Financial News

Replacement Rate for U.S. Law-Governed U.S. Dollar LIBOR ICE Swap Rate-Linked Debt Securities and Certificates of Deposit

Morgan Stanley (NYSE: MS) today announced that all U.S. law-governed U.S. dollar LIBOR ICE Swap Rate (“USD LIBOR ISR”)-linked debt securities issued by Morgan Stanley and Morgan Stanley Finance LLC, and certificates of deposit issued by Morgan Stanley Bank, National Association, and Morgan Stanley Private Bank, National Association, (collectively, “Morgan Stanley USD LIBOR ISR Instruments”) provide that if the relevant USD LIBOR ISR setting is not displayed on the relevant screen page, then either:

  • The calculation agent will determine the relevant setting, or
  • The calculation agent will conduct a dealer poll and, if quotations are not provided as requested, the calculation agent will determine the relevant setting.

ICE Benchmark Administration Limited (“IBA”) has announced that it will cease the publication of USD LIBOR ISR for all tenors immediately after publication on June 30, 2023. Morgan Stanley Capital Services LLC, which is the calculation agent for the Morgan Stanley USD LIBOR ISR Instruments, currently expects that, if the dealer polls are not successful because an insufficient number of quotations is provided and/or it is required to determine the relevant setting, it will use the relevant setting of the USD SOFR Spread-Adjusted ICE Swap Rate published by IBA, which is determined in line with the fallback formula suggested by the Alternative Reference Rates Committee in its paper, Suggested Fallback Formula for the USD LIBOR ICE Swap Rate (the “ARRC Fallback Formula”), assuming that such rate is being published as a benchmark for use in financial instruments and financial contracts. The ARRC Fallback Formula principally consists in using the USD SOFR ICE Swap Rate, adding the ISDA fallback spread adjustment for 3-month USD LIBOR of 0.26161% per annum and applying adjustments to account for differences in payment frequency and day-count conventions between USD LIBOR and SOFR swaps.

The process described above will apply to determinations that are made with respect to dates after June 30, 2023 (the “Cessation Date”) but will not affect any determinations made with respect to dates on or prior to the Cessation Date.

Additional information regarding these instruments is available by accessing The Depository Trust & Clearing Corporation’s (DTCC) LIBOR Benchmark Replacement Index solution through DTCC’s Legal Notice System (LENS). This announcement does not apply to any U.S. dollar LIBOR ICE Swap Rate-linked instruments issued by Morgan Stanley or any of its affiliates that are not governed by U.S. law.

Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, wealth management and investment management services. With offices in 42 countries, the Firm’s employees serve clients worldwide including corporations, governments, institutions and individuals. For further information about Morgan Stanley, please visit www.morganstanley.com.

Contacts

Media Relations: Mark Lake, 212.762.0600

Investor Relations: Leslie Bazos, 212.761.5352

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