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Previous: MORGAN STANLEY DEAN WITTER & CO, 424B3, 1998-05-21 |
Next: MORGAN STANLEY DEAN WITTER & CO, 424B3, 1998-05-21 |
PROSPECTUS Dated March 26, 1998 Pricing Supplement No. 17 to
PROSPECTUS SUPPLEMENT Registration Statement No. 333-46935
Dated April 6, 1998 Dated May 14, 1998
Rule 424(b)(3)
LIT 5,000,000,000
Morgan Stanley Dean Witter & Co.
MEDIUM-TERM NOTES, SERIES E
EQUITY LINKED NOTES DUE 2002
------------------------
The Equity Linked Notes due 2002 (the "Notes" ) are Medium-Term
Notes, Series D of Morgan Stanley Dean Witter & Co. (the "Company" ), as further
described herein and in the Prospectus Supplement under "Description of
Notes--Fixed Rate Notes" and "--Notes Linked to Commodity Prices, Single
Securities, Baskets of Securities or Indices." The Notes are being issued in
minimum denominations of Italian lire ("LIT") 50,000,000 and will mature on June
3, 2002 (the "Maturity Date"). The Issue Price of each Note will be LIT
50,000,000 (100% of the principal amount) (the "Issue Price"), and there will be
no payments of interest prior to the maturity of the Notes.
The Notes will not be redeemable by the Company in whole or in
part prior to the Maturity Date other than under the circumstances described
under "Description of Notes--Tax Redemption" in the accompanying Prospectus
Supplement. The Notes will be issued only in bearer form, which form is further
described under "Description of Notes--Forms, Denominations, Exchange and
Transfer" in the accompanying Prospectus Supplement. Notes in bearer form will
not be exchangeable at any time for Notes in registered form.
On the Maturity Date, the holder of each Note will receive (i)
the par amount of such Note (LIT 50,000,000) ("Par") plus (ii) an amount (the
"Supplemental Redemption Amount") based on the percentage increase, if any, in
the value of a basket of indices that includes the S&P 500 Composite Stock
Price Index (the "S&P 500 Index"), as calculated by Standard & Poor's ("S&P"),
a division of the McGraw-Hill Companies, Inc., the MIB 30 Index, as calculated
by the Consiglio di Borsa (the "Italian Stock Exchange Council"), and the
Nikkei Stock Average (the "Nikkei 225 Index") published by Nihon Keizai
Shimbun, Inc. ("NKS") (together, the "Underlying Indices" and each an
"Underlying Index").
The Supplemental Redemption Amount payable with respect to each
Note at maturity will equal the product of (i) the par amount of such Note and
(ii) the greater of (x) 6% and (y) 90% of the Basket Change Percentage. The
Basket Change Percentage will be the sum of (A) 1/3 times the S&P 500 Index
Change Percentage, (B) 1/3 times the MIB 30 Index Change Percentage and (C)
1/3 times the Nikkei 225 Index Change Percentage. The S&P 500 Index Change
Percentage is the amount (positive or negative) by which the Final Average
Value of the S&P 500 Index differs from the Initial Value of the S&P 500
Index, expressed as a percentage of such Initial Value. The MIB 30 Index
Change Percentage is the amount (positive or negative) by which the Final
Average Value of the MIB 30 Index differs from the Initial Value of the MIB 30
Index, expressed as a percentage of such Initial Value. The Nikkei 225 Index
Change Percentage is the amount (positive or negative) by which the Final
Average Value of the Nikkei 225 Index differs from the Initial Value of the
Nikkei 225 Index, expressed as a percentage of such Initial Value. The
Initial Value of each Underlying Index will equal the arithmetic average of
the closing values of such Underlying Index on each of the Initial Index Dates
(as defined herein) with respect to such Underlying Index. The Final Average
Value of each Underlying Index will equal the arithmetic average of the
closing values of such Underlying Index on the thirtieth day of each March,
June, September and December, commencing June 30, 1998, and ending March 30,
2002 (the "Determination Dates"), except in the case of certain Market
Disruption Events.
Due to the method of calculation, the Notes will not be subject
to currency risk related to fluctuations in the Italian lire value of the S&P
500 Index, which is quoted in U.S. Dollars, or the Nikkei 225 Index, which is
quoted in Japanese Yen.
For information as to the calculation of the Supplemental
Redemption Amount and certain tax consequences to beneficial owners of the
Notes, see "Supplemental Redemption Amount," "Final Average Value,"
"Determination Dates" and "United States Federal Taxation" in this Pricing
Supplement.
The Company will cause the "Supplemental Redemption Amount" to
be determined by Morgan Stanley & Co. International Limited (the "Calculation
Agent") for The Chase Manhattan 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-6 through PS-8 herein.
MORGAN STANLEY DEAN WITTER
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 INDEX, THE MIB 30 INDEX AND/OR THE
NIKKEI 225 INDEX. 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 INDEX, THE MIB 30 INDEX AND/OR THE NIKKEI 225 INDEX 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....................... LIT 5,000,000,000
Maturity Date.......................... June 3, 2002.
