UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 11-K
FOR ANNUAL REPORTS OF EMPLOYEE STOCK PURCHASE, SAVINGS
AND SIMILAR PLANS PURSUANT TO SECTION 15(d) OF THE
SECURITIES EXCHANGE ACT OF 1934
(Mark One)
x ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the fiscal year ended December 31, 2012
OR
¨ TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
For the transition period from __________________ to __________________
Commission file number 33-63026
| A. | Full title of the plan and the address of the plan, if different from that of the issuer named below: |
Morgan Stanley 401(k) Plan
c/o Morgan Stanley Benefits Department
522 Fifth Avenue
Twenty-third Floor
New York, NY 10036
| B. | Name of the issuer of the securities held pursuant to the plan and the address of its principal executive office: |
MORGAN STANLEY
1585 Broadway
New York, NY 10036
SIGNATURES
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the Trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
| | | | Morgan Stanley 401(k) Plan (Name of Plan) | |
| | | | | | | |
| Date: | June 28, 2013 | | By: | /s/ Bruce Monte, Jr. | |
| | | | | (Signature) | |
| | | | | Name: | Bruce Monte, Jr. | |
| | | | | Title: | Morgan Stanley Global Head of Benefits | |
Morgan Stanley 401(k) Plan Employer ID No: 20-8764829 Plan Number: 003 Financial Statements as of December 31, 2012 and 2011, and for the Year Ended December 31, 2012, and Supplemental Schedule as of December 31, 2012, and Report of Registered Independent Public Accounting Firm |
MORGAN STANLEY 401(k) PLAN
Page
| REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | 1 |
| | |
| FINANCIAL STATEMENTS: | |
| | |
| Statements of Net Assets Available for Benefits as of December 31, 2012 and 2011 | 2 |
| | |
| Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2012 | 3 |
| | |
| Notes to Financial Statements as of December 31, 2012 and 2011, and for the Year Ended December 31, 2012 | 4–21 |
| | |
| SUPPLEMENTAL SCHEDULE — | |
| | |
| Form 5500, Schedule H, Part IV, Line 4i — Schedule of Assets (Held at End of Year) as of December 31, 2012 | 22–52 |
| NOTE: | All other schedules required by section 2520.103-10 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974, as amended, have been omitted because they are not applicable. |
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
The Plan Participants and Administrator of the
Morgan Stanley 401(k) Plan:
We have audited the accompanying statements of net assets available for benefits of Morgan Stanley 401(k) Plan (the “Plan”) as of December 31, 2012 and 2011, and the related statement of changes in net assets available for benefits for the year ended December 31, 2012. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. The Plan is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Plan’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, such financial statements present fairly, in all material respects, the net assets available for benefits of the Plan as of December 31, 2012 and 2011, and the changes in net assets available for benefits for the year ended December 31, 2012 in conformity with accounting principles generally accepted in the United States of America.
Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) as of December 31, 2012 is presented for the purpose of additional analysis and is not a required part of the basic financial statements, but is supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This schedule is the responsibility of the Plan's management. Such schedule has been subjected to the auditing procedures applied in our audit of the basic 2012 financial statements and, in our opinion, is fairly stated in all material respects when considered in relation to the basic financial statements taken as a whole.
/s/ Deloitte & Touche LLP
New York, NY
June 28, 2013
| MORGAN STANLEY 401(k) PLAN | | |
| | | |
| STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS | |
| AS OF DECEMBER 31, 2012 AND 2011 | | |
| | | |
| | | 2012 | | | 2011 | |
| | | | | | | |
| ASSETS: | | | | | | |
| Investments – at fair value: | | | | | | |
| Participant-directed investments | | $ | 5,540,745,975 | | | $ | - | |
| Interest in Master Trust (Note 8) | | | - - | | | | 3,984,343,510 | |
| Total Investments – at fair value | | | 5,540,745,975 | | | | 3,984,343,510 | |
| | | | | | | | | |
| Receivables: | | | | | | | | |
| Employer contributions | | | 241,415,142 | | | | 161,713,010 | |
| Notes receivable from participants | | | 73,169,879 | | | | 51,827,994 | |
| Receivables for securities sold, and other | | | 92,773,313 | | | | - - | |
| Total Receivables | | | 407,358,334 | | | | 213,541,004 | |
| | | | | | | | | |
| Total Assets | | | 5,948,104,309 | | | | 4,197,884,514 | |
| | | | | | | | | |
| LIABILITIES: | | | | | | | | |
| Payables for securities purchased, and other | | | 136,821,827 | | | | - - | |
| | | | | | | | | |
| NET ASSETS REFLECTING ALL INVESTMENTS | | | | | | | | |
| AT FAIR VALUE | | | 5,811,282,482 | | | | 4,197,884,514 | |
| | | | | | | | | |
| Adjustment from fair value to contract value for | | | | | | | | |
| fully benefit-responsive investment contracts | | | - - | | | | 4,934,076 | |
| | | | | | | | | |
| NET ASSETS AVAILABLE FOR BENEFITS | | $ | 5,811,282,482 | | | $ | 4,202,818,590 | |
| | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | |
| See notes to financial statements. | | | | | | | | |
| MORGAN STANLEY 401(k) PLAN | |
| | |
| STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | |
| | |
| ADDITIONS: | | | |
| Contributions | | | |
| Employer contributions | | $ | 152,031,400 | |
| Participant contributions | | | 238,273,399 | |
| Rollover contributions | | | 14,517,430 | |
| Total contributions | | | 404,822,229 | |
| | | | | |
| Interest in Master Trust net investment income | | | | |
| Net appreciation in fair value investments | | | 577,667,683 | |
| Dividends | | | 33,200,700 | |
| Interest | | | 9,178,984 | |
| Interest in Master Trust net investment income | | | 620,047,367 | |
| | | | | |
| | | | | |
| Interest income on notes receivable from participants | | | 2,159,420 | |
| | | | | |
| Total additions | | | 1,027,029,016 | |
| | | | | |
| DEDUCTIONS: | | | | |
| Benefits paid to participants | | | 406,435,921 | |
| | | | | |
| Total deductions | | | 406,435,921 | |
| | | | | |
| INCREASE IN NET ASSETS | | | | |
| BEFORE PLAN TRANSFERS | | | 620,593,095 | |
| | | | | |
| MERGER OF MORGAN STANLEY 401(k) SAVINGS PLAN NET ASSETS INTO PLAN | | | 987,870,797 | |
| | | | | |
| NET ASSETS AVAILABLE FOR BENEFITS | | | | |
| Beginning of year | | | 4,202,818,590 | |
| | | | | |
| End of year | | $ | 5,811,282,482 | |
| | | | | |
| | | | | |
| | | | | |
| See notes to financial statements. | | | | |
MORGAN STANLEY 401(k) PLAN
NOTES TO FINANCIAL STATEMENTS
AS OF DECEMBER 31, 2012 AND 2011, AND FOR THE YEAR ENDED DECEMBER 31, 2012
| 1. | DESCRIPTION OF THE PLAN |
The following summary of the Morgan Stanley 401(k) Plan (the “Plan”) is provided for general information purposes only. Participants should refer to the Plan document for more complete information. Terms used in this description have the same meaning as in the Plan document. On December 17, 2012, Morgan Stanley Domestic Holdings Inc., the Plan’s sponsor (the “Plan Sponsor”), approved the merger of the Morgan Stanley 401(k) Savings Plan (the “Savings Plan”) into the Plan. Effective at the close of business on December 31, 2012, the Savings Plan’s assets were merged into the Plan, and participants of the Savings Plan became members of the Plan.
General — The Plan is a profit-sharing plan that includes a “qualified cash or deferred arrangement” as described in section 401(k) of the Internal Revenue Code of 1986, as amended (the “Code”), and is subject to the provisions of the Employee Retirement Income Security Act of 1974, as amended (“ERISA”). The Plan’s interest in the Morgan Stanley Stock Fund is designated as an employee stock ownership plan within the meaning of Code section 4975(e)(7) to the extent provided in the Plan.
Morgan Stanley & Co. LLC is a limited liability company whose sole member is the Plan Sponsor, a corporation wholly owned by Morgan Stanley Capital Management, LLC, a limited liability company whose sole member is Morgan Stanley (the “Company”). Morgan Stanley’s Global Director of Human Resources or his or her delegate (“the Plan Administrator”) has the authority to control and manage the operation and administration of the Plan, make rules and regulations and take actions to administer the Plan.
Prior to December 31, 2012, all of the Plan’s investments were held in a trust account (“trust account”) under the Morgan Stanley Defined Contribution Master Trust (the “Master Trust”) at The Northern Trust Company, N.A. (the “Trustee”) which included commingled assets of the Plan and the Savings Plan. Effective December 31, 2012, the Master Trust ceased to be a master trust and the trust account continued to hold all assets of the Plan. Prior to January 3, 2012, The Bank of New York Mellon (the “Former Trustee”) acted as the trustee of the Master Trust.
Eligibility — U.S. benefits-eligible employees, generally defined as full-time and part-time employees (regularly scheduled to work at least 50% of the Company’s standard work week) of participating companies are eligible to participate in the Plan upon hire. Part-time employees regularly scheduled to work less than 50% of the Company’s standard work week are eligible to participate after completing one year of service and attaining age 21.
Employees who transferred from Citigroup Inc. or an affiliate (collectively, “Citigroup”) to Morgan Stanley Smith Barney Holdings LLC (“MSSB”), or a subsidiary, in connection with the formation or operation of MSSB and employees of the Company’s U.S. Residential Mortgage Business and who are U.S. benefits-eligible employees are eligible to participate in the Plan as of the date they become eligible employees of MSSB or a Saxon employee of the Company’s U.S. Residential Mortgage Business.
Eligible participants who terminate employment and are later rehired by a participating company may participate in the Plan immediately upon rehire. Individuals who are (a) classified by a participating company as non-U.S. benefits-eligible workers, interns, summer associates, contingent workers, leased
workers, independent contractors or consultants, regardless of whether or not such classification is subsequently upheld for any purpose by a court or federal, state or local administrative authority; (b) covered by a collective bargaining agreement with respect to which a participating company is a party, unless such agreement provides for participation in the Plan; or (c) first hired or transferred to a participating company while in an hourly status on or after July 1, 2004, are not eligible to participate in the Plan.
Employee Contributions — Eligible participants may elect to contribute before-tax or Roth after-tax contributions of 1% to 30% of eligible pay subject to Code limits ($17,000 for 2012). Those participants who have attained at least age 50 by the end of the year may elect an additional before-tax or Roth after-tax “Catch-Up Contribution” of 1% to 30% of eligible pay, subject to Code limits ($5,500 for 2012).
Eligible participants may also elect to contribute non-Roth after-tax contributions of 1% to 30% of eligible earnings. Participants eligible to make non-Roth after-tax contributions include eligible employees considered to be non-highly compensated employees (for 2012, employees who earned less than $233,269 during 2011). Participants may also contribute amounts representing eligible rollover distributions from other qualified retirement plans, other than other qualified plans sponsored by the Company and its affiliates. All contributions are subject to certain Code limitations.
Puerto Rico residents cannot make or receive contributions under the Plan.
Company Contributions — In addition to the eligibility requirements for each type of Company Contribution described below, to be eligible for Company Contributions for any given Plan Year, a participant must be actively at work or on an authorized leave of absence on December 31 or during the year, have terminated employment because of retirement or Release, or have become totally and permanently disabled or died. Company Contributions are generally credited to the participant accounts during the first quarter of the year following the calendar year for which the contribution amounts are determined.
Company Match: The Plan-provided Company Match formula for 2012 was one dollar for each dollar of before-tax or Roth after-tax contributions eligible participants contributed to the Plan up to a maximum of 4% of eligible pay up to the Code limit of $250,000. The maximum Company Match for 2012 was limited to $10,000.
Company Match contributions are automatically invested in the Morgan Stanley Stock Fund, if made in stock, or are invested according to each participant’s investment elections on file, if made in cash. The 2012 Company Match of $114,340,642 was made in cash of which $2,137,641 was covered by forfeitures held by the trust account. The cash contribution was recorded as employer contributions receivable as of December 31, 2012 and paid by the Company to the Plan in January 2013.
Company Match Make-up Contribution: A 2012 Company Match Make-Up Contribution, for eligible employees who transferred from Citigroup to Morgan Stanley in connection with the formation or operation of MSSB, was determined by calculating what the Citigroup company match would have been if the participant had remained in the Citigroup 401(k) Plan for the full year minus the actual 2012 company match amounts paid in the Citigroup 401(k) Plan and the Plan combined. As a result of the Savings Plan’s merger into the Plan, a cash contribution was paid by the Company in May 2013 to the Plan and recorded as employer contributions receivable by the Plan as of December 31, 2012.
Fixed Contribution: Eligible employees with annualized base pay and eligible pay for the year of $100,000 or less; who are not employed as Financial Advisors, Producing Assistant Branch Managers, Producing Branch Managers, or Producing Sales Managers (or equivalent title), Advisory Directors or
Senior Advisors (or equivalent title) as of December 31, and not a Saxon employee of Morgan Stanley’s U.S. Residential Mortgage Business receive a Fixed Contribution of 2% of eligible pay regardless of whether they contribute to the Plan or receive a Company Match. The 2012 Fixed Contribution of $9,911,625, was recorded as employer contributions receivable as of December 31, 2012 and paid in cash by the Company in January 2013.
Citi Pension Transition Contributions: To be eligible for Citi Pension Transition Contributions, employees must have been notified by Citigroup that their prior plan benefit opportunity qualified them for transition contributions under the Citigroup 401(k) Plan and they must have been at least age 45 with five or more years of service, including prior Citigroup service, as of December 31, 2010. Citi Pension Transition Contributions may be available for up to 10 Plan Years as determined by the Plan Sponsor beginning with the 2011 Plan year (deposited into accounts in 2012).
The Citi Pension Transition Contributions are based on the one-time calculation Citigroup performed to determine the percentage of annual eligible pay for the annual transition contributions under the Citigroup 401(k) Plan. As a result of the Plan’s merger into the Plan, a cash contribution was paid by the Company in January 2013 to the 401(k) Plan and recorded as employer contributions receivable by the Plan as of December 31, 2012.
Morgan Stanley Transition Contribution: Eligible employees are those who earned a Morgan Stanley pension benefit or received a 401(k) Plan Retirement Contribution during 2010 and were employed by a participating company and were at least age 45 with five or more years of service at December 31, 2010. Eligible employees receive a Morgan Stanley Transition Contribution regardless of whether or not they contribute to the Plan. Morgan Stanley Transition Contributions may be available under the Plan for up to 10 Plan Years as determined by the Plan Sponsor, beginning with the 2011 Plan year.
The Morgan Stanley Transition Contribution is based on a formula generally intended to provide 80% of (1) minus (2):
| | 1. | Under the Plan provisions in effect in 2010: |
The estimated value of the benefit the employee would have earned under the Pension Plan (or what the employee would have received as a Retirement Contribution in the Plan), plus
The Company Match the employee would have received had the employee contributed 6% of eligible pay to the Plan (regardless of how much the employee actually contributed).
| | 2. | Under the Plan provisions in effect during the applicable Plan year: |
The Company Match the employee would have received had the employee contributed 4% of eligible pay to the Plan (regardless of how much the employee actually contributed), plus
The Fixed Contribution for the Plan year, if applicable.
The amount of the 2012 Morgan Stanley Transition Contribution of $29,916,774 was recorded as employer contributions receivable as of December 31, 2012 and paid in cash by the Company in January 2013.
As a result of the Savings Plan merger into the Plan, the 2012 Savings Plan Company Contribution of $89,383,742 was recorded by the Plan as employer contributions receivable as of December 31, 2012 and paid in cash by the Company to the Plan in January 2013.
Participant Accounts — Individual accounts are maintained for each Plan participant. Each participant’s account is credited with the participant’s contributions, allocations of the Company contributions and Plan earnings, and charged with an allocation of Plan losses and administrative expenses not otherwise paid by the Plan Sponsor. The benefit to which a participant is entitled is the benefit that can be provided from the participant’s vested account.
Investments — Participants direct the investment of their contributions into various investment options offered by the Plan which are subject to change from time to time. As of December 31, 2012, the Plan offered and held within the trust (see Note 8) 12 mutual funds, 16 commingled or collective trust funds, one employer stock fund, and six separate accounts.
The Plan is intended to meet the requirements of section 404(c) of ERISA, with the result that participants, and no other fiduciaries, are responsible for the investments selected by participants for their Plan accounts.
Employer Stock Provisions – The portion of the Plan that is invested in “employer securities” (as defined in the Code) in the Morgan Stanley Stock Fund is designated an employee stock ownership plan to the extent provided in the Plan, and subject to additional plan provisions, including the right for eligible participants to elect to receive current cash dividend distributions relating to the Morgan Stanley Stock Fund. Certain employees, including employees of Morgan Stanley Wealth Management joint venture with Citigroup (formerly known as Morgan Stanley Smith Barney LLC) were not eligible to elect current cash dividend distributions relating to the Morgan Stanley Stock Fund as of December 31, 2012.
Voting and Tender Rights —Each participant may direct a vote on shares of Company common stock allocated to his or her Plan account and is notified by the trustee prior to the time that such right is to be exercised. Unvoted shares, including shares held in the Plan’s forfeiture account, are voted in the same proportion as the total actual votes cast for or against the matter under consideration. Shares for which no tender direction is given by the participant to the trustee will not be tendered. If there is a tender for less than all shares or if there are more tender directions than can be satisfied, participant shares are tendered on a pro rata basis.
Vesting — Participants are vested immediately in their contributions plus earnings thereon. Participants newly hired on or after January 1, 2004, are vested in any Company contributions upon the earlier of: (i) completion of three years of service, or (ii) termination of employment due to death, Retirement, Release or Total and Permanent Disability, each as defined by the Plan.
Other— Certain reservists and persons who provide military service are entitled to additional rights under the Plan. Additional rules apply in the event that the Plan becomes top-heavy as described in the Code.
Forfeitures — Forfeitures are used to reduce the year-end Company contributions. The forfeited nonvested account balance of $2,137,641 was used to reduce the Company Match contributions for the year ended December 31, 2012, which was funded in 2013.
Notes Receivable from Participants — Generally, participants may borrow from their Plan account up to the lesser of $50,000 or 50% of their vested account balance. The loan is secured by the balance in the participant’s account and bears interest at a rate determined by the Plan Administrator. Fixed and Transition Contributions are not eligible for loans. Each loan processed incurs a $75 administrative fee. Generally, principal and interest are paid ratably through payroll deductions back to the individual participant’s account. Participants may only have one outstanding loan at a time.
Domestic Relations Orders — Generally, participants that submit a domestic relations order for qualification incur a $750 qualification fee which will be paid in equal shares from the Participant’s and Alternate Payee’s accounts
Payment of Benefits — Participants may elect to receive all or a portion of their vested account balance following termination of employment.
Participants may withdraw any vested amount allocated to their accounts while in service after attaining age 59-1/2. In the event of a hardship (as defined in the Plan), participants regardless of age may withdraw their vested employee and Company contributions to the extent permitted by the Plan. Voluntary employee contributions made before 1984 and after-tax employee contributions made after 1983 also may be withdrawn in service without regard to the participant’s age, subject to Plan terms. Payments are made in cash and/or in-kind in shares of Morgan Stanley stock at the direction of the participant. Non-hardship withdrawals are limited to eight per year.
A participant may elect to receive his or her vested interest in the Morgan Stanley Stock Fund in kind in the form of shares recorded electronically in book entry form on the records of the Company’s transfer agent, Computershare via its Direct Registration System (“DRS”) service.
Plan Termination — Although it has not expressed any intent to do so, the Plan Sponsor has the right under the Plan to terminate the Plan subject to the provisions of ERISA. In such event, participants become fully vested in any Company contributions to the extent required by the Code.
| 2. | SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES |
Basis of Accounting — The Plan’s financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates — The preparation of financial statements requires Plan management to make estimates and assumptions regarding the valuation of certain financial instruments that affect the reported amounts of net assets available for benefits and changes therein. Actual results could differ from the estimates and assumptions used.
Administrative Expenses — Administrative expenses of the Plan are paid by the Plan, unless paid by the Plan’s Sponsor, as provided in the Plan document. The Plan Sponsor is under no obligation to pay the Plan’s administrative expenses. Investment fund balances were reduced by $614,230 during the year ended December 31, 2012 for administrative fees of the Plan and the Savings Plan.
Payment of Benefits — Benefit payments to participants are recorded upon distribution. All amounts allocated to participants who elected to withdraw from the Plan during the years ended December 31, 2012 and 2011 were paid prior to the respective year end.
Risks and Uncertainties — The Plan utilizes various investment options. Investment securities, in general, are exposed to various risks, such as interest rate, credit and overall market volatility. Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in value of investment securities will occur in the near term and that such changes could materially affect participants’ account balances and the amounts reported in the financial statements.
Investment Valuation and Income Recognition — The Plan’s interest in the Master Trust and Participant-directed investments are measured at fair value. The Plan’s allocation of Master Trust realized and unrealized gains and losses on the investments carried at fair value are reflected in
Investment income—Net appreciation in fair value investments. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability (i.e., the “exit price”) in an orderly transaction between market participants at the measurement date. (See Note 10)
In determining fair value, the Plan uses various valuation approaches and establishes a hierarchy for inputs used in measuring fair value that maximizes the use of relevant observable inputs and minimizes the use of unobservable inputs by requiring that the most observable inputs be used when available. Observable inputs are inputs that market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the Plan. Unobservable inputs are inputs that reflect the Plan’s assumptions about the assumptions other market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The hierarchy is broken down into three levels based on the observability of inputs as follows:
Level 1 — Valuations based on quoted prices in active markets for identical assets or liabilities that the Plan has the ability to access. Valuation adjustments and block discounts are not applied to Level 1 instruments. Since valuations are based on quoted prices that are readily and regularly available in an active market, valuation of these products does not entail a significant degree of judgment.
Level 2 — Valuations based on one or more quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3 — Valuations based on inputs that are unobservable and significant to the overall fair value measurement.
The availability of observable inputs can vary from product to product and is affected by a wide variety of factors, including, for example, the type of product, whether the product is new and not yet established in the marketplace, the liquidity of markets and other characteristics particular to the product. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised by the Plan in determining fair value is greatest for instruments categorized in Level 3 of the fair value hierarchy.
The Plan considers prices and inputs that are current as of the measurement date, including during periods of market dislocation. In periods of market dislocation the observability of prices and inputs may be reduced for many instruments. This condition could cause an instrument to be reclassified from Level 1 to Level 2 or Level 2 to Level 3 of the fair value hierarchy. In addition, a downturn in market conditions could lead to declines in the valuation of many instruments.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level of the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Shares of registered investment companies are valued at quoted market prices, which represent the net asset value of shares held by the Plan at year-end. The fair value of the remaining Plan investments, other than the Stable Value Program (See Note 5), is based on the last sales price, the prevailing bid price or the prevailing net asset value at the close of the last trading day of the year.
In accordance with GAAP, the Stable Value Program is included at fair value in investments in the statements of net assets available for benefits as of December 31, 2011 and an additional line item is
presented representing the adjustment from fair value to contract value. Effective July 31, 2012, the Stable Value Program was replaced by the BlackRock Liquidity Funds – FedFund.
Plan investments are recorded on a trade date basis. The cost of Plan investments is based on the average cost method for individual securities.
Dividend income is recognized on the ex-dividend date. Benefits are recorded when paid. All other accounting records of the Plan, including, but not limited to, interest and dividends earned on investments, are recorded on an accrual basis.
Management fees and operating expenses charged to each of the investment options under the Plan are deducted from income earned and are not separately reflected. Consequently, management fees and operating expenses are reflected as a reduction of investment return for such investments.
Notes Receivable from Participants — Notes receivable from participants are measured at their unpaid principal balance. Interest is repaid monthly and any delinquent interest payments as of December 31, 2012 and 2011 were immaterial. Delinquent participant loans are recorded as distributions based on the terms of the Plan document.
New Accounting Pronouncements — In May 2011, the Financial Accounting Standards Board (“FASB”) issued an accounting update that clarified existing fair value measurement guidance and changed certain principles or requirements for measuring fair value or disclosing information about fair value measurements. This update resulted in common principles and requirements for measuring fair value and for disclosing information about fair value measurement in accordance with GAAP and International Financial Reporting Standards. The guidance became effective for the Plan beginning on January 1, 2012. (See Note 10)
The Plan’s individual investments at fair value that represented 5% or more of the Plan’s net assets available for benefits as of December 31, 2012 are as follows:
| Morgan Stanley Common Stock Fund | | $ | 1,019,934,795 | |
| BlackRock Liquidity Funds – FedFund | | | 596,179,889 | |
| Mellon S&P 500 Index | | | 389,733,002 | |
| MSIF Cap Growth | | | 361,438,819 | |
| MSIF Emerging Markets | | | 330,260,603 | |
The individual investments at fair value in the Master Trust that represented 5% or more of the net assets of the Master Trust available for benefits as of December 31, 2011 are as follows:
| Morgan Stanley Common Stock Fund | | $ | 727,354,675 | |
| Stable Value Program | | | 569,438,610 | |
| Mellon S&P 500 Index | | | 328,473,545 | |
| MSIF Cap Growth | | | 320,118,791 | |
| MSIF Emerging Markets | | | 267,848,445 | |
| 4. | DERIVATIVE INSTRUMENTS AND COMMITMENTS TO PURCHASE AND REVERSE REPURCHASE AGREEMENTS |
Derivative instruments are permitted in the Plan’s portfolio only to the extent that they comply with all of the Plan’s policy guidelines, and are consistent with the Plan’s risk and return objectives. In addition, derivative instruments may be used only if they are deemed to be more attractive than a similar direct investment in the underlying cash market, or if the investment vehicle is being used to manage the risk of the portfolio. Any use of derivative instruments may not result in exposure of the Plan to investment sectors that are otherwise prohibited under the investment guidelines.
The investment guidelines established with each separate account manager for the Plan set forth the guidelines for the commitments that an investment manager may make with respect to derivative instruments. This investment policy does not apply to unleveraged securitized pools of assets or instruments with structured payment characteristics. Within the scope of the investment guidelines, the Plan may be invested in futures and options contracts and swaps.
Risks arise from adverse changes in the fair value of these contracts (market risk) and from losses that result from the failure (or absence) of internal controls to prevent or detect problems (control risk).
Futures and Options — The trust held certain futures contracts on Eurodollars at December 31, 2012 and 2011 within the underlying investments of the PIMCO Real Return Fund and PIMCO Core Fixed Income Fund during 2012 and 2011, and the Stable Value Program during 2011. Both written and purchase options were used in the underlying investments. When the investment manager purchases or writes an option, an amount equal to the premium paid or received by the Plan is recorded as an asset or liability and is subsequently adjusted to the current market value of the option purchased or written. The fair value of these investments during 2012 and 2011 was immaterial and the changes in fair value are accounted for as net appreciation in fair value of investments in the statement of changes in net assets available for benefits.
Swaps — Under the investment managers’ standard International Swap and Derivatives Association agreements, counterparty risk is limited by provisions which allow for the mutual exchange of collateral should a swap’s market value exceed $250,000. Further, the investment managers are instructed to restrict trading to only those counterparties with the largest capitalization and highest credit ratings in the industry. Investment manager policy is to execute swaps only with counterparties whose credit rating is A-/A3 or better, unless otherwise approved by the Plan. As of December 31, 2012 and 2011, the investment assets held by the Plan included positions in several interest rate swaps where fixed rates were paid to counterparties in exchange for floating rates. These assets were held within the underlying investments of the PIMCO Core Fixed Income Fund and PIMCO Real Return Fund during 2012 and 2011 and the Stable Value Program during 2011. The Plan had several positions in credit default swaps as of December 31, 2011 within the underlying investments of the PIMCO Real Return Fund and the
PIMCO Core Fixed Income Fund. The Plan also had several positions in inflation swaps as of December 31, 2012 within the underlying investments of the PIMCO Real Return Fund. The fair value of these investments during 2012 and 2011 was immaterial and the changes in fair value are accounted for as net appreciation in fair value of investments in the statement of changes in net assets available for benefits
Forward Foreign Currency Contracts — The Plan may enter into forward foreign currency contracts in order to hedge certain foreign currency denominated investments. Forward foreign currency commitments, however, are generally entered into with counterparties of high credit quality; therefore, the risk of nonperformance by the counterparties is considered negligible. Additionally, the Plan’s investment guidelines require that the forward foreign currency contracts be restricted in their application and used for economic hedging purposes. The Plan had positions in forward foreign currency contracts in the PIMCO Real Return Fund and MSIM Emerging Market Debt SA Fund as of December 31, 2012 and within the underlying investments of the Stable Value Program and the PIMCO Real Return Fund as of December 31, 2011. The fair value of these investments during 2012 and 2011 was immaterial and the changes in fair value are accounted for as net appreciation in fair value of investments in the statement of changes in net assets available for benefits
Investments sold but not yet purchased (commitment to purchase agreements) and securities purchased under agreements to resell (reverse repurchase agreements) — The investment manager, PIMCO, entered into several positions as a seller of “to be announced” securities (“TBA securities”), a tool used to purchase or sell mortgage pass-through securities (“MBS”). PIMCO has advised that it may choose to continue rolling TBA securities to a future delivery date on behalf of the Plan rather than taking delivery of the MBS securities. The fair value of investments sold but not yet purchased was $22,558,455 as of December 31, 2011. The fair value of securities purchased under agreements to resell was $254,892 and $21,400,000 as of December 31, 2012 and 2011, respectively. Changes in fair value are accounted for as net appreciation in fair value of investments in the statement of changes in net assets available for benefits
The Stable Value Program (the “Program”) was a separately-managed account held for the Plan within the Master Trust whereby participants had the opportunity to execute Plan transactions at contract value. Contract value generally represented contributions made to the Program, plus earnings, less participant withdrawals and certain expense items. The Program was terminated in 2012 at contract value and removed as an investment option under the Plan after July 31, 2012
The Program was primarily composed of a portfolio of bonds and other fixed income securities owned by the Master Trust, plus investment contracts issued by financial institutions that are designed to provide (i) a contract value “wrap” around the majority of the Program’s underlying fixed income portfolio (the “Wrapped Assets”) and (ii) a stabilized interest crediting rate on the Wrapped Assets (the “Wrap Crediting Rate”), which was reset monthly, but not below zero. Under an agreement among the Plan Sponsor, Program Advisor and contract issuers, the (i) Wrap Crediting Rate, as determined under each wrap contract, after deducting the cost of each contract, was not to be less than 1.50% per year from November 1, 2009 through March 31, 2011 and was not to be less than 1.00% per year from April 1, 2011 through October 31, 2011, and was not to be less than 0.50% per year after November 1, 2011, unless renegotiated, and (ii) cost of each wrap contract was to be limited to eight basis points per annum on Wrapped Assets. The wrap contracts sought to amortize realized and unrealized gains and losses on the Wrapped Assets over their duration through adjustments to future Wrap Crediting Rates. Unless otherwise agreed upon, the primary variables impacting future Wrap Crediting Rates included the current yield, duration, any existing difference between market and contract values of the Wrapped
Assets and contract issuer, and Program and portfolio management fees. In addition to its Wrapped Assets, for liquidity purposes, the Program invested in short-term cash and equivalents which were not subject to the wrap contracts or otherwise guaranteed. The Program Crediting Rate (or yield) was the annualized rate a participant received on an investment in the Program equal to the sum of (i) the Wrap Crediting Rate multiplied by the percentage of the Program’s assets that were Wrapped Assets, and (ii) the annualized actual market returns on the Program’s assets invested in short-term cash and equivalents (which changed daily) multiplied by the percentage of the Program’s assets invested for liquidity, adjusted for costs.
Wrap Contracts — Although the terms of the Program’s wrap contracts varied, wrap contracts generally were structured to be “evergreen”, subject to certain termination provisions. Wrap contracts typically permitted termination by the entity retained by the Plan’s investment committee to manage the Program’s wrap contracts and liquidity (the “Program Advisor”) upon notice at market value. Also, wrap contracts typically provided for automatic termination if the contract value or the market value of the contract equaled zero. If the market value equaled zero due to a contract value withdrawal (but not a market value withdrawal), the contract issuer generally needed to pay the Program the remaining contract value. If the Program defaulted in its obligations under the agreement and such default was not cured within the time permitted, then the wrap contract could be terminated by the contract issuer at market value. Generally, wrap contracts permitted the contract issuer or Program Advisor to elect at any time to convert the wrapped portfolio to a declining duration strategy whereby the contract would have terminated on a date which was based on the duration of the Wrapper Assets on the date of such election (“Amortization Election”). After the effective date of an Amortization Election, the Wrapped Assets were required to conform to the guidelines agreed upon by the contract issuer and the Program Advisor for the Amortization Election period. Such guidelines were intended to result in a contract value equaling market value of the Wrapped Assets by such termination date. Other termination events would have applied under a particular wrap contract.
Certain Risks —It was the policy of the Program to maintain a stable net asset value (NAV), although there was no guarantee that the Program would be able to do so. If any wrap contract terminated or otherwise failed to support the Program’s contract value, and if the market value of Wrapped Assets was less than their contract value, the Program’s NAV was subject to decline. The Program’s ability to receive amounts due under the wrap contracts was dependent on the issuers’ ability to meet their financial obligations. The wrap issuers’ ability to meet their contractual obligations under the wrap contracts were subject to future economic and regulatory developments.
As of December 31, 2011, the Program’s yield was 0.50%, its contract value was $574,372,686, and its fair market value net of receivables and payables was $569,438,610.
| 6. | EXEMPT PARTY-IN-INTEREST TRANSACTIONS |
As of December 31, 2012, there were 35 investment options within the trust available in the Plan, seven of which are managed by Morgan Stanley Investment Management, 27 of which are managed by third parties and one of which is an employer stock fund (the Morgan Stanley Stock Fund). Management fees paid out of the trust for 2012 were $1,673,469 of which $47,116 related to party-in-interest investments. Total party-in-interest investments amounted to $2,458,671,527 and $2,993,222,172 as of December 31, 2012 and 2011, respectively. The Mellon S&P 500 Fund is a common collective trust sponsored by the Former Trustee. Total investments for this fund were $328, 473,545 as of December 31, 2011. The Dreyfus Corporation, an affiliate of The Bank of New York Mellon, was an external investment advisor for the Stable Value Program under the Plan until it was no longer available as an investment option in 2012. The Stable Value Program held $574,372,686 as of December 31, 2011. The remaining party-in-interest investments, with assets totaling $2,458,671,527 and $2,090,475,941 as of December 31, 2012
and 2011, respectively, and appreciation of $275,730,941 during the year ended December 31, 2012, are the Morgan Stanley Stock Fund and funds managed by Morgan Stanley Investment Management, an affiliate of the Plan Sponsor.
Certain officers and employees of the Plan Sponsor (who may also be participants in the Plan) perform administrative services related to the operation, record keeping and financial reporting of the Plan. The Plan Sponsor pays these salaries and other administrative expenses on behalf of the Plan. Certain fees, including fees for the investment management services, to the extent not paid by the Plan Sponsor, are paid by the Plan.
As of December 31, 2012 and 2011, the trust held 449,545,109 units and 406,334,128 units, respectively, of common stock of Morgan Stanley with a cost basis of $1,422,528,754 and $1,428,084,797, respectively. Eligible participants have the opportunity to elect to receive current cash payment of the dividends paid on the Morgan Stanley Stock Fund held within the Plan to the extent provided in the Plan. The Morgan Stanley Stock Fund had dividend income of $11,192,039 for the year ended December 31, 2012.
| 7. | FEDERAL INCOME TAX STATUS |
The Internal Revenue Service (the “IRS”) has determined and informed the Plan Sponsor by a letter dated May 13, 2009, that the Plan and its related trust were designed in accordance with the applicable provisions of the Code. The Plan has been amended since receiving this letter, however, the Plan Sponsor and the Plan Administrator believe the Plan is currently designed and operated in compliance with the applicable requirements of the Code. On January 30, 2012, the Plan Sponsor submitted an application to the IRS for a determination that the Plan and its related trust continue to be designed in accordance with the applicable provisions of the Code.
The Plan Sponsor has analyzed the tax positions taken by the Plan, and has concluded that as of December 31, 2012, there are no uncertain tax positions taken by the Plan that would require recognition of a liability (or asset) or disclosure in the financial statements. The Plan is subject to routine audits by taxing jurisdictions; however, there are currently no audits for any tax periods in progress. The Plan Sponsor believes it is no longer subject to income tax examinations for years prior to 2009.
| 8. | INTEREST IN MORGAN STANLEY DEFINED CONTRIBUTION MASTER TRUST |
All of the Plan’s investments are held in a trust account at the Trustee. Prior to January 3, 2012, the trust account was held by the Former Trustee. Prior to December 31, 2012, all of the Plan’s investments consisted of an interest in an investment account of the Master Trust, established by the Plan Sponsor and administered by the trustee. Use of the Master Trust permitted the commingling of certain assets of the Plan and the Savings Plan for investment and administrative purposes. However, although these assets of the Plan and the Savings Plan were commingled in the Master Trust for investment purposes, the trustee maintained supporting records for the purpose of allocating the net appreciation or depreciation of the investment account to the participating plans. The net investment income of the investment assets was allocated by the trustee to each participating plan based on the performance of each investment attributable to each plan. The Plan did not participate in the BlackRock Liquidity Funds - FedFund Institutional Portfolio held in the Master Trust until August 1, 2012, and the Savings Plan did not participate in the Stable Value Program held in the Master Trust. As of December 31, 2011, the Plan’s interest in the Master Trust was approximately 87%.
The following table represents the fair values of the investments of the Master Trust as of December 31, 2011:
| | | | |
| | | | |
| Investments: | | | |
| Registered investment companies | | | |
| Equity | | | |
| Party-in-interest | | $ | 1,192,436,620 | |
| Other | | | 345,464,053 | |
| Money Market (other) | | | 53,215,996 | |
| Real Estate Investment Trust (party-in-interest) | | | 97,997,675 | |
| Fixed income (other) | | | 136,026,346 | |
| Managed Accounts | | | | |
| Morgan Stanley Common Stock (party-in-interest) | | | 727,354,675 | |
| PIMCO Real Return (other) | | | 131,073,049 | |
| PIMCO Core Fixed Income (other) | | | 148,273,995 | |
| MSIM Emerging Markets Debt SA (party-in-interest) | | | 72,686,972 | |
| Systematic Mid Cap Value (other) | | | 26,335,524 | |
| Stable Value Program (party-in-interest) | | | 569,438,610 | |
| Common collective trust—balanced | | | | |
| Party-in-interest | | | 328,473,545 | |
| Other | | | 733,801,614 | |
| Investments at fair value | | | 4,562,578,674 | |
| Adjustment from fair value to contract value for fully | | | | |
| benefit-responsive investment contracts | | | 4,934,076 | |
| | | | | |
| Total investments | | $ | 4,567,512,750 | |
Plan’s interest in Master Trust investments at fair value | | $ | 3,984,343,510 | |
In accordance with GAAP, the Master Trust presents investment contracts at fair value, as well as an additional line item above and on the Plan’s statement of net assets available for benefits showing an adjustment of the fully benefit-responsive investment contracts from fair value to contract value. Net investment income for the investment contracts is presented on a contract value basis. Fair value is based on the market value of underlying portfolio. The contract value represents contributions made to the Stable Value Program, plus earnings, less participant withdrawals and less fees paid.
The following table represents net investment appreciation (depreciation) for the Master Trust for the year ended December 31, 2012:
| Net appreciation (depreciation): | | | |
| Registered investment companies | | | |
| Equity | | | |
| Party-in-interest | | $ | 164,692,572 | |
| Other | | | 48,118,369 | |
| Money market (other)* | | | 5,573,134 | |
| Real Estate Investment Trust (party-in-interest) | | | 38,275,629 | |
| Fixed income (other) | | | 44,056,271 | |
| Commodities (other) | | | 5,922,323 | |
| Managed Accounts | | | | |
| Morgan Stanley Common Stock (party-in-interest) | | | 60,160,230 | |
| T. Rowe Price Large Cap Value (other) | | | 4,988,155 | |
| PIMCO Real Return (other) | | | 29,298,332 | |
| PIMCO Core Fixed Income (other) | | | 22,851,961 | |
| Shenkman Capital High Yield Bond (other) | | | (1,197,651 | ) |
| MSIM Emerging Markets Debt SA (party-in-interest) | | | 12,602,510 | |
| Systematic Mid Cap Value (other) | | | 8,908,813 | |
| Common collective trusts—balanced | | | | |
| Party-in-interest | | | 79,961,766 | |
| Other | | | 148,533,064 | |
| | | | | |
| Total net appreciation in fair value of investments | | | 672,745,478 | |
| | | | | |
| Total interest** | | | 39,116,838 | |
| Total dividends | | | 9,870,830 | |
| | | | | |
| Total Master Trust net investment income | | $ | 721,733,146 | |
| | | | | |
| Plan's interest in Master Trust net investment income | | $ | 620,047,367 | |
* The BlackRock Liquidity Funds - FedFunds Institutional Portfolio was only available as an investment option for participants of the Savings Plan through July 31, 2012 and then became an available investment option for participants of the Plan.
** Includes appreciation related to the Stable Value Program. The Stable Value Program was only available as an investment option for participants of the Plan through July 31, 2012, when the investment was removed from the 401(k) Plan
| 9. | RECONCILIATION TO FORM 5500 |
The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of December 31, 2011. There were no reconciling items as of December 31, 2012:
| Net assets available for benefits per the financial statements | | $ | 4,202,818,590 | |
| Adjustment from contract value to fair value for fully | | | | |
| benefit-responsive investment contracts | | | (4,934,076 | ) |
| | | | | |
| Net assets available for benefits per the Form 5500 | | $ | 4,197,884,514 | |
The following is a reconciliation of the increase in net assets available for benefits per the financial statements to net income per the Form 5500 for the year ended December 31, 2012:
| Increase in net assets available for benefits per the financial statements | | $ | 620,593,095 | |
| Adjustment from contract value to fair value for fully | | | | |
| benefit-responsive investment contracts December 31, 2011 | | | 4,934,076 | |
| | | | | |
| Net income per the Form 5500 | | $ | 625,527,171 | |
| 10. | FAIR VALUE MEASUREMENTS |
The following investment option disclosures apply to the investment funds as of December 31, 2012 and 2011.
Registered Investment Companies (“RIC’s”) – Mutual funds are registered with the Securities and Exchange Commission and are intended to meet the requirements of the Investment Company Act of 1940 with respect to income distribution, fee structure, and diversification of assets. Mutual funds are generally marked to quoted prices or net asset value (“NAV”) and are categorized in Level 1 of the fair value hierarchy if based upon prices which are observable in an active market. The PIMCO Foreign Bond (unhedged) fund requires the trustee to calculate the fair value since the fund has a daily interest rate factor that pays a monthly dividend and therefore the fund is categorized as Level 2 of the fair value hierarchy. During 2012, the trust account held investments in MSIF Funds, the Royce Special Equity Fund, Highbridge Dynamic Commodities, PIMCO Low Duration Fund, PIMCO Foreign Bond (unhedged) and the BlackRock Liquidity Funds - FedFund Institutional Portfolio. During 2011, the trust account held investments in MSIF Funds, the Royce Special Equity Fund, the Dodge & Cox Stock Fund, the Invesco Van Kampen Growth & Income Fund, the Stone Harbor High Yield Bond Fund and the Eaton Vance Global Macro Absolute Return Fund. There were no unfunded commitments and no restricted redemption notice periods. With the exception of the BlackRock Liquidity Funds - FedFund Institutional Portfolio investment option which has no restrictions on sales, the Plan prohibits the sale of these investment options within 30 days of a purchase into that investment option.
Managed Accounts – The Plan holds investments in the Morgan Stanley Common Stock Fund (“the Fund”) holding Morgan Stanley common stock and containing a short-term investment fund to facilitate
participant transactions in and out of the Fund. The NAV of the Fund is determined by the trustee based on observable inputs provided by the investment manager, but is not listed or traded on an active exchange and therefore the fund is categorized as Level 2 of the fair value hierarchy. There were no unfunded commitments and no restricted redemption notice periods. The Company has specific rules that govern employee transactions in Morgan Stanley stock. Employees may transact in Morgan Stanley stock (including the Fund) only during a window period. Shorter window periods apply to those employees deemed Access Persons (as defined in the Company’s employee trading policy) by the Company. Access Persons are prohibited from selling the Fund within six months of a purchase.
The separate accounts (“Separate Accounts”) are professionally managed portfolios of securities that use pooled money to buy investments owned by the trust account for the benefit of participants. The participants share in the appreciation and depreciation in proportion to their contribution to the account. Separate Accounts are administered and supervised by investment managers who decide how to invest funds contributed by investors. During 2012 and 2011, the Plan held separate account investments in the MSIM Emerging Markets Debt Fund, the Systematic Mid Cap Value Fund, the Shenkman Capital High Yield Bond Fund, the T. Rowe Price Large Cap Value Fund, the PIMCO Core Fixed Income Fund, the PIMCO Real Return Fund and the Stable Value Program. The trustee is responsible for determining the Separate Accounts’ fair value. Terms of the agreements with the investment managers (“Investment Management Agreements”) for the Separate Accounts, other than the Stable Value Program, permit the termination of the agreement and the distribution of the Separate Accounts’ securities at fair value and, as such, the Separate Accounts, other than the Stable Value Program, are categorized as Level 2 of the fair value hierarchy. There were no unfunded commitments and no restricted redemption notice periods. With the exception of the Stable Value Program, an investment option until July 31, 2012 which had no restrictions on sales, the Plan prohibits the sale of these investment options within 30 days of a purchase into that investment option.
The Stable Value Program invested in wrap contracts with Royal Bank of Canada, Bank of America and NATIXIS Financial Products, which were collateralized by shares of the PIMCO Core Moderate Duration Portfolio and the JPMorgan Custom Stable Value Portfolio, which were separately managed accounts, and the BlackRock Custom Stable Value Portfolio, which consisted of commingled funds. In addition to the wrap contracts and collateralized assets, the Program invested in the MSILF Prime Portfolio and a short-term investment fund at the Former Trustee. The Program was carried at contract value and the fair value of the underlying assets was determined by the Program Advisor. The Dreyfus Corporation, who had management responsibility for the Program. Since participants transacted in the Stable Value Program Fund at contract value and the fair value of the underlying assets was determined by the Program Advisor, the fair value of the Stable Value Program was categorized as Level 3 in the fair value hierarchy. There were no unfunded commitments, no restricted redemption notice periods and no restriction on the frequency of redemptions.
Common/ Collective Trust Funds – Each investment fund is administered and supervised by its respective investment manager who decides how to invest the contributed funds. The investment manager is responsible for determining the fund’s NAV. If there is a fee accrual, the trustee is responsible for determining the fair value. During 2012 and 2011, the trust account held investments in funds managed by BlackRock, Inc., in the Pyramis Select International Small Cap Fund, in the Artisan International Growth Trust and in a collective trust sponsored by the Former Trustee. Terms of the Investment Management Agreements permit the termination of the agreement and the receipt of the fund securities at fair value within 30 days and, because transactions into or out of the funds are at fair value, Common/ Collective Trust Funds are categorized as Level 2 of the fair value hierarchy. There were no unfunded commitments and no restricted redemption notice periods. Other than the funds managed by BlackRock, Inc., from which the Plan does not restrict the frequency of redemptions, the Plan prohibits the sale of the Common/ Collective Trust Fund investment options within 30 days of a purchase into that
investment option. A 2% redemption fee applies to all transfers out of the Pyramis Select International Small Cap Fund within 90 days of acquisition for disposition of shares other than for loans, hardship withdrawals, minimum required distributions, redemptions pursuant to systematic withdrawal programs, forfeiture of assets, return of excess contribution amounts, redemptions related to death, disability, or qualified domestic relations orders and payment of plan fees.
The following tables set forth by level within the fair value hierarchy the Plan’s investment assets at fair value as of December 31, 2012 and the Master Trust’s investment assets of as December 31, 2011. There were no transfers of investment funds between levels for either year.
| | | Plan’s Investment Assets at Fair Value as of December 31, 2012 | |
| | | Quoted Prices in Active Markets for Identical Assets | | | Significant Observable Inputs | | | Significant Unobservable Inputs | | | | |
| | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Registered Investment Companies | | | | | | | | | | | | |
| Equity Funds | | $ | 1,360,778,229 | | | $ | - | | | $ | - | | | $ | 1,360,778,229 | |
| Money Market Funds | | | 593,529,517 | | | | - | | | | - | | | | 593,529,517 | |
| Real Estate Investment Trust Funds | | | 141,755,920 | | | | - | | | | - | | | | 141,755,920 | |
| Fixed Income Funds | | | 37,012,599 | | | | 51,603,956 | | | | - | | | | 88,616,555 | |
| Commodity Fund | | | 6,099,748 | | | | - | | | | - | | | | 6,099,748 | |
| Managed Accounts | | | | | | | | | | | | | | | | |
| Morgan Stanley Common Stock Fund | | | - | | | | 1,015,963,824 | | | | - | | | | 1,015,963,824 | |
| T. Rowe Price Large Cap Value | | | - | | | | 401,992,114 | | | | - | | | | 401,992,114 | |
| PIMCO Real Return | | | - | | | | 178,671,969 | | | | - | | | | 178,671,969 | |
| PIMCO Core Fixed Income | | | - | | | | 150,719,949 | | | | - | | | | 150,719,949 | |
| Shenkman Capital High Yield Bond | | | - | | | | 100,109,226 | | | | - | | | | 100,109,226 | |
| MSIM Emerging Markets Debt SA | | | - | | | | 85,848,230 | | | | - | | | | 85,848,230 | |
| Systematic Mid Cap Value | | | - | | | | 36,959,524 | | | | - | | | | 36,959,524 | |
| | | | | | | | | | | | | | | | | |
| Common/ Collective Trusts | | | - | | | | 1,335,652,656 | | | | - | | | | 1,335,652,656 | |
| | | | | | | | | | | | | | | | | |
| Total Investment in the Plan | | $ | 2,139,176,013 | | | $ | 3,357,521,448 | | | $ | - | | | $ | 5,496,697,461 | |
| | | Master Trust’s Investment Assets at Fair Value as of December 31, 2011 | |
| | | Quoted Prices in Active Markets for Identical Assets | | | Significant Observable Inputs | | | Significant Unobservable Inputs | | | | |
| | | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Registered Investment Companies | | | | | | | | | | | | |
| Equity Funds | | $ | 1,537,900,673 | | | $ | - | | | $ | - | | | $ | 1,537,900,673 | |
| Money Market Funds | | | 53,215,996 | | | | - | | | | - | | | | 53,215,996 | |
| Real Estate Investment Trust Funds | | | 97,997,675 | | | | - | | | | - | | | | 97,997,675 | |
| Fixed Income Funds | | | 90,834,164 | | | | 45,192,182 | | | | - | | | | 136,026,346 | |
| Managed Accounts | | | | | | | | | | | | | | | | |
| Morgan Stanley Common Stock Fund | | | - | | | | 727,354,675 | | | | - | | | | 727,354,675 | |
| PIMCO Real Return | | | - | | | | 148,273,995 | | | | - | | | | 148,273,995 | |
| PIMCO Core Fixed Income | | | - | | | | 131,073,049 | | | | - | | | | 131,073,049 | |
| MSIM Emerging Markets Debt SA | | | - | | | | 72,686,972 | | | | - | | | | 72,686,972 | |
| Systematic Mid Cap Value | | | | | | | 26,335,524 | | | | | | | | 26,335,524 | |
| Stable Value Program | | | - | | | | - | | | | 569,438,610 | | | | 569,438,610 | |
| | | | | | | | | | | | | | | | | |
| Common/ Collective Trusts | | | - | | | | 1,062,275,159 | | | | - | | | | 1,062,275,159 | |
| | | | | | | | | | | | | | | | | |
| Total Investment in Master Trust | | $ | 1,779,948,508 | | | $ | 2,213,191,556 | | | $ | 569,438,610 | | | $ | 4,562,578,674 | |
Changes in Level 3 Assets Measured at Fair Value — The table below sets forth a summary of changes in the fair value of the Master Trust’s Level 3 investment for the year ended December 31, 2012.
| | | Balance, beginning of year | | | Realized, gains/(losses) | | | Unrealized, gains/(losses) | | | Purchases | | | Sales | | | Settlements | | | Balance, end of year | | | The amount of total gain (loss) for the period included in net assets attributable to the change in unrealized gain (loss) related to assets still held at the reporting date | |
| Stable Value Program | | $ | 569,438,610 | | | $ | 5,829,557 | | | $ | - | | | $ | 569,101,789 | | | $ | (590,967,384 | ) | | $ | (553,402,572 | ) | | $ | - | | | $ | - | |
The valuation methods as described in Note 2 may produce a fair value calculation that may not be indicative of net realizable value or reflective of future fair values. Furthermore, although the Plan believes its valuation methods are appropriate and consistent with other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a different fair value measurement at the reporting date.
For the year ended December 31, 2012, subsequent events were evaluated through the date the financial statements were issued. There were no subsequent events requiring recognition or disclosure in the financial statements.
SUPPLEMENTAL SCHEDULE
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Cash and cash equivalents | | | | | |
| | Cash | | | | $ | 621,991 | |
| | Interest-Bearing Cash | Foreign Currency And Collaterals | | | | 25,540,309 | |
| | Cash Collateral | Payable From Credit Suisse Ag | | | | 260,000 | |
| | | | | | | | |
| | U.S. Government Securities | | | | | | |
| | Fed Natl Mtg Assn | Gtd Mtg Pool #Ad9083 4due 07-01-2025 Reg | | | | 19,722 | |
| | Fed Natl Mtg Assn | Gtd Mtg Pool #Al1378 6due 02-01-2027 Beo | | | | 387,105 | |
| | Federal Home Ln Mtg Corp | Remic Ser 3923 Cl Sg Fltg Rt | | | | 26,685 | |
| | Federal Home Ln Mtg Corp | 3918 Cs Fltg 9-15-2041 | | | | 128,283 | |
| | Federal Natl Mtg Assn Gtd Mtg | Ah6737 4 2-1-2026 | | | | 1,818,363 | |
| | Federal Natl Mtg Assn Gtd Mtg | Pool #Ah9391 4% 03-01-2026 | | | | 355,225 | |
| | Federal Natl Mtg Assn Gtd Mtg | Pool #Ai2095 4% 05-01-2026 | | | | 1,543,938 | |
| | FHLMC | Gold Q0-0543 Q00543 4.5 05-01-2041 | | | | 625,812 | |
| | FHLMC | Gold Single Family 4% 30 Years Settles January | | | | 1,067,500 | |
| | FHLMC | Multiclass Ser 3828 Cl Sy 02-15-2041 Fltg | | | | 25,515 | |
| | FHLMC | Multiclass Ser 3951 Cl Us Fltg 02-15-2040 | | | | 103,413 | |
| | FHLMC | Preassign 00074 2.375 01-13-2022 | | | | 1,044,675 | |
| | FNMA | Pool #Ab1475 4.5% 09-01-2040 Beo | | | | 35,980 | |
| | FNMA | Pool #Ab1609 4% 10-01-2025 Beo | | | | 2,164,802 | |
| | FNMA | Pool #Ab2054 3.5% 01-01-2026 Beo | | | | 2,977,163 | |
| | FNMA | Pool #Ab3314 4.5 07-01-2041 | | | | 678,641 | |
| | FNMA | Pool #Ad8425 3.5% 09-01-2025 Beo | | | | 351,889 | |
| | FNMA | Pool #Ae6120 4% 10-01-2040 Beo | | | | 800,127 | |
| | FNMA | Pool #470989 2.9% Due 06-01-2020 Beo | | | | 425,977 | |
| | FNMA | Remic Tr 2010-2 Cl-Gf Fltg 12-25-2049 | | | | 216,573 | |
| | FNMA | Ser 2011-40 Cl Sx Var Rt Due 11-25-2040 | | | | 21,015 | |
| | FNMA | Ser 2011-86 Cl Nf Fltg Rt Due 09-25-2041 | | | | 189,318 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | U.S. government securities (continued) | | | | |
| | FNMA | Single Family Mortgage 4.5% 30 Years Settles Feb | | | $ | (3,238,710 | ) |
| | FNMA | Single Family Mortgage 4.5% 30 Years Settles Jan | | | | 19,443,510 | |
| | FNMA | Single Family Mortgage 4% 15 Years Settles Jan | | | | (1,070,781 | ) |
| | FNMA | Single Family Mortgage 4% 30 Years Settles Feb | | | | 4,285,000 | |
| | FNMA | Single Family Mortgage 5% 30 Years Settles Jan | | | | 3,249,375 | |
| | FNMA | Single Family Mtg 5 30 Years Settles Feb | | | | 3,249,843 | |
| | FNMA | Fnra 361225be#Mbs Remic Adjustable 12-25-2036 | | | | 366,438 | |
| | FNMA | 2.375 Due 07-28-2015 | | | | 3,154,071 | |
| | GNMA I | Single Family Mtg 3 30 Years Settles Feb | | | | 2,121,562 | |
| | Fannie Mae | Fltg Ser 2007-34 Cl S 04-25-2037 | | | | 278,407 | |
| | FHLMC | Multiclass Ser 3147 Cl Ls 04-15-2036 | | | | 379,121 | |
| | FHLMC | Multiclass Ser 3218 Cl As 09-15-2036 | | | | 360,961 | |
| | FHLMC | Multiclass Ser 3218 Cl Sa Flg Rt Due 09-15-2036 | | | | 40,369 | |
| | FNMA | Fnr 2007-56 Gs Flt Rt 06-25-2037 | | | | 391,460 | |
| | FNMA | Fr Cmo 25/03/37 Usd 03-25-2037 | | | | 38,972 | |
| | FNMA | Remic Ser 2005-84 Cl-Sg Flt Rt 10-25-2035 | | | | 196,071 | |
| | FNMA | Remic Tr 2009-87 Cl-Hs Var Rate 11-25-2039 | | | | 38,911 | |
| | FNMA | Ser 2007-32 Cl Sa Fltg Rt 04-25-2037 | | | | 142,179 | |
| | FNMA | Ser 2007-4 Cl Sl Fltg Rt 02-25-2037 | | | | 27,024 | |
| | FNMA | Ser 2007-89 Cl Sd Fltg Rt 09-25-2037 | | | | 289,693 | |
| | FNMA | 2007-15 Cl Ai Var 03-25-2037 | | | | 81,047 | |
| | NCUA | Gtd Nts Tr 2010-R2 Gtd Nt Cl I-A Due 11-06-2017 Reg | | | | 653,607 | |
| | FNMA | Remic Tr 2011-60 Cl-Oa Prin Only 08-25-2039 Reg | | | | 402,612 | |
| | Small Business Admin | Gtd Dev Partn Ctf 5.12 Due 11-01-2027 | | | | 1,133,464 | |
| | Tsy | Infl Ix N/B 0.75% Deb 02-15-2042 02-15-2042 | | | | 2,915,154 | |
| | United States Of Amer | Treas Bonds 5.0808725 04-15-2028 | | | | 12,695,705 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | U.S. government securities (continued) | | | | |
| | United States Of Amer | Treas Notes 1.375 Nts Tips 1/15/2020 | | | $ | 4,945,296 | |
| | United States Of Amer | Treas Bds Index Linked 1.75 Due 01-15-2028 | | | | 2,715,663 | |
| | United States Of Amer | Treas Bds Inflation Index Linked 3.875% 04-15-2029 | | | | 6,996,854 | |
| | United States Of Amer | Treas Bds 2.125 2-15-2041 | | | | 1,091,843 | |
| | United States Of Amer | Treas Nts Dtd 00399 04-15-2017 | | | | 13,305,389 | |
| | United States Of Amer | Treas Nts Dtd 00410 .75% Due 06-30-2017 Reg | | | | 9,043,383 | |
| | United States Of Amer | Treas Nts Dtd 08/15/2012 1.625% Due 08-15-2022 | | | | 14,305,507 | |
| | United States Of Amer | Treas Nts Dtd 08/31/2012 .625% Due 08-31-2017 | | | | 1,198,874 | |
| | United States Of Amer | Treas Nts Index Linked 2.375 Due 01-15-2017 | | | | 266,635 | |
| | United States Of Amer | Treas Nts 1.25% Tips 15/04/20 Usd1000 07-15-2020 | | | | 6,165,393 | |
| | United States Of Amer | Treas Nts 2 Due 02-15-2022 | | | | 413,656 | |
| | United States Of Amer | Treasury Bills 08-22-2013 Dtd08/23/2012 | | | | 360,704 | |
| | United States Of Amer | Bds Index Linked Notes 2.375 Due 01-15-2027 Reg | | | | 1,897,794 | |
| | United States Of Amer | Bds Index Linked 2.00 Due 01-15-2026 Reg | | | | 2,751,128 | |
| | United States Of Amer | Bds Index Linked 2.5 Due 01-15-2029 Reg | | | | 9,373,602 | |
| | United States Of Amer | Infl Indexed Bonds 2.375 Due 01-15-2025 Beo | | | | 21,355,256 | |
| | United States Of Amer | Nts Index Linked Note .125 Due 01-15-2022 Reg | | | | 3,163,104 | |
| | United States Of Amer | Nts Index Linked Notes 1.375 Due 07-15-2018 Reg | | | | 1,748,181 | |
| | United States Of Amer | Nts Index Linked Notes 1.625 Due 01-15-2015 Reg | | | | 5,019,577 | |
| | United States Of Amer | Treasury Nts Index Linked 1.875 Due 07-15-2013 | | | | 127,974 | |
| | United States Of Amer | Treasury Nts Index Linked 1.875 Due 07-15-2015 Reg | | | | 129,656 | |
| | United States Of Amer | Treasury Nts Index Linked 1.875 Due 07-15-2019 Reg | | | | 20,569,838 | |
| | United States Of Amer | Treasury Nts Index Linked 2.00 Due 01-15-2016 Reg | | | | 2,067,544 | |
| | United States Of Amer | Treasury Nts Inflation Indexed 2.00 Due 07-15-2014 Reg | | | | 2,848,917 | |
| | United States Of Amer | Treasury Nts Inflation Linked 2.50 Due 07-15-2016 Reg | | | | 10,793,975 | |
| | United States Of Amer | Treasury Nts Tips Dtd 07-15-2011 07-15-2021 | | | | 6,883,295 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | U.S. government securities (continued) | | | | |
| | United States Of Amer | Treasury Nts Tips 07-15-2022 | | | $ | 21,293,059 | |
| | United States Of Amer | Treasury Dtd 02/15/2010 02-15-2040 | | | | 471,119 | |
| | United States Of Amer | Treasury Nts 0.5% Tips 15/04/15 Usd1000 04-15-2015 | | | | 7,796,433 | |
| | United States Of Amer | Treasury Nts 1.125% Tips 15/1/21 Usd1000 01-15-2021 | | | | 8,259,352 | |
| | United States Of Amer | Treas Zero Cpn 1.75% Due 05-15-2022 | | | | 10,540,622 | |
| | United States Of Amer | Treas 1% Due 08-31-2019 | | | | 7,754,300 | |
| | United States Of Amer | Treas 1% Due 11-30-2019 | | | | 5,743,810 | |
| | United States Of Amer | Treas 2.625 Due 07-15-2017 | | | | 1,337,413 | |
| | | | | | | | |
| | Preferred securities — corporate debt instruments | | | | | |
| | Bhp Billiton Fin | 6.5% Due 04-01-2019 | | | | 382,590 | |
| | Wesfarmers Ltd | 144a 2.983 Due 05-18-2016 | | | | 1,256,077 | |
| | Vale Overseas Ltd | 6.875% Due 11-21-2036 | | | | 123,958 | |
| | Potash Corp | Sask 6.5% Due 05-15-2019 | | | | 707,207 | |
| | Canadian Imperial Bk | Comm Toronto Ont Bd 144a 2% Due | | | | 700,980 | |
| | Callidus Debt Partners | Clo Fd Iv Ltd / Csr Secd Nt A-1b Fltg 144a 17 Apr 2020 | | | | 412,448 | |
| | Ipic Gmtn Ltd | Med Term Nt 144a 5% Due 11-15-2020 Beo | | | | 568,500 | |
| | Venture Vii Cdo Ltd / Venture Vii | Cdo Co Var Rt Due 01-20-2022 | | | | 576,000 | |
| | Wind Riv Clo I Ltd / Wind Riv | Clo I Corp Cl A-1 Fltg 144a Var 12-19-2016 | | | | 105,868 | |
| | Vale Overseas Ltd | 4.625% Due 09-15-2020 | | | | 216,100 | |
| | Banco Santander Chile | New Sr Nt Fltg 144a Var Rt Due 01-19-2016 | | | | 290,250 | |
| | Total Cap | 4.45% Due 06-24-2020 | | | | 463,333 | |
| | Ing Bk | Nv Fltg Due 10-18-2013 Beo | | | | 1,208,315 | |
| | Rabobank Nederland | Global Medium Term Ntvar Rt Due 02-04-2013 | | | | 599,970 | |
| | Shell Intl | Fin B V 3.25% Due 09-22-2015 | | | | 213,624 | |
| | Statoil | Asa 3.125 Due 08-17-2017 | | | | 653,020 | |
| | Granite Master Issuer Plc | 2006-3 Mtgbacked Nt Cl A7 Due 12-20-2054 Reg | | | | 299,314 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Preferred securities — corporate debt instruments (continued) | | | |
| | Granite Mtgs | 03-3 Plc 2003-3 Cl 1b Fltg Rate Due 01-20-2044 | | | $ | 65,068 | |
| | Granite Master Issuer Plc | 2006-1 Nt Cl A5 144a Var Rt 12-20-54 | | | | 689,332 | |
| | Royal Bk Scotland Plc | Sr Nt Fltg Rate Due 08-23-2013 Reg | | | | 277,912 | |
| | Vodafone Group Plc | 4.15% Due 06-10-2014 | | | | 1,213,057 | |
| | Vodafone Group Plc | 4.15% Due 06-10-2014 | | | | 104,919 | |
| | Goldman Sachs Grp | Fr Snr Nts 05/2015 Eur1000 | | | | 781,785 | |
| | Anheuser Busch | 2.5% Due 03-26-2013 | | | | 502,309 | |
| | Bhp Finance Ltd | 5.4% Due 03-29-2017 | | | | 699,882 | |
| | Citigroup Inc | Sr Nt Fltg Rate Due 11-05-2014 Reg | | | | 694,751 | |
| | Citigroup Inc | 5.85 Due 07-02-2013 Beo | | | | 1,025,504 | |
| | Banc Amer Coml Mtg Tr | 2007-3 Cl A-2 Flt Rt Due 06-10-2049 Beo | | | | 56,242 | |
| | Citigroup Coml Mtg Tr | 2007-Cd4 A2b 5.205 12-11-2049 Beo | | | | 64,631 | |
| | Coml Mtg Tr | 2007-Gg9 Mtg Passthru Ctf Cl A-4 5.444 Due 03-10-2039 Reg | | | | 575,860 | |
| | Commercial Mtg Ln Tr | 2008-Ls1 Mtg Pass Thru Ctf Cl A-4b Due 12-10-2049 | | | | 357,607 | |
| | CR Suisse Coml Mtg Tr | Ser 2007-C5 Due 09-15-2040 Reg | | | | 314,594 | |
| | Credit Suisse Coml Mtg Tr | Ser 2007-C2 Cl A-2 Var Rt Due 01-15-2049 | | | | 14,354 | |
| | CWMBS Inc | Ser 2004-Hyb2 Cl 6-A Flt Rt Due 07-20-2034 | | | | 198,406 | |
| | GS Mtg Secs Corp | Ser 2005-Ar6 Cl 1a1due 09-25-2035 Reg | | | | 328,307 | |
| | GS Mtg Secs Corp | 2004-Cw1 Cl Iia-1 6% Due 04-01-2034 | | | | 408,888 | |
| | J P Morgan Chase Coml Mtg Secs | 2006-L Cl A-4 5.399 Due 05-15-2045 | | | | 459,255 | |
| | Wachovia Bk Coml Mtg Tr | Coml Mtg Pass-Th Cl A-2 5.5 10-15-48 | | | | 57,982 | |
| | Wachovia Bk Coml Mtg Tr | 2004-C14 Passthru Ctcl A-4 5.047 06-15-2014 | | | | 381,910 | |
| | Cons Nat Gas Co | 5 Due 03-01-2014 Beo | | | | 713,333 | |
| | Dexia Cr Loc Acting Thru Its Ny | Gtd Nt Fltg Rate 144a Due 03-05-2013 | | | | 2,995,350 | |
| | Entergy Ark Inc | 3.75% Due 02-15-2021 | | | | 328,172 | |
| | HSBC FIN CORP | GLOBAL NT FLTG RATE DUE 06-01-2016 REG | | | | 990,862 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Preferred securities — corporate debt instruments (continued) | | | | |
| | Hsbc Fin Corp | 6.676% Due 01-15-2021 | | | $ | 2,200,718 | |
| | Jpmorgan Chase & | 3.45% Due 03-01-2016 | | | | 212,402 | |
| | Merrill Lynch & Co Inc | Med Term Nts Btranche # Tr 00667 5.45 Due 02-05-2013 | | | | 502,170 | |
| | Merrill Lynch & Co Inc | Tranche # Tr 00677 6.875% Due 04-25-2018 | | | | 602,727 | |
| | 4times Sqr Tr | 06-4ts Cmlmtg Pasthru Ctf 144a Cl A 5.4 Due 121328 | | | | 359,854 | |
| | Banc Amer Coml Mtg Tr | 2007-3 Coml 6-10-2049 | | | | 56,263 | |
| | Citigroup Commercial Mtg Tr | 2010-Rr3 Mlsr Var Rt 05-14-2017 | | | | 575,874 | |
| | J P M Chase Cml Mtg Secstr | 2011-C 11-C3 Cl A-3 4.3877 02-16-46 | | | | 571,557 | |
| | J P Morgan Chase Coml Mtg | Secs2011-C4 A-3 4.1063 Due 07-15-2018 | | | | 901,486 | |
| | Obp Depositor Llc Tr | 2010 Obp Ctf 144a 4.6462 Due 07-15-2045 | | | | 586,759 | |
| | Rbssp Resecuritization Tr | 2010-1 Cl 2-A1 144a Var 07-26-2045 | | | | 499,119 | |
| | Efs Volunteer No 3 Llc | Ser 2012-1 Cl A-1 Var Rt Due 10-25-2021 | | | | 229,594 | |
| | Ed Ln Fdg Master Tr-Ii | 2006-2 Ast Backed Nt A-3l 144a 08-25-2028 | | | | 192,930 | |
| | Groupe Bpce | 2.375 Due 10-04-2013 | | | | 908,267 | |
| | Hillmark Fdg Ltd | 2006-1a Cl A1 Fltg 05-21-2021 | | | | 578,286 | |
| | Kingsland I Ltd/Corp | 2005-1a Cl A-1a Var Rt Due 06-13-2019 | | | | 384,279 | |
| | Navigare Fdg I | Nt Cl A Fltg 144a 3c7 05-20-19 | | | | 395,748 | |
| | Stone Str Tr Tr | Secs Redeemable 144a 5.902% Due 12-15-2015 | | | | 547,330 | |
| | Southern Co | 2.375% Due 09-15-2015 | | | | 624,844 | |
| | Verizon Wireless | 5.55% Due 02-01-2014 | | | | 944,770 | |
| | Wellpoint Inc | 3.3% Due 01-15-2023 | | | | 307,801 | |
| | Wells Fargo & Co | 4.375% Due 01-31-2013 | | | | 401,189 | |
| | | | | | | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments | | | | | |
| | Goodman Fdg Pty Ltd | Gtd Sr Nt 144a6.375% Due 11-12-2020 | | | $ | 425,169 | |
| | National Australia Bank | 144a 2.5 Due 01-08-2013 | | | | 500,125 | |
| | Sydney Airport | Finance 144a 5.125 Due 02-22-2021 | | | | 444,880 | |
| | Aircastle Ltd | 6.75% Due 04-15-2017 | | | | 758,630 | |
| | Banco Santander S A | Global Ntranche # Tr00009 Var Rt Due 3-18-2014 | | | | 398,573 | |
| | Petrobras Intl | Fin 3.875% Due 01-27-2016 | | | | 633,002 | |
| | Barrick Gold Corp | Nt 6.95 Due 04-01-2019 | | | | 622,112 | |
| | Cascades Inc | 7.75% Due 12-15-2017 | | | | 378,585 | |
| | Cascades Inc | 7.875% Due 01-15-2020 | | | | 199,155 | |
| | Encana Corp | 6.5% Due 05-15-2019 | | | | 493,725 | |
| | Quebecor Media Inc | Sr Nt 5.75 Due 01-15-2023 Beo | | | | 380,404 | |
| | Valeant Pharmaceuticals Intl | Sr Nt6.375 Due 10-15-20 | | | | 536,250 | |
| | Teck Resources Ltd | 4.5% Due 01-15-2021 | | | | 435,216 | |
| | Celulosa Arauco Y | 5% Due 01-21-2021 | | | | 425,422 | |
| | Arcelormittal Sa | 5.75% Due 08-05-2020 | | | | 501,005 | |
| | Rci Banque S A | Nt 144a 3.4% Due 04-11-2014 Beo | | | | 304,771 | |
| | Driver Eight Gmbh Frn A | Bkd 02/2017 Eur 'A' | | | | 318,041 | |
| | Kabel Deutschland | Tl D Fac 31/12/2016 | | | | 531,127 | |
| | Unitymedia Hessen Gmbh & Co Kg | 144a 5.5 01-15-2023 | | | | 774,375 | |
| | Ardagh Packaging | 9.125% Due 10-15-2020 | | | | 511,210 | |
| | Intesa Sanpaolo S P A | Sr Med Term Nt Cl X 6.5 | | | | 316,112 | |
| | Intesa Sanpaolo Spa | Fltg Rt 144a Due 02-24-2014 | | | | 1,198,658 | |
| | Nissan Mtr Accep Corp | Nt 1.95 Due 09-12-2017 | | | | 405,465 | |
| | Bank Korea | Flt Rt 20/03/2015 | | | | 615,114 | |
| | Convatec Healthcare E S A | Sr Nt 144a 10.5% Due 12-15-2018/12-22-2010 | | | | 532,508 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | Silver Ii Borrower S C A | 7.75 Due 12-15-2020/12-13-2012 | | | $ | 672,750 | |
| | Banco Mercantil | 4.375% Due 07-19-2015 | | | | 314,250 | |
| | Petroleos | 5.5% Due 01-21-2021 | | | | 116,850 | |
| | Deutsche | Telekom 4.875% Due 07-08-2014 | | | | 952,254 | |
| | Lyondellbasell Inds N V | 6 Due 11-15-2021 | | | | 664,807 | |
| | Leaseplan Corp N V | 3 10-23-2017 Reg | | | | 504,675 | |
| | Kommunalbanken As | 1.75% Due 10-05-2015 | | | | 412,480 | |
| | Sparebank 1 Boligkreditt | 144a 1.25deb 10-25-2013 | | | | 603,600 | |
| | Telefonica Emisiones S A U | Sr Nt Fltg Var Rt Due 02-04-2013/02-03-2013 | | | | 499,463 | |
| | Dufry Fin Sca | Gtd Nt 5.5 Due 10-15-2020 | | | | 517,500 | |
| | Arran Residential Mortgages | Ser 2011-1a Cl A1b Var Rt 144a 19/11/2047 | | | | 224,664 | |
| | Jpmorgan Chase London | 0 Due 09-18-2018 Beo | | | | 537,339 | |
| | Barclays Bank Plc | 9.0% Credit Linked 144a 19/09/2018 Idr | | | | 2,426,988 | |
| | Jpmorgan Chase London | 11 Due 11-17-2020 | | | | 1,832,219 | |
| | Anglo Amern Cap | 2.15% Due 09-27-2013 | | | | 604,255 | |
| | Ensco Plc Formerly | 4.7% Due 03-15-2021 | | | | 112,536 | |
| | Intelsat Jackson | 7.25% Due 04-01-2019 | | | | 541,800 | |
| | Virgin Media Fin | 4.875% Due 02-15-2022 | | | | 1,026,590 | |
| | Mgm Resorts Intl | Mandatory Exch Mgm Resorts 4t1kac4 1/17/2013 | | | | 309,970 | |
| | Access Midstream | 4.875% Due 05-15-2023 | | | | 761,250 | |
| | Aes Corp | Sr Nt 7.375 Due 07-01-2021 | | | | 539,460 | |
| | Allbritton | 8% Due 05-15-2018 | | | | 498,015 | |
| | Ally Finl Inc | Gtd Nt 6.25 Due 12-01-2017 | | | | 179,369 | |
| | Ally Finl Inc | 5.5 Due 02-15-2017 | | | | 427,905 | |
| | Altria Group Inc | 9.7% Due 11-10-2018 | | | | 426,978 | |
| | Amc Entmt Inc | New Sr Sub Nt 9.75 12-1-2020 | | | | 761,145 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | |
| | Amc Networks Inc | 7.75 Due 07-15-2021 | | | $ | 233,580 | |
| | American Renal Hldgs Inc | Sr Secd Nt 8.375 Due 05-15-2018 | | | | 404,160 | |
| | Ameristar Casinos | 7.5% Due 04-15-2021 | | | | 812,812 | |
| | Amern Casino & | 11% Due 06-15-2014 | | | | 215,775 | |
| | Amern Resdntl Svcs | 12% Due 04-15-2015 | | | | 195,800 | |
| | Appalachian Pwr Co | 7.95% Due 01-15-2020 | | | | 679,530 | |
| | Atwood Oceanics Inc | 6.5 Due 02-01-2020 | | | | 537,500 | |
| | Boyd Gaming Corp | 9.125% Due 12-01-2018 | | | | 493,680 | |
| | Cablevision Sys | Sr Nt 8 Due 04-15-2020 | | | | 351,390 | |
| | Cablevision Sys | 5.875% Due 09-15-2022 | | | | 650,812 | |
| | Calumet Specialty | 9.375% Due 05-01-2019 | | | | 244,125 | |
| | Cantor Fitzgerald | 7.875% Due 10-15-2019 | | | | 512,615 | |
| | Cco Hldgs Llc | 5.125% Due 02-15-2023 | | | | 847,875 | |
| | Cco Hldgs Llc | 6.625% Due 01-31-2022 | | | | 1,121,997 | |
| | Centurylink Inc | 5.8 Due 03-15-2022 | | | | 1,014,842 | |
| | Centurylink Inc | 7.65% Due 03-15-2042 | | | | 445,217 | |
| | Choice Hotels Intl | 5.75% Due 07-01-2022 | | | | 336,680 | |
| | Cin Bell Inc | New 8.25% Due 10-15-2017 | | | | 629,260 | |
| | Cin Bell | Sr Sub Nt 8.75 Due 03-15-2018 | | | | 442,942 | |
| | Cinemark Usa Inc | 7.375% Due 06-15-2021 | | | | 265,200 | |
| | Cit Group Inc | New 5.25% Due 03-15-2018 | | | | 574,590 | |
| | Clean Hbrs Inc | 5.25% Due 08-01-2020 | | | | 445,147 | |
| | Banc Amer | Re-Remic Tr 2010-Uber5 Due02-17-2051 Beo | | | | 815,864 | |
| | Bear Stearns | Arm Tr Ser 2004-10 Cl I2a5 2.965128% Due 01-25-2035 | | | | 303,065 | |
| | Gs Mtg Secs Corp | 2005-Ar7 Mtg Passthru Ctf Cl 2a1 Due 11-25-2035 | | | | 189,821 | |
| | Gs Mtg Secs Tr | 2010-C2 3.849 Due 12-10-2043 Beo | | | | 310,420 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | |
| | Structured Adj Rate Mtg Ln Tr | Due 11-25-2034 Reg | | | $ | 165,120 | |
| | Thornburg Mtg Secs Tr | 2007-4 Mtg Pass Thru Ctf Cl 3a-1 Due 09-25-2037 | | | | 172,310 | |
| | Wamu Mtg | Pass-Thru Ctfs Ser 2005-Ar7 Cl A-2 Due 08-25-2035 | | | | 117,910 | |
| | Wells Fargo Mtg Backed Secs | 2005-14 Tr Cl I-A-9 5.5 Due 12-25-2035 | | | | 97,935 | |
| | Wells Fargo Mtg Bkd Secs | 2004-Aa Tr Mtg Pthru Ctf Cl A-1 Var 12-25-34 | | | | 163,327 | |
| | Comm | 2010-C1 Mtg 3.83% Due 07-10-2046 | | | | 334,423 | |
| | Consumers Energy | 5.5% Due 08-15-2016 | | | | 461,984 | |
| | Copano Energy L L | 7.125% Due 04-01-2021 | | | | 550,834 | |
| | Corrections Corp | 7.75% Due 06-01-2017 | | | | 796,875 | |
| | Cpi Intl Inc | 8% Due 02-15-2018 | | | | 409,049 | |
| | Cumulus Media | 7.75% Due 05-01-2019 | | | | 491,250 | |
| | Cyrusone Lp | 6.375% Due 11-15-2022 | | | | 569,205 | |
| | Davita Inc | 5.75 Due 08-15-2022 | | | | 790,312 | |
| | Dish Dbs Corp | 5.875% Due 07-15-2022 | | | | 1,078,225 | |
| | Dow Chem Co | 7.6% Due 05-15-2014 | | | | 91,710 | |
| | Elizabeth Arden Inc | Sr Nt 7.375 Due 03-15-2021 | | | | 411,240 | |
| | Emergency Med Svcs | 8.125 Due 06-01-2019 | | | | 527,100 | |
| | Entergy Gulf Sts | 3.95% Due 10-01-2020 | | | | 325,035 | |
| | Felcor Lodging Ltd | 6.75% Due 06-01-2019 | | | | 531,250 | |
| | Fmg Res August 2006 Pty Ltd | Term Bank Loan Due 10-18-2017 | | | | 251,758 | |
| | Ford Mtr Cr Co Llc | Nt 8 Due 06-01-2014 | | | | 109,039 | |
| | Ford Mtr Cr Co Llc | 3.984 Due 06-15-2016 | | | | 318,548 | |
| | Ford Mtr Cr Co Llc | 4.207% Due 04-15-2016 | | | | 426,646 | |
| | Fpl Group Cap Inc | Deb 7.875 Due 12-15-2015 | | | | 119,318 | |
| | Genon Escrow Corp | 9.5% Due 10-15-2018 | | | | 646,640 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | |
| | Goodyear Tire & | 7% Due 05-15-2022 | | | $ | 360,360 | |
| | Griffon Corp | 7.125% Due 04-01-2018 | | | | 748,360 | |
| | Gs Mtg Secs Tr | 2010-C1 Mtg Pass Ctfcl A-2 144a 4.592 8-10-2043 | | | | 701,155 | |
| | Gxs Worldwide Inc | 9.75% Due 06-15-2015 | | | | 254,370 | |
| | Hca Hldgs Inc | 6.25% Due 02-15-2021 | | | | 461,250 | |
| | Hca Hldgs Inc | 7.75% Due 05-15-2021 | | | | 239,785 | |
| | Hca Inc | Sr Nt 7.5 Due 02-15-2022 | | | | 286,250 | |
| | Hca Inc | 5.875% Due 03-15-2022 | | | | 488,288 | |
| | Health Mgmt Assocs Inc | New Sr Nt 7.375 01-15-2020 | | | | 500,040 | |
| | Healthsouth Corp | 8.125% Due 02-15-2020 | | | | 547,321 | |
| | Hexion U S Fin | 6.625 Due 04-15-2020 | | | | 783,475 | |
| | Hornbeck Offshore | 5.875 Due 04-01-2020 | | | | 291,555 | |
| | Hornbeck Offshore | 8% Due 09-01-2017 | | | | 410,880 | |
| | Houghton International Inc | 1st Lien Termln B Due 07-30-2019 | | | | 252,032 | |
| | Hughes Satellite | 6.5% Due 06-15-2019 | | | | 551,250 | |
| | Iasis Cap Llc / Corp | 8.375 Due 05-15-2019 | | | | 487,620 | |
| | Igate Corp | 9% Due 05-01-2016 | | | | 487,688 | |
| | Infor Us Inc | 11.5 Due 07-15-2018 | | | | 703,170 | |
| | Intelsat | 11.25% Due 02-04-2017 | | | | 1,057,500 | |
| | Intl Lease Fin | 8.25% Due 12-15-2020 | | | | 533,048 | |
| | Ipalco Enterprises | 5% Due 05-01-2018 | | | | 209,500 | |
| | Isle Capri Casinos | 7.75% Due 03-15-2019 | | | | 313,552 | |
| | Isle Capri Casinos | 8.875 Due 06-15-2020 | | | | 381,500 | |
| | J P Morgan Mtg Tr | Fltg Rt 5.127099% Due 06-25-2035 | | | | 119,444 | |
| | Jarden Corp | 8% Due 05-01-2016 | | | | 664,062 | |
| | Kinder Morgan | 5.95% Due 02-15-2018 | | | | 1,077,582 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | |
| | Koppers Inc Pa | 7.875% Due 12-01-2019 | | | $ | 357,500 | |
| | Level 3 Fing Inc | 10% Due 02-01-2018 | | | | 732,555 | |
| | Levi Strauss & Co | New 6.875 Due 05-01-2022 Reg | | | | 186,615 | |
| | Levi Strauss & Co | 7.625% Due 05-15-2020 | | | | 536,280 | |
| | Limited Brands Inc | 5.625% Due 02-15-2022 | | | | 543,750 | |
| | Linn Energy Llc | 7.75% Due 02-01-2021 | | | | 808,335 | |
| | Markwest Energy Part Fin | 6.25 Due 06-15-2022 | | | | 245,250 | |
| | Medassets Inc | Term Bank Loan Due 07-30-2019 Beo | | | | 249,875 | |
| | Mediacom Llc Corp | 7.25 Due 02-15-2022 | | | | 554,700 | |
| | Mercer Intl Inc | 9.5% Due 12-01-2017 | | | | 420,885 | |
| | Mgm Mirage Corp | Note 7.5% Due 06-01-2016/05-17-2007 | | | | 683,182 | |
| | Mgm Resorts Intl | New Term Loan B Due 12-20-2019 Beo | | | | 505,000 | |
| | Michael Foods | 9.75% Due 07-15-2018 | | | | 552,500 | |
| | Michaels Stores | 7.75% Due 11-01-2018 | | | | 274,375 | |
| | Nbty Inc | Sr Nt 9 Due 10-01-2018 | | | | 305,100 | |
| | Ncr Corp | New Sr Nt 144a 5 07-15-2022 | | | | 419,711 | |
| | Norcraft Cos Lp | 10.5% Due 12-15-2015 | | | | 449,345 | |
| | Nrg Energy Inc | Sr Nt 8.5 Due 06-15-2019 | | | | 292,600 | |
| | Nrg Energy Inc | 7.875% Due 05-15-2021 | | | | 499,500 | |
| | Nrg Energy Inc | 8.25% Due 09-01-2020 | | | | 340,480 | |
| | Oasis Pete Inc | New 7.25 Due 02-01-2019 | | | | 735,300 | |
| | Penn Natl Gaming Inc | Term Ln B 2011 Due 07-16-2018 Beo | | | | 501,406 | |
| | Pinnacle Entmt Inc | 7.75% Due 04-01-2022 | | | | 106,500 | |
| | Pinnacle Entmt Inc | 8.75% Due 05-15-2020 | | | | 655,560 | |
| | Pinnacle Foods Fin | 8.25% Due 09-01-2017 | | | | 763,605 | |
| | Pinnacle Foods Fin | 9.25% Due 04-01-2015 | | | | 152,250 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | Plains Expl & | 6.5 Due 11-15-2020 | | | $ | 283,520 | |
| | Plains Expl & | 7.625% Due 04-01-2020 | | | | 239,725 | |
| | Pride Intl Inc Del | 6.875% Due 08-15-2020 | | | | 505,884 | |
| | Pvh Corp | Term Bank Loan Due 12-31-2019 Beo | | | | 753,750 | |
| | Pvh Corp | 4.5 Due 12-15-2022 | | | | 757,500 | |
| | Allison Transmission Inc | Sr Nt 144a 7.125 Due 05-15-2019/05-06-2011 | | | | 283,955 | |
| | Amkor Tech Inc | Sr Nt 144a 6.375 10-01-2022 | | | | 213,745 | |
| | Amsurg Corp | 5.625 Due 11-30-2020 | | | | 245,440 | |
| | As Amer Inc | Sr Secd Nt 144a 10.75%Due 01-15-2016/01-19-2011 | | | | 143,080 | |
| | Baker & Taylor Acq Corp | Sr Secd 2nd Lien Nt 15 04-01-2017 | | | | 182,850 | |
| | Belden Inc | Sr Sub Nt 144a 5.5% Due09-01-2022/08-27-2012 | | | | 282,562 | |
| | Biomet Inc | Sr Nt 144a 6.5 Due 08-01-2020 | | | | 642,812 | |
| | Brickman Group Hldgs Inc | Sr Nt 144a 9.125 Due 11-01-2018/10-14-2010 | | | | 502,800 | |
| | Calpine Corp | Sr Secd Nt 144a 7.875% Due 01-15-2023/01-14-2011 | | | | 466,690 | |
| | Calpine Corp | Sr Secd Nt 144a 7.5% Due 02-15-2021/10-22-2010 | | | | 173,485 | |
| | Calumet Specialty Prods Prtnrs | Sr Nt 9.625 Due 08-01-2020 | | | | 264,262 | |
| | Cequel Commun Hldgs I Llc | 6.375 Due 09-15-2020 | | | | 1,353,625 | |
| | Citibank Omni Master Tr | 2009-A14 Nt Talf 144a Var Rt Due 08-15-2018 | | | | 1,144,315 | |
| | Banc Amer | Remic Tr 2009-Uber2 Coml Mtg Ctf Var 12-24-49 | | | | 463,080 | |
| | Coml | Mtg Passctf Ser2010-C1 Cl A1 144a 3.156 11-1-2015 | | | | 483,962 | |
| | Csmc | Ser 2010-Rr1 Ctf Cl 2-A 144a Var Rt Due 09-15-2040 | | | | 232,021 | |
| | Csmc | Ser 2010-Rr1 Ctf Cl 3-A 144a Var Rt Due 06-10-2049 | | | | 231,264 | |
| | Dbrr | 2012-Ez1 Tr Cmbs Re-Remicct Cl A Due 09-25-2045 | | | | 594,631 | |
| | Dbubs | 2011-Lc1 Mtg Tr Mtg Pt Ctf Cl A-2 Due 07-01-19 | | | | 458,367 | |
| | Dbubs | 2011-Lc2 Mtg Tr Cl A-2 3.386% Due 07-10-2044 | | | | 1,078,188 | |
| | Gs Mtg Secs Tr | 2010-C2 Var Rt Due 12-10-2043 Beo | | | | 121,043 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | | |
| AS OF DECEMBER 31, 2012 | | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | J P Morgan Chase | Dtd 6-1-10 2010-C1 Cl A1 144a 3.853 Due 6-15-15 | | | $ | 503,263 | |
| | Rbscf Tr | 2010-Rr3 Pass Ctf Cl Msci A 144a Var 6-16-2049 | | | | 354,609 | |
| | Rbscf Tr | 2010-Rr4 Pass Ctf Cl Wbcmt A 144a Var Rt 4-16-47 | | | | 695,498 | |
| | Commscope Inc | Sr Nt 144a 8.25% Due01-15-2019/01-14-2011 | | | | 600,060 | |
| | Crown Castle Intl Corp | Sr Nt 5.25 Due 01-15-2023 Beo | | | | 1,031,480 | |
| | Dish Dbs Corp | Sr Nt 144a 5% Due 03-15-2023 Beo | | | | 250,000 | |
| | Felcor Lodging Ltd Partnership | 5.625 Due 3/1/2023 | | | | 746,250 | |
| | Florida Gas Transmission Co | Sr Nt 144a 5.45% Due 07-15-2020/07-19-2010 | | | | 584,027 | |
| | Fresenius Med Care Us Fin Ii Inc | 5.875 Due 01-31-2022 | | | | 535,990 | |
| | Fti Consulting Inc | Sr Nt 144a 6% Due 11-15-2022/11-27-2012 | | | | 776,250 | |
| | Gray T.V Inc | Sr Nt 7.5 Due 10-01-2020 | | | | 643,152 | |
| | Gulfmark Offshore Inc | Sr Nt 6.375 Due 03-15-2022 | | | | 758,080 | |
| | Hertz Global Holdings Inc | Sr Nt 6.25 Bnds 10-15-2022 | | | | 798,750 | |
| | Hologic Inc | Sr Nt 144a 6.25% Due 08-01-2020/08-01-2012 | | | | 395,443 | |
| | Iac / Interactivecorp | Sr Nt 144a 4.75% Due 12-15-2022/12-21-2012 | | | | 746,250 | |
| | Intl Lease Fin Corp | Sr Secd Nt 144a 6.5 Due 09-01-2014/08-20-2010 | | | | 2,028,250 | |
| | Intl Lease Fin Corp | Sr Secd Nt 144a 6.75 Due 09-01-2016/08-20-2010 | | | | 112,250 | |
| | Kraft Foods Group Inc | Nt 1.625 Due 06-04-2015 | | | | 101,777 | |
| | Landrys Inc | Sr Nt 9.375 Due 05-01-2020 | | | | 561,260 | |
| | Legend Acqstn Sub Inc | Sr Nt 10.75 Due 08-15-2020 | | | | 245,255 | |
| | Loc Tv Fin Llc / Corp | 9.25 Due 06-15-2015 | | | | 336,746 | |
| | Mead Prods Llc / Acco Brands Corp | Sr Nt 6.75 Due 04-30-2020 | | | | 690,900 | |
| | Midstates Pete Co Inc | Sr Nt 10.75 Due 10-01-2020 | | | | 236,937 | |
| | Montefiore Med Ctr Ny | Gnma Coll Taxbl Rev Bd 144a Due 05-20-27 | | | | 577,437 | |
| | Ncr Corp | New Sr Nt 144a 4.625% Due02-15-2021/12-18-2012 | | | | 400,000 | |
| | Nexstar Broadcasting Inc | 6.875 Due 11-15-2020 | | | | 505,941 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | Nuance Communications Inc | 5.375 Due 08-15-2020/08-14-2012 | | | $ | 889,295 | |
| | Oil Sts Intl Inc | Sr Nt 5.125% Due 01-15-2023 Beo | | | | 760,312 | |
| | Penske Automotive Group Inc | Sr Subnt 5.75 Due 10-01-2022 | | | | 772,500 | |
| | Prospect Med Hldgs Inc | Sr Secd Nt 8.375 Due 05-01-2019 | | | | 487,307 | |
| | Prov Fdg As Lp / Pfg Fin Cp | Sr Nt 144a 10.125 Due 02-15-19/02-15-11 | | | | 243,705 | |
| | Sba Telecommunications Inc | Sr Nt 5.75 Due 07-15-2020 | | | | 796,875 | |
| | Scientific Games Intl Inc | 6.25 Due09-01-2020/08-20-2012 | | | | 516,250 | |
| | Sealed Air Corp New | Sr Nt 144a 8.375% Due 09-15-2021/10-03-2011 | | | | 627,232 | |
| | Sequa Corp | Sr Nt 144a 7% Due 12-15-2017/12-19-2012 | | | | 503,125 | |
| | Shearers Foods Llc / Chip Fin Corp | Sr Secd Nt 9 11-01-2019 | | | | 329,700 | |
| | Sinclair Television Group Inc | Sr Nt 6.125 Due 10-01-2022 | | | | 819,285 | |
| | Spectrum Brands Escrow Corp | Sr Nt 144a 6.375 Due 11-15-2020/11-16-2012 | | | | 428,400 | |
| | Starz Llc / Starz Fin Corp | Sr Nt 5due 09-15-2019 | | | | 232,675 | |
| | Steelriver Transm Co Llc | Sr Nt 144a 4.71 Due 06-30-2017/11-22-2010 | | | | 185,427 | |
| | Sungard Data Systems Inc | Sr Sub Nt6.625 Due 11-01-2019 | | | | 1,022,500 | |
| | Surgical Care Affiliates Llc | Sr Pik Eltn Nt 144a 8.875 07-15-2015 | | | | 204,525 | |
| | Surgical Care Affiliates Llc | Sr Sub Nt 144a 10 Due 07-15-2017 | | | | 283,872 | |
| | Tempur-Pedic Intl Inc | Sr Nt 144a 6.875% Due 12-15-2020/12-19-2012 | | | | 514,375 | |
| | Tenet Healthcare Corp | Sr Nt 6.75 Due 02-01-2020 Beo | | | | 772,500 | |
| | Trans Hldg Co Inc | Sr Pik Toggle Nt 8.125 Due 06-15-2018 | | | | 205,467 | |
| | Transdigm Inc | Sr Sub Nt 144a 5.5% Due 10-15-2020/10-15-2012 | | | | 266,240 | |
| | Tw Telecom Hldgs Inc | Sr Nt 5.375 Due 10-01-2022 | | | | 261,875 | |
| | Universal Hosp Svc | 7.625 Due 08-15-2020 | | | | 538,466 | |
| | Upc Hldg Bv | Sr Nt 144a 9.875% Due 04-15-2018/04-15-2014 | | | | 376,290 | |
| | Us Foodservice Inc Del | Sr Nt 144a 8.5% Due 06-30-2019/05-11-2011 | | | | 765,000 | |
| | Valeant Pharmaceuticals Intl | Gtd Nt 144a 6.875 Due 12-01-2018/11-23-2010 | | | | 538,750 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | Wmg Acquisition Corp | Sr Secd Nt 144a 6% Due 10-15-2020/11-01-2012 | | | $ | 896,750 | |
| | Qep Res Inc | 5.375 Due 10-01-2022 Reg | | | | 548,047 | |
| | Rbs Global Inc | 8.5 Due 05-01-2018 | | | | 636,161 | |
| | Regal Cinemas Corp | 8.625 Due 07-15-2019 | | | | 383,435 | |
| | Regal Entmt Group | 9.125% Due 08-15-2018 | | | | 108,155 | |
| | Rent A Ctr Inc New | Sr Nt 6.625 11-15-2020 | | | | 545,000 | |
| | Reynolds Group Issuer Inc | 9.875 Due 8/15/2019 | | | | 1,066,790 | |
| | Reynolds Group | 9% Due 04-15-2019 | | | | 156,000 | |
| | Sequa Corp | Term Ln B Due 06-30-2017 Beo | | | | 754,063 | |
| | Sesi L L C | 6.375 Due 05-01-2019 | | | | 449,400 | |
| | Sesi L L C | 7.125 Due 12-15-2021 | | | | 228,062 | |
| | Slm Corp | Med Term Nts Tra # Tr 00102 01/16/07 Var 01-27-14 | | | | 792,489 | |
| | Slm Corp | Medium 8.45% Due 06-15-2018 | | | | 117,000 | |
| | Slm Corp | 6.25 Due 01-25-2016 | | | | 217,500 | |
| | Southwestn Elec | 5.375% Due 04-15-2015 | | | | 428,571 | |
| | Spirit Aerosystems | 7.5% Due 10-01-2017 | | | | 802,500 | |
| | Springleaf Finance Corp | Term Loanb Due 05-10-2017 | | | | 695,407 | |
| | Ssi Invts Ii Ltd / Ssi Co Issuer Llc | Sr Nt 11.125 Due 06-01-2018 | | | | 409,313 | |
| | Subn Propane | 7.375% Due 08-01-2021 | | | | 346,913 | |
| | Sungard Data Systems Inc | Term Loan D Due01-20-2020 Beo | | | | 756,563 | |
| | Syniverse Hldgs | 9.125% Due 01-15-2019 | | | | 276,483 | |
| | Terex Corp | 6 Due 05-15-2021 | | | | 526,250 | |
| | Toledo Edison Co | 7.25% Due 05-01-2020 | | | | 635,583 | |
| | Tomkins Llc | 9 Due 10-01-2018 | | | | 145,600 | |
| | Trans Un Llc / Fing Corp | 11.375 Due 6/15/2018 | | | | 457,845 | |
| | Transdigm Inc | 7.75% Due 12-15-2018 | | | | 226,781 | |
| | Transunion Hldg Co Inc | 9.625 Due 06-15-2018 Reg | | | | 168,143 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Corporate debt instruments (continued) | | | | | |
| | Treehouse Foods | 7.75% Due 03-01-2018 | | | $ | 813,750 | |
| | Tribune Co | Bank Term Loan Due 07-30-2019beo | | | | 748,688 | |
| | United Surgical Partners Intl Inc | Incremental Term Loan Due 04-03-2019 | | | | 503,958 | |
| | United Surgical Partners Intl Inc | 9 Due 04-01-2020 | | | | 623,820 | |
| | Usi Holdings Corp | Term Bank Loan Due 12-27-2019 Beo | | | | 498,335 | |
| | Vanguard Hlth Hldg | 8% Due 02-01-2018 | | | | 517,500 | |
| | Warner Chilcott Co Llc | Term Loan B4 Due 08-20-2017 Beo | | | | 831,250 | |
| | Warner Chilcott Co Llc | Term Loan B5 Due 08-20-2017 Beo | | | | 166,320 | |
| | Weyerhaeuser Co | 7.375% Due 10-01-2019 | | | | 247,187 | |
| | Windstream Corp | 7.5 Due 04-01-2023 | | | | 1,118,808 | |
| | Petroleos De Venezuela S | 8.5% 02/11/2017 | | | | 312,400 | |
| | Petroleos De | 8.5% Due 11-02-2017 | | | | 108,625 | |
| | | | | | | | |
| | Common Stock | | | | | | |
| | Pac Ry Ltd Com Cdn Pac Ry Ltd | 57,500 Shares Of Common Stock | | | | 5,843,150 | |
| | Jazz Pharmaceuticals Plc | 6,550 Shares Of Common Stock | | | | 348,460 | |
| | Adr Royal Dutch Shell Plc | 73,500 Sponsored Adr Repstg A Shs | | | | 5,067,825 | |
| | Liberty Media | 10,900 Shares Of Common Stock | | | | 1,264,509 | |
| | Aes Corp | 328,000 Shares Of Common Stock | | | | 3,509,600 | |
| | Agco Corp | 4,475 Shares Of Common Stock | | | | 219,812 | |
| | Allstate Corp | 136,825 Shares Of Common Stock | | | | 5,496,260 | |
| | American Express Co | 86,100 Shares Of Common Stock | | | | 4,949,028 | |
| | American Wtr Wks Co Inc New | 7,050 Shares Of Common Stock | | | | 261,767 | |
| | Ameriprise Finl Inc | 45,200 Shares Of Common Stock | | | | 2,830,876 | |
| | Amgen Inc | 52,944 Shares Of Common Stock | | | | 4,570,126 | |
| | Apache Corp | 26,600 Shares Of Common Stock | | | | 2,088,100 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | | | | | | |
| | Common Stock (continued) | | | | | |
| | Ashland Inc New | 6,050 Shares Of Common Stock | | | $ | 486,481 | |
| | At&T Inc | 284,300 Shares Of Common Stock | | | | 9,583,753 | |
| | Avery Dennison Corp | 5,550 Shares Of Common Stock | | | | 193,806 | |
| | Avon Products Inc | 153,534 Shares Of Common Stock | | | | 2,204,748 | |
| | Baker Hughes Inc | 86,055 Shares Of Common Stock | | | | 3,514,486 | |
| | Bank Of America Corp | 714,600 Shares Of Common Stock | | | | 8,289,360 | |
| | Bemis Co Inc | 5,450 Shares Of Common Stock | | | | 182,357 | |
| | Boeing Co | 38,700 Shares Of Common Stock | | | | 2,916,432 | |
| | Broadcom Corp | 16,975 Shares Of Cl A Common Stock | | | | 563,740 | |
| | Cablevision Sys Corp | 118,100 Shares Of Cl A Common Stock | | | | 1,764,414 | |
| | Cadence Design Sys Inc | 60,775 Shares Of Common Stock | | | | 821,070 | |
| | Calpine Corp Com New Stk | 17,150 Shares Of Common Stock | | | | 310,930 | |
| | Celanese Corp Del | 82,100 Shares Of Ser A Common Stock | | | | 3,655,913 | |
| | Cf Inds Hldgs Inc | 1,376 Shares Of Common Stock | | | | 279,548 | |
| | Charles Riv Labs Intl Inc | 9,100 Shares Of Common Stock | | | | 340,977 | |
| | Chevron Corp | 107,071 Shares Of Common Stock | | | | 11,578,658 | |
| | Cisco Systems Inc | 274,400 Shares Of Common Stock | | | | 5,391,960 | |
| | Cleco Corp New | 17,025 Shares Of Common Stock | | | | 681,170 | |
| | Cms Energy Corp | 31,300 Shares Of Common Stock | | | | 763,094 | |
| | Coca-Cola Enterprises Inc New | 11,550 Shares Of Common Stock | | | | 366,482 | |
| | Comcast Corp New | 116,238 Shares Of Cl A Common Stock | | | | 4,344,976 | |
| | Consol Energy Inc | 93,600 Shares Of Common Stock | | | | 3,004,560 | |
| | Corelogic Inc-W/I | 11,100 Shares Of Common Stock | | | | 298,812 | |
| | Covidien Plc | 91,600 Shares Of Common Stock | | | | 5,288,984 | |
| | Cytec Ind | 350 Shares Of Common Stock | | | | 24,091 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Stock (continued) | | | | | |
| | Dell Inc | 420,600 Shares Of Common Stock | | | $ | 4,260,678 | |
| | Delphi Automotive Plc | 7,075 Shares Of Common Stock | | | | 270,619 | |
| | Delta Air Lines Inc Del | 21,150 Shares Of Common Stock | | | | 251,051 | |
| | Discover Finl Svcs | 21,350 Shares Of Common Stock | | | | 823,043 | |
| | Eaton Corp Plc | 13,575 Shares Of Common Stock | | | | 735,765 | |
| | Emcor Group Inc | 5,650 Shares Of Common Stock | | | | 195,547 | |
| | Emerson Electric Co | 50,400 Shares Of Common Stock | | | | 2,669,184 | |
| | Energen Corp | 21,725 Shares Of Common Stock | | | | 979,580 | |
| | Entergy Corp New | 79,354 Shares Of Common Stock | | | | 5,058,818 | |
| | Eqt Corp | 52,700 Shares Of Common Stock | | | | 3,108,246 | |
| | Exelon Corp | 150,500 Shares Of Common Stock | | | | 4,475,870 | |
| | Expedia Inc Del New | 5,975 Shares Of Common Stock | | | | 367,164 | |
| | Exxon Mobil Corp | 125,000 Shares Of Common Stock | | | | 10,818,750 | |
| | Fei Co | 7,475 Shares Of Common Stock | | | | 414,564 | |
| | Fidelity National Financial Inc | 20,350 Shares Of Cl A Common Stock | | | | 479,243 | |
| | Fidelity Natl Information Svcs Inc | 16,950 Shares Of Common Stock | | | | 590,030 | |
| | Foot Locker Inc | 27,900 Shares Of Common Stock | | | | 896,148 | |
| | Gen Mtrs Co | 229,600 Shares Of Common Stock | | | | 6,619,368 | |
| | General Electric Co | 399,463 Shares Of Common Stock | | | | 8,384,728 | |
| | Gnc Hldgs Inc Gnc Holdings Inc | 20,125 Shares Of Common Stock | | | | 669,760 | |
| | Goldman Sachs Group Inc | 16,219 Shares Of Common Stock | | | | 2,068,896 | |
| | Hain Celestial Group Inc | 6,225 Shares Of Common Stock | | | | 337,520 | |
| | Hcc Ins Hldgs Inc | 10,000 Shares Of Common Stock | | | | 372,100 | |
| | Helmerich & Payne Inc | 5,250 Shares Of Common Stock | | | | 294,053 | |
| | Hertz Global Hldgs Inc | 26,025 Shares Of Common Stock | | | | 423,427 | |
| | Hess Corp | 71,700 Shares Of Common Stock | | | | 3,797,232 | |
| | | | | | | | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Stock (continued) | | | | | |
| | Hollyfrontier Corp | 16,475 Shares Of Common Stock | | | $ | 766,911 | |
| | Honeywell Intl Inc | 64,400 Shares Of Common Stock | | | | 4,087,468 | |
| | Ill Tool Wks Inc | 56,200 Shares Of Common Stock | | | | 3,417,522 | |
| | Ingersoll-Rand Plc | 62,000 Shares Of Common Stock | | | | 2,973,520 | |
| | International Business Machs Corp | 14,700 Shares Of Common Stock | | | | 2,815,785 | |
| | Intl Paper Co | 243,800 Shares Of Common Stock | | | | 9,712,992 | |
| | Invesco Ltd | 131,100 Shares Of Common Stock | | | | 3,420,399 | |
| | Johnson & Johnson | 108,100 Shares Of Common Stock | | | | 7,577,810 | |
| | Jpmorgan Chase & Co | 286,003 Shares Of Common Stock | | | | 12,575,552 | |
| | Kbr Inc | 11,275 Shares Of Common Stock | | | | 337,348 | |
| | Kellogg Co | 66,800 Shares Of Common Stock | | | | 3,730,780 | |
| | Keycorp New | 43,200 Shares Of Common Stock | | | | 363,744 | |
| | Kohls Corp | 122,358 Shares Of Common Stock | | | | 5,258,947 | |
| | Kroger Co | 10,550 Shares Of Common Stock | | | | 274,511 | |
| | Lincoln Natl Corp | 39,725 Shares Of Common Stock | | | | 1,028,878 | |
| | Lockheed Martin Corp | 23,100 Shares Of Common Stock | | | | 2,131,899 | |
| | Lowes Cos Inc | 261,800 Shares Of Common Stock | | | | 9,299,136 | |
| | M D C Hldgs Inc | 6,425 Shares Of Common Stock | | | | 236,183 | |
| | Macys Inc | 10,125 Shares Of Common Stock | | | | 395,078 | |
| | Marathon Pete Corp | 3,000 Shares Of Common Stock | | | | 189,000 | |
| | Marsh & Mclennan Co's Inc | 209,053 Shares Of Common Stock | | | | 7,206,057 | |
| | Merck & Co Inc New | 229,790 Shares Of Common Stock | | | | 9,407,603 | |
| | Metlife Inc | 83,300 Shares Of Common Stock | | | | 2,743,902 | |
| | Microsoft Corp | 320,061 Shares Of Common Stock | | | | 8,555,231 | |
| | Murphy Oil Corp | 47,100 Shares Of Common Stock | | | | 2,804,805 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Stock (continued) | | | | | |
| | Newell Rubbermaid Inc | 27,350 Shares Of Common Stock | | | $ | 609,085 | |
| | Newfield Exploration | 104,500 Shares Of Common Stock | | | | 2,798,510 | |
| | Nisource Inc | 31,925 Shares Of Common Stock | | | | 794,613 | |
| | Noble Corporation (Switzerland) | 10,750 Shares Of Common Stock | | | | 374,315 | |
| | Nrg Energy Inc New | 250,900 Shares Of Common Stock | | | | 5,768,191 | |
| | Nucor Corp | 59,325 Shares Of Common Stock | | | | 2,561,654 | |
| | Nxp Semiconductors N V | 12,475 Shares Of Common Stock | | | | 328,966 | |
| | Peabody Energy Corp | 19,425 Shares Of Common Stock | | | | 516,899 | |
| | Pepsico Inc | 71,306 Shares Of Common Stock | | | | 4,879,470 | |
| | Perkinelmer Inc | 15,050 Shares Of Common Stock | | | | 477,687 | |
| | Pfizer Inc | 459,360 Shares Of Common Stock | | | | 11,520,749 | |
| | Pier 1 Imports Inc | 7,350 Shares Of Common Stock | | | | 147,000 | |
| | Pnc Financial Services Group | 49,718 Shares Of Common Stock | | | | 2,899,057 | |
| | Ppg Ind Inc Com | 2,550 Shares Of Common Stock | | | | 345,143 | |
| | Ppl Corp Com Isin Us69351t1060 | 13,025 Shares Of Common Stock | | | | 372,906 | |
| | Procter & Gamble Com Npv | 105,909 Shares Of Common Stock | | | | 7,190,162 | |
| | Pvh Corp Com Usd1 | 4,350 Shares Of Common Stock | | | | 482,894 | |
| | Raymond James Fncl Inc Com Stk | 14,750 Shares Of Common Stock | | | | 568,318 | |
| | Raytheon Co Usd0.01 | 66,600 Shares Of Common Stock | | | | 3,833,496 | |
| | Regions Finl Corp New Com | 119,400 Shares Of Common Stock | | | | 850,128 | |
| | Riverbed Technology Inc Com | 30,275 Shares Of Common Stock | | | | 597,023 | |
| | Ryder Sys Inc Com | 11,750 Shares Of Common Stock | | | | 586,678 | |
| | S.W. Airl Co Com | 661,400 Shares Of Common Stock | | | | 6,772,736 | |
| | Schlumberger Ltd Com Com | 13,000 Shares Of Common Stock | | | | 900,770 | |
| | Schwab Charles Corp Com New | 208,894 Shares Of Common Stock | | | | 2,999,718 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Stock (continued) | | | | | |
| | Sirona Dental Sys Inc Com Stk | 10,925 Shares Of Common Stock | | | $ | 704,226 | |
| | Skyworks Solutions Inc Com | 23,250 Shares Of Common Stock | | | | 471,975 | |
| | Slm Corp Com | 195,375 Shares Of Common Stock | | | | 3,346,774 | |
| | Smucker J M Co Com New Com New | 7,500 Shares Of Common Stock | | | | 646,800 | |
| | Snap-On Inc Com | 1,525 Shares Of Common Stock | | | | 120,460 | |
| | Spectra Energy Corp | 181,100 Shares Of Common Stock | | | | 4,958,518 | |
| | St Joe Co | 114,100 Shares Of Common Stock | | | | 2,633,428 | |
| | Sun Tr Banks Inc | 14,375 Shares Of Common Stock | | | | 407,531 | |
| | Te Connectivity Ltd | 76,500 Shares Of Common Stock | | | | 2,839,680 | |
| | Texas Instruments Inc | 77,200 Shares Of Common Stock | | | | 2,388,568 | |
| | The Madison Square Garden Co | 30,800 Shares Of Common Stock | | | | 1,365,980 | |
| | Thermo Fisher Corp | 77,300 Shares Of Common Stock | | | | 4,930,194 | |
| | Thor Inds Inc | 12,125 Shares Of Common Stock | | | | 453,839 | |
| | Time Warner Cable Inc | 87,090 Shares Of Common Stock | | | | 8,464,277 | |
| | Time Warner Inc | 144,793 Shares Of Common Stock | | | | 6,925,449 | |
| | Trinity Ind Inc | 6,950 Shares Of Common Stock | | | | 248,949 | |
| | Triumph Group Inc New | 10,175 Shares Of Common Stock | | | | 664,428 | |
| | Tyson Foods Inc (Delaware) | 9,575 Shares Of Cl A Common Stock | | | | 185,755 | |
| | Union Pac Corp | 62,600 Shares Of Common Stock | | | | 7,870,072 | |
| | United Technologies Corp | 80,400 Shares Of Common Stock | | | | 6,593,604 | |
| | Us Bancorp | 168,035 Shares Of Common Stock | | | | 5,367,038 | |
| | Utd Rentals Inc | 17,775 Shares Of Common Stock | | | | 809,118 | |
| | Valero Energy Corp New | 13,325 Shares Of Common Stock | | | | 454,649 | |
| | Validus Holding Ltd | 23,900 Shares Of Common Stock | | | | 826,462 | |
| | Valueclick Inc | 23,050 Shares Of Common Stock | | | | 447,401 | |
(continued)
| MORGAN STANLEY 401(k) PLAN |
| Plan Number 003, Employer Identification Number 20-8764829 |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) |
| AS OF DECEMBER 31, 2012 |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Stock (continued) | | | | | |
| | Vulcan Materials Co | 68,000 Shares Of Common Stock | | | $ | 3,539,400 | |
| | Wal-Mart Stores Inc | 39,800 Shares Of Common Stock | | | | 2,715,554 | |
| | Wells Fargo & Co New | 125,804 Shares Of Common Stock | | | | 4,299,981 | |
| | Western Union Co | 189,594 Shares Of Common Stock | | | | 2,580,374 | |
| | Xl Group Plc Ord | 158,300 Shares Of Common Stock | | | | 3,966,998 | |
| | 3m Co | 79,100 Shares Of Common Stock | | | | 7,344,435 | |
| | 5th 3rd Bancorp | 262,296 Shares Of Common Stock | | | | 3,984,276 | |
| | Biomed Rlty Tr Inc Com | 31,875 Reit Tr Sh Ben Int | | | | 616,144 | |
| | Brandywine Rlty | 60,475 Reit Tr Sh Ben Int | | | | 737,190 | |
| | Cbl & Assoc Pptys Inc | 23,375 Reit Tr Sh Ben Int | | | | 495,784 | |
| | Digital Rlty Tr Inc | 3,050 Reit Tr Sh Ben Int | | | | 207,065 | |
| | Dupont Fabros Tech Inc | 7,350 Reit Tr Sh Ben Int | | | | 177,576 | |
| | Home Props Inc Com | 2,100 Reit Tr Sh Ben Int | | | | 128,751 | |
| | Kilroy Rlty Corp | 16,125 Reit Tr Sh Ben Int | | | | 763,841 | |
| | Weyerhaeuser Co | 6,925 Shs | | | | 192,654 | |
| | | | | | | | |
| | Employer Stock | |
| * | Morgan Stanley | 53,343,870 Shares Of Employer Common Stock | | | | 1,019,934,795 | |
| | | | | | | | |
| | Common Collective Trusts | | | | | | |
| * | Northern Trust | Short-Term Investment Fund | | | | 12,877,740 | |
| | Artisan | International Fund; 3,534,295.510 Shares | | | | 57,997,789 | |
| | Blackrock | Extended Eqty Market Fund F; 2,224,508.650 Shs | | | | 56,753,580 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Common Collective Trusts (continued) | | | | |
| | Blackrock | Lifepath Index Retirement Fund J; 3,747,112.490 Shs | | | $ | 46,913,848 | |
| | Blackrock | Lifepath Index 2015 Fund J; 8,427,185.840 Shares | | | | 100,367,783 | |
| | Blackrock | Lifepath Index 2025 Fund J; 5,596,677.380 Shares | | | | 64,249,856 | |
| | Blackrock | Lifepath Index 2030 Fund J; 6,236,963.450 Shares | | | | 70,228,208 | |
| | Blackrock | Lifepath Index 2035 Fund J; 12,064,464.410 Shares | | | | 133,432,976 | |
| | Blackrock | Lifepath Index 2040 Fund J; 4,410,051.300 Shares | | | | 47,981,358 | |
| | Blackrock | Lifepath Index 2045 Fund J; 3,789,815.900 Shares | | | | 40,513,132 | |
| | Blackrock | Lifepath Index 2050 Fund J; 3,306,392.460 Shares | | | | 35,345,335 | |
| | Blackrock | Lifepath Index 2055 Fund J; 538,322.370 Shares | | | | 6,820,544 | |
| | Blackrock | Lifepath Index 2020 Fund J; 5,678,322.240 Shares | | | | 66,322,804 | |
| | Blackrock | Us Debt Fund F; 7,960,915.650 Shares | | | | 101,899,720 | |
| * | Mellon | Eb Dl Stk Index Fund; 2,976,719.870 Shares | | | | 389,733,002 | |
| | Blackrock | Msci Acwi Ex-Us Fund F; 3,175,518.040 Shares | | | | 62,176,643 | |
| | Pyramis | Select International Small Cap Fd; 1,141,258.130 Shs | | | | 39,613,070 | |
| | | | | | | | |
| | Mutual Funds (RIC’s) | | | | | | |
| * | MSIF | Emerging Mkts I Fund; 12,731,711.750 Shares | | | | 330,260,603 | |
| | Eaton Vance | Global Macro Absolute Ret Fd; 1,816,908.550 Shs | | | | 17,860,211 | |
| * | MSIF | International Equity I; 15,756,013.440 Shares | | | | 226,098,793 | |
| | Highbridge | Dynamic Comm Strtgy Fd Cl R5; 432,122.020 Shs | | | | 6,054,030 | |
| * | MSIF | Mid Cap Growth I; 6,112,067.070 Shares | | | | 212,333,210 | |
| * | MSIF | Cap Growth I; 13,361,878.720 Shares | | | | 361,438,819 | |
| * | MSIF | Global Real Estate I Fund; 14,462,823.840 Shares | | | | 141,301,789 | |
| * | MSIF | Small Company Growth I; 5,964,101.640 Shares | | | | 84,451,679 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Mutual Funds (RIC’s) (continued) | | | | | |
| | Pimco | Foreign Bond Fund (unhedged); 4,722,151.660 Shares | | | $ | 51,424,232 | |
| | Royce | Special Equity Fund; 6,928,440.280 Shares | | | | 145,635,815 | |
| | Blackrock | Liquidity Fds ; 596,179,889.440 Shs | | | | 596,179,889 | |
| | Pimco | Low Duration Open End Fd; 1,812,211.100 Shs | | | | 19,046,339 | |
| | | | | | | | |
| | Other | | | | | | |
| | Australia(Cmnwlth) | 4% Idx Lkd 20/8/20 Aud1000 | | | | 1,205,590 | |
| | New Sth Wales Tsy | 2.75% I/Lkd 20/11/25 Aud | | | | 407,193 | |
| | Australia(Cmnwlth) | Tranche # Tr 00008 2.9% Due 09-10-2014 | | | | 520,515 | |
| | Brazil(Fed Rep Of) | 10% Tsy Nt 01/01/2021brl | | | | 9,995,146 | |
