Subject to Completion, Pricing Supplement dated July 16, 1997
PROSPECTUS Dated June 2, 1997 Pricing Supplement No. 9 to
PROSPECTUS SUPPLEMENT Registration Statement No. 333-27919
Dated June 2, 1997 July , 1997
Rule 424(b)(3)
$50,000,000
Morgan Stanley, Dean Witter, Discover & Co.
MEDIUM-TERM NOTES, SERIES C
Senior Fixed Rate Notes
EXCHANGEABLE NOTES DUE JULY , 2002
Exchangeable For an Amount Payable in U.S. Dollars
based on the level of the
S&P 500 COMPOSITE STOCK PRICE INDEX
The Exchangeable Notes due July , 2002 (the "Notes"), are
Medium-Term Notes, Series C (Senior Fixed Rate Notes) of Morgan Stanley, Dean
Witter, Discover & Co. (the "Company"), as further described below and in the
Prospectus Supplement under "Description of Notes--Fixed Rate Notes"
and "--Exchangeable Notes." The issue price of each Note will be
$ ( % of the principal amount at maturity) (the "Issue Price").
The Issue Price represents a yield to maturity of % per annum
computed on a semi-annual bond-equivalent basis based on the Issue Price
calculated from the date of issuance (the "Original Issue Date"). The Notes
are issued in minimum denominations of $1,000 per Note and will mature on July
, 2002. There will be no periodic payments of interest on the Notes.
On any Exchange Date, the holder of a Note will have the right
(the "Exchange Right"), subject to a prior call of the Notes by the Company
(as described in the immediately succeeding paragraph) and upon completion by
the holder and delivery to the Company and the Calculation Agent of an
Official Notice of Exchange prior to 11:00 a.m. New York City time on such
date, to exchange each $1,000 principal amount of such Note for an amount in
dollars ("Parity") equal to (the "Exchange Ratio") multiplied by the
Index Value of the S&P 500 Composite Stock Price Index (the "S&P 500 Index")
on the Exchange Date. Upon any exchange, the holder will not receive any cash
payment representing any accrued original issue discount ("Stated OID"). Such
accrued Stated OID will be deemed paid by the cash received by the holder upon
exercise of the Exchange Right. An Exchange Date will be any Trading Day that
falls during the period beginning 90 days after the Original Issue Date and
ending on the earliest of (i) the seventh scheduled Trading Day prior to the
Maturity Date and (ii) in the event of a call of the Notes by the Company, the
Company Notice Date.
On or after June 15, 1999, the Company may call the Notes, in
whole but not in part, for mandatory exchange into cash in an amount equal to
Parity on the Trading Day immediately prior to the Company Notice Date;
provided that, if such amount is less than the applicable Call Price for the
Call Date announced on such Company Notice Date, the Company will pay such
applicable Call Price. If the Notes are so called for mandatory exchange, the
cash to be delivered to holders of Notes will be delivered on the date (the
"Call Date") not less than 30 nor more than 60 days after the Company Notice
Date, as specified by the Company in its notice of mandatory exchange.
Following a mandatory exchange by the Company, the holder of a Note will not
be entitled to (i) receive any cash payment representing accrued Stated OID
(such accrued Stated OID will be deemed paid by the delivery of Parity or the
Call Price, as applicable) or (ii) exercise the Exchange Right.
The closing value of the S&P 500 Index on the date of this
Pricing Supplement was (the "Initial Index Value"). See "Historical
Information" in this Pricing Supplement for information on the range of values
for the S&P 500 Index.
The Company will cause Parity and any adjustments to the Index
Value to be determined by the Calculation Agent for The Chase Manhattan Bank
(formerly known as Chemical Bank) as Trustee under the Senior Debt Indenture.
An investment in the Notes entails risks not associated with
similar investments in a conventional debt security, as described under " Risk
Factors" on PS-4 through PS-6 herein.
--------------
PRICE %
--------------
Price to Public Agent's Commissions(1) Proceeds to Company
--------------- ---------------------- -------------------
Per Note. % % %
Total.... $ $ $
- ------------
(1) The Company has agreed to indemnify the Agent against certain liabilities,
including liabilities under the Securities Act of 1933.