Interest Rate.......................... There will be no periodic payments of
interest. See "Supplemental
Redemption Amount."
Specified Currency...................... Italian lire ("LIT")
Price to Public.......................... 100%
Settlement Date (Original Issue Date).... June 3, 1998
Common Code.............................. 8751803
ISIN..................................... XS0087518030
Senior Note or Subordinated
Note................................. Senior
Minimum Denominations.................... LIT 50,000,000
Agent.................................... Morgan Stanley & Co. International
Limited
Trustee.................................. The Chase Manhattan Bank
Maturity Redemption Amount............... On the Maturity Date, the holder of
each Note will receive (i) the par
amount of such Note LIT 50,000,000
("Par") plus (ii) the Supplemental
Redemption Amount.
Supplemental Redemption Amount........... The Supplemental Redemption Amount
payable with respect to each Note at
maturity will be an amount equal to
the product of (i) the par amount of
such Note and (ii) the greater of (x)
6% and (y) 90% of the Basket Change
Percentage. The Supplemental
Redemption Amount is described by the
following formula:
<TABLE>
<S> <C> <C>
1/3 (Final Average Value of the S&P 500 Index - Initial Value of the S&P 500 Index)
-------------------------------------------------------------------------------
Initial Value of the S&P 500 Index
PAR x MAX 6%, 90% x + 1/3 (Final Average Value of the MIB 30 Index - Initial Value of the MIB 30 Index)
-----------------------------------------------------------------------------
Initial Value of the MIB 30 Index
+ 1/3 (Final Average Value of the Nikkei 225 Index - Initial Value of the Nikkei 225 Index)
-------------------------------------------------------------------------------------
Initial Value of the Nikkei 225 Index
</TABLE>
The Company will cause the
Calculation Agent to provide written
notice to the Trustee at its New York
office, on which notice the Trustee
may conclusively rely, of the
Supplemental Redemption Amount, on or
prior to 11:00 a.m. on the Business
Day preceding the Maturity Date. See
"Discontinuance of Underlying
Indices; Adjustments to Underlying
Indices" below.
All percentages resulting from any
calculation with respect to the Notes
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 .9876545) would
be rounded to 9.87655% (or .987655)),
and all lira amounts used in or
resulting from such calculation will
be rounded to the nearest lira with
one-half lira being rounded upwards.
Basket Change Percentage:................ The sum of (A) 1/3 times the S&P 500
Index Change Percentage, (B) 1/3
times the MIB 30 Index Change
Percentage and (C) 1/3 times the
Nikkei 225 Index Change Percentage.
S&P 500 Index Change Percentage:......... The amount (positive or negative) by
which (A) the Final Average Value of
the S&P 500 Index differs from (B)
the Initial Value of the S&P 500
Index, expressed as a percentage of
such Initial Value.
MIB 30 Index Change Percentage:.......... The amount (positive or negative) by
which (A) the Final Average Value of
the MIB 30 Index differs from (B) the
Initial Value of the MIB 30 Index,
expressed as a percentage of such
Initial Value.
Nikkei 225 Index Change Percentage:...... The amount (positive or negative) by
which (A) the Final Average Value of
the Nikkei 225 Index differs from (B)
the Initial Value of the Nikkei 225
Index, expressed as a percentage of
such Initial Value.
Initial Value:........................... With respect to any Underlying Index,
the Initial Value will equal the
arithmetic average of the Index
Closing Values of such Underlying
Index on each of the Initial Index
Dates with respect to such Underlying
Index.
Initial Index Dates...................... The "Initial Index Dates" are
(i) June 2, 1998; and (ii)
June 3, 1998, unless there is a
Market Disruption Event on
either such date. If a Market
Disruption Event with respect to
an Underlying Index occurs on
either June 2 or June 3, 1998,
then the next succeeding Trading
Day during which no Market
Disruption Event will have
occurred with respect to such
Underlying Index shall be an
Initial Index Date in lieu of
such date; provided that if a
Market Disruption Event, with
respect to such Underlying
Index, has occured on each of
the five Trading Days
immediately succeeding June 2 or
June 3, 1998, as the case may
be, then (i) such fifth
succeeding Trading Day will be
deemed to be an Initial Index
Date for such Underlying Index,
notwithstanding the occurrence
of a Market Disruption Event on
such day and (ii) with respect
to any such fifth Trading Day on
which a Market Disruption Event
occurs, the Calculation Agent
will determine the value of the
disrupted Underlying Index on
such fifth Trading Day in
accordance with the formula for
and method of calculating the
disrupted Underlying 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 disrupted
Underlying Index.
Final Average Value:..................... With respect to any Underlying Index,
the Final Average Value will be the
arithmetic average of the Index
Closing Values of such Underlying
Index on each of the Determination
Dates, as determined by the
Calculation Agent.
