Subject to Completion, Pricing Supplement dated January 21, 1997
PROSPECTUS Dated May 1, 1996 Pricing Supplement No. 61 to
PROSPECTUS SUPPLEMENT Registration Statement No. 333-01655
Dated May 1, 1996 Dated , 1997
Rule 424(b)(3)
$50,000,000
Morgan Stanley Group Inc.
MEDIUM-TERM NOTES, SERIES C
Senior Fixed Rate Notes
Reset Performance Equity-linked Redemption Quarterly-pay
Securities ("Reset PERQS")
% RESET PERQS DUE JANUARY 29, 1999
Reset PERQS Mandatorily Exchangeable For Shares of Common Stock of
DELL COMPUTER CORPORATION
The % Reset PERQS due January 29, 1999 (the "Reset PERQS") are Medium-Term
Notes, Series C (Senior Fixed Rate Notes) of Morgan Stanley Group Inc. (the
"Company"), as further described below and in the Prospectus Supplement under
"Description of Notes - Fixed Rate Notes."
The principal amount of each of the Reset PERQS being offered hereby will be $
(the Market Price (as defined herein) of the common stock, $0.01 par
value, of Dell Computer Corporation ("Dell") on , 1997) (the
"Initial Price"). The Reset PERQS will mature on January 29, 1999. Interest
on the Reset PERQS, at the rate of % of the principal amount per annum
(equivalent to $ per annum per Reset PERQS), is payable quarterly in
arrears on each January 30, April 30, July 30 and October 30, beginning April
30, 1997 and on January 29, 1999.
At maturity upon delivery of each Reset PERQS to the Trustee, each $
principal amount of such Reset PERQS will be applied by the Company as payment
for a number of shares of the common stock of Dell (the "Dell Stock") at the
then applicable Exchange Ratio. The Exchange Ratio, initially set at 1.0, is
subject to adjustment on January 30, 1998 and at maturity in order to cap the
value of the Dell Stock to be received upon delivery of the Reset PERQS at $
per $ principal amount of each Reset PERQS ( % of the
Initial Price). Solely for purposes of adjustment upon the occurrence of
certain corporate events, the number of shares of Dell Stock to be delivered
will also be adjusted by an Exchange Factor, initially set at 1.0. See
"Exchange at Maturity," "Exchange Factor" and "Antidilution Adjustments" in
this Pricing Supplement.
If the Market Price per share of Dell Stock on January 30, 1998 (as defined
herein, the "First Year Closing Price") is less than or equal to % of
the Initial Price (the "First Year Cap Price"), no adjustment to the Exchange
Ratio will be made at such time. If the First Year Closing Price exceeds the
First Year Cap Price, the Exchange Ratio will be adjusted so that the new
Exchange Ratio will equal the product of (i) the existing Exchange Ratio and
(ii) a fraction the numerator of which will be the First Year Cap Price and
the denominator of which will be the First Year Closing Price. In addition,
on January 30, 1998, the Calculation Agent will establish the "Second Year Cap
Price" that will be equal to the greater of (x) % of the First Year
Closing Price and (y) the First Year Cap Price. If the Market Price at
maturity (as defined herein, the "Maturity Price") is less than or equal to
the Second Year Cap Price, no further adjustment to the Exchange Ratio will be
made. If the Maturity Price exceeds the Second Year Cap Price, the existing
Exchange Ratio will be adjusted so that the final Exchange Ratio will equal the
product of (i) the existing Exchange Ratio and (ii) a fraction the numerator
of which will be the Second Year Cap Price and the denominator of which will
be the Maturity Price. See "Exchange at Maturity" and "Hypothetical Payments
on the Reset PERQS" in this Pricing Supplement.
The opportunity for appreciation afforded by an investment in the Reset PERQS
is less than that afforded by an investment in the Dell Stock because at
maturity a holder may receive less than one share of Dell Stock per Reset
PERQS if the Exchange Ratio has been adjusted to cap the value of the Dell
Stock to be received upon delivery of the Reset PERQS. The value of the Dell
Stock received by a holder of the Reset PERQS upon exchange at maturity,
determined as described herein, may be more or less than the principal amount
of the Reset PERQS. See "Hypothetical Payments on the Reset PERQS" in this
Pricing Supplement.
Dell is not affiliated with the Company, is not involved in this offering of
Reset PERQS and will have no obligations with respect to the Reset PERQS. See
"Historical Information" in this Pricing Supplement for information on the
range of Market Prices for Dell Stock.
The Company will cause the Market Price, any adjustments to the Exchange
Ratio, the Exchange Factor and any other antidilution adjustments to be
determined by the Calculation Agent for The Chase Manhattan Bank, as Trustee
under the Senior Debt Indenture.
An investment in the Reset PERQS entails risks not associated with similar
investments in a conventional debt security, as described under "Risk Factors"
on PS-6 through PS-8 herein.
-------------------
PRICE $ A RESET PERQS
-------------------
Proceeds to
Agent's ------------
Price to Public(1) Commissions(2) Company(1)
------------------- --------------- ------------
Per Reset PERQS.. $ $ $
Total............ $ $ $
_______________
(1) Plus accrued interest, if any, from , 1997.
(2) The Company has agreed to indemnify the Agent against certain liabilities,
including liabilities under the Securities Act of 1933.
MORGAN STANLEY & CO.
Incorporated
INFORMATION CONTAINED IN THIS PRELIMINARY PRICING SUPPLEMENT IS SUBJECT TO
COMPLETION OR AMENDMENT. THESE SECURITIES MAY NOT BE DELIVERED PRIOR TO THE
TIME A FINAL PRICING SUPPLEMENT IS DELIVERED. THIS PRICING SUPPLEMENT AND
THE ACCOMPANYING PROSPECTUS AND PROSPECTUS SUPPLEMENT SHALL NOT CONSTITUTE
AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO BUY NOR SHALL THERE BE
ANY SALE OF THESE SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION
OR SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE
SECURITIES LAWS OF ANY SUCH STATE.
(This page intentionally left blank)
Capitalized terms not defined herein have the meanings given to such terms in
the accompanying Prospectus Supplement.
Principal Amount:.............. $50,000,000
Maturity Date:................. January 29, 1999
Interest Rate:................. % per annum (equivalent to $ per annum
per Reset PERQS)
Interest Payment Dates......... Each January 30, April 30, July 30 and
October 30, beginning April 30, 1997 and on
January 29, 1999.