MORGAN STANLEY DEAN WITTER
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.
CERTAIN PERSONS PARTICIPATING IN THIS OFFERING MAY ENGAGE IN TRANSACTIONS THAT
STABILIZE, MAINTAIN OR OTHERWISE AFFECT THE PRICE OF THE NOTES OR THE
INDIVIDUAL STOCKS UNDERLYING THE S&P 500. SPECIFICALLY, THE AGENT MAY
OVERALLOT IN CONNECTION WITH THE OFFERING, AND MAY BID FOR AND PURCHASE THE
NOTES OR INDIVIDUAL STOCKS UNDERLYING THE S&P 500 IN THE OPEN MARKET. FOR A
DESCRIPTION OF THESE ACTIVITIES, SEE "USE OF PROCEEDS AND HEDGING."
Capitalized terms not defined herein have the meanings given to such terms in
the accompanying Prospectus Supplement.
Principal Amount.............. $50,000,000
Maturity Date................. July , 2002
Specified Currency............ U.S. Dollars
Issue Price................... $ ( % of the principal amount
at maturity)
Original Issue Date
(Settlement Date)............. , 1997
Book Entry Note or
Certificated Note............. Book Entry, DTC
Senior Note or Subordinated
Note.......................... Senior
Minimum Denominations......... $1,000
Agent......................... Morgan Stanley & Co. Incorporated
Trustee....................... The Chase Manhattan Bank
Exchange Right................ On any Exchange Date, subject to a prior call
of the Notes by the Company as described
under "Company Exchange Right" below, the
holders of Notes will be entitled upon (i)
completion by the holder and delivery to the
Company and the Calculation Agent of an
Official Notice of Exchange (in the form of
Annex A attached hereto) prior to 11:00 a.m.
New York City time on such date and (ii)
delivery on such date of such Notes to the
Trustee, to exchange each $1,000 principal
amount of Notes for Parity on such Exchange
Date. Payment by the Company will be made 3
Business Days after the Exchange Date,
subject to delivery of such Notes to the
Trustee on the Exchange Date. The Exchange
Date is subject to adjustment as more fully
described under "Exchange Date" below.
The Company shall, or shall cause the
Calculation Agent to, deliver such payment to
the Trustee for delivery to the holders.
Parity........................ With respect to any Trading Day, an amount in
dollars equal to the Exchange Ratio times the
Index Value of the S&P 500 Index on such
Trading Day.
Exchange Ratio................
Exchange Date................. Any Trading Day that falls during the period
beginning 90 days after the Original Issue
Date and ending on the earliest of (i) the
seventh scheduled Trading Day prior to the
Maturity Date or (ii) the Company Notice Date.
If a Market Disruption Event occurs on any
such Trading Day, the Exchange Date will be
deemed to be the immediately succeeding
Trading Day during which no Market Disruption
Event shall have occurred; provided that if a
Market Disruption Event has occurred on each
of the five immediately succeeding Trading
Days, then the relevant Exchange Date will be
deemed to be such fifth succeeding Trading
Day, notwithstanding the occurrence of a
Market Disruption Event on such day (an
"Extended Exchange Date"). With respect to
any such Extended Exchange Date on which a
Market Disruption Event occurs, the
Calculation Agent will determine the value of
the S&P 500 Index on such Extended Exchange
Date in accordance with the formula for and
method of calculating the S&P 500 Index last
in effect prior to the commencement of the
Market Disruption Event, using the closing
price (or, if trading in the relevant
securities has been materially suspended or
materially limited, its good faith estimate
of the closing price that would have
prevailed but for such suspension or
limitation) on such Trading Day of each
security most recently comprising the S&P.
Company Exchange Right ....... On or after June 15, 1999, the Company may
call the Notes, in whole but not in part, for
mandatory exchange into cash in an amount
equal to Parity on the Trading Day (on which
no Market Disruption Event may have occurred)
immediately preceding the Company Notice
Date; provided that, if such amount as
determined by the Calculation Agent, is less
than the applicable Call Price for the Call
Date announced on such Company Notice Date,
the Company will pay such applicable Call
Price. If the Notes are so called for
mandatory exchange by the Company, then, the
cash to be delivered to holders of Notes will
be delivered on the Call Date fixed by the
Company and set forth in its notice of
mandatory exchange, upon delivery of such
Notes to the Trustee. Following an exchange
by the Company, the holder will not be
entitled to (i) receive any additional cash
payment representing any accrued Stated OID
(such accrued Stated OID will be deemed paid
by the delivery of Parity or the Call Price,
as applicable) or (ii) exercise the Exchange
Right.
