Exhibit 4.1
TRUST AGREEMENT
TRUST AGREEMENT, between MSDW Structured Asset Corp. (the "Depositor")
and LaSalle Bank National Association (the "Trustee"), made as of the date set
forth in Schedule I attached hereto, which Schedule together with Schedules II
and III attached hereto, are made a part hereof and are hereinafter referred to
collectively as the "Terms Schedule". The terms of the Standard Terms for Trust
Agreements, dated July 7, 1999 (the "Standard Terms") are, except to the extent
otherwise expressly stated, hereby incorporated by reference herein in their
entirety with the same force and effect as though set forth herein. Capitalized
terms used herein and not defined shall have the meanings defined in the
Standard Terms. References to "herein", "hereunder", "this Trust Agreement" and
the like shall include the Terms Schedule attached hereto and the Standard Terms
so incorporated by reference.
WHEREAS, the Depositor and the Trustee desire to establish the Trust
identified in Schedule I attached hereto (the "Trust") for the primary purposes
of (i) holding the Securities, (ii) entering into any Swap Agreement with the
Swap Counterparty and (iii) issuing the Units;
WHEREAS, the Depositor desires that the respective beneficial interests
in the Trust be divided into transferable fractional shares, such shares to be
represented by the Units; and
WHEREAS, the Depositor desires to appoint the Trustee as trustee of the
Trust and the Trustee desires to accept such appointment;
WHEREAS, the Depositor shall transfer, convey and assign to the Trust
without recourse, and the Trust shall acquire, all of the Depositor's right,
title and interest in and under the Securities and other property identified in
Schedule II to the Trust Agreement (the "Trust Property"); and
WHEREAS, the Trust agrees to acquire the Trust Property specified
herein in consideration for Units having an initial Unit Principal Balance
identified in Schedule I attached hereto, subject to the terms and conditions
specified in the Trust Agreement;
NOW THEREFORE, the Depositor hereby appoints the Trustee as trustee
hereunder and hereby requests the Trustee to receive the Securities from the
Depositor and to issue in accordance with the instructions of the Depositor
Units having an initial Unit Principal Balance identified in Schedule I attached
hereto, and the Trustee accepts such appointment and, for itself and its
successors and assigns, hereby declares that it shall hold all the estate,
right, title and interest in any property contributed to the trust account
established hereunder (except property to be applied to the payment or
reimbursement of or by the Trustee for any fees or expenses which under the
terms hereof is to be so applied) in trust for the benefit of all present and
future Holders of the fractional shares of beneficial interest issued hereunder,
namely, the Unitholders, and subject to the terms and provisions hereof and of
the Standard Terms.
IN WITNESS WHEREOF, each of the undersigned has executed this
instrument as of the date set forth in the Terms Schedule attached hereto.
LASALLE BANK NATIONAL ASSOCIATION
as Trustee on behalf of the Trust identified in
Schedule I hereto, and not in its individual capacity
By: /s/ Brian D. Ames
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Name: Brian D. Ames
Title: Vice President
MSDW STRUCTURED ASSET CORP.
By: /s/ Michael Harpe
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Name: Michael Harpe
Title: President
Attachments: Terms Schedule (consisting of Schedules I, II and III)
Schedule I
(Terms of Trust and Units)
Trust: SATURNS Trust No. 2001-1
Date of Trust Agreement: April 24, 2001
Trustee: LaSalle Bank National Association.
References to Chase Bank of Texas,
National Association in the Standard Terms
shall be inapplicable.
Initial Unit Principal Balance: $49,662,000
Issue Price: 100%
Number of Units: 1,986,480 (Unit Principal Balance of $25
each)
Minimum Denomination: $25 and $25 increments in excess thereof.
The minimum denomination specified in
Section 5.01(a) of the Standard Terms
shall not apply. Each $25 of Unit
Principal Balance is a Unit.
Cut-off Date: April 24, 2001
Closing Date: April 24, 2001
Specified Currency: United States dollars
Business Day: New York, New York and Chicago, Illinois
Interest Rate: 7.125%
Interest Reset Period: Not Applicable
Rating: A1 by Moody's
A+ by S&P
Rating Agencies: Moody's and S&P
Scheduled Final Distribution Date: December 1, 2096. The Units will have the
same final maturity as the Securities. The
Scheduled Final Distribution Date of the
Units will shorten to match any shortening
of the maturity of the Securities.
