Morgan Stanley & Co. Int'l plc Series CDP 2016-2 Amendment Notice (6889P)

TIDM48QN

RNS Number : 6889P

Morgan Stanley & Co. Int'l plc

11 June 2020

THIS NOTICE IS IMPORTANT AND REQUIRES YOUR IMMEDIATE ATTENTION

Morgan Stanley & Co. International plc (the "Issuer")

Series CDP 2016-2 USD 10,000,000 Credit-Linked Notes linked to Export Import Bank of Korea due December 2022 (ISIN: XS1357763603)

NOTICE IS HEREBY GIVEN that on 8 June 2020 (the "Restructuring Date"), the Terms and Conditions of the Notes were amended with the consent of the Noteholder holding 100 per cent. in principal amount outstanding of the Notes.

This notice sets out certain of the amendments which have made to the Terms and Conditions of the Notes with effect from the Restructuring Date. A copy of the amended and restated pricing supplement dated 8 June 2020 relating to the Notes which sets out the full amended and restated Terms and Conditions of the Notes has been provided to the Noteholder and is available for inspection by Noteholders at the office of the Issuer.

Highlighted Amendments

With effect from the Restructuring Date, the title of the Notes has been updated to:

"Series CDP 2016-2 USD 10,000,000 Credit-Linked Notes linked to Lloyds Banking Group PLC due 8 July 2030".

In addition, with effect from the Restructuring Date:

   (1)        The Scheduled Maturity Date is 8 July 2030; and 
   (2)        The Interest Rate applicable to the Notes is a rate equal to the greater of: 
   a)         Interest Rate Floor; and 
   b)         (CMS Rate + 2.10%) * N/M.

Where:

"M" means the number of calendar days in the relevant Interest Period.

"N" means the number of calendar days in the relevant Interest Period where USDCMS30 - USDCMS2 >= -0.05% and USDCMS10 <= 6.00%

"CMS Rate" means a rate determined by reference to USD-ISDA- Swap Rate-11:00 with a Designated Maturity of 1 year determined by the Determination Agent based on REUTERS page ICESWAP1 at or about 11:00 a.m. New York City time on the day that is two New York Business Days preceding the first day of the relevant Interest Period.

As used above:

"LIBOR RATE" means USD-LIBOR-BBA (as defined in the 2006 Definitions) with a Designated Maturity of 3 months (as defined in the 2006 Definitions) which appears on REUTERS page LIBOR01 at or about 11:00 a.m. London time on each London Business Day during the relevant Interest Period, provided that (i) the rate used for non-London Business Days will be the previous London Business Day's rate and (ii) the rate applicable five New York and London Business Days prior to the Interest Period End Date on which the relevant Interest Period ends will be the rate that applies for all remaining days in such Interest Period.

"USDCMS2" means a rate determined by reference to USD ISDA-Swap Rate-11:00 with a Designated Maturity of 2 years determined by the Determination Agent based on REUTERS page ICESWAP1 at or about 11:00 a.m. New York City time on each New York Business Day during the relevant Interest Period, provided that (i) the rate used for non-New York Business Days will be the previous New York Business Day's rate and (ii) the rate applicable five New York and London Business Days prior to the Interest Period End Date on which the relevant Interest Period ends will be the rate that applies for all remaining days in such Interest Period.

"USDCMS10" means a rate determined by reference to USD-ISDA- Swap Rate-11:00 with a Designated Maturity of 10 years determined by the Determination Agent based on REUTERS page ICESWAP1 at or about 11:00 a.m. New York City time on each New York Business Day during the relevant Interest Period, provided that (i) the rate used for non-New York Business Days will be the previous New York Business Day's rate and (ii) the rate applicable five New York and London Business Days prior to the Interest Period End Date on which the relevant Interest Period ends will be the rate that applies for all remaining days in such Interest Period.

"USDCMS30" means a rate determined by reference to USD-ISDA-Swap Rate-11:00 with a Designated Maturity of 30 years determined by the Determination Agent based on REUTERS page ICESWAP1 at or about 11:00 a.m. New York City time on each New York Business Day during the relevant Interest Period, provided that (i) the rate used for non-New York Business Days will be the previous New York Business Day's rate and (ii) the rate applicable five New York and London Business Days prior to the Interest Period End Date on which the relevant Interest Period ends will be the rate that applies for all remaining days in such Interest Period.

"Interest Rate Floor" means 0.00 per cent per annum; and

(3) An Additional Coupon of USD 10,000 per Denomination of Note shall be payable on 20 June 2020 (subject to the Following Business Day Convention), provided that USDCMS10 is less than or equal to 2.50% for 2 consecutive Business Days from and including the Restructuring Date. If USD CMS10 is higher than 2.5% on any of the 2 consecutive Business Days from and including the Restructuring Date, no Additional Coupon shall be payable.

Capitalised terms used in this notice and not otherwise defined have the meaning given to them in the Terms and Conditions of the Notes.

This notice is given by the Issuer.

For further information or enquiries, contact:

DSP Credit

   Tel:   +44 20 7425 8000 
   Email:   dsp-credit-eu@morganstanley.com

asiastructuring@morganstanley.com

Dated: 11 June 2020

This announcement has been issued through the Companies Announcement Service of Euronext Dublin.

This information is provided by RNS, the news service of the London Stock Exchange. RNS is approved by the Financial Conduct Authority to act as a Primary Information Provider in the United Kingdom. Terms and conditions relating to the use and distribution of this information may apply. For further information, please contact rns@lseg.com or visit www.rns.com.

END

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