-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, EdNTIePP/ceaazqc4aiBJNYN8ryIo82+JSm31f5I3u+bwWzxqQsR9OK+sox66sWH voYz+pAkICQCniJjut6dDg== 0000950103-97-000052.txt : 19970129 0000950103-97-000052.hdr.sgml : 19970129 ACCESSION NUMBER: 0000950103-97-000052 CONFORMED SUBMISSION TYPE: 424B3 PUBLIC DOCUMENT COUNT: 1 FILED AS OF DATE: 19970128 SROS: NYSE FILER: COMPANY DATA: COMPANY CONFORMED NAME: MORGAN STANLEY GROUP INC /DE/ CENTRAL INDEX KEY: 0000789625 STANDARD INDUSTRIAL CLASSIFICATION: SECURITY BROKERS, DEALERS & FLOTATION COMPANIES [6211] IRS NUMBER: 132838811 STATE OF INCORPORATION: DE FISCAL YEAR END: 0131 FILING VALUES: FORM TYPE: 424B3 SEC ACT: 1933 Act SEC FILE NUMBER: 333-01655 FILM NUMBER: 97512575 BUSINESS ADDRESS: STREET 1: 1585 BROADWAY CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 2127034000 424B3 1 PROSPECTUS Dated May 1, 1996 Pricing Supplement No. 68 to PROSPECTUS SUPPLEMENT Registration Statement No. 333-01655 Dated May 2, 1996 Dated January 21, 1997 Rule 424(b)(3) Morgan Stanley Group Inc. MEDIUM-TERM NOTES, SERIES D EQUITY LINKED NOTES DUE AUGUST 11, 1998 The Equity Linked Notes due August 11, 1998 (the "Notes") are Medium-Term Notes, Series D of Morgan Stanley Group Inc. (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 LIT5,000,000 and will mature on August 11, 1998 (the "Maturity Date"). There will be no periodic payments of interest on 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 the 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.. At maturity, the holder of each Note will receive the par amount of such Note (LIT5,000,000) ("Par") plus an amount (the "Supplemental Redemption Amount") based on the percentage increase, if any, in the Final Average Index Value (as defined herein) of the MIB 30 Index, as calculated by the Consiglio Di Borsa (the "Italian Stock Exchange Council"), over the Initial Index Value (as defined herein), as further described in this Pricing Supplement. The Supplemental Redemption Amount, if any, payable with respect to each Note at maturity will equal the product of (i) the par amount of such Note and (ii) a fraction, the numerator of which will be the Final Average Index Value less the Initial Index Value and the denominator of which will be the Initial Index Value. The Supplemental Redemption Amount cannot be less than zero. The Initial Index Value has been set to equal 18,322. The Final Average Index Value will equal the arithmetic average of the closing MIB 30 Index values on the 21st day of each month, for 18 months, commencing February 21, 1997 and ending July 21, 1998 (the "Determination Dates"), except in the case of certain Market Disruption Events (as defined herein). If the Final Average Index Value is equal to or less than the Initial Index Value, the holder of each Note will be repaid the par amount of such Note, but will not receive any Supplemental Redemption Amount. 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 Index 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. The Global Medium-Term Notes, Series D of the Company, including the Notes, have been listed on the London Stock Exchange. An investment in the Notes entails risks not associated with similar investments in a conventional debt security, as described under "Risk Factors" on PS-5 through PS-7 herein. (1) The Company has agreed to indemnify the Agent against certain liabilities, including liabilities under the Securities Act of 1933. Capitalized terms not defined above have the meanings given to such terms in the accompanying Prospectus Supplement. MORGAN STANLEY & CO. International Principal Amount........................LIT35,000,000,000 Maturity Date........................... August 11, 1998 Interest Rate........................... 0.00% Specified Currency......................Italian Lire ("LIT") Issue Price.............................99.25% Settlement Date (Original Issue Date)...February 10, 1997 Common Code.............................7326009 ISIN....................................XS73260092 Book Entry Note or Certificated Note....Book Entry Senior Note or Subordinated Note........Senior Minimum Denominations................... LIT5,000,000 Trustee................................. The Chase Manhattan Bank Maturity Redemption Amount.............. At maturity (including as a result of acceleration or otherwise), the holder of each Note will receive the par amount of such Note (LIT5,000,000) ("Par") plus the Supplemental Redemption Amount, if any. Supplemental Redemption Amount.................................. The Supplemental Redemption Amount, if any, 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) a fraction, the numerator of which will be the Final Average Index Value less the Initial Index Value and the denominator of which will be the Initial Index Value. The Supplemental Redemption Amount will not be less than zero. The Supplemental Redemption Amount is described by the following formula: Par x (Final Average Index Value--Initial Index Value) ------------------------------------------------------ Initial Index Value 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 the MIB 30 Index; Alteration of Method of Calculation" 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 .09876545) would be rounded to 9.87655% (or .0987655)), and