000801 understanding asset swapped convertible option transactions msdw
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Global ConvertiblesProduct Guide
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
Understanding ASCOTsASCOTsASCOTsASCOTs — (Asset Swapped Convertible Option Transactions)
August 2000
The convertible asset-swap product has come to play an increasingly vital role in thefunctioning of convertible bond markets globally, especially in Europe and Japan,where convertible issuer credit’s tend to be of a higher grade. This guide is meant toserve as an introduction for investors who are not already familiar with the productand to demystify what are essentially very straight-forward transactions.
We look to summarise the:
• Structuring and pricing of ASCOTs – including a quick tutorial on theBloomberg’s ASW function.
• Motivations for the different investor- types in entering ASCOT transactions –both from the credit buyer’s and option buyer’s perspective.
• Relevant information on entering into asset-swap transactions with MorganStanley’s AA-minus rated entity – including key contacts on the trading anddocumentation.
Credit Investor
MSDW
Interest RateSWAP
ASCOT*
* The key todetermining the valueof the ASCOT calloption strike price isthe value of theinterest rate swap onany given date
ASCOT Investor
CALL
CB
CB
CB coupons
Floating coupons(Libor + spread)
Source: Morgan Stanley Dean Witter Research
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
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Index of Contents
Section Topic Page1. Development of the Market 22. Splitting a Convertible Bond 33. Who are the Investors ? 34. What does the Credit Investor get ? 45. What does the ASCOT Investor get ? 46. Mechanics of the Transaction 57. Option Call Features 68. Strike Price Features 69. The Bloomberg Calculator 710. The Leverage Effect – Example 711. Protection against Credit Widening – Example 812. Documentation 813. Sample Confirmation 914. Morgan Stanley Contacts 10
Appendix – Indicative Swap Levels
1. Development of the Market
Asset swaps within the fixed income markets experienced explosive growth duringthe 1990’s due to a surge in investor appetite for bonds packaged with swaps tocreate synthetic floating rate securities. They are now an established part of theworld’s credit markets. The global convertible market has taken advantage of thisand convertibles now form a significant part of the corporate asset swap sector.
Convertible bond asset swaps involve the restructuring of convertible bonds intosynthetic debt securities and equity call options. In this way they offer theopportunity for different investors to participate in the separate attractivecharacteristics embedded in convertible bonds and have, by implication, widenedthe appeal of this asset class to a broader group of investors.
Asset swaps play an important role in the pricing and sizing of convertible bondsin both the primary and secondary markets. No pricing discussion of a potentialnew issue occurs nowadays without a thorough assessment of the appetite for theasset swapped bonds. Spread discussion is referenced to the relevant swap curves(LIBOR EurIBOR etc.), therefore it is no longer practical to value convertibles ona spread-to-government bonds basis, particularly as swap/government spreadshave become increasingly volatile themselves.
The development of the asset swap market has contributed greatly to ability ofcompanies to issue large sized deals into the market and has also been partlyresponsible for the explosive growth in hedge funds investing in convertible bondswhose ability to run large positions has been enhanced by the risk reduction thatthis product offers.
There are no official statistics, but we estimate that in excess of $50 billionnotional has been asset swapped over the past 3 years alone in the Japanese,European, Asian and American convertible bond markets.
This guide offers a summary of some of the reasons why investors participate inthis product. It looks at the mechanics of the transactions and highlights some ofthe key issues to be aware of. Included in the appendix, we provide indicativelevels, across a wide spectrum of convertibles, of credit spreads based on ouractual experience in the marketplace, both recent and historical.
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
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2. Splitting a Convertible Bond
Asset swapping is the splitting of a convertible bond into it’s two separatecomponents. These are then purchased by investors seeking separate return profiles.These two components can be reassembled at any time at the option of the equitycomponent holder.
Exhibit 1Hellenic Finance/National Bank of Greece 2% due 07/2003
0
20
40
60
80
100
120
140
5,000 10,000 15,000 20,000 25,000
Convertible Value
Nat'l Bank of Greece (Stock Price)
Conversion Price = Drachma 19,937
The optionality of convertibles ensures that the equity drives valuation as the stock price rises above the fixed CB conversion price
Hellenic/NBG CBcurrently tradesat 101, with the stock @ 17,000
Credit Component
EquityComponent
Credit Component: Equity Component:• = Pure Bond Value = Call Option = the ASCOT• The credit investor buys Synthetic
Floating Rate NoteThe equity investor buys CB call option(ASCOT)
• Benefits to investor include access to awider choice of credits as well astypically higher spreads than in othercorporate bond markets.
Benefits to investor include off-balancesheet treatment and ability to eliminatecredit risk exposure to the issuer.
3. Who are the Investors?
The Credit Component – Convertible bond asset swaps offer the corporate creditbuyer greater spreads than are available in the FRN, Bank Finance and SyndicatedLoan Markets and give access to a more diverse range of borrowers.
� Bank Corporate Lending Departments� Corporate Treasuries� Bond & Money Market Funds� Insurance Companies
The Equity Component – Convertible bond asset swaps offer the ASCOT buyera pure and leveraged play on the underlying equity of a convertible bond whileeliminating credit risk and giving an improved interest rate risk profile
� Hedge Funds� Convertible Funds� Institutional Equity Investors� Retail Investors
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
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4. What does the Credit Investor Get?
The credit investor receives a higher spread than is normally available on moretraditional investments. He also gains access to a wider range of corporate creditswhere there may be limited opportunity in the market to purchase conventionalproducts. In return he accepts the feature which allows the ASCOT holder to recallthe asset swap package at any time. He also accepts the lower liquidity inherent withthis being a structured package.
Exhibit 2Current Euribor-plus Spreads Available on Different Forms of Vivendi Credit(May 2000)
+ 85bp
+ 75bp
+ 65bp
+ 35bp
0
10
20
30
40
50
60
70
80
90
Bank Debt Straight Debt Credit Derivative CB Asset Swap
bp over Euribor
Source: Morgan Stanley Dean Witter Research
5. What does the ASCOT Investor get?
� Leverage – ASCOTs give the same upside exposure to direct investment inconvertible bonds but with a smaller initial outlay. This is particularly attractive toleveraged hedge funds.
� Zero Credit Risk – There have been many examples of convertible bondswhose theoretical bond floors have failed to hold due to deteriorating creditcircumstances. ASCOTs lock in the bond floor.
� Off Balance Sheet Financing – Transferring the ownership of convertiblebonds but retaining the ASCOT successfully achieves an off-balance sheetposition financed at a rate defined by LIBOR plus the recall spread
� Improved Interest Rate Risk Profile – Convertible bond positions havenegative Rho. If rates rise the pure bond value falls but with ASCOTs the strikeprice declines thereby offsetting the fall in value of the bond.
� Purer Access to Cheap Pricing Volatility – ASCOTs provide the final pieceof the hedging jigsaw. Hedging equity, interest rate and credit risk allows investorsto capture effectively the cheap implied volatility of a convertible bond with noloss in liquidity.
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
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6. Mechanics of the Transaction
The Credit Buyer is effectively buying a callable synthetic floating rate note:-
� The investor purchases from Morgan Stanley an asset swap package whichcomprises a notional amount of convertible bonds, the asset, coupled with an interestrate swap. The price paid is typically 100% of notional.
� The interest rate swap agreement is for the investor to pay Morgan Stanley thefixed coupons of the convertible bond (2% from Exhibit 3) in return for receivingquarterly floating rate coupons set at EurIBOR (or LIBOR) + the agreed spread(EurIBOR +40bp from Exhibit 3).
� The future cash flows on the fixed leg of the swap (CB coupons) are typicallylower than those on the floating leg. By discounting all these future cash flows bythe zero coupon curve implied in the swap curve we can calculate the Net PresentValue of the swap (in this illustration, that comes to 6.60% of the notional). ThisNPV typically has a negative value to Morgan Stanley reflecting the excess in valueof payments owing over receivable payments.
� Morgan Stanley retains an option to repurchase the entire package, bonds plusswap, from the credit investor at 100% plus accrued interest.
The ASCOT Buyer is effectively buying an OTC call option to purchase aConvertible Bond:-
� Assuming the ASCOT investor already owns convertible bonds, he will sell thosebonds at a price which is calculated by subtracting the NPV of the interest rate swapfrom 100% of the notional value of the bonds. This can be viewed as the pure bondfloor.
� Morgan Stanley has therefore purchased bonds at one price and sold them to thecredit buyer at 100%. The difference between these two is the swap NPV (6.60%)and by keeping this Morgan Stanley is able to meet its obligation on the swappayments i.e. it pays for the shortfall of the payments made on the floating legversus the payments received on the fixed leg.
Exhibit 3Typical Asset-Swap Transaction Flowchart:Illustrates the Hellenic Finance/National Bank of Greece 2% due 07/2003
Credit Investorbuys CBs @ 100%
MSDWsells ASCOT @ 0%
MSDWbuys ASCOT @ 0%
Equity Investorsells CBs @ 93.10
(€uribor +50bp)
Fixed 2% Coupon
Floating Coupons of 3 month €uribor +40bp
Market Value of CBs(currently 101%)
ASCOT Intrinsic Valueof 7.60%*
(with €uribor +40bp strike)
* The ASCOT buyer sells CBs @ 93.10 (euribor +50) but his strike price immediately becomes 93.40 (euribor +40). Th is reflects the bid/offer spread of entering into the transaction. The intrinsic value of the ASCOT becomes 7.60 (101 less 93.40)
Source: Morgan Stanley Dean Witter
� The ASCOT investor simultaneously purchases at zero cost from MorganStanley an option to repurchase the convertible bonds. The strike price is set at100% minus the unwind value of the associated interest rate swap on the date ofexercise.
� The option strike price is therefore floating rather than fixed. The unwind valueof the swap is the Net Present Value of the remaining fixed and floating cash flowsof the interest rate swap. The strike price thus increases/decreases as interest ratesfall/rise. At maturity however the strike price is 100%
� The ASCOT is an individually negotiated contract with Morgan Stanley and hasno public secondary market. It can however be reassigned to a third party subjectto consent.
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
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7. Option Call Features
� An ASCOT is an American-style over-the-counter call option to repurchase aconvertible bond.
� The holder may exercise at any time but there may be restrictions for exercisingwithin the first six months.
� Bonds will be delivered back to the ASCOT holder for value date a maximum 10(but typically less) days following exercise.
� The expiry date of the option is set to match either the maturity date or the putdate of the underlying convertible bond.
� If the Issuer calls the convertible bonds for early redemption under the terms andconditions of the bonds then automatic exercise of the ASCOT is triggered wherebythe holder must repurchase the bonds. This avoids the potential scenario of missingthe final date for conversion of bonds to equity.
� If the Issuer of the bonds defaults, the ASCOT will expire 10 days later.
8. Strike Price Features
� The strike price can be viewed as the pure bond value and is therefore subject tointerest rate movements. In a stable interest rate environment the strike price risessteadily towards the convertible bond redemption price over time.
� The spread of the reference swap which determines the strike price is agreed atthe opening of the ASCOT position. This spread is typically 10-20bp tighter thanthe spread used to determine the initial sale price of the bonds to Morgan Stanleyand should be viewed as the Bid/Offer cost of the transaction.
� The floating strike is by no means the only structure employed in creatingASCOTs. Options can also be structured with fixed strikes or strike pricesreferenced to a fixed yield to maturity. Such structures are subject to acceptanceby the credit investor.
� The ‘ASW’ security specific function on Bloomberg for each individualconvertible bond provides an accurate tool for calculating the strike price (see thefollowing page).Exhibit 4: Illustration of the Interest Rate/Strike Price Relationship
96.2
94.8
92
90.6
93.4
90
91
92
93
94
95
96
97
4.0 4.5 5.0 5.5 6.0 6.5 7.0 7.5
Effective Strike Price (@ Euribor +40bp)
3 month Euribor Rates (%)
As rates rise,the strike price will fall
Source:Morgan Stanley Dean Witter Research
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
7
9. The Bloomberg Calculator
The ‘ASW’ function on Bloomberg for a single convertible bond allows the user tocalculate the strike price of an ASCOT from a given credit spread. In the case of theHellenic Finance / National Bank of Greece bond, by entering the 50bp spread, wederive 93.1 as the effective level at which the ASCOT buyer sells the CBs. Thestrike is calculated on the offer spread (40bp), equating to a strike of 93.4, using thesame methodology.
Exhibit 4: Illustration of the ASW Function on Bloomberg
10. The Leverage Effect
Leveraged gains are attractive to all types of investors so long as they do notassume extra risk. For a considerably smaller outlay the same exposure to aconvertible bond position can be achieved through ASCOTs.Take the following example of ASCOTs in the Japanese electronics companyNEC purchased by some of our clients at a timely moment in June 1999. Bypaying less than 4 points for ASCOTs the buyer had an option on a convertiblewith a 60 % premium. The subsequent rise in NEC’s fortunes have provided ahandsome return to the ASCOT holder.
Exhibit 5NEC #6 1.8% 2002
June 1st May 1st1999 2000 Return
Stock Price 1336 3090 +131%
CB Price 104.00 156.00 +52%
Premium 60% 4% -
Implied Vol . 24% 46% -
STRIKE (+80bp) 100.60 101.00 -
ASCOT Price 3.40 55.00 +1,518%
Source: Morgan Stanley Dean Witter Research
Change the floatingleg to quarterly
payments(by entering 4)
Ensure that the Defaultswap curve is set to
#45 if EUR; #23 if USD#13 if JPY; #22 if GBP
Set the calculationmode to 1 (to Calculate
Bond Price)
The ASCOT buyereffectively sells the CBsat this interpolated price
(93.1 in this case)
Enter the spreadat which the
swap is beingexecuted
Set the Bid/Ask side ofthe curve to use;
A – for initial set upB – for recalling bonds
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
8
11. Protection against Credit Widening
ASCOTs not only provide convertible investors with protection against the ultimatecredit risk of issuer default, but also protect against any credit widening which canhave a significant impact on the valuation of a convertible bond.
The following is an example of how a holder of ASCOTs fared relative to a holderof the Fullerton/Singapore Telecom 0% 2003 exchangeable bonds during the latestAsian crisis in 1998.
Exhibit 6Fullerton / Singapore Telecom 0% 2003
Issue Date: March 1998STOCK Price: S$ 3.2CB Price: 100CB Premium: 8%Strike (L+50): 94ASCOT Purchase Price: 6
A few months later: Sept. 1998(in the height of the Asian crisis)Stock Price: S$ 2.5CB Price: 86 (L+200)CB Premium: 18%Strike (L+50): 94.5ASCOT Intrinsic Price: 0ASCOT Market Price*: 4
Loss on CB: 14 pointsIntrinsic Loss on ASCOT: 6 pointsReal Loss on ASCOT: 4 points
Source: Morgan Stanley Dean Witter Research
The holder of the exchangeable bonds lost 14 points during the period underreview while the ASCOT holder suffered less. The bond price declined to 86,which was an implied credit spread of +200, proving convincingly that the debtspread assumptions used in convertible bond models should not be viewed as astatic input. The intrinsic loss on the ASCOT was its full 6 points if valued only asthe difference between the strike price and the CB price. Obviously an ASCOT ofa bond which only carries an 18% premium has to have a value greater than zero.Based on option models and conservative volatility assumptions the market pricedthese ASCOTs to have a real value of 4 points; thus the decline in ASCOT valuewas limited to only 2 points.
12. Documentation
� Transactions are negotiated with MSIL, Morgan Stanley’s operating entity,under ISDA guidelines for swaps & OTC options.
� MSIL (Morgan Stanley International Ltd.) is a member of the UK regulatingbody, the Financial Services Authority (FSA).
� All new counterparties are required to have capacity & authority documentsapproved by MSIL before a transaction can be executed.
� All counterparties are required to enter into an ISDA Master Agreement withMSIL.
� MSIL is guaranteed by Morgan Stanley Dean Witter & Co. (Aa3/AA-).
� MSIL dispatches ISDA confirmations for each transaction which need to besigned and returned.
� Morgan Stanley Prime Brokerage offers equity financing services for hedgedASCOT positions.
MO
RGAN
STANLEY D
EAN W
ITTER
Convertible Bond Asset Swap - Draft Confirm
ation – ASCOT Buyer
To:
Attn.:
Fax No:
From:
Morgan Stanley + C
o. International Lim
ited, London. M
ember of FSA
.
Date:
Our File R
ef:O
ur Swap R
ef:Taps R
ef:
Re:
Convertible Bond C
all and Notional Sw
ap Transaction between M
organ Stanley + Co.
International Lim
ited and
The purpose of this facsimile (this ''C
onfirmation'') is to confirm
the terms and conditions of the
bond option transaction and notional swap transaction entered into betw
een Morgan Stanley + C
o.International Lim
ited and you on the Trade Date specified below
(respectively, the ''Bond O
ptionTransaction'' and the ''N
otional Swap Transaction''; together the ''Transaction''). This C
onfirmation
constitutes a ''Confirm
ation'' as referred to in the ISDA
Master A
greement specified below
.
The definitions and provisions contained in the 1991 ISDA
Definitions (as supplem
ented by the1998 Supplem
ent, and as amended and supplem
ented by the 1998 ISDA
EUR
O D
efinitions) (the''Sw
ap Definitions'') and in the 1997 ISD
A G
overnment B
ond Option D
efinitions (the ''Bond
Definitions'', and together w
ith the Swap D
efinitions, the ''Definitions''), in each case as published
by the International Swaps and D
erivatives Association, Inc., are incorporated into this
Confirm
ation. The Bond D
efinitions apply in relation to the Bond O
ption Transaction (paragraphs2 and 3(1) below
). For purposes of the Bond D
efinitions, the Bond O
ption Transaction will be
deemed to be a G
overnment B
ond Option Transaction. The Sw
ap Definitions apply in relation to
the Notional Sw
ap Transaction (paragraph 4 below). In the event of any inconsistency betw
eeneither set of D
efinitions and this Confirm
ation, this Confirm
ation will govern.
This Confirm
ation supplements, form
s part of and is subject to, the ISDA
Master A
greement dated
as of ,as amended and supplem
ented from tim
e to time (the ''A
greement''), betw
een Morgan Stanley
+ Co. International Lim
ited and you. All provisions contained in the A
greement govern this
Confirm
ation except as expressly modified below
).
The Terms of the Transaction to w
hich this Confirm
ation relates are as follows:
1.G
eneral Term
s:
Party A:
Morgan Stanley + C
o. InternationalLim
ited
Party B:
Trade Date:
Time of execution of the transaction is
available upon request.
2.Term
s of Bond Option Transaction:
Terms of B
ond Option Transaction as follow
s:
Option Style:
Am
erican
Option Type:
Call
Seller:Party A
Buyer:
Party B
Bonds:
Stock Redem
ption:Should the Redem
ption be for Stock, as provided in the Terms
and Conditions of the B
onds, Party B w
ill pay to Party A a
USD
amount equal to the R
edemption A
mount of the
Bonds, and Party A
will deliver to Party B
the Redeem
edBonds. This is providing Party A
notify Party B of the StockR
edemption by at least Three (3) London and N
ew Y
orkB
usiness Days Prior to the 25 A
ugust 2003 Bond M
aturityD
ate.
Bond M
aturityD
ate:
Investor PutD
ate:
Num
ber ofO
ptions:
Option
Entitlement:
Option Strike
Price:100.00 PC
T.
Option
Penalty:If the O
ption is Exercised for a Settlement D
ate prior to thenParty B
will m
ake an Additional Paym
ent to Party A of the
present value of X basis points on the notional am
ountaccruing from
the Settlement D
ate until
Premium
:U
SD 1.00 (R
eceipt of which is hereby acknow
ledged)
Premium
Payment
Date:
Procedure for Exercise:
Multiple
Exercise:A
pplicable
Exercise Period:A
ny Seller Business D
ay during the period comm
encing onand including the Prem
ium Paym
ent Date and ending on and
including the Expiration Date betw
een 8.30 a.m. and 4.00
p.m. (London tim
e).
Seller Business
Day:
Any day on w
hich comm
ercial banks are open for business(including dealings in foreign exchange and foreign currencydeposits) in
Expiration Date:
The first to occur of:
(a) The date on w
hich notice is first given to the Holder
of the Bonds by the issuer of the B
onds that any ofthe B
onds which are the subject of this B
ond Option
Transaction are for any reason called or redeemed by
the issuer of the Bonds (expiration is lim
ited to theN
umber of O
ptions proportionate to the percentageof B
onds called or redeemed by the issuer of the
Bonds), and
(b) The Investor Put D
ate, and
(c) The B
ond Maturity D
ate, and
(d) D
efault Date
''Holder of the B
onds'' means, at any given tim
e, the holderas determ
ined by the Calculation A
gent in its sole discretion,
of a nominal am
ount of the Bonds equal to the O
ptionEntitlem
ent.
''Event of Default'' m
eans that in the event that (i) either theTrustee for the H
older of the Bonds, notified the issuer of
the Bonds of the occurrence of a default w
hich with the
giving of notice or the lapse of time or both, w
ould become
an Event of Default (as defined in the term
s of the Bonds),
and he issuer does not cure such default within the tim
especified after receipt or (ii) there is an Event of D
efault (asdefined in the term
s of the Bonds), and either the Trustee forthe H
older of the Bonds, or the H
older of the Bonds, by
notice to the issuer declares the Bonds to be due and payableim
mediately or (iii) there is an Event of D
efault (as definedin the term
s of the Bonds), and the B
onds become
imm
ediately due and payable without any declaration or
other act on the part of the Trustee for the Holder of the
Bonds, or the H
older of the Bonds, B
uyer must w
ithin thirty(30) B
usiness Days of such Event of D
efault, and subject toany restrictions on transfer thereunder, deliver irrevocablenotice of exercise to Seller, otherw
ise this Option w
ill expirethirty (30) B
usiness Days follow
ing such Event of Default
such thirtieth Business D
ay, the''D
efault Date''
Expiration Time:
4.00 p.m. (London tim
e)
Exercise Date:
The Seller Business D
ay (which shall also be a C
learanceSystem
Business D
ay) during the Exercise Period on which
Buyer
exercises the
Option,
subject to
The notice
requirements and other term
s specified in or pursuant to thisC
onfirmation
Notice of Exercise
and Written
Confirm
ation:A
pplicable, provided that Buyer must give notice of exercise
in writing addressed to A
lexandra MacG
regor (Derivatives
Products Group) at least ten (10) Seller B
usiness Days prior
to Exercise Date betw
een the hours of 8.30 a.m. and 4.00
p.m. (London tim
e).
Autom
aticExercise:
The applicable Options w
ill be deemed to be autom
aticallyexercised on the date w
hich notice is first given to theH
older of the Bonds by the issuer of the B
onds that any ofthe B
onds which are the subject of this B
ond Option
Transaction are for any reason (except for tax reasons) calledor redeem
ed bythe issuer of the B
onds in accordance with the term
s andconditions of the B
onds.
Autom
atic Exercise will be lim
ited to a Num
ber of Options
proportionate to the percentage of Bonds called or redeemed
by the Issuer for each early redemption date.
3.Settlem
ent Term
s:
(1)In relation to the B
ond Option Transaction, Physical
Settlement w
ill be applicable. For the purpose of thisparagraph 3(1), the follow
ing terms shall apply:
Settlement D
ate:The Exercise D
ate; provided, however, if the B
ond Option
Transaction is automatically exercised, the Settlem
ent Date
shall be ten (10) Seller Business Days follow
ing the ExerciseD
ate.
Clearance System
:M
organ Stanley + Co. International Lim
ited will notify youseparately regarding settlem
ent details.
Clearance System
Business D
ay:A
ny day on which the C
learance System is (or, but for the
occurrence of a Settlement D
isruption Event, would have
been) open for the acceptance and execution of settlement
instructions.
(2)In addition to the foregoing, the C
alculation Agent w
illdeterm
ine the Swap C
ash Settlement A
mount, as provided
below. If the Sw
ap Cash Settlem
ent Am
ount is a positiveam
ount, Party B w
ill pay such amount to Party A
on theExercise D
ate. If the Swap C
ash Settlement A
mount is a
negative amount, Party A
will pay the absolute value of such
amount to Party B
on the Exercise Date.
Swap C
ashSettlem
entA
mount:
An am
ount determined by the C
alculation Agent as the
amount that w
ould be payable under Section 6(e)(ii)(2) ofthe A
greement if the Settlem
ent Date had been designated as
an Early Termination D
ate in respect of a Swap Transaction
or portion thereof on the terms set out in paragraph 4 below
as a result of a Termination Event, in respect of w
hich theSw
ap Transaction was the sole A
ffected Transaction, PartiesA
and B are the A
ffected Parties and the Termination
Currency w
as, provided that (a) Market Q
uotations will be
determined by the C
alculation Agent using its estim
ates ofthe
amounts
that w
ould be
paid for
Replacem
entTransactions (as that term
is defined in the definition of''M
arket Quotation'') and (b) in the event of a dispute as to
the amount so determ
ined, the Calculation Agent shall obtain
quotations from three m
utually acceptable Reference Market
Makers w
hich will be averaged.
(3) For purposes of settlem
ent, if the Swap C
ash Settlement
Am
ount is payable by Party B, it w
ill be aggregated with the
Bond Paym
ent due from Party B
to Party A on the Exercise
Date. If the Sw
ap Cash Settlem
ent Am
ount is payable byParty A
, then the Swap C
ash Settlement A
mount w
ill bededucted from
the Bond Paym
ent due from Party B
to PartyA
on the Exercise Date, provided that if the Sw
ap Cash
Settlement A
mount exceeds the B
ond Payment, the excess
shall be payable by Party A to Party B
on the Exercise Date.
(4)The definition of ''B
ond Payment'' contained in the B
ondD
efinitions shall be amended for the purposes of this
Transaction by including the word ''zero'' in place of the
words ''accrued interest, if any, on the O
ption Entitlement
computed in accordance w
ith customary trade practices
employed w
ith respect to the Bonds''.
4.Term
s of the Notional Sw
ap Transaction:
Notional A
mount:
Effective Date:
Settlement D
ate
Termination D
ate:The Investor Put D
ate /the Bond M
aturity Date, subject to
adjustment in accordance w
ith the Following /Preceding
Modified Follow
ing / Business D
ay Convention.
Fixed Am
ounts:
Fixed Rate Payer:
Party B
Fixed Rate Payer Paym
ent Dates:
On and in each year, from
and including the first of or tooccur
after the
Effective D
ate to
and including
theTerm
ination Date, subject to adjustm
ent in accordancewith
the Following / Preceding M
odified Following / B
usinessD
ay Convention.
Fixed Am
ount: Floating A
mounts:
Floating Rate
Payer:Party A
Floating Rate Payer Paym
ent Dates:
On and in each year, from
and including the first of or tooccur
after the
Effective D
ate to
and including
theTerm
ination Date, subject to adjustm
ent in accordance with
the Modified Follow
ing Business D
ay Convention.
Floating Rate O
ption:U
SD-LIB
OR-B
BA
Designated M
aturity:3 M
onths
Spread:Plus X
PCT.
Floating Rate
Day C
ount Fraction:A
ctual/360
Reset D
ates:The first day of each Calculation Period, except for the ResetD
ate with respect to the first C
alculation Period which w
illbe the day w
hich precedes the first day of the secondC
alculation Period by the number of m
onths equal to theD
esignated Maturity.
Additional Paym
ent:The A
dditional Payment of U
SD / JPY
from Party B to Party
A should be w
ired to the Account detailed below
for value
5. C
alculation Agent:
The Calculation A
gent is Party A. A
ll determinations by the
Calculation A
gent are subject to agreement by Party A
andParty B
. If the parties are unable to agree on a particularcalculation another M
utually Acceptable C
alculation Agent,
who is a leading dealer in the relevant m
arket, will be
appointed to determine such calculation (the ''M
utuallyA
cceptable Calculation A
gent''). The expense of theM
utually Acceptable Calculation A
gent shall be borne by theparties equally.
6.A
ccount Details:
Account for Paym
ents to Party A:
Account for paym
ents to Party B:
Account for paym
ents in USD
:Please supply details
7.Party A
Docum
entation and Operation C
ontacts:
Docum
entation:Telephone Num
ber: ((0) 207) 513 7762
Operations:
Telephone Num
ber: ((0) 207) 677 7699
8.C
onfirmation:
Please confirm that the foregoing correctly sets forth the term
s of ouragreem
ent by sending to us a return facsimile substantially to the
following effect:
Quote
To:M
organ Stanley + Co. International
Limited, London
Attn.:
Alexandra M
acGregor, Lisa C
onway
Fax No:
London ((0) 207) 513 7988Telex N
o:London 8812564
From:
Date:
Your File R
ef:Y
our Swap R
ef:
Re:C
onvertible Bond C
all and Notional Sw
ap Transaction between
Morgan Stanley + C
o. International Limited and
We acknow
ledge receipt of your facsimile dated w
ith respect to theabove
referenced transaction
between
Morgan
Stanley +
Co.
International Limited and w
ith a Trade Date of and a Term
inationD
ate of and confirm that such facsim
ile correctly sets forth the terms
of our agreement relating to the transaction described therein.
Account details:
Signed:
By:
Nam
e:
Title:
Unquote
We are delighted to have entered into the above referenced transaction w
ith you, and we look
forward to w
orking with you again.
Yours faithfully,
Jack InglisA
nnabel Littlewood
Morgan Stanley + C
o. International Limited
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
9
14. Morgan Stanley Contacts
Trading
London Jack Inglis +44 (0)20 7425 5994Annabel Littlewood +44 (0)20 7425 7763Ross Webster +44 (0)20 7425 6144 Ermes Caramaschi +44 (0)20 7425 8466
New York Jim Bedell +1 212 761 5830Tanya Ferencko +1 212 761 2654
Tokyo Jackson Chou +81 3 5424 7814Kenichi Ii +81 3 5424 7816Taro Goto +81 3 5424 7845Gavin Connor +81 3 5424 5633
Documentation
London Tracy Northey +44 (0)20 7425 5639Alexandra MacGregor +44 (0)20 7425 7762
New York Craig Abruzzo +1 212 761 5365
MORGAN STANLEY DEAN WITTER
This Memorandum is based upon information available to the public. No representation is made that it is accurate or complete. This Memorandum is not an offer to buy or sell or a solicitation of an offer to buy or sell the securities mentioned herein. Morgan Stanley &Co International and others associated with it may have positions in, and may effect transactions in, securities of companies mentioned herein and may also perform or seek to perform investment banking services for those companies.
10
Appendix – Indicative Spreads
The following is a list of indicative asset swap credit spread levels based on recent business we have seen in the marketplace or else where no recent business has beentransacted, the spreads shown are historical for illustrative purposes (notably in the Asian market). They are not firm bids nor should they be viewed as totally representativeof the spreads currently trading in the market. This is not an exhaustive list and there are inevitably a large number of issues in the convertible market for which we haveomitted to provide an indicated a credit spread. There may also be names on this list where there is no longer a credit bid available due to investors having exhausted theircredit lines or due to changing market conditions. Credit spreads are subject to supply and demand considerations as well as market sentiment. They are therefore not static.Readers should recognise that Morgan Stanley cannot find a credit bid for all the known names in the convertible universe although we will use our best endeavours to doso. Sub-investment grade issues do not typically find ready interest from credit buyers and this is particularly so in the US and Pacific Rim convertible markets which arecharacterised predominantly by such issues. Please contact your sales representative for an update on particular issues or for a general market overview.
MO
RGAN
STANLEY D
EAN W
ITTER
IssuerIssue #
Issue C
cyC
ouponM
aturityN
ext PutSpread
SectorC
ountryR
egionH
uaneng Power
USD
1.7521-M
ay-0421-M
ay-02380.00
Utilities
China
AsiaBank of East Asia
USD
2.0019-Jul-03
19-Jul-0185.00
Banks, Savings & Loan H
ong KongAsia
Far Eastern TextilesU
SD0.00
26-Jan-0526-Jan-01
175.00
Hong Kong
AsiaFirst Pacific
USD
2.0027-M
ar-02175.00
Conglom
erate H
ong KongAsia
Guangnan H
oldingsU
SD1.75
30-Jun-00310.00
Food & Beverages H
ong KongAsia
HD
FinanceU
SD6.75
01-Jun-00185.00
Real Estate
Hong Kong
AsiaH
ong Kong LandU
SD4.00
23-Feb-01136.00
Real Estate
Hong Kong
AsiaH
SH O
verseasU
SD5.00
06-Jan-01310.00
Leisure H
ong KongAsia
Hutchinson D
elta FinanceU
SD7.00
25-Nov-01
170.00
Hong Kong
AsiaKerry Properties
USD
2.0015-Jun-07
25-Mar-02
400.00R
eal Estate H
ong KongAsia
New
World D
evelopment
USD
3.0009-Jun-04
600.00R
eal Estate H
ong KongAsia
New
World Infrastructure
USD
5.0015-Jul-01
150.00Infrastructure
Hong Kong
AsiaPeregrine
USD
4.5001-D
ec-00200.00
Financial Services H
ong KongAsia
Shanghai IndustrialU
SD1.00
12-Jun-02425.00
Conglom
erate H
ong KongAsia
Shangri-La AsiaU
SD2.88
16-Dec-00
150.00Leisure
Hong Kong
AsiaSino Land
USD
4.0018-Apr-02
18-Apr-02260.00
Real Estate
Hong Kong
AsiaZhenhai R
efiningU
SD3.00
19-Dec-03
19-Dec-01
375.00O
il & Energy H
ong KongAsia
Polymax
USD
2.0027-Feb-06
27-Feb-01200.00
Housing & C
onstructionIndonesia
AsiaD
aewoo C
orpC
HF
0.1331-D
ec-0190.00
Trading Korea
AsiaKorea Electric Pow
erU
SD5.00
01-Aug-01140.00
Utilities
KoreaAsia
LG Electronics
USD
0.2531-D
ec-0708-Jul-02
100.00Sem
iconductors Korea
AsiaR
ashid Hussain
USD
1.5030-Jun-07
30-Jun-02375.00
Banks, Savings & Loan M
alaysiaAsia
Telekom M
alaysiaU
SD4.00
03-Oct-04
60.00Telecom
munications
Malaysia
AsiaYTL
USD
0.0015-Aug-02
15-Aug-00225.00
Infrastructure M
alaysiaAsia
JG Sum
mit
USD
3.5023-D
ec-03175.00
Real Estate
PhilippinesAsia
DBS Land
USD
2.0031-D
ec-01150.00
Real Estate
SingaporeAsia
Fullerton Global
USD
0.0002-Feb-03
130.00Telecom
munications
SingaporeAsia
Keppel Corp
USD
2.0012-Aug-03
175.00C
onglomerate
SingaporeAsia
Natsteel
USD
3.0030-Jun-02
200.00C
onglomerate
SingaporeAsia
Wing Tai
USD
1.5015-Jul-02
200.00R
eal Estate Singapore
AsiaAD
I Corp
USD
1.5008-Jul-03
08-Jul-01175.00
Com
puter Peripherals Taiw
anAsia
China Petrochem
icalU
SD1.00
08-May-08
08-May-03
300.00O
il & Energy Taiw
anAsia
CM
C M
agneticsU
SD1.00
06-Oct-04
06-Oct-02
350.00Electronics
Taiwan
AsiaD
elta ElectronicsU
SD0.00
15-Feb-0515-Feb-01
185.00C
omputer Peripherals
Taiwan
AsiaFirst International C
omputer
USD
0.0016-O
ct-0218.00
Com
puter Peripherals Taiw
anAsia
Formosa C
hemical
USD
1.7519-Jul-01
125.00C
hemicals
Taiwan
AsiaG
VC C
orpU
SD0.00
21-May-02
20.00C
omputer Peripherals
Taiwan
AsiaPou C
henU
SD1.50
15-Jun-0615-Jun-02
300.00R
etail Taiw
anAsia
Siliconware Precision
USD
0.5021-Jul-04
21-Jul-02225.00
Electronics Taiw
anAsia
Robinson D
epartment Store
USD
3.2527-Jul-00
25.00R
etail Thailand
AsiaTotal Access C
omm
unicationsU
SD2.00
31-May-06
31-May-01
140.00Telecom
munications
ThailandAsia
United C
omm
unicationsU
SD7.78
15-Dec-03
165.00Telecom
munications
ThailandAsia
Bank AustriaEU
R0.00
14-Oct-04
15-Oct-01
25.00Banks, Savings & Loan
AustriaEurope
ArbedD
EM3.25
30-Oct-04
70.00M
etals Belgium
EuropeG
BLD
EM2.50
09-Jul-0340.00
Financial Services Belgium
EuropeKBC
DEM
2.5010-D
ec-0575.00
Banks, Savings & Loan Belgium
EuropeM
etsa SerlaU
SD4.38
15-Oct-02
100.00Paper & Packaging
FinlandEurope
AccorEU
R1.00
29-Mar-02
53.00Leisure
FranceEurope
Artemis
EUR
1.5022-Feb-05
87.50R
etail France
EuropeBouygues
EUR
1.7001-Jan-06
80.00H
ousing & Construction
FranceEurope
Carrefour
EUR
2.5001-Jan-04
40.00Food & Beverages
FranceEurope
Financiere AgacheEU
R0.00
23-Apr-0467.00
Food & Beverages France
EuropeFrance Telecom
EUR
2.0001-Jan-04
50.00Telecom
munications
FranceEurope
France TelecomEU
R4.13
29-Nov-04
50.00Telecom
munications
FranceEurope
PinaultEU
R1.50
01-Jan-0365.00
Retail
FranceEurope
ScorEU
R1.00
01-Jan-0542.00
Insurance France
EuropeST M
icroelectronicsU
SD0.00
22-Sep-0922-Sep-04
105.00Electronics
FranceEurope
Suez Lyonnaise des EauxEU
R0.00
01-Jan-0450.00
Utilities
FranceEurope
Suez Lyonnaise des EauxEU
R2.88
12-Jan-0461.00
Utilities
FranceEurope
Usinor
EUR
3.8801-Jan-05
95.00M
etals France
EuropeVivendi
EUR
1.5001-Jan-05
80.00U
tilities France
EuropeVivendi
EUR
1.2501-Jan-04
70.00U
tilities France
EuropeVivendi
EUR
1.0005-Jul-03
115.00U
tilities France
EuropeAllianz
DEM
3.0004-Feb-03
21.00Insurance
Germ
anyEurope
AllianzEU
R2.00
23-Mar-05
22.00Insurance
Germ
anyEurope
Deutsche Bahn
DEM
1.1302-Apr-03
40.00Transportation
Germ
anyEurope
Deutsche Bank
EUR
2.0022-D
ec-0325.00
Banks, Savings & Loan G
ermany
EuropeD
eutsche BankC
HF
1.0026-Jul-01
18.00Banks, Savings & Loan
Germ
anyEurope
Deutsche Bank
USD
0.0012-Feb-17
12-Feb-0228.00
Banks, Savings & Loan G
ermany
EuropeD
usseldorf Stadtwerke
DEM
2.5025-Aug-03
40.00M
unicipalG
ermany
EuropeKam
psEU
R0.00
17-Mar-15
17-Mar-03
205.00Food & Beverages
Germ
anyEurope
Metro
DEM
0.0009-Jul-13
09-Jul-0350.00
Retail
Germ
anyEurope
Nordrhein-W
estfalenD
EM2.13
03-Dec-02
15.00M
unicipalG
ermany
EuropeEFG
EUR
2.0004-M
ay-0560.00
Banks, Savings & Loan G
reeceEurope
National Bank of G
reeceEU
R2.00
15-Jul-0338.00
Banks, Savings & Loan G
reeceEurope
Matav
USD
0.7502-Jul-01
10.00Telecom
munications
Hungary
Europe
MO
RGAN
STANLEY D
EAN W
ITTER
IssuerIssue #
Issue C
cyC
ouponM
aturityN
ext PutSpread
SectorC
ountryR
egionAutogrill
EUR
0.0016-Jun-14
15-Jun-04105.00
Restaurants
ItalyEurope
Banca di Rom
aITL
3.5002-Jan-01
52.50Banks, Savings & Loan
ItalyEurope
EdizioneITL
2.0008-Jul-03
84.00C
onsumer Products
ItalyEurope
Finmeccanica
EUR
2.0008-Jun-05
130.00Italy
EuropeM
ediobancaITL
0.0018-D
ec-0135.00
Banks, Savings & Loan Italy
EuropeM
ediobancaITL
1.5018-D
ec-0345.00
Banks, Savings & Loan Italy
EuropeAhold
NLG
3.0030-Sep-03
150.00Food & Beverages
Netherlands
EuropeC
regem Finance
USD
2.7506-Jan-04
18.00Banks, Savings & Loan
Netherlands
EuropeFortis
NLG
2.6306-N
ov-0336.00
Financial Services N
etherlandsEurope
FortisEU
R1.50
29-Jul-0460.00
Financial Services N
etherlandsEurope
VNU
NLG
2.7515-Apr-05
150.00Publishing
Netherlands
EuropeVN
UEU
R1.75
15-Nov-04
115.00Publishing
Netherlands
EuropePortugal Telecom
EUR
1.5007-Jun-04
35.00Telecom
munications
PortugalEurope
Banco SantanderEU
R2.00
06-Aug-0350.00
Banks, Savings & Loan Spain
EuropeBBV
EUR
0.0030-Jul-02
25.00Banks, Savings & Loan
SpainEurope
TelefonicaU
SD2.00
15-Jul-0555.00
Telecomm
unications Spain
EuropeAventis
EUR
2.7529-Jul-03
52.00C
hemicals
Switzerland
EuropeAventis
EUR
3.2522-O
ct-0365.00
Chem
icals Sw
itzerlandEurope
Ciba Speciality C
hemicals
USD
1.2524-Jul-03
55.00C
hemicals
Switzerland
EuropeC
lariantC
HF
1.0019-Aug-02
80.00C
hemicals
Switzerland
EuropeH
olderbankC
HF
0.0028-Jul-14
28-Jul-0260.00
Housing & C
onstructionSw
itzerlandEurope
Holderbank
CH
F1.00
14-May-04
40.00H
ousing & Construction
Switzerland
EuropeM
eridianEU
R1.50
25-Nov-04
25-Nov-01
60.00H
uman R
esources Sw
itzerlandEurope
Moevenpick
DEM
0.0011-Feb-13
11-Feb-0350.00
Leisure Sw
itzerlandEurope
Roche
JPY0.25
25-Mar-05
45.00D
rugs & Biotechnology Sw
itzerlandEurope
Roche
USD
0.0019-Jan-15
19-Jan-0435.00
Drugs & Biotechnology
Switzerland
EuropeSw
iss AirC
HF
0.1307-Jul-05
64.38Air Transportation
Switzerland
EuropeSw
iss AirU
SD2.25
10-Jun-0418.00
Insurance Sw
itzerlandEurope
Swiss Life
USD
2.0020-M
ay-0330.00
Insurance Sw
itzerlandEurope
Swiss Life
CH
F1.00
20-May-05
35.00Insurance
Switzerland
EuropeSw
iss LifeEU
R2.00
20-May-03
40.00Insurance
Switzerland
EuropeSw
iss Re
NLG
1.2523-Jun-03
23.00Insurance
Switzerland
EuropeU
BSU
SD2.75
16-Jun-0225.00
Banks, Savings & Loan Sw
itzerlandEurope
AirtoursG
BP5.75
05-Jan-04220.00
Leisure U
KEurope
BAAG
BP4.88
29-Sep-0440.00
Air Transportation U
KEurope
British LandG
BP6.50
17-Nov-07
80.00R
eal Estate U
KEurope
Capital Shopping
GBP
6.2531-D
ec-06150.00
Real Estate
UK
EuropeD
aily Mail & G
eneral TrustG
BP2.50
05-Oct-04
90.00M
edia U
KEurope
Ham
merson
GBP
6.5012-Jun-06
175.00R
eal Estate U
KEurope
National G
ridG
BP4.25
17-Feb-0863.00
Utilities
UK
EuropeP & O
USD
6.0010-M
ay-0475.00
Transportation U
KEurope
PatheEU
R3.00
24-Nov-03
125.00M
edia U
KEurope
Railtrack
GBP
3.5018-M
ar-0960.00
Transportation U
KEurope
Standard Chartered
EUR
4.5030-M
ar-10130.00
Banks, Savings & Loan U
KEurope
United N
ews & M
ediaG
BP6.13
03-Dec-03
90.00Publishing
UK
EuropeAcom
euroJPY
0.0031-M
ar-0290.00
Financial Services Japan
JapanAjinom
oto9
JPY1.90
29-Mar-02
51.00Food & Beverages
JapanJapan
All Nippon Air
euroJPY
0.7531-M
ar-1531-M
ar-03100.00
Air Transportation Japan
JapanAlps Electric
2JPY
2.0029-M
ar-02170.00
Electronics Japan
JapanAsahi Brew
eries10
JPY1.00
26-Dec-03
95.00Food & Beverages
JapanJapan
Asahi Glass
5JPY
1.9026-D
ec-0889.00
Industrial Products Japan
JapanBank of Fukuoka
2JPY
1.1028-Sep-07
161.00Banks, Savings & Loan
JapanJapan
Bank of Tokyo-Mitsubishi
euroJPY
4.2531-M
ar-03160.00
Banks, Savings & Loan Japan
JapanBank O
f Tokyo-Mitsubishi
euroU
SD3.00
30-Nov-02
30.00Banks, Savings & Loan
JapanJapan
Best Denki
4JPY
1.9028-Feb-02
70.00R
etail Japan
JapanC
apcom2
JPY0.80
28-Sep-01173.00
Electronics Japan
JapanC
hiba Bank3
JPY0.00
30-Mar-03
60.00Banks, Savings & Loan
JapanJapan
Chiyoda Fire and M
arine3
JPY0.80
31-Mar-03
48.00Insurance
JapanJapan
Chiyoda Fire and M
arine4
JPY0.70
30-Mar-01
25.00Insurance
JapanJapan
Chubu Electric Pow
er4
JPY1.00
31-Mar-06
31.00U
tilities Japan
JapanC
hugai Pharm5
JPY1.10
30-Mar-06
80.00H
ealth & Personal Care
JapanJapan
Chugai Pharm
6JPY
1.0530-Sep-08
100.00H
ealth & Personal Care
JapanJapan
Chugai Pharm
3JPY
1.7028-Jun-02
52.00H
ealth & Personal Care
JapanJapan
CM
K3
JPY0.70
30-Sep-05142.00
Electronics Japan
JapanD
ai Nippon Printing
5JPY
1.5031-M
ay-0230.00
Publishing Japan
JapanD
ai Nippon Printing
8JPY
1.8030-Sep-03
83.00Publishing
JapanJapan
Daiichi Kangyo Bank
euroU
SD3.88
30-Sep-04120.00
Banks, Savings & Loan Japan
JapanD
aiichi Pharmaceutical
4JPY
1.8029-Sep-00
34.00H
ealth & Personal Care
JapanJapan
Dainippon Screen
1C
HF
0.2530-Sep-00
130.00Electronics
JapanJapan
Daiw
a Securities11
JPY1.40
29-Aug-0370.00
Financial Services Japan
JapanD
aiwa Securities
16JPY
0.5029-Sep-06
145.00Financial Services
JapanJapan
Ebaraeuro
JPY0.13
30-Sep-0445.00
Industrial Products Japan
JapanFuji C
o.1
JPY0.90
31-Aug-01100.00
Retail
JapanJapan
Fuji Heavy
4JPY
0.9030-Sep-03
179.00Autom
otive Japan
JapanFutaba
3JPY
0.3030-Sep-03
48.00Industrial Products
JapanJapan
Gunm
a Bank4
JPY0.45
28-Sep-0154.50
Banks, Savings & Loan Japan
Japan
MO
RGAN
STANLEY D
EAN W
ITTER
IssuerIssue #
Issue C
cyC
ouponM
aturityN
ext PutSpread
SectorC
ountryR
egionH
ankyu Corp
euroJPY
1.5030-Sep-06
30-Sep-03150.00
Transportation Japan
JapanH
ankyu Departm
ent Store1
JPY2.00
30-Sep-0041.00
Retail
JapanJapan
Hanshin Electric
7JPY
4.8030-M
ar-0140.00
Transportation Japan
JapanH
iroshima Bank
3JPY
0.4030-Sep-03
72.00Banks, Savings & Loan
JapanJapan
Hitachi
5JPY
1.7029-Sep-02
40.00C
onsumer Electronics
JapanJapan
Hitachi
6JPY
1.3030-Sep-03
41.00C
onsumer Electronics
JapanJapan
Hitachi
7JPY
1.4030-Sep-04
46.00C
onsumer Electronics
JapanJapan
Hitachi M
etals12
JPY1.90
29-Mar-02
30.00M
etals Japan
JapanH
oriba2
JPY0.85
17-Mar-06
153.50Instrum
entation Japan
JapanItochu
1JPY
0.0030-M
ar-01140.00
Trading Japan
JapanKagaw
a1
JPY0.00
28-Sep-0185.00
Banks, Savings & Loan Japan
JapanKanegafuchi C
hemical
6JPY
1.8031-M
ar-0362.00
Chem
icals Japan
JapanKanegafuchi C
hemical
7JPY
1.8028-Sep-01
43.00C
hemicals
JapanJapan
Kanegafuchi Chem
ical8
JPY1.80
30-Sep-0463.00
Chem
icals Japan
JapanKansai Electric Pow
er2
JPY2.00
29-Mar-02
15.00U
tilities Japan
JapanKansai Electric Pow
er3
JPY1.40
31-Mar-05
17.00U
tilities Japan
JapanKaw
asaki Heavy
3JPY
0.8028-Sep-01
38.00Autom
otive Japan
JapanKaw
asaki Heavy
4JPY
0.9030-Sep-03
37.00Autom
otive Japan
JapanKeihan Electric R
ailway
6JPY
1.0031-M
ar-0333.00
Transportation Japan
JapanKeihin Electric Express
18JPY
1.5029-Sep-02
90.00Transportation
JapanJapan
Keisei Electric Rail
31JPY
0.9030-Sep-02
134.00Transportation
JapanJapan
Keisei Electric Rail
32JPY
0.4530-Sep-04
109.50Transportation
JapanJapan
Kinki Nippon R
ailway
6JPY
1.0031-M
ar-0870.00
Transportation Japan
JapanKinki N
ippon Railw
ay5
JPY0.70
31-Mar-03
47.00Transportation
JapanJapan
Kokusai Securitieseuro
JPY0.25
30-Sep-1430-Sep-04
70.00Financial Services
JapanJapan
Koyo Seiko7
JPY0.50
03-Mar-03
150.00Industrial Products
JapanJapan
Kubota Corp
4JPY
1.5029-Sep-00
36.50Industrial Products
JapanJapan
Kubota Corp
5JPY
1.5528-Sep-01
40.00Industrial Products
JapanJapan
Kubota Corp
6JPY
1.6030-Sep-02
41.00Industrial Products
JapanJapan
Kubota Corp
7JPY
0.8030-Sep-03
38.00Industrial Products
JapanJapan
Kuraray6
JPY2.20
29-Sep-0257.00
Consum
er Products Japan
JapanLintec
3JPY
0.2031-M
ar-0575.00
Instrumentation
JapanJapan
Marubeni
8JPY
0.8531-M
ar-06170.00
Trading Japan
JapanM
arui7
JPY1.40
31-Jan-0399.00
Retail
JapanJapan
Matsom
oto2
JPY1.20
30-Mar-01
145.00Trading
JapanJapan
Matsushita Electric Industrial
5JPY
1.3029-M
ar-0233.00
Consum
er Electronics Japan
JapanM
atsushita Electric Industrial6
JPY1.40
31-Mar-04
37.00C
onsumer Electronics
JapanJapan
Matsushita Electric W
orks8
JPY2.70
31-May-05
59.00H
ousing & Construction
JapanJapan
Matsushita Electric W
orks9
JPY1.00
30-Nov-05
48.00H
ousing & Construction
JapanJapan
Matsushita Electric W
orks7
JPY4.30
30-Nov-00
70.00H
ousing & Construction
JapanJapan
Minebea
3JPY
0.8031-M
ar-0383.00
Industrial Products Japan
JapanM
inebea4
JPY0.65
31-Mar-05
90.00Industrial Products
JapanJapan
Mitsubishi Electric
4JPY
2.0030-Sep-03
57.00Electrical Equipm
ent Japan
JapanM
itsubishi Logistics3
JPY1.90
31-Mar-03
75.00Transportation
JapanJapan
Mitsubishi M
otor1
JPY0.40
31-Mar-03
35.50Autom
otive Japan
JapanM
itsui & Co
6JPY
1.0530-Sep-09
58.50Trading
JapanJapan
Mitsui M
arine & Fire1
JPY2.10
29-Mar-02
12.00Insurance
JapanJapan
Mitsui M
arine & Fire3
JPY0.70
31-Mar-03
82.00Insurance
JapanJapan
Mitsui M
ining & Smelting
euroJPY
0.0030-Sep-03
135.00Instrum
entation Japan
JapanM
itsui Mining & Sm
elting1
JPY0.40
30-Sep-03114.00
Mining
JapanJapan
Mitsum
i Electric3
JPY0.40
31-Mar-03
225.00Electronics
JapanJapan
Mizuno C
orp7
JPY0.55
28-Sep-0150.00
Consum
er Products Japan
JapanN
agoya Bank2
JPY0.35
30-Sep-0383.50
Banks, Savings & Loan Japan
JapanN
agoya Rail
7JPY
1.0531-M
ar-0671.00
Transportation Japan
JapanN
ankai Electric Rail
1JPY
2.7030-M
ar-0177.00
Transportation Japan
JapanN
EC C
orp6
JPY1.80
29-Mar-02
43.00Electrical Equipm
ent Japan
JapanN
EC C
orp7
JPY1.90
31-Mar-04
56.00Electrical Equipm
ent Japan
JapanN
EC C
orp9
JPY1.90
30-Mar-01
114.00Electrical Equipm
ent Japan
JapanN
EC System
seuro
JPY0.38
31-Mar-02
135.00Electrical Equipm
ent Japan
JapanN
GK Insulator
3JPY
4.5029-Sep-00
60.00Industrial Products
JapanJapan
NG
K Spark Plug4
JPY1.30
29-Mar-02
93.00Industrial Products
JapanJapan
Nichido Fire & M
arine4
JPY0.90
30-Mar-01
45.00Insurance
JapanJapan
Nichido Fire & M
arine5
JPY1.00
31-Mar-03
50.00Insurance
JapanJapan
Nichiei
euroJPY
1.7531-M
ar-1431-M
ar-04200.00
Financial Services Japan
JapanN
idec Corp
2JPY
0.8031-M
ar-06208.00
Electrical Equipment
JapanJapan
Nidec C
orp3
JPY0.50
31-Mar-04
115.00Electrical Equipm
ent Japan
JapanN
idec Corp
euroJPY
0.1331-M
ar-03110.00
Electrical Equipment
JapanJapan
Nippon D
enso4
JPY1.60
20-Dec-02
56.00Electrical Equipm
ent Japan
JapanN
ippon Express4
JPY1.00
31-Mar-04
45.00Transportation
JapanJapan
Nippon M
ining & Metals
JPY0.00
30-Sep-04175.00
Mining
JapanJapan
Nippon Yusen
9JPY
2.0029-Sep-00
80.00Transportation
JapanJapan
Nishim
atsu8
JPY0.35
31-Mar-04
99.14Infrastructure
JapanJapan
Nishi-N
ippon Bank1
JPY0.20
30-Sep-0375.00
Banks, Savings & Loan Japan
JapanN
isshin Fire & Marine
1JPY
0.6531-M
ar-0474.92
Insurance Japan
JapanN
isshin Oil M
ills3
JPY1.00
30-Mar-01
50.00Food & Beverages
JapanJapan
Nissho Iw
ai1
JPY0.65
30-Sep-0340.50
Trading Japan
Japan
MO
RGAN
STANLEY D
EAN W
ITTER
IssuerIssue #
Issue C
cyC
ouponM
aturityN
ext PutSpread
SectorC
ountryR
egionN
TN C
orp5
JPY0.85
31-Mar-04
45.00Industrial Products
JapanJapan