Index Closing Value...................... The Index Closing Value of any
Underlying Index, as of (i) an
Initial Index Date or (ii) any
Determination Date, will equal the
closing value of such Underlying
Index or any Successor Index (as
defined below) at the regular
official weekday close of trading on
such Initial Index Date or
Determination Date. See
"Discontinuance of the Underlying
Indices; Adjustments to Underlying
Indices."
References herein to any Underlying
Index will be deemed to include any
Successor Index to such Underlying
Index, unless the context requires
otherwise.
Underlying Index......................... Any of the indices listed in the
first column of the table below
(which are further described herein)
or any replacement index as may be
chosen by the Determination Agent as
provided under "Discontinuance of
Underlying Indices; Adjustments to
Underlying Indices." Each such index
shall herein be referred to by the
term in the second column.
<TABLE>
Underlying Name Primary Underlying
Index Used Herein Exchange Index Publisher
---------- ------------ ------------------- ---------------
<S> <C> <C> <C>
S&P 500 SP 500 Index The New York Standard &
Composite Stock Exchange Poor's
Stock Price ("NYSE")
Index
MIB 30 Index MIB 30 Index Consiglio di Borsa The Italian
(the "Italian Stock Stock
Exchange Council") Exchange
Council
Nikkei Stock Nikkei 225 Nihon Keizai NKS
Average Index Shimbun, Inc.
("NKS")
</TABLE>
Exchange................................. Any of the primary exchanges listed
in the third column of the table
above or their successors.
Underlying Index Publisher............... Any of the publishers listed in the
fourth column of the table above or
their successors.
Trading Day.............................. With respect to each Underlying
Index, a day on which trading is
generally conducted (i) on the
Exchange of such Underlying Index and
(ii) on any exchange on which futures
or options contracts related to such
Underlying Index are traded, other
than a day on which trading on such
Exchange is scheduled to close prior
to its regular weekday closing time,
as determined by the Calculation
Agent.
Determination Dates...................... The Determination Dates will be the
thirtieth day of each March, June,
September and December, commencing
June 30, 1998 and ending March 30,
2002, and, if any such date is not a
Trading Day with respect to any
Underlying Index, the Determination
Date with respect to such Underlying
Index shall be the next succeeding
Trading Day, unless there is a Market
Disruption Event on any such Trading
Day. If a Market Disruption Event,
with respect to any Underlying Index,
occurs on any such Trading Day, such
Determination Date for the disrupted
Underlying Index will be the
immediately succeeding Trading Day
during which no Market Disruption
Event, related to such Underlying
Index, will have occurred; provided
that if a Market Disruption Event,
with respect to such Underlying
Index, has occurred on each of the
five Trading Days immediately
succeeding any of the scheduled
Determination Dates, then (i) such
fifth succeeding Trading Day will be
deemed to be the relevant
Determination Date for such
Underlying Index, notwithstanding the
occurrence of a Market Disruption
Event on such day and (ii) with
respect to any such fifth Trading Day
on which a Market Disruption Event
occurs, the Calculation Agent will
determine the value of the disrupted
Underlying Index on such fifth
Trading Day in accordance with the
formula for and method of calculating
the disrupted Underlying 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 disrupted Underlying
Index.
Acceleration of the Notes................ In case an Event of Default with
respect to any Notes shall have
occurred and be continuing, the
amount declared due and payable upon
any acceleration of the Notes will be
determined by the Calculation Agent
and will be equal to the par amount
plus the Supplemental Redemption
Amount determined as though each of
the Determination Dates scheduled to
occur on or after such date of
acceleration were the date of
acceleration.
Market Disruption Event:................. With respect to any Underlying Index,
"Market Disruption Event" means the
occurrence or existence of either of
the following events on a
Determination Date or on an Initial
Index Date as determined by the
Calculation Agent:
(i) a suspension, material
limitation or absence of trading
on the relevant Exchange of
stocks then constituting 20% or
more, by weight, of such
Underlying Index (or the
relevant Successor Index) for
more than two hours of trading
or during the one-half hour
period preceding the close of
trading on such Exchange; or
(ii) the suspension or material
limitation on any major
securities market of trading in
futures or options contracts
related to such Underlying Index
(or the relevant Successor
Index) for more than two hours
of trading or during the
one-half hour period preceding
the close of trading on such
market.
For the purpose of determining
whether a Market Disruption Event
exists at any time, if trading in a
security included in any Underlying
Index is materially suspended or
materially limited at that time, then
the relevant percentage contribution
of that security to the level of such
Underlying Index shall be based on a
comparison of (x) the portion of the
level of such Underlying Index
attributable to that security
relative to (y) the overall level of
such Underlying Index, in each case
immediately before that suspension or
limitation.
Calculation Agent........................ Morgan Stanley & Co. International
Limited ("MSIL")
All determinations made by the
Calculation Agent will be at the sole
discretion of the Calculation Agent
and will, in the absence of manifest
error, be conclusive for all purposes
and binding on the Company and
holders of the Notes.