Specified Currency:............ U.S. Dollars
Issue Price:................... $ a Reset PERQS
Original Issue Date
(Settlement Date):........... , 1997
CUSIP.......................... 617446463
Book Entry Note or Certificated
Note:........................ Book Entry
Senior Note or Subordinated
Note:........................ Senior
Denominations:................. $ and integral multiples thereof
Trustee:....................... The Chase Manhattan Bank
Exchange at Maturity:.......... At maturity (including as a result of
acceleration or otherwise), upon delivery of
each Reset PERQS to the Trustee, each $
principal amount of such Reset PERQS will be
applied by the Company as payment for a
number of shares of Dell Stock at the
Exchange Ratio. The Exchange Ratio,
initially set at 1.0, is subject to
adjustment on January 30, 1998 (or if such
date is not a Trading Day on which no Market
Disruption Event occurs, the immediately
succeeding Trading Day on which no Market
Disruption Event occurs (the "First Year
Determination Date")) and at maturity in
order to cap the value of the Dell Stock to
be received upon delivery of the Reset PERQS
at $ per principal amount of each Reset
PERQS ( % of the Initial Price).
Solely for purposes of adjustment upon the
occurrence of certain corporate events, the
number of shares of Dell Stock to be
delivered at maturity will also be adjusted
by an Exchange Factor, initially set at 1.0.
See "Exchange Factor" and "Antidilution
Adjustments" below.
If on the First Year Determination Date the
First Year Closing Price is less than or
equal to % of the Initial Price (the
"First Year Cap Price"), no adjustment to the
Exchange Ratio will be made at such time. If
the First Year Closing Price exceeds the
First Year Cap Price, the Exchange Ratio will
be adjusted so that the new Exchange Ratio
will equal the product of (i) the existing
Exchange Ratio and (ii) a fraction the
numerator of which will be the First Year Cap
Price and the denominator of which will be
the First Year Closing Price. In addition,
on the First Year Determination Date, the
Calculation Agent will establish the "Second
Year Cap Price" that will be equal to the
greater of (x) % of the First Year
Closing Price and (y) the First Year Cap
Price. Notice of the Second Year Cap Price
and of any such adjustment to the Exchange
Ratio shall promptly be sent by first-class
mail to The Depository Trust Company, New
York, New York (the "Depositary"). If the
Maturity Price is less than or equal to the
Second Year Cap Price, no further adjustment
to the Exchange Ratio will be made. If the
Maturity Price exceeds the Second Year Cap
Price, the existing Exchange Ratio will be
adjusted so that the final Exchange Ratio
will equal the product of (i) the existing
Exchange Ratio and (ii) a fraction the
numerator of which will be the Second Year
Cap Price and the denominator of which will
be the Maturity Price. See "Hypothetical
Payments on the Reset PERQS" below.
All percentages resulting from any
calculation with respect to the Reset
PERQS (and the First Year Cap Price and
the Second Year Cap Price) will be rounded
to the nearest one hundred-thousandth of a
percentage point, with five one-millionths
of a percentage point rounded upwards
(e.g., 9.876545% (or .09876545) would be
rounded to 9.87655% (or .0987655)), and
all dollar amounts related to payments at
maturity resulting from such calculation
will be rounded to the nearest cent with
one-half cent being rounded upwards.
The Company shall, or shall cause the
Calculation Agent to, (i) provide written
notice to the Trustee and to the Depositary,
on or prior to 10:30 a.m. on the Trading Day
immediately prior to maturity of the Reset
PERQS, of the amount of Dell Stock to be
delivered with respect to each $
principal amount of each Reset PERQS and (ii)
deliver such shares of Dell Stock (and cash
in respect of interest and any fractional
shares of Dell Stock) to the Trustee for
delivery to the holders. The Calculation
Agent shall determine the Exchange Ratio
applicable at the maturity of the Reset PERQS
and calculate the Exchange Factor. References
to payment "per Reset PERQS" refer to each $
principal amount of any Reset PERQS.
No Fractional Shares:.......... Upon delivery of the Reset PERQS to the
Trustee at maturity (including as a result of
acceleration or otherwise), the Company will
pay cash in lieu of issuing fractional shares
of Dell Stock in an amount equal to the
corresponding fractional Market Price of such
fraction of a share of Dell Stock as
determined by the Calculation Agent as of the
second scheduled Trading Day prior to
maturity of the Reset PERQS.
Initial Price:................. $
First Year Closing Price:...... First Year Closing Price means the product of
(i) the Market Price of one share of Dell
Stock and (ii) the Exchange Factor, each
determined as of the First Year Determination
Date.
Maturity Price:................ Maturity Price means the product of (i) the
Market Price of one share of Dell Stock and
(ii) the Exchange Factor, each determined as
of the second scheduled Trading Day
immediately prior to maturity.
First Year Cap Price:.......... $ ( % of the Initial Price)
Second Year Cap Price:......... Second Year Cap Price means the greater of
(x) % of the First Year Closing Price
and (y) the First Year Cap Price. See
"Exchange at Maturity" above.
Exchange Factor:............... The Exchange Factor will be set initially at
1.0, but will be subject to adjustment upon
the occurrence of certain corporate events
through and including the second scheduled
Trading Day immediately prior to maturity.
See "Antidilution Adjustments" below.
Market Price:.................. If Dell Stock (or any other security for
which a Market Price must be determined) is
listed on a national securities exchange, is
a security of The Nasdaq National Market
("NASDAQ NMS") or is included in the OTC
Bulletin Board Service ("OTC Bulletin Board")
operated by the National Association of
Securities Dealers, Inc. (the "NASD"), the
Market Price for one share of Dell Stock (or
one unit of any such other security) on any
Trading Day means (i) the last reported sale
price, regular way, on such day on the
principal United States securities exchange
registered under the Securities Exchange Act
of 1934, as amended (the "Exchange Act"), on
which Dell Stock (or such other security) is
listed or admitted to trading or (ii) if not
listed or admitted to trading on any such
securities exchange or if such last reported
sale price is not obtainable, the last
reported sale price on the over-the-counter
market as reported on the NASDAQ NMS or OTC
Bulletin Board on such day. If the last
reported sale price is not available pursuant
to clause (i) or (ii) of the preceding
sentence, the Market Price for any Trading
Day shall be the mean, as determined by the
Calculation Agent, of the bid prices for Dell
Stock (or such other security) obtained from
as many dealers in such stock, but not
exceeding three, as will make such bid prices
available to the Calculation Agent. The term
"NASDAQ NMS security" shall include a
security included in any successor to such
system and the term "OTC Bulletin Board
Service" shall include any successor service
thereto.