all dollar amounts used in or resulting from such calculation will be rounded to the nearest cent with one-half cent being rounded upwards. Initial Index Value..................... The Initial Index Value is 18,322. Final Average Index Value............... The Final Average Index Value will be the arithmetic average of the Index Closing Values (as defined below) on each of the Determination Dates, as determined by the Calculation Agent. Index Closing Value..................... The Index Closing Value, as of any Determination Date, will equal the closing value of the MIB 30 Index or any Successor Index (as defined below) at the regular official weekday close of trading on such Determination Date. See "Discontinuance of the MIB 30 Index; Alteration of Method of Calculation." References herein to the MIB 30 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 Italian Stock Exchange and (ii) on any exchange on which futures or options contracts related to the MIB 30 Index are traded, other than a day on which trading on such exchanges 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 21st day of each month, for 18 months, commencing February 21, 1997 and ending July 21, 1998 or, if any such date is not a Trading Day, the next succeeding Trading Day, unless there is a Market Disruption Event on any such Trading Day. If a Market Disruption Event occurs on any such Trading Day, such Determination Date will be the immediately succeeding Trading Day during which no Market Disruption Event will have occurred; provided that if a Market Disruption Event has occurred on each of the five Trading Days immediately succeeding any of the scheduled Determination Days, then (i) such fifth succeeding Trading Day will be deemed to be the relevant Determination Date, 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 MIB 30 Index on such fifth Trading Day in accordance with the formula for and method of calculating the MIB 30 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 MIB 30 Index. 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................. "Market Disruption Event" means, with respect to the MIB 30 Index: (i) a suspension, absence or material limitation of trading of 20% more of the securities included in the MIB 30 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 MIB 30 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 on trading during significant market fluctuations of the kind exemplified in the United States by New York Stock Exchange Rule 80A, as determined by the Calculation Agent, will constitute a Market Disruption Event, (4) a suspension of trading in a futures or options contract on the MIB 30 Index by the primary securities market related to such contract by reason of (x) a price change exceeding limits set by such exchange or market, (y) an imbalance of orders relating to such contracts or (z) a disparity in bid and ask quotes relating to such contracts will constitute a suspension or material limitation of trading in futures or options contracts related to the MIB 30 Index and (5) an "absence of trading" on the primary market on which futures or options contracts related to the MIB 30 Index are traded will not include any time when such market is itself closed for trading under ordinary circumstances. 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 Index Value or whether a Market Disruption Event has occurred. See "Discontinuance of the MIB 30 Index; Alteration of Method of Calculation" below and "Market Disruption Event" above. 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 security, including the following. If the Final Average Index Value of the MIB 30 Index does not exceed the Initial Index Value, the holders of the Notes will receive only the par amount of each Note at maturity. Because the Final Average Index Value will be based upon an average of closing values of the MIB 30 Index on specified days (the Determination Dates) during eighteen successive months, a significant increase in the MIB 30 Index as measured on the Determination Date in the final month, or in any earlier month, may be substantially or entirely offset by the values of the MIB 30 Index on the Determination Dates in the other months. The Notes do not bear any periodic payment of interest. Because the Supplemental Redemption Amount may be equal to zero, the effective yield to maturity may be less than that which would be payable on a conventional fixed-rate debt security having the same maturity date as the Notes and issued by the Company on the Original Issue Date. The return of only the par amount of a Note at maturity will not compensate the holder for any opportunity cost implied by inflation and other factors relating to the time value of money. The percentage appreciation of the MIB 30 Index based on the Final Average Index Value over the Initial Index Value does not reflect the payment of dividends on the stocks underlying the MIB 30 Index. Therefore, in addition to the considerations regarding averaging discussed above, the yield to maturity based on the Final Average Index Value relative to the Initial Index Value will not be the same yield as would be produced if such underlying stocks were purchased and held for a similar period. There can be no assurance as to how the Notes will