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 Final
Average Values or whether a Market
Disruption Event has occurred. See
"Discontinuance of Underlying
Indices; Adjustments to Underlying
Indices" below and "Market Disruption
Event" above. MSIL is required to
maintain policies and procedures
regarding the handling and use of
confidential proprietary information,
and such policies and procedures will
be in effect throughout the term of
the Notes to restrict the use of
information relating to the
calculation of the Final Average
Value of an Underlying Index that the
Calculation Agent may be required to
make prior to its dissemination.
MSIL 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.
Because the Final Average Value of
each Underlying Index will be based
upon an average of closing values for
each such Underlying Index on
specified days (the Determination
Dates), a significant increase in any
Underlying Index as measured on the
final Determination Date, or on any
earlier Determination Date, may be
substantially or entirely offset by
the values of such Underlying Index
on other Determination Dates.
Neither the S&P 500 Index, the MIB 30
Index nor the Nikkei 225 Index
reflects the payment of dividends on
the stocks underlying it and
therefore the yield to maturity of
the Notes based on the S&P 500 Index,
the MIB 30 Index and the Nikkei 225
Index will not produce the same yield
as if such underlying stocks were
purchased and held for a similar
period. Furthermore, an investment in
the underlying stocks would, unlike
the calculation of the Supplemental
Redemption Percentage with respect to
the Notes, be affected by any
fluctuations in the exchange rate
between the U.S. Dollars, or Japanese
Yen, as the case may be, and the
Italian lire.
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. It is expected
that the secondary market value for
the Notes will be affected by the
creditworthiness of the Company and
by a number of factors, including,
but not limited to, the volatility of
each Underlying Index, dividend rates
on the stocks comprising each
Underlying Index, the time remaining
to the Determination Dates and to the
maturity of the Notes and market
interest rates in the United States,
Italy and Japan. In addition, the
Final Average Value of each
Underlying Index depends on a number
of interrelated factors, including
economic, financial and political
events, over which the Company has no
control. The historical experiences
of the Underlying Indices should not
be taken as an indication of their
future performances during the term
of any Note.
The underlying stocks that constitute
the S&P 500 Index, the MIB 30 Index
and the Nikkei 225 Index have been
issued by companies in the United
States, Italy and Japan. Investments
in securities indexed to the value of
such country's equity securities
involve certain risks associated with
the securities market in such
country, including the risks of
volatility in such markets,
government intervention in such
markets, cross-shareholdings in
companies in certain countries, legal
requirements concerning public
information about companies in
European countries that are less
exhaustive than similar requirements
concerning companies that file
reports with the United States
Securities and Exchange Commission
(the "SEC") and accounting and
financial standards that differ from
country to country and from those
applicable to companies in the United
States.
Securities prices in each country are
subject to political, economic,
financial and social factors in that
country that could negatively affect
securities markets in such country.
Moreover, the economies in such
countries may differ favorably or
unfavorably from economies in the
United States in such respects as
growth of gross national product,
rate of inflation, capital
reinvestment, resources and
self-sufficiency.
The historical values of an
Underlying Index should not be taken
as an indication of the future
performance of such Underlying Index
during the term of the Notes. While
the trading prices of the stocks
comprising an Underlying Index will
determine the value of such
Underlying Index, it is impossible to
predict whether the value of such
Underlying Index will fall or rise.
Trading prices of the stocks
comprising an Underlying 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 such stocks are traded, and
by various circumstances that can
influence the values of stocks in a
specific market segment or of a
particular stock.
The policies of an Underlying Index
Publisher concerning additions,
deletions and substitutions of the
stocks comprising an Underlying Index
and the manner in which an Underlying
Index Publisher takes account of
certain changes affecting such
underlying stocks may affect the
value of such Underlying Index. The
policies of an Underlying Index
Publisher with respect to the
calculation of an Underlying Index
could also affect the value of such
Underlying Index. An Underlying
Index Publisher may discontinue or
suspend calculation or dissemination
of an Underlying Index. Any such
actions could affect the value of the
Notes. See "Underlying Indices" and
"Discontinuance of Underlying
Indices; Adjustments to Underlying
Indices" 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
Final Average Value of an Underlying
Index or whether a Market Disruption
Event has occurred. See
"Discontinuance of Underlying
Indices; Adjustments to Underlying
Indices" below and "Market Disruption
Event" above.
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.
Underlying Indices....................... All information regarding the S&P 500
Index, the MIB 30 Index and the
Nikkei 225 Index set forth herein,
including, without limitation, its
make-up, method of calculation and
changes in its components, has been
derived from publicly available
information. Such information
reflects the policies of, and are
subject to change by, the respective
publishers of the Underlying Indices.
None of the publishers has any
obligation to continue to publish,
and may discontinue publication of,
its respective Underlying Index.
The Company or its affiliates may
presently or from time to time engage
in business with any of the
publishers, owners, founders or
creators of any of the Underlying
Indices or any of their successors or
one or more of the issuers of the
component stocks of any of the
Underlying Indices, including
extending loans to, making equity
investments in or providing advisory
services, including merger and
acquisition advisory services, to any
of such publishers, their successors,
founders or creators or to any of
such issuers. In the course of such
business with issuers, the Company or
its affiliates may acquire non-public
information with respect to such
issuers. The Company may also act as
market maker for the common stocks of
such issuers. The Company does not
make any representation to any
purchaser of Notes with respect to
any matters whatsoever relating to
any of such publishers, their
successors, founders or creators or
to any of such issuers. Any
prospective purchaser of Notes should
undertake an independent
investigation of the issuers of the
component stocks of the Underlying
Indices and with respect to the
competency of their respective
publishers to formulate and calculate
the applicable Index as in its
judgment is appropriate to make an
informed decision with respect to an
investment in the Notes. The
composition of the Underlying Indices
does not reflect any investment or
sell recommendations of the Company
or its affiliates.
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.
<TABLE>
<CAPTION>
Divisor
Type of Adjustment
Corporate Action Adjustment Factor Required
- -------------------------- --------------------------- -------------
<S> <C> <C>
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
</TABLE>
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
New Divisor = Post-Event Aggregate Market Value
---------------------------------
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.
The following table sets forth the
high and low daily closing values, as
well as end-of-quarter values, of the
S&P 500 Index for each quarter in the
period from January 1, 1993 through
May 14, 1998. All historical data
presented in the following table are
based on actual data from the S&P.
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 as to the
level of the S&P 500 Index as of any
Determination Date.
<TABLE>
<CAPTION>
Daily Closing Values in U.S. Dollars
------------------------------------
End of
High Low Quarter
----------- ------------ ------------
<S> <C> <C> <C>
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.......... 960.32 891.03 947.28
Fourth Quarter......... 983.79 876.98 970.43
1998:
1st Quarter............ 1105.65 927.69 1101.75
2nd Quarter (through
May 14, 1998).......... 1130.54 1085.11 1117.37
(Source: DataStream)
</TABLE>
MIB 30 Index
The MIB 30 Index measures the
performance of the 30 largest and
most actively traded stocks listed on
the Italian Stock Exchange. The MIB
30 Index is calculated by the CED
Borsa for the Italian Stock Exchange
Council and is disseminated daily on
Bloomberg Financial Markets, Reuters
Limited and The Financial Times
Limited. Publication of the MIB 30
Index began in 1993 based on an
initial MIB 30 Index value of 10,000
on December 31, 1992. Until October
14, 1994, the historical series of
the MIB 30 Index was determined using
the BCI Comit 30 Index methodology.
The 30 stocks included in the MIB 30
Index (the "Underlying Securities")
are selected twice a year based on
the average market value and average
trading volume of each Underlying
Security over the preceding 6 months.
In selecting the Underlying
Securities, the Italian Stock
Exchange Council identifies those
companies with the highest market
capitalization by evaluating the
liquidity of each company relative to
the liquidity of the market as a
whole. As part of this selection
process, a stock which, at the time
of such selection, meets the average
market value and average trading
volume requirements may nonetheless
be excluded from the MIB 30 Index if
such stock (i) has not traded
officially for a significant period
of time, (ii) is not likely to meet
all requirements for inclusion for
the entire period before the next
recomposition, (iii) has a ratio of
average market value to average
trading volume that exceeds 10,000
(i.e., stocks with a high market
value and low trading volume) or (iv)
is issued by the same company as an
Underlying Security that is already
included in the MIB 30 Index. In
addition, an Underlying Security may
be excluded from the MIB 30 Index,
other than on the yearly
recomposition date, if there is a
cancellation or suspension for more
than 20 trading days of official
trading in the Underlying Security,
or any other event which makes it
reasonably certain that the
Underlying Security has lost
liquidity or market value. The five
largest companies in the MIB 30 Index
are Eni, Telecom Italia, Telecom
Italia Mobile, Generali and Fiat,
which together represent
approximately 51.24% of the index as
a whole. A current list of the 30
Underlying Securities, as of May 14,
1998, is set forth below:
<TABLE>
<CAPTION>
Company Weight
- ------- -----------
<S> <C>
Alleanza Assicura.................................... 2.40%
Assic Generali....................................... 8.99%
Banca Commerciale Italiana........................... 2.85%
Banca di Roma........................................ 3.13%
Banca Fideuram SpA................................... 1.57%
Banca Intesa SpA..................................... 2.52%
Banca Pop di Milano.................................. 0.71%
Benetton Group SpA................................... 1.09%
Compart SpA.......................................... 0.76%
Credito Italiano..................................... 4.24%
Edison............................................... 1.55%
Eni.................................................. 15.62%
Fiat SpA............................................. 4.59%
Holding di Partecipazioni Industriali ............... 0.62%
Ina ................................................. 3.40%
Istituto Bancario San Paolo di Torino SpA............ 3.78%
Istituto Mobiliare Italiano SpA...................... 3.00%
Italgas.............................................. 0.89%
La Fondiaria......................................... 0.71%
Mediaset............................................. 2.19%
Mediobanca........................................... 2.10%
Montedison........................................... 1.91%
Olivetti............................................. 1.12%
Parmalat Finanz...................................... 0.93%
Pirelli SpA.......................................... 1.81%
Ras.................................................. 1.86%
Rolo Banca........................................... 2.88%
Saipem............................................... 0.76%
Telecom Italia Mobile................................ 10.92%
Telecom Italia....................................... 11.12%
</TABLE>
(Source: Italian Stock Exchange)
The MIB 30 Index is calculated by (i)
multiplying, for each Underlying
Security, the opening market price
per share on the semi-annual
selection day for the MIB 30 Index
(the "Base Price") by the number of
outstanding shares published in the
Listino Ufficial of the Italian Stock
Exchange three working days before
such semi-annual selection day (the
"Base Number of Shares"), (ii)
multiplying, for each Underlying
Security, the product obtained in (i)
above by a ratio, the numerator of
which is the current market price per
share and the denominator of which is
the Base Price, (iii) calculating the
sum of the products obtained for each
Underlying Security in (ii) above,
(iv) dividing such sum by the
aggregate market value of the
Underlying Securities on such
semi-annual selection day,
represented by the sum of the
products obtained by multiplying, for
each Underlying Security, the Base
Price by the Base Number of Shares
and (v) multiplying the result by a
Base Index of 10,000. At every
semi-annual revision of the
composition of the MIB 30 Index, the
Italian Stock Exchange Council
maintains the continuity of the MIB
30 Index by chain-linking the last
value of the old index with the first
value of the index as revised.
In the event of capital increases by
issuers of the Underlying Securities,
the calculation described above will
apply an adjustment coefficient, as
described below, to the Base Price of
the affected Underlying Security.
Upon such an event, a theoretical
adjusted price per share will be
determined for the affected
Underlying Security according to the
rules of financial parity established
by the Italian Association of
Financial Analysts. The adjustment
coefficient will be determined as the
ratio of the theoretical adjusted
price per share and the market price
per share on the day preceding the
capital increase. The Base Price will
then be multiplied by the adjustment
coefficient to produce an adjusted
base price, which will then replace
the Base Price in the calculation
described above. In addition,
because the MIB 30 Index is a fixed
weight index during the periods
between the dates of selection, the
adjustment to the Base Price is
balanced by a corresponding
adjustment to the Base Number of
Shares. The Base Number of Shares
will be multiplied by the reciprocal
of the adjustment coefficient to
produce the adjusted base number of
shares, which will then replace the
Base Number of Shares in the
calculation described above.
The following table sets forth the
high and low daily closing values, as
well as end-of-quarter closing
values, of the MIB 30 Index for each
quarter in the period from January 1,
1993 through May 14, 1998. The
historical values of the MIB 30 Index
should not be taken as an indication
of future performance, and no
assurance can be given as to the
level of the MIB 30 Index as of any
Determination Day.
<TABLE>
<CAPTION>
Daily Closing Values In Italian Lira
-------------------------------------------------
High Low Period End
-------- ------- ----------
<S> <C> <C> <C>
1993
1st Quarter............. 12,354 10,000 10,781
2nd Quarter............. 12,967 10,784 12,645
3rd Quarter............. 15,089 12,571 14,177
4th Quarter............. 14,606 12,015 14,560
1994
1st Quarter............. 16,847 13,793 16,847
2nd Quarter............. 18,836 15,366 16,030
3rd Quarter............. 17,100 14,908 15,829
4th Quarter............. 15,829 13,164 14,748
1995
1st Quarter............. 15,847 13,481 13,856
2nd Quarter............. 15,669 13,661 14,415
3rd Quarter............. 15,895 14,252 14,674
4th Quarter............. 14,674 13,094 14,132
1996
1st Quarter............. 15,144 13,397 13,628
2nd Quarter............. 15,985 13,600 15,721
3rd Quarter............. 15,836 13,767 15,347
4th Quarter............. 15,791 14,399 15,697
1997
1st Quarter............. 19,102 15,574 17,461
2nd Quarter............. 20,485 17,124 19,987
3rd Quarter............. 24,286 20,509 23,874
4th Quarter............. 24,942 21,217 24,942
1998
1st Quarter............. 34,570 25,484 34,570
2nd Quarter (through
May 14, 1998)........ 34,516 31,669 34,516
(Source: DataStream)
</TABLE>
Nikkei 225 Index
The Nikkei 225 Index is a stock index
calculated, published and
disseminated by NKS that measures the
composite price performance of
selected Japanese stocks. The Nikkei
225 Index currently is based on 225
highly capitalized underlying stocks
(the "Underlying Stocks") trading on
the TSE representing a broad
cross-section of Japanese industries.
All 225 Underlying Stocks are stocks
listed in the First Section of the
TSE. Stocks listed in the First
Section are among the most actively
traded stocks on the TSE.
The Nikkei 225 Index is a modified,
price-weighted index (i.e., an
Underlying Stock's weight in the
index is based on its price per share
rather than the total market
capitalization of the issuer) which
is calculated by (i) multiplying the
per share price of each Underlying
Stock by the corresponding weighting
factor for such Underlying Stock (a
"Weight Factor"), (ii) calculating
the sum of all these products and
(iii) dividing such sum by a divisor
(the "Divisor"). The Divisor,
initially set in 1949 at 225, was 225
as of May 14, 1998 and is subject to
periodic adjustments as set forth
below. Each Weight Factor is
computed by dividing Yen50 by the par
value of the relevant Underlying
Stock, so that the share price of
each Underlying Stock when multiplied
by its Weight Factor corresponds to a
share price based on a uniform par
value of Yen50. The stock prices
used in the calculation of the Nikkei
225 Index are those reported by a
primary market for the Underlying
Stocks (currently the TSE). The
level of the Nikkei 225 Index is
calculated once per minute during TSE
trading hours.
In order to maintain continuity in
the Nikkei 225 Index in the event of
certain changes due to non-market
factors affecting the Underlying
Stocks, such as the addition or
deletion of stocks, substitution of
stocks, stock splits or distributions
of assets to stockholders, the
Divisor used in calculating the
Nikkei 225 Index is adjusted in a
manner designed to prevent any
instantaneous change or discontinuity
in the level of the Nikkei 225 Index.
Thereafter, the Divisor remains at
the new value until a further
adjustment is necessary as the result
of another change. As a result of
such change affecting any Underlying
Stock, the Divisor is adjusted in
such a way that the sum of all share
prices immediately after such change
multiplied by the applicable Weight
Factor and divided by the new Divisor
(i.e., the level of the Nikkei 225
Index immediately after such change)
will equal the level of the Nikkei
225 Index immediately prior to the
change.
An Underlying Stock may be deleted or
added by NKS. Any stock becoming
ineligible for listing in the First
Section of the TSE due to any of the
following reasons will be deleted
from the Underlying Stocks: (i)
bankruptcy of the issuer, (ii) merger
of the issuer with, or acquisition of
the issuer by, another company, (iii)
delisting of such stock, (iv)
transfer of such stock to the
"Seiri-Post" because of excess debt
of the issuer or because of any other
reason or (v) transfer of such stock
to the Second Section. In addition,
Underlying Stocks with relatively low
liquidity, based on trading volume
and price fluctuation over the past
ten years, may be deleted by NKS
subject to a maximum of six such
deletions by reason of low liquidity
per year. Upon deletion of a stock
from the Underlying Stocks, NKS will
select a suitable replacement for
such deleted Underlying Stock in
accordance with certain criteria. In
an exceptional case, a newly listed
stock in the First Section of the TSE
that is recognized by NKS to be
representative of a market may be
added to the Underlying Stocks. In
such a case, an existing Underlying
Stock with low trading volume and not
representative of a market will be
deleted by NKS.
A list of the issuers of the
Underlying Stocks constituting the
Nikkei 225 Index is available from
the Nikkei Economic Electronic
Databank System and from the Stock
Market Indices Data Book published by
NKS. NKS may delete, add or
substitute any stock underlying the
Nikkei 225 Index.
NKS first calculated and published
the Nikkei 225 Index in 1970. The
following table sets forth the high,
the low and the closing values of the
Nikkei 225 Index for each quarter in
the period from January 1, 1993
through May 14, 1998, as published by
NKS. The historical performance of
the Nikkei 225 Index should not be
taken as an indication of future
performance, and no assurance can be
given that such performance, taken
together with the performance of the
Basket Stocks, will cause the holders
of the Notes to receive any
Supplemental Redemption Amount under
the formula for determining such
Supplemental Redemption Amount.