Trading Day:................... A day, as determined by the Calculation
Agent, on which trading is generally
conducted (i) on the New York Stock Exchange
("NYSE"), the AMEX and the NASDAQ NMS, (ii)
on the Chicago Mercantile Exchange, (iii) on
the Chicago Board of Options Exchange and
(iv) in the over-the-counter market for
equity securities in the United States.
Acceleration Event:............ If on any date the product of the Market
Price per share of Dell Stock and the
Exchange Factor is less than $5.00, the
maturity date of the Reset PERQS will be
deemed to be accelerated to such date, and
each $ principal amount of each Reset
PERQS will be applied by the Company as
payment for a number of shares of Dell Stock
at the then current Exchange Ratio, as
adjusted by the then current Exchange Factor.
See also "Antidilution Adjustments" below.
Calculation Agent:............. Morgan Stanley & Co. Incorporated ("MS &
Co.")
Because the Calculation Agent is an affiliate
of the Company, potential conflicts of
interest may exist between the Calculation
Agent and the holders of the Reset PERQS,
including with respect to certain
determinations and judgments that the
Calculation Agent must make in making
adjustments to the Exchange Factor or other
antidilution adjustments or determining any
Market Price or whether a Market Disruption
Event has occurred. See "Antidilution
Adjustments" and "Market Disruption Event"
below. MS & Co. is obligated to carry out
its duties and functions as Calculation Agent
in good faith and using its reasonable
judgment.
Risk Factors:.................. An investment in the Reset PERQS entails
significant risks not associated with similar
investments in a conventional debt security,
including the following:
The Reset PERQS combine features of equity
and debt instruments. For example, the terms
of the Reset PERQS differ from those of debt
securities in that the value of the Dell
Stock that a holder of the Reset PERQS will
receive upon mandatory exchange of the
principal amount thereof at maturity is not
fixed, but is based on the price of the Dell
Stock on the First Year Determination Date
and at maturity of the Reset PERQS. Because
the price of the Dell Stock is subject to
market fluctuations and because the Exchange
Ratio will be adjusted to cap the value of
the Dell Stock to be received upon delivery
of the Reset PERQS, the value of the Dell
Stock received by a holder of Reset PERQS
upon exchange at maturity, determined as
described herein, may be more or less than
the principal amount of the Reset PERQS. The
amount receivable upon exchange will be less
than the principal amount of the Reset PERQS
if the Maturity Price of the Dell Stock is
(x) less than the Initial Price or (y) not
sufficiently above the Initial Price
following any adjustment of the Exchange
Factor on the First Year Determination Date.
In either case, an investment in the Reset
PERQS would result in a loss. See
"Hypothetical Payments on the Reset PERQS"
below.
The opportunity for capital appreciation
afforded by an investment in the Reset PERQS
is less than that afforded by an investment
in Dell Stock because of the First and Second
Year Cap Prices and because at maturity a
holder may receive less than one share of
Dell Stock per Reset PERQS if the Exchange
Ratio has been adjusted to cap the value of
the Dell Stock to be received upon delivery
of the Reset PERQS. In addition, because the
Exchange Ratio and the Maturity Price are
determined as of the second scheduled Trading
Day prior to maturity of the Reset PERQS and
because the price of Dell Stock may fluctuate
after such Trading Day and prior to its
delivery at maturity, the value of any Dell
Stock delivered at maturity may be less than
the value of such Dell Stock on such Trading
Day. The amount payable at maturity with
respect to each Reset PERQS, determined as of
the second scheduled Trading Day prior to
maturity, will not under any circumstances
exceed $ per Reset PERQS.
Although the amount that holders of the Reset
PERQS are entitled to receive at maturity is
subject to adjustment for certain
corporate events, such adjustments do not
cover all events that could affect the
Market Price of the Dell Stock, including,
without limitation, the occurrence of a
partial tender or exchange offer for the
Dell Stock by Dell or any third party.
Such other events may adversely affect the
market value of the Reset PERQS.
There can be no assurance as to how the Reset
PERQS will trade in the secondary market or
whether such market will be liquid or
illiquid. Securities with characteristics
similar to the Reset PERQS are novel
securities, and there is currently no
secondary market for the Reset PERQS. The
market value for the Reset PERQS will be
affected by a number of factors in addition
to the creditworthiness of the Company and
the value of Dell Stock, including, but not
limited to, the volatility of Dell Stock, the
dividend rate on Dell Stock, market interest
and yield rates and the time remaining to the
maturity of the Reset PERQS. In addition,
the value of Dell Stock depends on a number
of interrelated factors, including economic,
financial and political events, that can
affect the capital markets generally and the
market segment of which Dell is a part and
over which the Company has no control. The
market value of the Reset PERQS is expected
to depend primarily on changes in the Market
Price of Dell Stock. The price at which a
holder will be able to sell Reset PERQS prior
to maturity may be at a discount, which could
be substantial, from the principal amount
thereof, if, at such time, the Market Price
of Dell Stock is below, equal to or not
sufficiently above the Initial Price. The
historical Market Prices of Dell Stock should
not be taken as an indication of Dell Stock's
future performance during the term of any
Reset PERQS.
The Reset PERQS will not be listed on any
national securities exchange or accepted for
quotation on a trading market and, as a
result, pricing information for the Reset
PERQS may be difficult to obtain.
The Company is not affiliated with Dell and,
although the Company as of the date of this
Pricing Supplement does not have any material
non-public information concerning Dell,
corporate events of Dell, including those
described below in "Antidilution
Adjustments," are beyond the Company's
ability to control and are difficult to
predict.
Dell is not involved in the offering of the
Reset PERQS and has no obligations with
respect to the Reset PERQS, including any
obligation to take the interests of the
Company or of holders of Reset PERQS into
consideration for any reason. Dell will not
receive any of the proceeds of the offering
of the Reset PERQS made hereby and is not
responsible for, and has not participated in,
the determination of the timing of, prices
for or quantities of, the Reset PERQS offered
hereby.
Holders of the Reset PERQS will not be
entitled to any rights with respect to the
Dell Stock (including, without limitation,
voting rights, the rights to receive any
dividends or other distributions in respect
thereof and the right to tender or exchange
Dell Stock in any partial tender or exchange
offer by Dell or any third party) until such
time as the Company shall deliver shares of
Dell Stock to holders of the Reset PERQS at
maturity.
Because the Calculation Agent is an affiliate
of the Company, potential conflicts of
interest may exist between the Calculation
Agent and the holders of the Reset PERQS,
including with respect to certain adjustments
to the Exchange Factor and other antidilution
adjustments that may influence the
determination of the amount of Dell Stock or
other property receivable at the maturity of
the Reset PERQS. See "Antidilution
Adjustments" and "Market Disruption Event."
