, disribue or arrange he disribuion of he produc or disseminae or publish (which for he avoidance of doub will include he disseminaion of any such maerials or informaion via he inerne) any maerials or carry ou any ype of soliciaion in connecion wih he produc in any counry or jurisdicion, excep under circumsances ha will resul in compliance wih all applicable Regulaions and selling pracices, and will no give rise o any liabiliy for he Issuer or Morgan Sanley. For he avoidance of doub, his includes compliance wih he selling resricions menioned herein; e) if you receive any fee, rebae or discoun, you shall no be in breach of any Regulaion or cusomer or conracual requiremens or obligaions and you shall, where required o do so (wheher by any applicable Regulaion, conrac, fiduciary obligaion or oherwise), disclose such fees, rebaes and discouns o your invesors. You acknowledge ha where fees are payable, or rebaes or discouns applied, he Issuer and Morgan Sanley are obliged o disclose he amouns and/or basis of such fees, rebaes or discouns a he reques of any of your invesors or where required by any applicable Regulaions. f) you will be commied o purchase a he issue price saed in he erm shee (or a he price oherwise agreed beween us) insrumens, when issued, in he agreed quaniy and having erms, as provided in he definiive documenaion, consisen wih hose in his erm shee (subjec o any modificaions agreed beween us); g) you are no purchasing he Noes as an exension of credi o Morgan Sanley pursuan o a loan agreemen enered ino in he ordinary course of your rade or business;

7 h) we may ener ino hedging or oher arrangemens in reliance upon your commimen, and, if you fail o comply wih your commimen, your liabiliy o us shall include liabiliy for our coss and losses in unwinding such hedging or oher arrangemens; i) you agree and underake o indemnify and hold harmless and keep indemnified and held harmless he Issuer, he Dealer and each of heir respecive affiliaes and heir respecive direcors, officers and conrolling persons from and agains any and all losses, acions, claims, damages and liabiliies (including wihou limiaion any fines or penalies and any legal or oher expenses incurred in connecion wih defending or invesigaing any such acion or claim) caused direcly or indirecly by you or any of your affiliaes or agens o comply wih any of he provisions se ou in (a) o (i) above, or acing oherwise han as required or conemplaed herein To he exen here is any conflic beween hese deemed represenaions and warranies and any erms included in a signed disribuion agreemen beween us, he erms of such disribuion agreemen shall apply. Imporan Informaion This informaion has been prepared solely for informaion purposes and is no an offer or a soliciaion o buy or sell he produc. Any invesmen decision should be made only based on he erms of he base prospecus and final erms for he produc, he erms of which will supersede he erms herein. No represenaion or warrany is given wih respec o he accuracy or compleeness of he informaion herein. The Morgan Sanley Group is a financial services group involved in a wide range of invesmen banking and oher aciviies ou of which conflicing ineress or duies may arise. Such aciviies include asse managemen, corporae finance and securiies services, derivaive and loan issuing, rading (including for cusomers, proprieary and hedging) and research. In addiion, in he course of is aciviies, he Morgan Sanley Group may hold long or shor posiions and may rade or oherwise effec ransacions for is own accoun or he accouns of cusomers in deb or equiy securiies or senior deb (A) issued by he Issuer or any eniy involved in associaed ransacions, (B) included in any securiies or asses or subsanially similar securiies or asses ha he noes reference, (C) ha may be purchased by he Issuer or any eniy involved in associaed ransacions or (D) he rading of which may affec invesmens made by he issuer or any eniy involved in associaed ransacions. The noes may be placed o invesors in individually negoiaed ransacions a varying prices. In addiion, a discoun may be applied o he Issue Price. YOU SHOULD CONSULT YOUR INDEPENDENT FINANCIAL OR OTHER APPLICABLE ADVISOR(S) BEFORE INVESTING IN THE PRODUCT DESCRIBED ABOVE. YOU SHOULD NOT INVEST IN THE PRODUCT UNLESS YOU UNDERSTAND AND HAVE SUFFICIENT FINANCIAL RESOURCES TO BEAR THE RISKS ASSOCIATED WITH AN INVESTMENT IN THE PRODUCT. INDEX Disclaimer S&P Goldman Sachs Commodiy Index (S&P GSCI, GSCI-ER and is Sub-Indices) are rademarks or service marks of he McGraw-Hill Companies, Inc. and have been licensed for use by he issuer in connecion wih his ransacion. This ransacion is no sponsored, endorsed, sold or promoed by he McGraw-Hill Companies, Inc. I makes no represenaion or warrany, express or implied, o he counerparies of his ransacion or any member of he public regarding he advisabiliy of invesing in securiies, derivaives, or any ransacions generally or in his ransacion paricularly or he abiliy of he S&P GSCI and is Sub-Indices o rack general commodiy marke performance. The McGraw-Hill Companies' only relaionship o he issuer is he licensing of he GSCI Index, which is deermined, composed and calculaed by he McGraw-Hill wihou regard o he issuer of his ransacion. The McGraw-Hill has no obligaion o ake he needs of he issuer or he counerparies of his ransacion ino consideraion in deermining, composing or calculaing he S&P GSCI and is Sub- Indices. McGraw-Hill is no responsible for and has no paricipaed in he deerminaion of he iming of, prices a, or quaniies of his ransacion o be issued or in he deerminaion or calculaion of he equaion by which he ransacion is o be convered ino cash. McGraw-Hill has no obligaion or liabiliy in connecion wih he adminisraion, markeing or rading of he underlying S&P GSCI and is Sub-Indices. MCGRAW-HILL DOES NOT GUARANTEE THE QUALITY, ACCURACY AND/OR THE COMPLETENESS OF THE S&P GSCI INDEX AND ITS SUB-INDICES OR ANY DATA INCLUDED THEREIN. MCGRAW-HILL MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, OWNERS OF THE TRANSACTION, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P GSCI INDEX AND ITS SUB-INDICES OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. MCGRAW-HILL MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO

8 THE GSCI INDEX AND ITS SUB-INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL MCGRAW-HILL HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES