The Tradetech Daily

Morgan Stanley

Morgan Stanley

Carolyn FreelandEmail: Carolyn.freeland @morganstanley.comTel: +1 212 761 5833

MS POOL is Morgan Stanley''s dark internal liquidity pool. MS POOL crosses orders at or within the prevailing best bid and offer (NBBO in US/BBO in Europe), attempting to cross at midpoint. MS Trajectory Cross is Morgan Stanley''s enhanced liquidity pool that connects natural buyers and sellers and discourages short-term trading. MS Trajectory Cross crosses orders at the volume weighted average price (VWAP) over selected time intervals based on the underlying security. Interval matching preferences longer duration trades to help reduce adverse selection and deter gaming. MS POOL accepts day orders, including market, limit and pegged orders. MS POOL does not accept immediate-or-cancel (IOC) orders, and Morgan Stanley monitors for simulated IOC orders. In addition, MS POOL does not use indications of interest to solicit orders to the pool.

Access and participation

All Morgan Stanley clients, traders and sales traders are eligible to access MS POOL. The platform can be accassed through Morgan Stanley’s smart order router, SORT, benchmark execution strategies, and liquidity-seeking algorithms NightOwl and NightVision. MS Trajectory Cross can be accessed by using Morgan Stanley’s NightOwl and Night-Vision liquidity-seeking algorithms, or directly by clients (in the US).

Instruments traded

All NMS equity securities are traded in MS POOL and MS Trajectory Cross in the US. MS POOL and MS Trajectory Cross in Europe support the trading of equity securities for most major European electronic markets. The average trade size for MS POOL for year to date (April 2011) is 219 shares in the US. During the last three months, approximately 56 million shares, single counted, were matched daily in the US.

Order protection

Morgan Stanley employs a dedicated group of people who regularly review the quality of executions. Gaming is prevented in MS POOL through measures such as restricting order types, rejecting IOCs, simulated IOCs and not sending indications of interest.

Connectivity/sharing agreements

Morgan Stanley has arrangements with other broker-dealer dark pools to provide reciprocal access to each other”s liquidity. The firm ensures other broker-dealers adhere to the rules of the engagement for access to MS POOL. Dark pool destinations are carefully chosen.