It is suggested that prospective investors
who consider purchasing the Reset PERQS
should reach an investment decision only
after carefully considering the suitability
of the Reset PERQS in light of their
particular circumstances.
Investors should also consider the tax
consequences of investing in the Reset PERQS.
No statutory, judicial or administrative
authority definitively addresses the
characterization for U.S. federal income tax
purposes of the Reset PERQS or instruments
similar to the Reset PERQS. As a result,
significant aspects of the U.S. federal
income tax treatment of an investment in the
Reset PERQS are uncertain. No ruling has
been or will be requested from the Internal
Revenue Service ("IRS") with respect to the
Reset PERQS and no assurance can be given
that the IRS or a court will agree with the
analysis set forth herein. See "United
States Federal Taxation" below.
Antidilution Adjustments:...... The Exchange Factor will be adjusted as
follows:
1. If Dell Stock is subject to a stock split
or reverse stock split, then once such split
has become effective, the Exchange Factor
will be adjusted to equal the product of the
prior Exchange Factor and the number of
shares issued in such stock split or reverse
stock split with respect to one share of Dell
Stock.
2. If Dell Stock is subject to a stock
dividend (issuance of additional shares of
Dell Stock) that is given ratably to all
holders of shares of Dell Stock, then once
the dividend has become effective and Dell
Stock is trading ex-dividend, the Exchange
Factor will be adjusted so that the new
Exchange Factor shall equal the prior
Exchange Factor plus the product of (i) the
number of shares issued with respect to one
share of Dell Stock and (ii) the prior
Exchange Factor.
3. There will be no adjustments to the
Exchange Factor to reflect cash dividends or
other distributions paid with respect to Dell
Stock other than distributions described in
clause (v) of paragraph 5 below and
Extraordinary Dividends as described below.
A cash dividend or other distribution with
respect to Dell Stock will be deemed to be an
"Extraordinary Dividend" if such dividend or
other distribution exceeds the immediately
preceding non-Extraordinary Dividend for Dell
Stock by an amount equal to at least 10% of
the Market Price of Dell Stock on the Trading
Day preceding the ex-dividend date for the
payment of such Extraordinary Dividend (the
"ex-dividend date"). If an Extraordinary
Dividend occurs with respect to Dell Stock,
the Exchange Factor with respect to Dell
Stock will be adjusted on the ex-dividend
date with respect to such Extraordinary
Dividend so that the new Exchange Factor will
equal the product of (i) the then current
Exchange Factor and (ii) a fraction, the
numerator of which is the Market Price on the
Trading Day preceding the ex-dividend date,
and the denominator of which is the amount by
which the Market Price on the Trading Day
preceding the ex-dividend date exceeds the
Extraordinary Dividend Amount. The
"Extraordinary Dividend Amount" with respect
to an Extraordinary Dividend for Dell Stock
will equal (i) in the case of cash dividends
or other distributions that constitute
quarterly dividends, the amount per share of
such Extraordinary Dividend minus the amount
per share of the immediately preceding
non-Extraordinary Dividend for Dell Stock
or (ii) in the case of cash dividends or
other distributions that do not constitute
quarterly dividends, the amount per share
of such Extraordinary Dividend. To the
extent an Extraordinary Dividend is not
paid in cash, the value of the non-cash
component will be determined by the
Calculation Agent, whose determination
shall be conclusive. A distribution on
the Dell Stock described in clause (v) of
paragraph 5 below that also constitutes an
Extraordinary Dividend shall cause an
adjustment to the Exchange Factor pursuant
only to clause (v) of paragraph 5.
4. If Dell issues rights or warrants to all
holders of Dell Stock to subscribe for or
purchase Dell Stock at an exercise price per
share less than the Market Price of the Dell
Stock on (i) the date the exercise price of
such rights or warrants is determined and
(ii) the expiration date of such rights or
warrants, and if the expiration date of such
rights or warrants precedes the maturity of
the Reset PERQS, then the Exchange Factor
will be adjusted to equal the product of the
prior Exchange Factor and a fraction, the
numerator of which shall be the number of
shares of Dell Stock outstanding immediately
prior to the issuance of such rights or
warrants plus the number of additional shares
of Dell Stock offered for subscription or
purchase pursuant to such rights or warrants
and the denominator of which shall be the
number of shares of Dell Stock outstanding
immediately prior to the issuance of such
rights or warrants plus the number of
additional shares of Dell Stock which the
aggregate offering price of the total number
of shares of Dell Stock so offered for
subscription or purchase pursuant to such
rights or warrants would purchase at the
Market Price on the expiration date of such
rights or warrants, which shall be determined
by multiplying such total number of shares
offered by the exercise price of such rights
or warrants and dividing the product so
obtained by such Market Price.
5. If (i) there occurs any reclassification
of Dell Stock, (ii) Dell or any surviving
entity or subsequent surviving entity of Dell
(a "Dell Successor") has been subject to a
merger, combination or consolidation and is
not the surviving entity, (iii) any statutory
exchange of securities of Dell or any Dell
Successor with another corporation occurs
(other than pursuant to clause (ii) above),
(iv) Dell is liquidated, (v) Dell issues to
all of its shareholders equity securities of
an issuer other than Dell (other than in a
transaction described in clauses (ii), (iii)
or (iv) above) (a "Spin-off Event") or (vi) a
tender or exchange offer is consummated for
all the outstanding shares of Dell Stock (any
such event in clauses (i) through (vi) a
"Reorganization Event"), the method of
determining the amount payable upon exchange
at maturity for each Reset PERQS will be
adjusted to provide that each holder of Reset
PERQS will receive at maturity, in respect of
each $ principal amount of each Reset
PERQS, securities, cash or any other assets
distributed in any such Reorganization Event,
including, in the case of a Spin-off Event,
the share of Dell Stock with respect to which
the spun-off security was issued
(collectively, the "Exchange Property") in
an amount with a value equal to (a) if the
Exchange Ratio has not been adjusted prior to
maturity, the Transaction Value or (b) if the
Exchange Ratio has been adjusted, an amount
equal to the product of the final Exchange
Ratio and the Transaction Value. In
addition, following a Reorganization Event,
the method of determining the Maturity Price
will be adjusted so that the Maturity Price
will mean the Transaction Value as of the
second scheduled Trading Day immediately
prior to maturity, and if the Reorganization
Event occurs prior to the First Year
Determination Date, the First Year Closing
Price will mean the Transaction Value
determined as of the First Year Determination
Date. Notwithstanding the above, if the
Exchange Property received in any such
Reorganization Event consists only of cash,
the maturity date of the Reset PERQS will be
deemed to be accelerated to the date on which
such cash is distributed to holders of Dell
Stock and holders will receive in lieu of any
Dell Stock and as liquidated damages in full
satisfaction of the Company's obligations
under the Reset PERQS the product of (i) the
Transaction Value as of such date and (ii)
the then current Exchange Ratio adjusted as
if such date were the next to occur of either
the First Year Determination Date or the
second scheduled Trading Day prior to
maturity. If Exchange Property consists of
more than one type of property, holders of
Reset PERQS will receive at maturity a pro
rata share of each such type of Exchange
Property. "Transaction Value" at any date
means (i) for any cash received in any such
Reorganization Event, the amount of cash
received per share of Dell Stock, as adjusted
by the Exchange Factor, (ii) for any property
other than cash or securities received in any
such Reorganization Event, the market value,
as of the date of receipt, of such Exchange
Property received for each share of Dell
Stock, as adjusted by the Exchange Factor, as
determined by the Calculation Agent and (iii)
for any security received in any such
Reorganization Event, an amount equal to the
Market Price, as of the date on which the
Transaction Value is determined, per share of
such security multiplied by the quantity of
such security received for each share of Dell
Stock, as adjusted by the Exchange Factor.
For purposes of paragraph 5 above, in the
case of a consummated tender or exchange
offer for all Exchange Property of a
particular type, Exchange Property shall be
deemed to include the amount of cash or other
property paid by the offeror in the tender or
exchange offer with respect to such Exchange
Property (in an amount determined on the
basis of the rate of exchange in such tender
or exchange offer). In the event of a tender
or exchange offer with respect to Exchange
Property in which an offeree may elect to
receive cash or other property, Exchange
Property shall be deemed to include the kind
and amount of cash and other property
received by offerees who elect to receive
cash.
No adjustments to the Exchange Factor will be
required unless such adjustment would require
a change of at least 0.1% in the Exchange
Factor then in effect. The Exchange Factor
resulting from any of the adjustments
specified above will be rounded to the
nearest one thousandth with five
ten-thousandths being rounded upward.
No adjustments to the Exchange Factor or
method of calculating the Exchange Ratio
will be made other than those specified
above. The adjustments specified above do
not cover all events that could affect the
Market Price of the Dell Stock, including,
without limitation, a partial tender or
exchange offer for the Dell Stock.
NOTWITHSTANDING THE FOREGOING, THE AMOUNT
PAYABLE AT MATURITY WITH RESPECT TO EACH
RESET PERQS, DETERMINED AS OF THE SECOND
SCHEDULED TRADING DAY PRIOR TO MATURITY,
WILL NOT UNDER ANY CIRCUMSTANCES EXCEED $
PER RESET PERQS.
The Calculation Agent shall be solely
responsible for the determination and
calculation of any adjustments to the
Exchange Factor or method of calculating the
Exchange Ratio and of any related
determinations and calculations with respect
to any distributions of stock, other
securities or other property or assets
(including cash) in connection with any
corporate event described in paragraph 5
above, and its determinations and
calculations with respect thereto shall be
conclusive.
The Calculation Agent will provide
information as to any adjustments to the
Exchange Factor or method of calculating the
Exchange Ratio upon written request by any
holder of the Reset PERQS.
Market Disruption Event:....... "Market Disruption Event" means, with respect
to Dell Stock:
(i) a suspension, absence or material
limitation of trading of Dell Stock on the
primary market for Dell Stock for more than
two hours of trading or during the one-half
hour period preceding the close of trading in
such market; or the suspension or material
limitation on the primary market for trading
in options contracts related to Dell Stock,
if available, during the one-half hour period
preceding the close of trading in the
applicable market, in each case as determined
by the Calculation Agent in its sole
discretion; and
(ii) a determination by the Calculation
Agent in its sole discretion that the event
described in clause (i) above materially
interfered with the ability of the Company or
any of its affiliates to unwind all or a
material portion of the hedge with respect to
the Reset PERQS.
For purposes of determining whether a Market
Disruption Event has occurred: (1) a
limitation on the hours or number of days of
trading will not constitute a Market
Disruption Event if it results from an
announced change in the regular business
hours of the relevant exchange, (2) a
decision to permanently discontinue trading
in the relevant option contract will not
constitute a Market Disruption Event, (3)
limitations pursuant to New York Stock
Exchange Rule 80A (or any applicable rule or
regulation enacted or promulgated by the New
York Stock Exchange, any other
self-regulatory organization or the Securities
and Exchange Commission of similar scope as
determined by the Calculation Agent) on
trading during significant market
fluctuations shall constitute a Market
Disruption Event, (4) a suspension of
trading in an options contract on Dell
Stock by the primary securities market
trading in such options, if available, by
reason of (x) a price change exceeding
limits set by such securities exchange or
market, (y) an imbalance of orders
relating to such contracts or (z) a
disparity in bid and ask quotes relating
to such contracts will constitute a
suspension or material limitation of
trading in options contracts related to
Dell Stock and (5) a "suspension, absence
or material limitation of trading" on the
primary securities market on which options
contracts related to Dell Stock are traded
will not include any time when such
securities market is itself closed for
trading under ordinary circumstances.
Alternate
Exchange Calculation
in case of an Event of Default In case an Event of Default with respect to
the Reset PERQS shall have occurred and be
continuing, holders will be entitled to
receive, upon any acceleration of the Reset
PERQS, an amount determined by MS & Co., as
Calculation Agent, equal to the Issue Price
of each Reset PERQS, plus any accrued
interest to, but not including, the date of
acceleration.
Dell Stock; Public Information. Dell designs, develops, manufactures,
markets, services and supports a wide range
of computer systems, including desktops,
notebooks and network savers, and also
markets software, peripherals and service and
support programs. Dell Stock is registered
under the Exchange Act. Companies with
securities registered under the Exchange Act
are required to file periodically certain
financial and other information specified by
the Securities and Exchange Commission (the
"Commission"). Information provided to or
filed with the Commission is available at the
offices of the Commission specified under
"Available Information" in the accompanying
Prospectus. In addition, information
regarding Dell may be obtained from other
sources including, but not limited to, press
releases, newspaper articles and other
publicly disseminated documents. The Company
makes no representation or warranty as to the
accuracy or completeness of such reports.