The Company shall, or shall cause the
Calculation Agent to, deliver such cash to
the Trustee for delivery to the holders.
Call Date..................... The date, not less than 30 nor more than 60
days after the Company Notice Date, as
specified by the Company in its notice of
mandatory exchange.
Company Notice Date........... Any Trading Day on which the Company issues
its notice of mandatory exchange, which must
be 30 to 60 days prior to any Trading Day on
or after June 15, 1999.
Call Price.................... The table below shows indicative Call Prices
for each $1,000 principal amount of Notes on
June 15, 1999 and at each June 15 thereafter
to and including the Maturity Date. The Call
Price for each $1,000 principal amount of
Notes called for mandatory exchange on Call
Dates between such indicative dates would
include an additional amount reflecting any
additional Stated OID from the next preceding
date in the table through the applicable Call
Date at a rate of % per annum. Such
additional accreted amount of Stated OID, as
determined by the Calculation Agent, will be
calculated on a semiannual bond-equivalent
basis based on the Call Price for the
immediately preceding Call Date indicated in
the table below.
Call Date Call Price
--------- ----------
June 15, 1999.......................... $
June 15, 2000.......................... $
June 15, 2001.......................... $
June 15, 2002.......................... $
Maturity............................... $
Index Value................... The Index Value, on any Trading Day, will
equal the closing value of the S&P 500 Index
or any Successor Index at the regular official
weekday close of trading on such Trading Day.
See "Discontinuance of the S&P 500 Index;
Alteration of Method of Calculation."
References herein to the S&P 500 Index will
be deemed to include any Successor Index,
unless the context requires otherwise.
Trading Day................... A day on which trading is generally conducted
(i) on the New York Stock Exchange ("NYSE"),
the American Stock Exchange, Inc. ("AMEX")
and the NASDAQ National Market ("NASDAQ NMS"),
(ii) on the Chicago Mercantile Exchange and
(iii) on the Chicago Board of Options
Exchange, as determined by the Calculation
Agent.
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 Notes, including
with respect to certain determinations and
judgments that the Calculation Agent must make
in determining the Index Value or whether a
Market Disruption Event has occurred. See
"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 Notes entails
significant risks not associated with similar
investments in a conventional debt security,
including the following:
The yield to maturity is less than would be
payable on a non-exchangeable debt security
if the Company were to issue such a security
at the same time it issues the Notes.
There can be no assurance as to how the Notes
will trade in the secondary market or whether
such market will be liquid or illiquid. The
market value for the Notes will be affected
by a number of factors independent of the
creditworthiness of the Company, including,
but not limited to, the volatility of the S&P
500 Index, the dividend rates on the stocks
underlying the S&P 500 Index, market interest
and yield rates and the time remaining to the
first Exchange Date, any Call Date or the
maturity of the Notes. In addition, the
value of the S&P 500 Index depends on a
number of interrelated factors, including
economic, financial and political events, over
which the Company has no control. The market
value of the Notes is expected to depend
primarily on the extent of the appreciation,
if any, of the Index Value of the S&P 500
Index above the Initial Index Value. The
price at which a holder will be able to sell
Notes prior to maturity may be at a discount,
which could be substantial, from the accreted
principal amount thereof, if, at such time,
the Index Value of the S&P 500 Index is
below, equal to or not sufficiently above the
Initial Index Value.
The historical S&P 500 Index values should
not be taken as an indication of the future
performance of the S&P 500 Index during the
term of the Notes. While the trading prices
of the stocks underlying the S&P 500 Index
will determine the value of the S&P 500
Index, it is impossible to predict whether
the value of the S&P 500 Index will rise or
fall. Trading prices of the stocks underlying
the S&P 500 Index will be influenced by both
the complex and interrelated political,
economic, financial and other factors that can
affect the capital markets generally and the
equity trading markets on which the
underlying stocks are traded, and by various
circumstances that can influence the values
of the underlying stocks in a specific market
segment or a particular underlying stock.
The policies of S&P concerning additions,
deletions and substitutions of the stocks
underlying the S&P 500 Index and the manner
in which S&P takes account of certain changes
affecting such underlying stocks may affect
the value of the S&P 500 Index. The policies
of S&P with respect to the calculation of the
S&P 500 Index could also affect the value of
the S&P 500 Index. S&P may discontinue or
suspend calculation or dissemination of the
S&P 500 Index. Any such actions could affect
the value of the Notes. See "S&P 500 Index"
and "Discontinuance of the S&P 500 Index;
Alteration of Method of Calculation" below.
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 Notes, including
with respect to certain determinations and
judgments that the Calculation Agent must make
in determining the Index Value or whether a
Market Disruption Event has occurred. See
"Market Disruption Event" below.
It is suggested that prospective investors
who consider purchasing the Notes should
reach an investment decision only after
carefully considering the suitability of the
Notes in light of their particular
circumstances.
Investors should also consider the tax
consequences of investing in the Notes. See
"United States Federal Taxation" below.
Market Disruption Event....... "Market Disruption Event" means, with respect
to the S&P 500 Index:
(i) a suspension, absence or material
limitation of trading of 100 or more of
the securities included in the S&P 500
Index on the primary market for such
securities 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, absence or
material limitation of trading on the
primary market for trading in futures or
options contracts related to the S&P 500
Index 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 Notes.
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 or market, (2)
a decision to permanently discontinue trading
in the relevant futures or options 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 NYSE, 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 will
constitute a Market Disruption Event, (4) a
suspension of trading in a futures or options
contract on the S&P 500 Index by the primary
securities market related to such contract by
reason of (a) a price change exceeding limits
set by such exchange or market, (b) an
imbalance of orders relating to such
contracts or (c) a disparity in bid and ask
quotes relating to such contracts will
constitute a suspension or material
limitation of trading in futures or options
contracts related to the S&P 500 Index and (5)
a "suspension, absence or material limitation
of trading" on the primary market on which
futures or options contracts related to the
S&P 500 Index are traded will not include any
time when such 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 Notes shall have occurred and be
continuing, the amount declared due and
payable upon any acceleration of any Note
shall be determined by MS & Co, as
Calculation Agent, and shall be equal to the
Issue Price of a Note plus the accrued Stated
OID to but not including the date of
acceleration; provided that if (x) the holder
of a Note has submitted an Official Notice of
Exchange to the Issuer in accordance with the
Exchange Right or (y) the Issuer has called
the Notes in accordance with the Company
Exchange Right, the amount declared due and
payable upon any such acceleration shall be
an amount in cash for each $1,000 principal
amount of a Note equal to (I) Parity
determined by the Calculation Agent as of the
Exchange Date or the Trading Day prior to the
Company Notice Date, as applicable, or (II)
in the event of a call by the Company for an
amount equal to the Call Price, such Call
Price, and will not include any accrued
Stated OID. See "Call Price" above.
S&P 500 Index................. The S&P 500 Index is published by S&P and is
intended to provide a performance benchmark
for the U.S. equity markets. The calculation
of the value of the S&P 500 Index (discussed
below in further detail) is based on the
relative value of the aggregate Market Value
(as defined below) of the common stocks of
500 companies (the "Component Stocks") as of
a particular time as compared to the
aggregate average Market Value of the common
stocks of 500 similar companies during the
base period of the years 1941 through 1943.
The "Market Value" of any Component Stock is
the product of the market price per share and
the number of the then outstanding shares of
such Component Stock. The 500 companies are
not the 500 largest companies listed on the
NYSE and not all 500 companies are listed on
such exchange. S&P chooses companies for
inclusion in the S&P 500 Index with an aim of
achieving a distribution by broad industry
groupings that approximates the distribution
of these groupings in the common stock
population of the U.S. equity market. S&P
may from time to time, in its sole
discretion, add companies to, or delete
companies from, the S&P 500 Index to achieve
the objectives stated above. Relevant
criteria employed by S&P include the
viability of the particular company, the
extent to which that company represents the
industry group to which it is assigned, the
extent to which the company's common stock is
widely-held and the Market Value and trading
activity of the common stock of that company.
The S&P 500 Index is calculated using a
base-weighted aggregate methodology: the
level of the Index reflects the total Market
Value of all 500 Component Stocks relative to
the S&P 500 Index's base period of 1941-43
(the "Base Period").
An indexed number is used to represent the
results of this calculation in order to make
the value easier to work with and track over
time.
The actual total Market Value of the
Component Stocks during the Base Period has
been set equal to an indexed value of 10.
This is often indicated by the notation
1941-43=10. In practice, the daily
calculation of the S&P 500 Index is computed
by dividing the total Market Value of the
Component Stocks by a number called the Index
Divisor. By itself, the Index Divisor is an
arbitrary number. However, in the context of
the calculation of the S&P 500 Index, it is
the only link to the original base period
value of the Index. The Index Divisor keeps
the Index comparable over time and is the
manipulation point for all adjustments to the
S&P 500 Index ("Index Maintenance").
Index maintenance includes monitoring and
completing the adjustments for company
additions and deletions, share changes, stock
splits, stock dividends, and stock price
adjustments due to company restructurings or
spinoffs.
To prevent the value of the Index from
changing due to corporate actions, all
corporate actions which affect the total
Market Value of the Index require an Index
Divisor adjustment. By adjusting the Index
Divisor for the change in total Market Value,
the value of the S&P 500 Index remains
constant. This helps maintain the value of
the Index as an accurate barometer of stock
market performance and ensures that the
movement of the Index does not reflect the
corporate actions of individual companies in
the Index. All Index Divisor adjustments are
made after the close of trading and after the
calculation of the closing value of the S&P
500 Index. Some corporate actions, such as
stock splits and stock dividends, require
simple changes in the common shares
outstanding and the stock prices of the
companies in the Index and do not require
Index Divisor adjustments.
The table below summarizes the types of S&P
500 Index maintenance adjustments and
indicates whether or not an Index Divisor
adjustment is required.
Divisor
Type of Adjustment
Corporate Action Adjustment Factor Required
---------------- ----------------- ----------
Stock split Shares Outstanding No
(i.e. 2x1) multiplied by 2;
Stock Price divided by 2
Share issuance Shares Outstanding plus Yes
(i.e. Change > 5%) newly issued Shares
Share repurchase Shares Outstanding minus Yes
(i.e. Change > 5%) Repurchased Shares
Special cash Share Price minus Special Yes
dividends Dividend
Company change Add new company Market Yes
Value minus old company
Market Value
Rights offering Price of parent company Yes
minus
( Price of Rights )
(-----------------)
( Right Ratio )
Spinoffs Price of parent company Yes
minus
( Price of Spinoff Co. )
(----------------------)
( Share Exchange Ratio )
Stock splits and stock dividends do not
affect the Index Divisor of the S&P 500
Index, because following a split or dividend
both the stock price and number of shares
outstanding are adjusted by S&P so that there
is no change in the Market Value of the
Component Stock. All stock split and
dividend adjustments are made after the close
of trading on the day before the ex-date.
Each of the corporate events exemplified in
the table requiring an adjustment to the
Index Divisor has the effect of altering the
Market Value of the Component Stock and
consequently of altering the aggregate Market
Value of the Component Stocks (the "Post-Event
Aggregate Market Value"). In order that the
level of the Index (the "Pre-Event Index
Value") not be affected by the altered Market
Value (whether increase or decrease) of the
affected Component Stock, a new Index Divisor
("New Divisor") is derived as follows:
Post-Event Aggregate Market Value
--------------------------------- = Pre-Event Index Value
New Divisor
Post-Event Aggregate Market Value
New Divisor = ---------------------------------
Pre-Event Index Value
A large part of the S&P 500 Index maintenance
process involves tracking the changes in the
number of shares outstanding of each of the
S&P 500 Index companies. Four times a year,
on a Friday close to the end of each calendar
quarter, the share totals of companies in the
Index are updated as required by any changes
in the number of shares outstanding. After
the totals are updated, the Index Divisor is
adjusted to compensate for the net change in
the total Market Value of the Index. In
addition, any changes over 5% in the current
common shares outstanding for the S&P 500
Index companies are carefully reviewed on a
weekly basis, and when appropriate, an
immediate adjustment is made to the Index
Divisor.
