Most definitely. This ETN (and any other ETN) exposes you totally to the credit risk. The note is just a promise from the investment bank, and most of the investment banks are nearly broke.
ETNs are not funds, they don't have underlying assets. That's right, there is no NAV and no intrinsic value per share. There is nothing to liquidate and collect for shareholders. These things are worse than hedge funds.
The ETN is just an unsecured debt note guaranteed by Morgan Stanley in this case. So purchasing CNY, you hold a debt note with Morgan Stanley and they "promise" (ha ha) that the note has some value.
Morgan Stanley goes broke and you're out of luck, there is nothing to get back. There isn't even any insurance on it. They don't even have to go broke, they just have to change a policy or revoke a promise. You have no recourse, and there are no underlying assets.
HUGE counterparty risk. No assets, just promises from a de facto broke investment bank.
hedge by shorting MS stock. if MS fails - you win on the short more than you lose here. this is debt. if there is another bail out (likely) debt will do reasonably OK, but stock will not. if this didn't have any risks everybody would be all over this aready. so proceed with caution.