THIS PRICING SUPPLEMENT RELATES ONLY TO
THE RESET PERQS OFFERED HEREBY AND DOES
NOT RELATE TO DELL STOCK OR OTHER
SECURITIES OF DELL. ALL DISCLOSURES
CONTAINED IN THIS PRICING SUPPLEMENT
REGARDING DELL ARE DERIVED FROM THE
PUBLICLY AVAILABLE DOCUMENTS DESCRIBED IN
THE PRECEDING PARAGRAPH. NEITHER THE
COMPANY NOR THE AGENT HAS PARTICIPATED IN
THE PREPARATION OF SUCH DOCUMENTS OR MADE
ANY DUE DILIGENCE INQUIRY WITH RESPECT TO
DELL IN CONNECTION WITH THE OFFERING OF
THE RESET PERQS. NEITHER THE COMPANY NOR
THE AGENT MAKES ANY REPRESENTATION THAT
SUCH PUBLICLY AVAILABLE DOCUMENTS OR ANY
OTHER PUBLICLY AVAILABLE INFORMATION
REGARDING DELL ARE ACCURATE OR COMPLETE.
FURTHERMORE, THERE CAN BE NO ASSURANCE
THAT ALL EVENTS OCCURRING PRIOR TO THE
DATE HEREOF (INCLUDING EVENTS THAT WOULD
AFFECT THE ACCURACY OR COMPLETENESS OF THE
PUBLICLY AVAILABLE DOCUMENTS DESCRIBED IN
THE PRECEDING PARAGRAPH) THAT WOULD
AFFECT THE TRADING PRICE OF DELL (AND
THEREFORE THE INITIAL PRICE, THE FIRST
YEAR CAP PRICE AND THE MAXIMUM
APPRECIATION AMOUNT) HAVE BEEN PUBLICLY
DISCLOSED. SUBSEQUENT DISCLOSURE OF ANY
SUCH EVENTS OR THE DISCLOSURE OF OR
FAILURE TO DISCLOSE MATERIAL FUTURE EVENTS
CONCERNING DELL COULD AFFECT THE VALUE
RECEIVED AT MATURITY WITH RESPECT TO THE
RESET PERQS AND THEREFORE THE TRADING
PRICES OF THE RESET PERQS.
NEITHER THE COMPANY NOR ANY OF ITS AFFILIATES
MAKES ANY REPRESENTATION TO ANY PURCHASER OF
RESET PERQS AS TO THE PERFORMANCE OF DELL
STOCK.
The Company or its affiliates may presently
or from time to time engage in business with
Dell including extending loans to, or making
equity investments in, Dell or providing
advisory services to Dell, including merger
and acquisition advisory services. In the
course of such business, the Company or its
affiliates may acquire non-public information
with respect to Dell and, in addition, one or
more affiliates of the Company may publish
research reports with respect to Dell. The
Company does not make any representation to
any purchaser of Reset PERQS with respect to
any matters whatsoever relating to Dell. Any
prospective purchaser of a Reset PERQS should
undertake an independent investigation of
Dell as in its judgment is appropriate to
make an informed decision with respect to an
investment in Dell Stock.
Historical Information......... The following table sets forth the high and
low Market Price during 1994, 1995, 1996
and 1997 through January 20, 1997. The
Market Price on January 20, 1997 was $63
9/16. All Market Prices are rounded to
the nearest one-tenth of a cent. The
Market Prices listed below were obtained
from Bloomberg Financial Markets and that
the Company believes such information to
be accurate. The historical prices of
Dell Stock should not be taken as an
indication of future performance, and no
assurance can be given that the price of
Dell Stock will not decrease so that the
beneficial owners of the Reset PERQS will
receive at maturity shares of Dell Stock
worth less than the principal amount of
the Reset PERQS. Nor can assurance be
given that the price of Dell Stock will
increase above the Initial Price so that
at maturity the beneficial owners of the
Reset PERQS will receive an amount in
excess of the principal amount of the
Reset PERQS.
Dell High Low
---- ---- ---
(CUSIP 247025109)
1994:
First Quarter....... 7 4 7/8
Second Quarter...... 7 1/2 5 1/2
Third Quarter....... 9 25/32 6 9/32
Fourth Quarter...... 11 3/4 9 3/32
1995:
First Quarter....... 11 25/32 9 31/32
Second Quarter...... 15 13/32 10 25/32
Third Quarter....... 22 15/16 15 1/32
Fourth Quarter...... 24 3/16 14 3/4
1996:
First Quarter....... 18 3/8 11 47/64
Second Quarter...... 28 1/8 17 13/16
Third Quarter....... 43 1/4 21 1/2
Fourth Quarter...... 60 3/8 38 1/16
1997:
First Quarter
(through January
20, 1997)....... 65 3/8 51 1/4
Historical prices have been adjusted for two
2 for 1 stock splits of the Dell Stock, which
became effective in each of the fourth
quarter of 1995 and the fourth quarter of
1996.
Dell has not paid cash dividends on the Dell
Stock to date. The Company makes no
representation as to the amount of dividends,
if any, that Dell will pay in the future. In
any event, holders of the Reset PERQS will
not be entitled to receive dividends, if any,
that may be payable on Dell Stock.
Use of Proceeds and Hedging:... The net proceeds to be received by the
Company from the sale of the Reset PERQS will
be used for general corporate purposes and,
in part, by the Company or one or more of its
affiliates in connection with hedging the
Company's obligations under the Reset PERQS.
See also "Use of Proceeds" in the
accompanying Prospectus.
On or prior to the date of this Pricing
Supplement, the Company, through its
subsidiaries or others, may hedge its
anticipated exposure in connection with
the Reset PERQS by taking positions in
Dell Stock, in options contracts on Dell
Stock listed on major securities markets
or positions in any other instruments that
it may wish to use in connection with such
hedging. In the event that the Company
pursues such a hedging strategy, the price
at which the Company is able to purchase
such positions may be a factor in
determining the pricing of the Reset
PERQS. Purchase activity could
potentially increase the price of Dell
Stock, and therefore effectively increase
the level to which Dell Stock must rise
before a holder of a Reset PERQS would
receive at maturity an amount of Dell
Stock worth as much as or more than the
principal amount of the Reset PERQS.
Although the Company has no reason to
believe that its hedging activity will
have a material impact on the price of
Dell Stock, there can be no assurance that
the Company will not affect such price as
a result of its hedging activities. The
Company, through its subsidiaries, is
likely to modify its hedge position
throughout the life of the Reset PERQS by
purchasing and selling the securities and
instruments listed above and any other
available securities and instruments.