| | Irs Brl | Zero 8.32% Jcsius33 02/01/2017swu023va3 | | | | 4,786 | |
| | Irs Brl | Zero 8.415% Deutgb2l 02/01/2017 | | | | 10,678 | |
| | Canada | Govt Bd 2.75% 01/09/2016 | | | | 1,160,791 | |
| | Canada Housing | Tr Bnds 2.45% 15/12/2015 | | | | 724,591 | |
| | Canada(Govt Of) | I/L 1.5% Bds 01/12/44 Cad1000 | | | | 843,100 | |
| | Canada(Govt Of) | 3% Rrb 01/12/2036 Cad1000 | | | | 97,088 | |
| | Canada(Govt Of) | 4.25% Rrb 01/12/21 | | | | 416,356 | |
| | Ont (Prov Of) | Bd 1.875 Due 09-15-2015 | | | | 517,448 | |
| | Chile(Rep Of) | 5.5% Bds 05/08/20 | | | | 166,624 | |
| | Colombia(Rep Of) | 12% Bds 22/10/15 Cop1000000 | | | | 1,843,493 | |
| | Colombia(Rep Of) | 4.375% Bds 21/03/23 Cop5000 | | | | 1,724,397 | |
| | Colombia(Rep Of) | 9.85% Snr Bds 28/06/27 | | | | 2,267,617 | |
| | Costa Rica Rep | Gdr Repstg Gdn 144a 11.5%Due 12-21-2022 | | | | 866,765 | |
| | Dominican Rep | Gdr Repstg Gdn Reg S 16% Due 07-10-2020 | | | | 777,143 | |
| | Hungary(Rep Of) | 6.75% Bds 24/02/17 | | | | 2,567,893 | |
| | Hungary(Rep Of) | 6.75% 22/08/2014 | | | | 650,747 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Other (continued) | | | | | |
| | Danfin Fdg Ltd | Secd Fltg Rate Nt Program1 Adj Rt 07-16-2013 | | | $ | 501,336 | |
| | Buoni Poliennali Del Tes | Bnds 2.1% 15/09/2016 | | | | 427,346 | |
| | Italy(Republic Of) | 2.35% Inf Idx Lnk Bds 15/09/2019 | | | | 288,761 | |
| | Export Import Bk Korea | Nt 5.125% Due 06-29-2020 | | | | 574,549 | |
| | Malaysian | Government Bnds 3.434% 15/08/2014 | | | | 3,123,494 | |
| | Mexico(Utd Mex St) | 2% I/Lkd Bds 9/06/22 | | | | 2,751,460 | |
| | Mexico(Utd Mex St) | 7.5% Bds 03/06/2027 | | | | 1,239,205 | |
| | Mexico(Utd Mex St) | 8% Bds 11/06/2020 | | | | 8,482,238 | |
| | Waha Aerospace B V | Gtd Bd 144a 3.925 Due07-28-2020 | | | | 606,900 | |
| | New Zealand(Govt) | Idx/Lkd Bds 20/09/2025 | | | | 533,916 | |
| | Nigeria | T-Bill 24/10/2013 | | | | 413,705 | |
| | Nigeria | Treasury Bond 16.39% 27/01/2022 | | | | 404,791 | |
| | Peru(Rep Of) | 8.6% Bds 12/08/17 Pen100 | | | | 857,554 | |
| | Peru(Republic Of) | Bnds 8.2% 12/08/2026 | | | | 1,715,886 | |
| | Peru Rep | Gdr Repstg Gdn 144a 6.95% Due 08-12-2031 | | | | 941,406 | |
| | Poland(Rep Of) | 5.25% Bds 25/10/17 | | | | 687,122 | |
| | Poland(Rep Of) | 5.5% Bds 25/10/19 | | | | 3,879,541 | |
| | Poland(Rep Of) | 5.75% Bds 25/04/2029 | | | | 718,466 | |
| | Poland(Republic Of) | 5.75% Bds 25/10/2021 | | | | 3,623,749 | |
| | Russia Fedn | Bd Rub 7.85% 10/03/2018 | | | | 1,609,352 | |
| | Russian Federation | 7.85% Bds 10/03/18 | | | | 3,381,351 | |
| | Sth Africa(Rep Of) | 7.25% Nts 15/01/ | | | | 8,440,938 | |
| | Thailand(Kingdom) | 4.25% Bds 13/03/13 | | | | 862,214 | |
| | Thailand(Kingdom) | 5.25% Bds 12/05/14 | | | | 492,567 | |
| | Thailand(Kingdom) | 5.25% Bds 13/07/13 | | | | 1,005,791 | |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) |
| | (b) | (c) | (d) | | Current |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value |
| | Other (continued) | | | | |
| | Turkey | Govt Bd T-Bond 0.0% 20/02/2013 | | | $1,611,408 |
| | Turkey(Rep Of) | 0% Bds 15/05/13 Try '1695' | | | 2,047,124 |
| | Turkey(Rep Of) | 10.5% Bds 15/01/20 | | | 411,064 |
| | Turkey(Rep Of) | 10% Bds 17/06/2015 | | | 1,804,844 |
| | Turkey(Rep Of) | 9% Bds 08/03/17 | | | 1,720,917 |
| | Turkey(Republic Of) | 9% Bds 27/01/16 | | | 965,047 |
| | Uk(Govt Of) | 0.125% Idx Lkd Gilt Due 22 Mar 2029 | | | 176,288 |
| | Uk(Govt Of) | 1.25% I/L Stk 22/11/55 | | | 304,113 |
| | Uk(Govt Of) | 1.25% I/L Stk 22/11/2032 | | | 4,214,335 |
| | Bay Area Toll Auth | Calif Toll Brdg Rev 7.043% 04-01-2050 | | | 360,095 |
| | California St | 5.7% 11-01-2021 Beo Taxable | | | 116,175 |
| | California St | 7.7% 11-01-2030 Taxable | | | 124,207 |
| | California St | 7.95 03-01-2036 | | | 123,718 |
| | Dallas Tex | Muni Bond 5% 02-15-2024 Beo | | | 495,184 |
| | Harris Cnty Tex | Muni Bond 5% 08-15-2022 Beo | | | 128,720 |
| | Harris Cnty Tex | Muni Bond 5% 08-15-2026 Beo | | | 124,099 |
| | Harris Cnty Tex | Muni Bond 5% 08-15-2027 Beo | | | 123,513 |
| | Harris Cnty Tex | Muni Bond 5% 08-15-2029 Beo | | | 364,353 |
| | Indiana St Fin Auth Rev | Muni Bond 6.596% 02-01-2039 Beo Taxable | | | 957,053 |
| | Los Angeles Calif Dept Wtr & Pwr | 5.516% 07-01-2027 | | | 367,932 |
| | Los Angeles Cnty Calif Pub Wks | Fing Authlease Rev 6.091% 08-01-2022 Taxable | | | 462,232 |
| | Metro Wastewtr Reclamation Dist Co | Swrrev 5.018% 04-01-2020 Beo Taxable | | | 486,620 |
| | Michigan St Univ Revs | 6.173% 02-15-2050 Beo Taxable | | | 598,425 |
| | New York St Dorm Auth | St Pers Income Taxrev 5.289% 03-15-2033 Taxable | | | 586,995 |
| | Nibc Bank Nv | 2.8% Due 12-02-2014 | | | 1,038,255 |
| | Port Auth N Y & N J | 5.647 One Hundred Sixty(Fifth) | | | 959,160 |
(continued)
| MORGAN STANLEY 401(k) PLAN |
| Plan Number 003, Employer Identification Number 20-8764829 |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) |
| AS OF DECEMBER 31, 2012 |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Other (continued) | | | | | |
| | Seminole Cnty Fla Wtr & Swr Rev | 6.443% 10-01-2040 Beo | | | $ | 462,232 | |
| | State Of Illinois | 4.071 01/01/14 Us Fed Taxable | | | | 103,008 | |
| | Texas Transn Commn St Hwy Fd Rev | 5.028% 04-01-2026 Beo | | | | 605,285 | |
| | Univ Cal Regts Med Ctr Pooled Rev | 5.435 Due 05-15-2023 Reg Taxable | | | | 1,413,048 | |
| | Venezuela Rep | Global Bd 9.25% Due 09-15-2027 Reg | | | | 635,000 | |
| | Venezuela(Republic | Wts 15/4/2020-Oil Oblg | | | | 68,906 | |
| | | | | | | | |
| | Other - Shorts/Swaps/Options/Futures | | | | | | |
| | Citius33 | 3mlibor/6m 1.7% European 03-18-2013 | | | | (35,121 | ) |
| | Citius33 | 3mlibor/6m 1.7% European 03-18-2013 | | | | (50,730 | ) |
| | Csfpgb2l | 3mlibor/6m 1.4% European 03-18-2013 | | | | (171,013 | ) |
| | Csfpgb2l | 3mlibor/6m 1.4% European 03-18-2013 | | | | (114,823 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (50,730 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (11,707 | ) |
| | Deutgb2l | 3mlibor/Usd 6m 1.7% European 03-18-2013 | | | | (19,512 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (23,414 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (35,121 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (27,316 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (15,609 | ) |
| | Deutgb2l | 3mlibor/6m 1.7% European 03-18-2013 | | | | (35,121 | ) |
| | Deutgb2l | 3mlibor/3mlibor/6m 1.7% European 03-18-2013 | | | | (62,437 | ) |
| | Gscmus33 | 3mlibor/3mlibor/6m 1.2% European 03-18-2013 | | | | (6,290 | ) |
| | Barcus33 | Sell Prot Cdx Ems15v1 5y 06-20-2016 Swpc630l9 | | | | 10,274 | |
| | Citius33 | Sell Protcdx Ems14v1 5y 12-20-2015 Swpc286j1 | | | | 125,652 | |
| | Barcus33 | Purc Protsociete Generale 06-20-2014 Swpc102q7 | | | | - | |
| | Barcus33 | Swap 06-20-2014 Swpc102q7 | | | | (4,871 | ) |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Other - Shorts/Swaps/Options/Futures (continued) | | | | |
| | BNPAGB22 | Purc Prot Intesa Sanpaolo S.P. 03-20-2014 Swpc325q8 | | | $ | - | |
| | BNPAGB22 | Swap 03-20-2014 Swpc325q8 | | | | (23,021 | ) |
| | BOFAUS6S | Swap 06-20-2017 Swpc174t4 | | | | (718 | ) |
| | CHASUS33 | Sell Protqatar(State Of) 03-20-2016 Swpc238l5 | | | | 3,581 | |
| | CHASUS33 | Sell Protbp Cap Mkts Amer Inc 06-20-2015 Swpc410h4 | | | | 58,493 | |
| | CHASUS33 | Swap 03-20-2016 Swpc238l5 | | | | - | |
| | CHASUS33 | Swap 09-20-2015 Swpc900h1 | | | | (1,189 | ) |
| | CITIUS33 | Sell Prot On Tx St 03-20-2021 Swpc26ar2 | | | | 4,765 | |
| | CSFPGB2L | Sell Protensco Intl Inc 03-20-2014 Swpc157l2 | | | | 1,645 | |
| | CSFPGB2L | Swap 03-20-2014 Swpc157l2 | | | | - | |
| | DEUTGB2L | Sell Prot On Ca St 03-20-2021 Swpc8c664 | | | | 10,881 | |
| | DEUTGB2L | Sell Protqatar(State Of) 03-20-2016 Swpc256l2 | | | | 1,791 | |
| | DEUTGB2L | Sell Protjapan 12-20-2015 Swpc500j1 | | | | 1,674 | |
| | DEUTGB2L | Sell Protnew Jersey St 03-20-2021 Swpc8b666 | | | | 7,698 | |
| | DEUTGB2L | Swap 03-20-2016 Swpc256l2 | | | | - | |
| | DEUTGB2L | Swap 12-20-2015 Swpc500j1 | | | | - | |
| | GSILGB2X | Sell Protbp Cap Mkts Amer Inc 06-20-2015 Swpc436h4 | | | | 11,699 | |
| | GSILGB2X | Sell Protjapan 12-20-2015 Swpc501j0 | | | | 3,348 | |
| | GSILGB2X | Sell Prot Japan 12-20-2015 Swpc804j4 | | | | 11,718 | |
| | GSILGB2X | Swap 06-20-2015 Swpc436h4 | | | | - | |
| | GSILGB2X | Swap 12-20-2015 Swpc501j0 | | | | - | |
| | GSILGB2X | Swap 12-20-2015 Swpc804j4 | | | | - | |
| | RBOSGB2RTCM | Sell Protjapan12-20-2015 Swpc753j5 | | | | 1,674 | |
| | RBOSGB2RTCM | Swap 12-20-2015 Swpc753j5 | | | | - | |
| | CITIUS33 | Ir Swap 217.965%/Cpurn 09-29-2020 317526ce9 | | | | (354 | ) |
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Other - Shorts/Swaps/Options/Futures (continued) | | | | |
| | DEUTGB2L | IR SWAP 218.011%/CPURN 10-13-2020 317513RG6 | | | $ | (4,644 | ) |
| | BARCUS | IR SWAP USD CME 19/12/2042 SWU000T30 | | | | 86,735 | |
| | GOLDUS | IR SWAP USD CME 19/12/2022 SWU000O01 | | | | 38,880 | |
| | GOLDUS | IR SWAP USD CME 19/12/2022 SWU000O01 | | | | 49,023 | |
| | SBSIUS | IR SWAP USD CME 19/12/2042 SWU000T30 | | | | 105,321 | |
| | GOLDUS33 | IR SWAP USD 04/01/2018 SWU002JF0 | | | | 521 | |
| | MRMDUS33 | IR SWAP USD 04/01/2018 SWU002JK9 | | | | 3,993 | |
| | MRMDUS33 | IRS USD MRMDUS33 04/01/2018 SWU002JK9 | | | | 3,993 | |
| | SBSIUS33 | IRS USD SBSIUS33 04/01/2018 SWU002JE3 | | | | 25,220 | |
| | SWAP | IRS 06-20-2015 SWU0908U4 | | | | (1,437 | ) |
| | SWAP | IRS 06-20-2022 SWU0640U7 | | | | (107,635 | ) |
| | BOFAUS6S | 6M 1.65%/3MLIBOR European 317U830D0 3/18/2013 | | | | (3,058 | ) |
| | BOFAUS6S | 6M 1.65%/3MLIBOR European 317U830D0 03-18-2013 | | | | (655 | ) |
| | CITIUS33 | 6M 1.7%/3MLIBOR European 317U881C0 03-18-2013 | | | | (93 | ) |
| | CITIUS33 | 6M 1.7%/3MLIBOR European 317U881C0 03-18-2013 | | | | (65 | ) |
| | CITIUS33 | 6M 2.5%/3MLIBOR European 317U498D3 09-21-2013 | | | | (34,069 | ) |
| | CITIUS33 | 6M 3.45%/3MLIBOR European 317U497D4 09-21-2013 | | | | 39,811 | |
| | CSFPGB2L | 6M 1.4%/3MLIBOR European 317U851C6 03-18-2013 | | | | (1,447 | ) |
| | CSFPGB2L | 6M 1.4%/3MLIBOR European 317U851C6 03-18-2013 | | | | (2,155 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (65 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (22 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (115 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (29 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (93 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (50 | ) |
(continued)
| MORGAN STANLEY 401(k) PLAN | | | |
| Plan Number 003, Employer Identification Number 20-8764829 | | | |
| FORM 5500, SCHEDULE H, PART IV, LINE 4i — | | | |
| SCHEDULE OF ASSETS (HELD AT END OF YEAR) | | | |
| AS OF DECEMBER 31, 2012 | | | | |
| | | | | | (e) | |
| | (b) | (c) | (d) | | Current | |
| (a) | Identity of Issuer | Description of Investment | Cost** | | Value | |
| | Other - Shorts/Swaps/Options/Futures (continued) | | | | |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | $ | (36 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (43 | ) |
| | DEUTGB2L | 6M 1.7%/3MLIBOR European 317U878C5 03-18-2013 | | | | (65 | ) |
| | DEUTGB2L | 6M 2.85%/3MLIBOR European 317U993C5 04-14-2014 | | | | (7,263 | ) |
| | DEUTGB2L | 6M 3.875%/3MLIBOREuropean 317U994C4 04-14-2014 | | | | 15,342 | |
| | GSCMUS33 | 6M 1.65%/3MLIBOR European 317U833D7 03-18-2013 | | | | (5,243 | ) |
| | RBOSGB2RTCM | 2.5 / LIBOR European 317U484D9 09-21-2015 | | | | (55,159 | ) |
| | RBOSGB2RTCM | 3.45 / LIBOR European 317U488D5 09-21-2015 | | | | 63,698 | |
| | DEUTGB2L | 2.25%/US CPI 07-15-2017SWU023GG7 | | | | 32,742 | |
| | DEUTGB2L | 2.5%/US CPI 07-15-2022 SWU036VD9 | | | | 74,156 | |
| | Investments- at Fair Value | | | $ | 5,540,745,975 | |
| | | | | | | | |
| | | | | | | | |
| | Various Participants | Participant Loans (secured by account, rates ranging from 4.25% to 10.50%; with maturity dates ranging from 2013 to 2027) | | | $ | 73,169,879 | |
* Party-in-interest
** Cost information is not required for participant-directed investments and therefore is not included.
See Report of Independent Registered Public Accounting Firm
(concluded)