Prepayment/Redemption: The Trust Property is subject to
redemption at any time and is subject to
call in accordance with Schedule III.
If the Swap Agreement is partially
exercised or if there is a partial
redemption of the Securities, the Trustee
will randomly select Units to be redeemed
in full from the proceeds of the partial
exercise of the Swap Agreement or partial
redemption of the Securities.
Additional Distribution: If any of the Securities are redeemed by
the Security Issuer prior to June 1, 2006,
each of the Units which are redeemed in
connection with such redemption of
Securities will receive a pro rata
distribution from the proceeds of the
redemption of the Securities remaining
after payment of principal and interest on
such Units up to a maximum of $2.50 per
Unit.
Corporate Trust Office: The definition of "Corporate Trust Office"
in the Standard Terms shall not apply.
The Corporate Trust Office shall be the
Trustee's Asset-Backed Securities Trust
Services Group having an office at 135 S.
LaSalle Street, Suite 1625, Chicago,
Illinois 60603 or such other addresses as
the Trustee may designate from time to
time by notice to the Unitholders, the
Depositor, the Swap Counterparty and the
Guarantor.
Swap Agreement: The ISDA Agreement referred to in Schedule
III. In addition, in connection with an
additional issuance of Units, any
additional Swap Agreement entered into in
connection therewith.
Swap Counterparty: Party A to the Swap Agreement referred to
in Schedule III or any assignee thereof.
In addition, in connection with an
additional issuance of Units, Party A to
any additional Swap Agreement or any
assignee thereof.
In the event that there is more than one
Swap Counterparty at any time when a
partial termination or a deemed exercise
is to occur under only part of the options
outstanding under all Swap Agreements, the
Trustee shall randomly select which
options under the Swap Agreements shall be
selected for such partial termination or
deemed exercise.
Guarantee: Morgan Stanley Dean Witter & Co. shall
guarantee the obligations of Morgan
Stanley & Co. International Limited
("MSIL") for so long as MSIL is Party A to
any Swap Agreement with the Trust.
Swap Notional Amount: The Notional Amount specified in Schedule
III.
Swap Payment Date: Any date upon which the rights under the
Swap Agreement may be exercised.
Swap Rate: Not Applicable
Additional Swap Agreements: In connection with an additional issuance
of Units, the Depositor may arrange for
the Trust to enter into an additional Swap
Agreement with identical terms as the Swap
Agreement entered into as of the Closing
Date with an additional Swap Counterparty,
except that such Swap Agreement may have a
different Swap Counterparty and premium
amount than the Swap Agreement entered
into on the Closing Date. The Rating
Agency Condition must be satisfied in
connection with respect to the Swap
Counterparty.
Distribution Date: Each June 1 and December 1, commencing
June 1, 2001. If payment on the Securities
is not received by the Trustee by 12 noon
(New York City time) on a Distribution
Date, interest will be distributed on the
next Business Day upon which such payment
is received prior to 12 noon, with no
adjustment to the amount distributed.
Record Date: Each May 15 and November 15, regardless of
whether such day is a Business Day.
Form: Global
Depositary: DTC
Trustee Fees and Expenses: As compensation for and in payment of
trust expenses related to its services
hereunder other than Extraordinary Trust
Expenses, the Trustee will receive Trustee
Fees on each Distribution Date in the
amount equal to $3,750. The Trustee Fee
shall cease to accrue after termination of
the Trust. The "Trigger Amount" with
respect to Extraordinary Trust Expenses
for the Trust is $25,000 and the Maximum
Reimbursable Amount is $100,000. The
Trustee Fee will be paid by the Expense
Administrator. Expenses will be reimbursed
by the Expense Administrator in accordance
with the Expense Administration Agreement.
Expense Administrator: The Depositor will act as Expense
Administrator on behalf of the Trust
pursuant to an Expense Administration
Agreement, dated as of April 24, 2001 (the
"Expense Administration Agreement"),
between the Depositor as Expense
Administrator (the "Expense
Administrator") and the Trust.
The Expense Administrator will receive a
fee equal to 0.025% per annum of the
principal amount of the Securities held by
the Trust as its fee, payable on the basis
of a 360 day year consisting of twelve 30
day months. The Expense Administrator's
fee is payable only from available
interest receipts received with respect to
the Securities after application of such
receipts to payment of accrued interest on
the Units and any Swap Termination
Payments currently owing.
In addition the Expense Administrator
shall own that portion of the Securities
which represent the interest of a
fractional Unitholder that would remain
after a partial exercise or deemed
exercise of the Swap Agreement had the
Swap Counterparty not been obligated to
pay the Fractional Unit Make Whole Amount
(pursuant to and as defined in the Swap
Agreement). The Expense Administrator
shall receive all interest and principal
with respect to such portion of the
Securities.
The Expense Administrator will be
responsible for paying the Trustee Fee and
reimbursing certain other expenses of the
Trust in accordance with the Expense
Administration Agreement.
Listing: The Depositor has applied to list the
Units on the New York Stock Exchange
ERISA Restrictions: None of the restrictions in the Standard
Terms relating to the Employee Retirement
Income Security Act of 1974, as amended,
and related matters shall apply.
Deemed Representations: Not Applicable
QIB Restriction Not Applicable
Trust Wind-Up Event: The Trust Wind-Up Events specified in
Sections 9.01(a), 9.01(c), 9.01(d),
9.01(f) and 9.01(h) shall not apply. The
Trust Wind Events specified in Sections
9.01(b) (Security Default), 9.01(c) (Early
Termination Date designated due to
"illegality" or "tax event" under the Swap
Agreement), 9.01(g) (Disqualified
Securities), 9.01(i) (Excess Expense
Event) shall apply. Pursuant to Section
9.01(j), the following events also shall
constitute Trust Wind-Up Events: (i)
redemption (or completion of a
self-tender) by the Security Issuer of all
Securities held by the Trust and (ii)
exercise of the right to purchase
Securities under the Swap Agreement as to
all Securities held by the Trust.
Termination: If a Trust Wind-Up Event occurs (other
than due to exercise of the right to
purchase Securities under the Swap
Agreement as to all Securities held by the
Trust), any Securities held by the Trust
will be liquidated (in the case of a Trust
Wind-Up Event resulting from a self-tender
offer, by tender to the Security Issuer)
and the proceeds will be applied first to
redeem the Units at 100% of their
principal balance plus accrued interest
and then to apply any remaining amounts to
the payment of any amounts owed to the
Swap Counterparty as a Swap Termination
Payment under the Swap Agreement.
In the event the Security Issuer makes a
self-tender offer for the Securities, 100%
of the Unitholders may direct the Trustee
to tender all of the Securities held by
the Trust. The Trustee will only accept an
instruction to tender the Securities if
all of the Securities held by the Trust
are to be tendered. The Units will receive
the proceeds after payment of a Swap
Termination Payment determined on the
basis of "Market Quotation" under the Swap
Agreement (with the Trust as sole Affected
Party) as advised by the Swap
Counterparty.
Exchangeable Series Terms: A Unitholder may exchange Units for a pro
rata portion of the Trust Property (less
any amount sold to pay the Swap
Termination Payment); provided that: (i)
the exchange is made with respect to a
minimum Unit Principal Balance of $250,000
and in $25 integral multiples in excess
thereof; (ii) such exchange is to be
effected on June 1 of any year, commencing
June 1, 2002, (iii) the Swap Counterparty
is authorized to sell Securities in an
amount necessary to make payment of any
Swap Termination Payment corresponding to
the portion of the Securities exchanged
for such Units and receives the proceeds
of such sale.
In the event of an optional exchange of
the Units for Securities, the Swap
Termination Payment shall also include an
amount equal to the present value of the
Trustee Fee that will accrue from the date
of exchange until the Scheduled Final
Distribution Date (assuming for this
purpose that the Trust is not terminated
prior to the Scheduled Final Distribution
Date) multiplied by the amount of
Securities exchanged divided by
$49,825,000.
Terms of Retained Interest: The Depositor retains the right to receive
any and all interest that accrues on the
Securities prior to the Closing Date. The
Depositor will receive such accrued
interest on the first Distribution Date
for the Units and such amount shall be
paid from the interest payment made with
respect to the Securities on June 1, 2001.
The amount of the Retained Interest is
1,405,538.
Call Option Terms: Not applicable.