trade in the secondary market or whether such market would be liquid or illiquid. It is expected that the secondary market 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 the MIB 30 Index, dividend rates on the stocks underlying the MIB 30 Index, the time remaining to the Determination Dates and to the maturity of the Notes and market interest rates. In addition, the Final Average Index Value depends on a number of interrelated factors, including economic, financial and political events, over which the Company has no control. The value of the Notes prior to maturity is expected to depend primarily on market interest rates and the extent of the appreciation, if any, of the Final Average Index Value over the Initial Index Value. If, however, the Notes are sold prior to maturity at a time when the MIB 30 Index exceeds the Initial Index Value, the sale price may be at a discount from the amount expected to be payable to the holder if such excess were to prevail on each of the Determination Dates because of the possible fluctuation of the MIB 30 Index between the time of such sale and the Determination Dates. The price at which a holder will be able to sell the Notes prior to maturity may be at a discount, which could be substantial, from the par amount thereof, if, at such time, the MIB 30 Index or the Final Average Index Value, if determined, is below, equal to or not sufficiently above the Initial Index Value. The historical MIB 30 Index values should not be taken as an indication of the future performance of the MIB 30 Index during the term of the Notes. While the trading prices of the stocks underlying the MIB 30 Index will determine the value of the MIB 30 Index, it is impossible to predict whether the value of the MIB 30 Index will rise or fall. Trading prices of the stocks underlying the MIB 30 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 the Italian Stock Exchange Council concerning additions, deletions and substitutions of the stocks underlying the MIB 30 Index and the manner in which the Italian Stock Exchange Council takes account of certain changes affecting such underlying stocks may affect the value of the MIB 30 Index. The policies of the Italian Stock Exchange Council with respect to the calculation of the MIB 30 Index could also affect the value of the MIB 30 Index. The Italian Stock Exchange Council may discontinue or suspend calculation or dissemination of the MIB 30 Index. Any such actions could affect the value of the Notes. See "MIB 30 Index" and "Discontinuance of the MIB 30 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 Final Average Index Value or whether a Market Disruption Event has occurred. See "Discontinuance of the MIB 30 Index; Alteration of Method of Calculation" below and "Market Disruption Event" above. MSIL, as a registered broker- dealer, 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 Index Value 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. If a bankruptcy proceeding is commenced in respect of the Company, the claim of a holder of a Note may, under Section 502(b)(2) of Title 11 of the United States Code, be limited to the par amount of such Note. 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. 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. 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, Generali, Stet, Telecom Italia and Telecom Italia Mobile, which together represent approximately 55% of the index as a whole. A current list of the 30 Underlying Securities, as of September 25, 1996, is set forth below: Company Weight Alleanza Assic.............................. 2.4335 97% Banca Commerical Italiana................... 2.019325% Banca di Roma............................... 1.595594% Banca Fideuram.............................. 1.212606% Benetton.................................... 1.178246% Cred. Italiano.............................. 1.396244% Edison...................................... 2.114237% Eni......................................... 21.701646% Fiat........................................ 5.181055% Gemina...................................... 0.747540% Generali.................................... 10.365373% Ina......................................... 3.261667% 1st Banc. S. Paolo di Torino................ 3.123217% 1st Mobiliare Italiano...................... 2.720596% Italgas..................................... 1.457174% La Fondiaria................................ .790907% Mediset..................................... 3.405870% Mediobanca.................................. 1.456426% Mediolanum.................................. .899336% Montedison.................................. 1.337268% Olivetti.................................... .737356% Parmalat.................................... 1.196772% Pirelli..................................... 1.466557% Ras......................................... 1.715628% Rolo Banca.................................. 1.912830% Saipem...................................... 1.099365% Sirti....................................... .763672% Stet........................................ 7.012850% Telecom Italia Mobile....................... 7.614522% Telecom Italia.............................. 