Odakyu Electric R
ail18
JPY1.60
30-Sep-0258.00
Transportation Japan
JapanO
ki Electric17
JPY2.20
31-Mar-04
122.00Telecom
Equipment
JapanJapan
Oki Electric
19JPY
1.8028-Sep-01
88.00Telecom
Equipment
JapanJapan
Okinaw
a Bank1
JPY0.30
29-Mar-02
78.00Banks, Savings & Loan
JapanJapan
Orix
euroJPY
0.3831-M
ar-0575.00
Financial Services Japan
JapanR
engo10
JPY0.45
30-Jul-07115.50
Paper & Packaging Japan
JapanR
icoh8
JPY1.50
29-Mar-02
85.00O
ffice Products Japan
JapanR
icoh9
JPY0.35
31-Mar-03
76.75O
ffice Products Japan
JapanR
iso Kagaku3
JPY1.88
31-Mar-02
120.00O
ffice Products Japan
JapanSankyo
3JPY
0.7030-M
ar-0157.00
Health & Personal C
areJapan
JapanSeino Transport
euroJPY
0.1331-M
ar-0470.00
Transportation Japan
JapanSekisui C
hemical
7JPY
0.1028-Sep-01
46.00C
hemicals
JapanJapan
Sekisui House
16JPY
0.3031-Jul-03
26.00H
ousing & Construction
JapanJapan
Sekisui House
12JPY
2.5031-Jan-02
70.00H
ousing & Construction
JapanJapan
Sekisui House
13JPY
2.4031-Jul-00
60.00H
ousing & Construction
JapanJapan
Sekisui House
15JPY
0.8031-Jul-01
53.00H
ousing & Construction
JapanJapan
Sekisui House
14JPY
0.9031-Jul-03
125.00H
ousing & Construction
JapanJapan
Sharp12
JPY1.60
30-Sep-0461.00
Semiconductors
JapanJapan
Shiga Bank2
JPY0.40
30-Sep-0369.00
Banks, Savings & Loan Japan
JapanShim
adzu13
JPY0.95
30-Sep-0560.00
Industrial Products Japan
JapanShin M
eiwa
4JPY
4.7029-Sep-00
47.00Industrial Products
JapanJapan
Showa C
orpeuro
JPY0.50
31-Mar-04
110.00Autom
otive Japan
JapanSum
itomo C
hemical
8JPY
4.7029-D
ec-0037.00
Chem
icals Japan
JapanSum
itomo C
orp2
JPY1.60
29-Mar-02
32.00Trading
JapanJapan
Sumitom
o Corp
3JPY
1.5031-M
ar-0480.00
Trading Japan
JapanSum
itomo Electric
6JPY
0.2530-Sep-08
58.00Electronics
JapanJapan
Sumitom
o Electric4
JPY2.00
28-Sep-0150.00
Electronics Japan
JapanSum
itomo M
arine & Fire4
JPY1.20
31-Mar-04
47.00Insurance
JapanJapan
Sumitom
o Marine & Fire
3JPY
1.1029-M
ar-0212.00
Insurance Japan
JapanSum
itomo W
arehouse4
JPY1.00
31-Mar-05
110.00Transportation
JapanJapan
Sysmex
1JPY
0.2031-M
ar-0489.14
Japan
JapanTanabe Seiyaku
9JPY
0.3031-M
ar-0643.00
Health & Personal C
areJapan
JapanTH
K3
JPY0.30
30-Sep-03138.00
Industrial Products Japan
JapanTokyo Electron
2JPY
0.9030-Sep-03
65.00Trading
JapanJapan
Tomy
euroJPY
0.2530-Sep-03
145.00R
etail Japan
JapanToppan Printing
7JPY
1.4031-M
ar-0544.00
Publishing Japan
JapanToyam
a Chem
ical1
JPY1.00
31-Mar-05
180.00Electronics
JapanJapan
Toyo Com
munications
2JPY
1.4030-Sep-04
194.00Electrical Equipm
ent Japan
JapanToyo Trust & Banking
euroJPY
0.7530-Sep-02
225.00Banks, Savings & Loan
JapanJapan
Toyoda Auto Loom
2JPY
0.3530-Sep-03
48.50Autom
otive Japan
JapanU
be industries3
JPY1.25
30-Sep-05172.50
Conglom
erateJapan
JapanYasuda Fire & M
arine3
JPY0.60
30-Mar-01
86.00Insurance
JapanJapan
Yasuda Trust & Bankingeuro
USD
1.7530-Sep-02
90.00Banks, Savings & Loan
JapanJapan
Yasuda Trust & Bankingeuro
USD
2.8830-Sep-03
90.00Banks, Savings & Loan
JapanJapan
Anadarko PetroleumU
SD0.00
07-Mar-20
07-Mar-03
100.00O
il & Energy U
SAU
SABell Atlantic
USD
5.7501-Apr-03
50.00Telecom
munications
USA
USA
Bell AtlanticU
SD4.25
15-Sep-0555.00
Telecomm
unications U
SAU
SAC
endant Corp
USD
3.0015-Feb-02
80.00Leisure
USA
USA
Clear C
hannel Com
ms
USD
1.5001-D
ec-02153.00
Media
USA
USA
Clear C
hannel Com
ms
USD
2.6301-Apr-03
150.00M
edia U
SAU
SAC
omm
scopeU
SD4.00
15-Dec-06
240.00Telecom
Equipment
USA
USA
Costco W
holesaleU
SD0.00
19-Aug-1719-Aug-02
75.00R
etail U
SAU
SAC
ox Com
ms
USD
0.4319-Apr-20
19-Apr-05160.00
Telecom Services
USA
USA
Elan FinanceU
SD0.00
14-Dec-18
14-Dec-03
225.00D
rugs & Biotechnology U
SAU
SAG
enerU
SD6.00
01-Mar-05
310.00U
tilities U
SAU
SAH
ealthsource Corp
USD
3.2501-Apr-03
125.00H
ealthcare U
SAU
SAH
eartportU
SD7.50
01-Oct-03
180.00R
EIT - Healthcare
USA
USA
Ingram M
icroU
SD0.00
09-Jun-1809-Jun-01
375.00Electronics
USA
USA
InterpublicU
SD1.87
01-Jun-06155.00
Advertising U
SAU
SAKerr-M
cGee
USD
5.2515-Feb-10
165.00O
il & Energy U
SAU
SALennar C
orpU
SD0.00
29-Jul-1829-Jul-03
175.00H
ousing & Construction
USA
USA
Loews
USD
3.1315-Sep-07
118.00O
il Services U
SAU
SAM
agna InternationalU
SD4.88
15-Feb-05175.00
Automotive
USA
USA
Magna International
USD
5.0015-O
ct-02150.00
Automotive
USA
USA
Mattell
USD
5.5001-N
ov-0040.00
Consum
er Products U
SAU
SAM
errill LynchU
SD2.00
14-Apr-0445.00
Food & Beverages U
SAU
SAM
errill LynchU
SD1.00
03-Mar-03
50.00D
rugs & Biotechnology U
SAU
SAO
ffice Depot
USD
0.0011-D
ec-0711-D
ec-02200.00
Office Products
USA
USA
Om
nicareU
SD5.00
11-Dec-07
175.00D
rug Distribution
USA
USA
Pep BoysU
SD0.00
20-Sep-1120-Sep-01
125.00Autom
otive U
SAU
SAR
ite AidU
SD5.25
15-Sep-02200.00
Drug D
istribution U
SAU
SASolectron
USD
0.0008-M
ay-2008-M
ay-03180.00
Electronics U
SAU
SASolectron
USD
0.0027-Jan-19
27-Jan-02195.00
Electronics U
SAU
SATelm
exU
SD4.25
15-Jun-04255.00
Telecomm
unications U
SAU
SATransocean Sedco
USD
0.0024-M
ay-2024-M
ay-03110.00
Oil & Energy
USA
USA
MO
RGAN
STANLEY D
EAN W
ITTER
IssuerIssue #
Issue C
cyC
ouponM
aturityN
ext PutSpread
SectorC
ountryR
egionU
S Cellular
USD
0.0015-Jun-15
15-Jun-00120.00
Telecomm
unications U
SAU
SAW
ellpointU
SD0.00
02-Jul-1920-Jul-02
175.00H
ealthcare U
SAU
SAXerox
USD
0.5721-Apr-18
21-Apr-0375.00
Office Products
USA
USA
Young & Rubicam
USD
3.0015-Jan-05
150.00Advertising
USA
USA
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