Discontinuance of the S&P
500 Index;
Alteration of Method
of Calculation................ If S&P discontinues publication of the S&P
500 Index and S&P or another entity publishes
a successor or substitute index that the
Calculation Agent determines, in its sole
discretion, to be comparable to the
discontinued S&P 500 Index (such index being
referred to herein as a "Successor Index"),
then the Index Value will be determined by
reference to the value of such Successor
Index at the close of trading on the NYSE,
the AMEX, NASDAQ NMS or the relevant exchange
or market for the Successor Index on any
subsequent Trading Day on which the Index
Value must be determined.
Upon any selection by the Calculation Agent
of a Successor Index, the Calculation Agent
will cause written notice thereof to be
furnished to the Trustee, to the Company and
to the holders of the Notes within three
Trading Days of such selection.
If S&P discontinues publication of the S&P
500 Index prior to, and such discontinuance
is continuing on, any subsequent Trading Day
on which the Index Value must be determined
and the Calculation Agent determines that no
Successor Index is available at such time,
then on such Trading Day, the Calculation
Agent will determine the Index Value on such
Trading Day. The Index Value will be
computed by the Calculation Agent in
accordance with the formula for and method of
calculating the S&P 500 Index last in effect
prior to such discontinuance, using the
closing price (or, if trading in the relevant
securities has been materially suspended or
materially limited, its good faith estimate
of the closing price that would have
prevailed but for such suspension or
limitation) on such Trading Day of each
security most recently comprising the S&P 500
Index. Notwithstanding these alternative
arrangements, discontinuance of the
publication of the S&P 500 Index may
adversely affect the value of the Notes.
If at any time the method of calculating the
S&P 500 Index or a Successor Index, or the
value thereof, is changed in a material
respect, or if the S&P 500 Index or a
Successor Index is in any other way modified
so that such index does not, in the opinion
of the Calculation Agent, fairly represent
the value of the S&P 500 Index or such
Successor Index had such changes or
modifications not been made, then, from and
after such time, the Calculation Agent will,
at the close of business in New York City on
each subsequent Trading Day on which the
Index Value must be determined, make such
calculations and adjustments as, in the good
faith judgment of the Calculation Agent, may
be necessary in order to arrive at a value of
a stock index comparable to the S&P 500 Index
or such Successor Index, as the case may be,
as if such changes or modifications had not
been made, and calculate the Index Value with
reference to the S&P 500 Index or such
Successor Index, as adjusted. Accordingly,
if the method of calculating the S&P 500
Index or a Successor Index is modified so
that the value of such index is a fraction of
what it would have been if it had not been
modified (e.g., due to a split in the index),
then the Calculation Agent will adjust such
index in order to arrive at a value of the
S&P 500 Index or such Successor Index as if
it had not been modified (e.g., as if such
split had not occurred).
Public Information............ All disclosure contained in this Pricing
Supplement regarding the S&P 500 Index,
including, without limitation, its make-up,
method of calculation and changes in its
components, are derived from publicly
available information prepared by S&P.
Neither the Company nor the Agent take any
responsibility for the accuracy or
completeness of such information.
Historical Information........ The following table sets forth the high and
low daily closing values, as well as
end-of-quarter closing values, of the S&P 500
Index for each quarter in the period from
January 1, 1992 through July 15, 1997. The
Index Values listed below were obtained from
Bloomberg Financial Markets. The Company
believes all such information to be accurate.
The historical values of the S&P 500 Index
should not be taken as an indication of
future performance, and no assurance can be
given that the S&P 500 Index will increase
sufficiently to cause the holders of the
Notes to receive an amount in excess of the
Issue Price on any Exchange Date.
Daily Index Values
--------------------------------------
Period
High Low End
------ ------ ------
1992
First Quarter....... 420.77 403.00 403.69
Second Quarter...... 418.49 394.50 408.14
Third Quarter....... 425.27 409.16 417.80
Fourth Quarter...... 441.28 402.66 435.71
1993
First Quarter....... 456.34 429.05 451.67
Second Quarter...... 453.85 433.54 450.53
Third Quarter....... 463.56 441.43 458.93
Fourth Quarter...... 470.94 457.48 466.45
1994
First Quarter....... 482.00 445.55 445.76
Second Quarter...... 462.37 438.92 444.27
Third Quarter....... 476.07 446.13 462.71
Fourth Quarter...... 473.77 445.45 459.27
1995
First Quarter....... 503.90 459.11 500.71
Second Quarter...... 551.07 501.85 544.75
Third Quarter....... 586.77 547.09 584.41
Fourth Quarter...... 621.69 576.72 615.93
1996
First Quarter....... 661.45 598.48 645.50
Second Quarter...... 678.51 631.18 670.63
Third Quarter....... 687.31 626.65 687.31
Fourth Quarter...... 757.03 689.08 740.74
1997
First Quarter....... 816.29 737.01 757.12
Second Quarter...... 898.70 737.65 885.14
Third Quarter
(through July 15,
1997)............... 925.76 891.03 925.76
Use of Proceeds and Hedging... The net proceeds to be received by the
Company from the sale of the Notes 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 Notes.
On or prior to the date of this Pricing
Supplement, the Company, through its
subsidiaries and others, may hedge some or
all of its anticipated exposure in connection
with the Notes by the purchase and sale of
exchange traded and over the counter options
on the S&P 500 Index, individual stocks
included in the S&P 500 Index, futures
contracts on the S&P 500 Index and options on
such futures contracts or by taking positions
in any other instruments that it may wish to
use in connection with such hedging. The
Company, through its subsidiaries, is likely
to modify its hedge position throughout the
life of the Notes by purchasing and selling
the securities and instruments listed above
and other available securities and
instruments. Although the Company has no
reason to believe that its hedging activity
will have a material impact on the price of
such options, stocks, futures contracts, and
options on futures contracts or on the value
of the S&P 500 Index, there can be no
assurance that the Company will not affect
such prices as a result of its hedging
activities. See also "Use of Proceeds" in the
accompanying Prospectus.
License Agreement............. S&P and MS & Co. have entered into a
non-exclusive license agreement providing for
the license to MS & Co., and any of its
affiliated or subsidiary companies, in
exchange for a fee, of the right to use the
S&P 500 Index, which is owned and published
by S&P, in connection with certain
securities, including the Notes.
The license agreement between S&P and MS &
Co. provides that the following language must
be set forth in this Pricing Supplement:
The Notes are not sponsored, endorsed, sold
or promoted by S&P. S&P makes no
representation or warranty, express or
implied, to the holders of the Notes or any
member of the public regarding the
advisability of investing in securities
generally or in the Notes particularly or the
ability of the S&P 500 Index to track general
stock market performance. S&P's only
relationship to the Company is the licensing
of certain trademarks and trade names of S&P
and of the S&P 500 Index, which is
determined, composed and calculated by S&P
without regard to the Company or the Notes.
S&P has no obligation to take the needs of
the Company or the holders of the Notes into
consideration in determining, composing or
calculating the S&P 500 Index. S&P is not
responsible for and has not participated in
the determination of the timing of, prices
at, or quantities of the Notes to be issued
or in the determination or calculation of the
equation by which the Notes are to be
converted into cash. S&P has no obligation
or liability in connection with the
administration, marketing or trading of the
Notes.
S&P DOES NOT GUARANTEE THE ACCURACY AND/OR
THE COMPLETENESS OF THE S&P 500 INDEX OR ANY
DATA INCLUDED THEREIN. S&P MAKES NO
WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO
BE OBTAINED BY THE COMPANY, HOLDERS OF THE
NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE
USE OF THE S&P INDEX OR ANY DATA INCLUDED
THEREIN IN CONNECTION WITH THE RIGHTS
LICENSED UNDER THE LICENSE AGREEMENT
DESCRIBED HEREIN OR FOR ANY OTHER USE. S&P
MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND
HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF
MERCHANTABILITY OR FITNESS FOR A PARTICULAR
PURPOSE OR USE WITH RESPECT TO THE S&P 500
INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT
LIMITING ANY OF THE FOREGOING, IN NO EVENT
SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL,
PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES
(INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF
THE POSSIBILITY OF SUCH DAMAGES.