8.082524% Source: Italian Stock Exchange Council 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. Discontinuance of the MIB 30 Index; Alteration of Method of Calculation........... If the Italian Stock Exchange Council discontinues publication of the MIB 30 Index and the Italian Stock Exchange Council or another entity publishes a successor or substitute index that the Calculation Agent determines, in its sole discretion, to be comparable to the discontinued MIB 30 Index (such index being referred to herein as a "Successor Index"), then the relevant Index Closing Value will be determined by reference to the value of such Successor Index at the close of trading on the Italian Stock Exchange or 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 the Italian Stock Exchange Council discontinues publication of the MIB 30 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 the earlier to occur of (i) the Determination Date scheduled to occur on July 21, 1998 and (ii) a determination by the Calculation Agent that a Successor Index is available, the Calculation Agent will determine the Index Closing Value that would be used in computing the Supplemental Redemption Amount on each Determination Date. The Index Closing Value will be computed by the Calculation Agent in accordance with the formula for and method of calculating the MIB 30 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 the MIB 30 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 July 21, 1998 (unless a Successor Index is prior thereto determined to be available). Notwithstanding these alternative arrangements, discontinuance of the publication of the MIB 30 Index may adversely affect the value of the Notes. If at any time the method of calculating the MIB 30 Index or a Successor Index, or the value thereof, is changed in a material respect, or if the MIB 30 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 MIB 30 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 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 the MIB 30 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 the MIB 30 Index or such Successor Index, as adjusted. Accordingly, if the method of calculating the MIB 30 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 MIB 30 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 MIB 30 Index, including, without limitation, its make-up, method of calculation and changes in its components, are derived from publicly available information prepared by the Italian Stock Exchange Council. Historical Information........................ 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 January 21, 1997. The historical values of the MIB 30 Index should not be taken as an indication of future performance, and no assurance can be given that the MIB 30 Index will increase sufficiently to cause the holders of the Notes to receive any Supplemental Redemption Amount. Daily Index Closing Values ---------------------------------- Period High Low End 1993 ---- --- ------ 1st Quarter 12,354 10,000 10,000 2nd Quarter 12,967 10,784 10,915 3rd Quarter 15,089 12,571 12,628 4th Quarter 14,606 12,015 14,135 1994 1st Quarter 16,847 13,793 14,697 2nd Quarter 18,836 15,366 17,120 3rd Quarter 17,100 14,908 15,670 4th Quarter 15,498 13,164 15,498 1995 1st Quarter 15,847 13,481 14,656 2nd Quarter 15,669 13,661 13,661 3rd Quarter 15,895 14,389 14,389 4th Quarter 14,531 13,094 14,531 1996 1st Quarter 15,144 13,397 14,132 2nd Quarter 15,985 13,600 13,600 3rd Quarter 15,836 13,767 15,664 4th Quarter 15,791 14,399 15,172 1997 1st Quarter (through January 21, 1997) 18,485 15,574 15,697 Source: DataStream 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. Such hedging may involve the purchase or sale of exchange traded or over the counter options on the MIB 30 Index or individual stocks included in the MIB 30 Index, futures contracts on the MIB 30 Index and options on such futures contracts. 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. The Company, through its subsidiaries, is likely to modify its hedge position throughout the life of the Notes by purchasing and selling such instruments and any other instruments that it may wish to use in connection with such hedging. See also "Use of Proceeds" in the accompanying Prospectus. License Agreement............................. The Italian Stock Exchange Council and MSIL have entered into a non-exclusive license agreement providing for the license to MSIL, 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 following discussion is based on the opinion of Davis Polk & Wardwell, special tax counsel to the Company. This discussion supplements the "United States Federal Taxation--Foreign Holders" section in the accompanying Prospectus Supplement and should be read in conjunction therewith. Any limitations on disclosure and any defined terms contained therein are equally applicable to the summary below. The Notes will be treated as debt of the Company for United States federal income tax purposes. Accordingly, a Foreign Holder will generally not be subject to United States federal income tax, including withholding tax, or estate tax with regard to a Note, if the other requirements for exemption from tax listed under "Income Taxes" and "Estate Taxes" in the United States Federal Taxation--Foreign Holders" section in the accompanying Prospectus Supplement are met. -----END PRIVACY-ENHANCED MESSAGE-----