United States Federal Taxation: The following discussion is based upon the
opinion of the Company's counsel, Shearman &
Sterling, as to certain of the material U.S.
federal income tax considerations with
respect to the acquisition, ownership and
disposition of Reset PERQS by an initial
purchaser thereof. This summary is based
on the provisions of the Internal Revenue
Code of 1986, as amended (the "Code"),
existing and proposed Treasury regulations
promulgated thereunder, and administrative
and judicial interpretations thereof, all
as currently in effect and all of which
are subject to change (possibly with
retroactive effect) and to differing
interpretations. Except as specifically
set forth herein, this summary deals only
with "U.S. Holders" (as defined below)
who or that purchase the Reset PERQS at
the Issue Price and hold the Reset PERQS
as capital assets. Furthermore, this
summary does not discuss all aspects of
U.S. federal income taxation that may be
applicable to particular investors in
light of their individual circumstances,
or to investors subject to special
treatment under U.S. federal income tax
law (including, for example, life
insurance companies, dealers in
securities, financial institutions, tax-
exempt organizations, persons having a
functional currency other than the U.S.
dollar, persons holding Reset PERQS as a
position in a "straddle" or conversion
transaction, or as part of a "synthetic
security," a hedging transaction or other
integrated financial transaction). This
summary also does not address the state,
local or foreign tax consequences of an
investment in Reset PERQS. As the tax law
in this area is technical and complex, the
discussion below necessarily represents
only a general summary.
As used herein, the term "U.S. Holder"
means an initial purchaser of a Reset
PERQS who or that is, for U.S. federal
income tax purposes, (i) a citizen or
resident of the United States, (ii) a
corporation, partnership or other entity
created in or organized under the laws of
the United States or of any political
subdivision thereof, (iii) an estate the
income of which is subject to U.S. federal
income taxation regardless of its source,
or (iv) a trust if both (A) a United
States court is able to exercise primary
supervision over the administration of the
trust, and (B) one or more United States
trustees or fiduciaries have the authority
to control all substantial decisions of
the trust.
Under current U.S. federal income tax law, it
is unclear whether the Reset PERQS will be
treated, in whole or in part, as forward
contracts to purchase Dell Stock, as
indebtedness of the Company, as one or more
options or other derivative instruments, or
as a combination thereof. No statutory,
judicial or administrative authority
definitively addresses the characterization
for U.S. federal income tax purposes of the
Reset PERQS or instruments similar to the
Reset PERQS. As a result, significant
aspects of the U.S. federal income tax
treatment of an investment in the Reset PERQS
are uncertain. No ruling has been or will be
requested from the IRS with respect to the
Reset PERQS and no assurance can be given
that the IRS or a court will agree with the
analysis set forth herein. ACCORDINGLY,
PROSPECTIVE INVESTORS IN THE RESET PERQS
SHOULD CONSULT THEIR OWN TAX ADVISORS IN
DETERMINING THE TAX CONSEQUENCES OF
INVESTMENTS IN THE RESET PERQS IN LIGHT OF
THEIR PARTICULAR CIRCUMSTANCES, INCLUDING
THE APPLICATION OF STATE, LOCAL OR OTHER
TAX LAWS.
Pursuant to the terms of the Reset PERQS, the
Company and all holders of the Reset PERQS
agree (in the absence of an administrative
ruling or judicial determination to the
contrary) to treat the Reset PERQS as a
forward contract for the purchase of Dell
Stock at maturity (including as a result of
acceleration other than on an Event of
Default) coupled with an interest bearing
cash deposit pledged by the holders to the
Company. Under this characterization, for
U.S. federal income tax purposes (i) the
Company and each holder of the Reset PERQS
would treat amounts paid to the Company in
respect of the original issuance of the Reset
PERQS as allocable in their entirety to a
cash deposit attributable to such forward
contract; (ii) amounts denominated as
interest on the Reset PERQS would be treated
as interest payable on the amount of such
cash deposit, includible annually in the
income of a U.S. Holder as interest income in
accordance with such holder's method of
accounting; and (iii) a U.S. Holder's tax
basis in any Reset PERQS would equal the cost
of the Reset PERQS.
In addition, under the characterization of
the Reset PERQS described above, a U.S.
Holder would recognize no gain or loss upon
the delivery of the Dell Stock at maturity,
other than short-term capital gain or loss
with respect to any cash received in lieu of
fractional shares in an amount equal to the
difference between the cash received and the
portion of the tax basis of the Reset PERQS
allocable to such fractional shares. A U.S.
Holder would have a tax basis in the Dell
Stock received equal to such holder's tax
basis in the Reset PERQS less the portion
thereof allocable to the fractional shares.
Alternatively, if, at maturity, the Company
is unable to deliver the Dell Stock, a U.S.
Holder would recognize gain or loss, as the
case may be, to the extent that the portion
of the Exchange Property consisting of cash,
if any, differs in amount from such holder's
tax basis in the Reset PERQS allocable to
such cash.
If a U.S. Holder sells or otherwise disposes
of a Reset PERQS prior to maturity, such
holder generally would, under the
characterization of the Reset PERQS described
above, recognize gain or loss equal to the
difference between the amount realized on the
sale or other disposition and the U.S.
Holder's tax basis in the Reset PERQS. Such
gain or loss would generally be capital gain
or loss (except to the extent attributable
to accrued but unpaid interest which would be
taxable as such) and would be long term
capital gain or loss if the U.S. Holder has
held the Reset PERQS for more than one year
at the time of disposition.
Although counsel does not believe that it is
more likely, it is possible that the Reset
PERQS would be treated as debt instruments,
the principal amount of which is wholly
dependent upon the future value of Dell
Stock. In such case, the Reset PERQS would
be subject to the "original issue discount"
provisions of the Code and the Treasury
regulations issued thereunder, and a U.S.
Holder would be required to accrue interest
income on the Reset PERQS as set forth below.
First, at the time the Reset PERQS are
issued, the Company would be required to
determine a "comparable yield" for the Reset
PERQS which takes into account the yield at
which the Company would issue a fixed rate
debt instrument with terms similar to those
of the Reset PERQS (excluding any adjustments
for liquidity or for the riskiness of the
contingencies). Based on that comparable
yield and the Issue Price of the Reset PERQS,
a U.S. Holder (regardless of accounting
method) would be required to accrue as
original issue discount the product of the
comparable yield (adjusted to reflect the
length of the accrual periods) and the
"adjusted issue price" of the Reset PERQS,
for each accrual period. The adjusted issue
price of the Reset PERQS at the beginning of
the first accrual period would be the Issue
Price and for any accrual period thereafter
would generally equal (x) the sum of the
Issue Price of such Reset PERQS and the
accrued original issue discount for all prior
accrual periods minus (y) the amount of any
prior payments on the Reset PERQS. On a
sale, exchange or retirement of the Reset
PERQS, a U.S. Holder generally would treat
any gain as interest income and any loss as
ordinary loss to the extent of previous
interest inclusions and the balance as
capital loss.
