New Issue: Morgan Stanley sells $295,000 callable fixed-to-floaters on ICE rates, indexes

By William Gullotti

Buffalo, N.Y., May 25 – Morgan Stanley Finance LLC priced $295,000 of fixed-to-floating rate callable securities due Oct. 29, 2036 linked to the worst performing of the S&P 500 index and the Nasdaq-100 index, according to a 424B2 filing with the Securities and Exchange Commission.

The notes are guaranteed by Morgan Stanley.

Interest will be fixed at 8% for the first year. After that, it will accrue at 20 times the spread of the 30-year U.S. dollar ICE swap rate minus the five-year U.S. dollar ICE swap rate for each day that each index closes at or above its 70% reference level, subject to a maximum interest rate of 8%. Interest will be payable monthly and cannot be less than zero.

The issuer said that beginning Oct. 29, 2023, it will call the notes at par plus accrued interest on any annual redemption date if and only if the output of a risk-neutral valuation model on the calendar day that is 13 calendar months prior to such redemption date indicates that redeeming on that date is economically rational for the issuer as compared to not redeeming on that date.

The payout at maturity will be par plus accrued interest unless any index finishes below its 50% barrier level, in which case investors will be fully exposed to the decline of the worst performing index.

Morgan Stanley & Co. LLC is the agent.

Issuer:	Morgan Stanley Finance LLC
Guarantor:	Morgan Stanley
Issue:	Fixed-to-floating rate callable securities
Underlying indexes:	S&P 500 index and Nasdaq-100 index
Amount:	$295,000
Maturity:	Oct. 29, 2036
Coupon:	8% for first year; then, 20 times spread of 30-year U.S. dollar ICE swap rate minus five-year U.S. dollar ICE swap rate for each day that each index closes at or above reference level, subject to cap of 8%, floor of zero; payable monthly
Price:	Par
Payout at maturity:	Par plus accrued interest unless any index falls by more than 50%, in which case full exposure to decline of worst performing index
Call:	At the issuer’s option and subject to conditions, at par plus accrued interest on any annual observation date starting Oct. 29, 2023; exercisable if and only if the output of a risk-neutral valuation model on the calendar day that is 13 calendar months prior to such redemption date indicates that redeeming on that date is economically rational for the issuer as compared to not redeeming on that date
Initial levels:	4,596.42 for S&P, 15,778.16 for Nasdaq
Reference levels:	3,217.494 for S&P, 11,044.712 for Nasdaq, 70% of initial levels
Barrier levels:	2,298.21 for S&P, 7,889.08 for Nasdaq, 50% of initial levels
Pricing date:	Oct. 28, 2021
Settlement date:	Oct. 29, 2021
Agent:	Morgan Stanley & Co. LLC
Fees:	2.75%
Cusip:	61766YGB1

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