"Standard & Poor's[Registered]",
"S&P[Registered]", "S&P 500[Registered]",
"Standard & Poor's 500," and "500" are
trademarks of McGraw-Hill, Inc. and have been
licensed for use by MS & Co.
United States Federal
Taxation...................... The Notes are Notes Linked to an Index and
investors should refer to the discussion
under "United States Federal
Taxation--Notes--Notes Linked to Commodity
Prices, Single Securities, Basket of
Securities or Indices" and "United States
Federal Taxation--Notes--Optionally
Exchangeable Notes" in the accompanying
Prospectus Supplement. In connection with the
discussion thereunder, the Company has
determined that the "comparable yield" is an
annual rate of %, compounded semi-
annually. Based on the Company's
determination of the comparable yield, the
"projected payment schedule" for a Note
(assuming a par amount of $1,000 or with
respect to each integral multiple thereof)
consists of a projected amount due at
maturity, equal to $ (the "Projected
Amount").
THE COMPARABLE YIELD, THE PROJECTED PAYMENT
SCHEDULE AND THE PROJECTED AMOUNT ARE NOT
PROVIDED FOR ANY PURPOSE OTHER THAN THE
DETERMINATION OF UNITED STATES HOLDERS'
INTEREST ACCRUALS AND ADJUSTMENTS IN RESPECT
OF THE NOTES, AND THE COMPANY MAKES NO
REPRESENTATION REGARDING THE ACTUAL AMOUNTS
OF THE PAYMENTS ON A NOTE.
ANNEX A
OFFICIAL NOTICE OF EXCHANGE
Dated: [At least 90 days after the Original Issue Date]
Morgan Stanley, Dean Witter, Discover & Co.
1585 Broadway
New York, New York 10036
Morgan Stanley & Co. Incorporated, as
Calculation Agent
1585 Broadway
New York, New York 10036
Fax No.: (212) 761-0674
(Attn: Lily Lam)
Dear Sirs:
The undersigned holder of the Medium Term Notes, Series C,
Senior Fixed Rate Notes due July , 2002 (Exchangeable for an Amount Payable
in U.S. Dollars based on the level of the S&P 500 Composite Stock Price Index)
of Morgan Stanley, Dean Witter, Discover & Co. (the "Notes") hereby
irrevocably elects to exercise with respect to the principal amount of the
Notes indicated below, as of the date hereof (or, if this letter is received
after 11:00 a.m. on any Trading Day, as of the next Trading Day, provided that
such day is prior to the earliest of (i) the seventh scheduled Trading Day
prior to the Maturity Date or (ii) the Company Notice Date), the Exchange
Right as described in Pricing Supplement No. 9 dated July , 1997 (the
"Pricing Supplement") to the Prospectus Supplement dated June 2, 1997 and the
Prospectus dated June 2, 1997 related to Registration Statement No. 333-27919.
Capitalized terms not defined herein have the meanings given to such terms in
the Pricing Supplement. Please date and acknowledge receipt of this notice in
the place provided below on the date of receipt, and fax a copy to the fax
number indicated, whereupon the Company will deliver payment 3 Business Days
after the Exchange Date in accordance with the terms of the Notes, as
described in the Pricing Supplement.
Very truly yours,
________________________________
[Name of Holder]
By:_____________________________
[Title]
________________________________
[Fax No.]
$_______________________________
Principal Amount of Notes
surrendered for exchange
Receipt of the above Official
Notice of Exchange is hereby acknowledged
MORGAN STANLEY, DEAN WITTER, DISCOVER & CO., as Issuer
MORGAN STANLEY & CO. INCORPORATED, as Calculation Agent
By MORGAN STANLEY & CO. INCORPORATED, as Calculation Agent
By:_______________________________________
Title:
Date and time of acknowledgment___________