It is also possible that the Reset PERQS
could be characterized in a manner that
results in tax consequences different from
those described above. Under alternative
characterizations of the Reset PERQS, it is
possible, for example, that (i) a U.S. Holder
could be taxable upon the receipt of Dell
Stock, rather than upon the sale of such
stock, (ii) gain could be treated as ordinary
income, instead of capital gain, (iii) a
portion of the Issue Price of the Reset PERQS
could be allocated to the forward purchase
contract and a U.S. Holder could be required
to accrue original issue discount equal to
that amount, or (iv) payments of stated
interest could be viewed in part as an option
premium or other fee income.
DUE TO THE ABSENCE OF AUTHORITY AS TO THE
PROPER CHARACTERIZATION OF THE RESET PERQS,
NO ASSURANCE CAN BE GIVEN THAT THE IRS WILL
ACCEPT OR THAT A COURT WOULD UPHOLD ANY OF
THE CHARACTERIZATIONS DESCRIBED ABOVE.
Backup Withholding and Information Reporting
A holder of the Reset PERQS may be subject to
information reporting and to backup
withholding at a rate of 31 percent of
certain amounts paid to the holder unless
such holder provides proof of an applicable
exemption or a correct taxpayer
identification number, and otherwise complies
with applicable requirements of the backup
withholding rules. Any amounts withheld
under the backup withholding rules are not an
additional tax and may be refunded, or
credited against the U.S. Holder's U.S.
federal income tax liability, provided the
required information is furnished to the IRS.
Certain United States Federal Taxation
Considerations for
Foreign Corporations
While not free from doubt, a holder of a
Reset PERQS that is a foreign corporation (a
"Non-U.S. Holder") that (i) does not own 10
percent or more of the total combined voting
power of all classes of stock of the Company
entitled to vote, (ii) is not a "controlled
foreign corporation" that is related,
directly or indirectly, to the Company and
(iii) complies with certain certification
requirements should not be subject to U.S.
withholding tax in respect of the delivery of
the Dell Stock at maturity and more likely
than not will not be subject to U.S.
withholding tax in respect of payments of
stated interest on the Reset PERQS. In
addition, pursuant to the terms of certain
income tax treaties entered into by the
United States (including those with The
United Kingdom, France and Germany), a
Non-U.S. Holder that is entitled to treaty
benefits will be exempt from U.S. withholding
tax on amounts paid by the Company in respect
of the Reset PERQS, provided that a completed
IRS Form 1001 (or a substitute form) was
furnished by such holder. THE COMPANY
CURRENTLY INTENDS TO DEDUCT U.S. WITHHOLDING
TAX FROM PAYMENTS OF STATED INTEREST MADE IN
RESPECT OF THE RESET PERQS TO NON-U.S.
HOLDERS THAT ARE NOT ENTITLED TO SUCH TREATY
BENEFITS. Payments in respect of the Reset
PERQS not exempt from U.S. withholding tax
will be subject to such tax at a rate of 30%
(as reduced by applicable treaty). A
Non-U.S. Holder that satisfies the
requirements in (i) to (iii) of this
paragraph may apply for a refund of any
amount deducted by the Company in respect of
U.S. withholding tax. Any capital gain
realized upon the sale or other disposition
of the Reset PERQS by a Non-U.S. Holder will
generally not be subject to U.S. federal
income tax provided such gain is not
effectively connected with a U.S. trade or
business of such holder. Non-U.S. Holders
considering the purchase of Reset PERQS
should consult their own tax advisors with
regard to the application of U.S. withholding
tax with respect to payments on the Reset
PERQS.
HYPOTHETICAL PAYMENTS ON THE RESET PERQS
Based on an Initial Price of $60 per share of Dell Stock and a first year cap
of 140% and a second year cap of 140%, the following table illustrates, for a
range of First Year Closing Prices and Maturity Prices, the consequent
adjustments to the Exchange Ratio, Second Year Cap Prices, the Payments at
Maturity Based on Dell Stock for each $60 principal amount of Reset PERQS and
the total return including interest payments, based on a hypothetical interest
rate of 5.75% per annum, for each $60 principal amount of Reset PERQS. For
purposes of this table, all Adjusted Exchange Ratios are rounded to the
nearest one-hundredth of a percentage point with five one-hundredths of a
percentage point being rounded upwards.
<TABLE>
<CAPTION>
1/30/98
Initial Adjusted Second
Exchange First Year First Year Exchange Year
Initial Price Ratio Cap Price Closing Price Ratio Cap Price
- ----------------- ----------- ---------------- ---------------- ------------- ---------------
<S> <C> <C> <C> <C> <C>
$60.00 1.00 $84.00 $100.00 0.8400 $140.0000
$60.00 1.00 $84.00 $90.00 0.9333 $126.0000
$60.00 1.00 $84.00 $90.00 0.9333 $126.0000
$60.00 1.00 $84.00 $75.00 1.0000 $105.0000
$60.00 1.00 $84.00 $80.00 1.0000 $112.0000
$60.00 1.00 $84.00 $50.00 1.0000 $84.0000
$60.00 1.00 $84.00 $100.00 0.8400 $140.0000
$60.00 1.00 $84.00 $50.00 1.0000 $84.0000
140% of Greater of
Initial Price (x)
140% of
First Year
Closing
Price and
(y)
First Year
Cap Price
</TABLE>
<TABLE>
<CAPTION>
Reset Reset
PERQS PERQS
1/29/99 Payment Payment
Adjusted at Maturity at Maturity
Exchange Based on plus 5.75% Coupon
Maturity Price Ratio Dell Stock ("Total Payment")
- ----------------- ------------- ----------------- --------------------
<C> <C> <C> <C>
$140.00 0.8400 $117.60 $124.50
$115.00 0.9333 $107.33 $114.23
$70.00 0.9333 $65.33 $72.23
$100.00 1.0000 $100.00 $106.90
$70.00 1.0000 $70.00 $76.90
$100.00 0.8400 $84.00 $90.90
$50.00 0.8400 $42.00 $48.90
$35.00 1.0000 $35.00 $41.90
Maturity Price
times Adjusted
Exchange Ratio
</TABLE>