<TABLE>
<CAPTION>
Nikkei 225
Values in Yen
----------------------------------------
High Low Close
----------- ----------- ----------
<S> <C> <C> <C>
1993
First Quarter............. 19,048.38 16,287.45 18,591.45
Second Quarter............ 21,076.00 19,099.09 19,590.00
Third Quarter............. 21,148.11 19,621.46 20,105.71
Fourth Quarter............ 20,500.25 16,078.71 17,417.24
1994
First Quarter............. 20,677.77 17,369.74 19,111.92
Second Quarter............ 21,552.81 19,122.22 20,643.93
Third Quarter............. 20,862.77 19,468.89 19,563.81
Fourth Quarter............ 20,148.83 18,666.93 19,723.06
1995
First Quarter............. 19,684.04 15,749.77 16,139.95
Second Quarter............ 17,103.69 14,507.17 14,517.40
Third Quarter............. 18,758.55 14,485.41 17,913.06
Fourth Quarter............ 20,011.76 17,337.19 19,868.15
1996
First Quarter............. 21,406.85 19,734.70 21,406.85
Second Quarter............ 22,666.80 21,171.82 22,530.75
Third Quarter............. 22,455.50 20,107.15 21,556.40
Fourth Quarter............ 21,612.30 19,161.77 19,361.35
1997:
First Quarter............. 19,446.00 17,303.77 18,003.40
Second Quarter............ 20,681.07 17,485.75 20,604.96
Third Quarter............. 17,887.71 17,683.27 17,887.71
Fourth Quarter............ 17,842.16 14,775.22 15,258.74
1998:
First Quarter............. 17,264.34 14,664.44 16,263.04
Second Quarter (through
May 14, 1998)......... 16,536.66 15,143.03 15,307.69
</TABLE>
Source: Bloomberg
Discontinuance of Underlying Indices;
Adjustments to Underlying Indices:....... If an Underlying Index Publisher
discontinues publication of an
Underlying Index and such Underlying
Index Publisher or another entity
publishes a successor or substitute
index that the Calculation Agent
determines, in its sole discretion,
to be comparable to the discontinued
Underlying Index (such index being
referred to herein as a "Successor
Index"), then the relevant Index
Closing Value for such Underlying
Index will be determined by reference
to the value of such Successor Index
at the close of trading on the
relevant exchange or market for the
Successor Index on the Determination
Dates.
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 an Underlying Index Publisher
discontinues publication of an
Underlying Index prior to, and such
discontinuance is continuing on, any
of the Determination Dates and the
Calculation Agent determines that no
Successor Index is available at such
time, then on each Determination Date
until a determination by the
Calculation Agent that a Successor
Index is available, the Calculation
Agent will determine the Index
Closing Value of such Underlying
Index that would be used in computing
the Supplemental Redemption Amount on
each Determination Date. The Index
Closing Value of such Underlying
Index will be computed by the
Calculation Agent in accordance with
the formula for and method of
calculating such Underlying 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 Determination Date of each
security most recently comprising
such Underlying Index. The
Calculation Agent will cause notice
of each such Index Closing Value to
be provided to the holders of the
Notes on each succeeding
Determination Date until and
including March 30, 2000 (unless a
Successor Index is prior thereto
determined to be available).
Notwithstanding these alternative
arrangements, discontinuance of the
publication of an Underlying Index
may adversely affect the value of the
Notes.
If at any time the method of
calculating an Underlying Index
or a Successor Index, or the
value thereof, is changed in a
material respect, or if an
Underlying 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 such
Underlying 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 London
(or after the close of business
in New York, in the case of a
calculation related to the S&P
500 Index) on each Determination
Date on which an Index Closing
Value is to be calculated, 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 such Underlying
Index or such Successor Index,
as the case may be, as if such
changes or modifications had not
been made, and calculate the
Supplemental Redemption Amount
with reference to such
Underlying Index or such
Successor Index, as adjusted.
Accordingly, if the method of
calculating an Underlying 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 such Underlying Index
such Successor Index as if it
had not been modified (e.g., as
if such split had not occurred).
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,
including hedging market risks
associated with the Supplemental
Redemption Amount. On or near
the date of this Pricing
Supplement, the Company, through
its subsidiaries or others,
hedged its anticipated exposure
in connection with the Notes by
taking positions in exchange
traded or over the counter
options on the S&P 500 Index,
the MIB 30 Index, or the Nikkei
225 Index or individual stocks
included in the S&P 500 Index,
the MIB 30 Index, or the Nikkei
225 Index, futures contracts on
the S&P 500 Index, the MIB 30
Index, or the Nikkei 225 Index
and options on such futures
contracts or any other
instruments that it used in
connection with such hedging.
The Company, through its
subsidiaries, is likely to
modify its hedge position
throughout the life of the
Notes, including on the
Determination Dates, by
purchasing and selling such
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, 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 Agreements....................... License Agreement for the S&P 500
Index
S&P and Morgan Stanley & Co.
Incorporated ("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.
License Agreement for the MIB 30
Index
The Italian Stock Exchange Council
and the Company have entered into a
non-exclusive license agreement
providing for the license to the
Company, in exchange for a fee, of
the right to use the MIB 30 Index,
which is owned and published by the
Italian Stock Exchange Council, in
connection with certain securities,
including the Notes. The Company,
the Calculation Agent and the Trustee
disclaim all responsibility for the
calculation or other maintenance of
or any adjustments to the MIB 30
Index. In addition, the Italian
Stock Exchange Council has no
relationship to the Company or the
Notes; it does not sponsor, endorse,
authorize, sell or promote the Notes,
and has no obligation or liability in
connection with the administration,
marketing or trading of the Notes or
with the calculation of the Index
Closing Values for any Determination
Date or the Supplemental Redemption
Amount.
United States Federal Taxation........... The investor should refer to the
discussion under "United States
Federal Taxation" in the accompanying
Prospectus Supplement.
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