Security Default: The definition of Security Default in the
Standard Terms shall not apply. A
"Security Default" shall mean one of the
following events: (i) the acceleration of
the outstanding Securities under the terms
of the Securities and/or the applicable
Security Agreement, (ii) the failure of
the Security Issuer to pay an installment
of principal of, or any amount of interest
due on, the Securities after the due date
thereof and after the expiration of any
applicable grace period; or (iii) the
occurrence of certain events of default
under such Securities and/or Security
Agreement relating to the insolvency or
bankruptcy of the Security Issuer.
Sale of Securities If the Trust must sell the Securities it
holds, the Trust will sell the Securities
through the Selling Agent in accordance
with Section 9.03(b) and the following
terms. The Selling Agent will solicit bids
for all of the Securities held by the
Trust from at least three registered
broker-dealers of national reputation, one
of which shall be the Selling Agent. The
Selling Agent will, on behalf of the
Trust, sell the Securities at the highest
bid price received. If the Selling Agent
did not put forward such highest bid, it
may purchase the Securities at such
highest bid rather than selling the
Securities to the highest bidder.
Voting and other Actions: In the event that the Security Issuer
solicits any vote, consent, waiver,
modification or other action under the
Security Agreement or the terms of the
Securities, the Trustee will act with
respect to all of the Securities in
conformity with the direction of a
majority (by outstanding Unit Principal
Balance) of the Units.
Additional Issuance of Units: Upon no less than 5 days' notice to the
Trustee, the Depositor may deposit
additional Securities at any time in
exchange for additional Units in minimum
denominations of $250,000 and in $25
integral multiples in excess thereof. The
principal amount of Securities deposited
must be in the same ratio to the Unit
Principal Balance of the Units received as
the ratio of the aggregate Unit Principal
Balance on the Closing Date to the
aggregate principal balance of the
Securities on the Closing Date. The
Depositor must either arrange for the Swap
Counterparty and the Trust to increase
proportionally the notional amount under
the Swap Agreement or arrange for an
additional Swap Agreement to be entered
into between the Trust and an additional
Swap Counterparty. Any Securities
deposited will be deposited with accrued
interest and the corresponding Units
issued by the Trust will be issued with
accrued interest. The Rating Agency
Condition must be satisfied in connection
with such additional issuance.
Selling Agent: Morgan Stanley & Co. Incorporated.
Notwithstanding any provision of the
Standard Terms to the contrary, any sale
of the Securities shall be conducted by
and through the Selling Agent and not the
Trustee.
Rating Agency Condition: The definition of Rating Agencies
Condition in the Standard Terms shall not
apply.
"Rating Agency Condition": With respect to
any specified action or determination,
means receipt of (i) oral or written
confirmation by Moody's (for so long as
the Units are outstanding and rated by
Moody's) and (ii) written confirmation by
S&P (for so long as the Units are
outstanding and rated by S&P), that such
specified action or determination will not
result in the reduction or withdrawal of
their then-current ratings on the Units;
provided, however, that if Rating Agency
Confirmation is specified herein to be
required by only Moody's or S&P, only
clause (i) or clause (ii) shall be
applicable. Such confirmation may relate
either to a specified transaction or may
be a confirmation with respect to any
future transactions which comply with
generally applicable conditions published
by the applicable rating agency.
Eligible Account: The definition of "Eligible Account" in
the Standard Terms shall not apply.
"Eligible Account": A non-interest bearing
account, held in the United States, in the
name of the Trustee for the benefit of the
Trust that is either (i) a segregated
account or segregated accounts maintained
with a Federal or State chartered
depository institution or trust company
the short-term and long-term unsecured
debt obligations of which (or, in the case
of a depository institution or trust
company that is the principal subsidiary
of a holding company, the short-term and
long-term unsecured debt obligations of
such holding company) are rated P-1 and
Aa2 by Moody's, A-1+ and AA by S&P, and,
if rated by Fitch, F1 and AA by Fitch at
the time any amounts are held on deposit
therein including when such amounts are
initially deposited and all times
subsequent or (ii) a segregated trust
account or segregated accounts maintained
as a segregated account or as segregated
accounts and held by the Trustee in its
Corporate Trust Office in trust for the
benefit of the Unitholders.
Permitted Investments: The following shall be a Permitted
Investment in addition to the investments
specified in the Standard Terms:
Units of the Dreyfus Cash Management Fund
Investor Shares or any other money market
funds which are rated in the highest
applicable rating category by each Rating
Agency (or such lower rating if the Rating
Agency Condition is satisfied).
Non-U.S. Persons Notwithstanding anything to the contrary
herein or in the Standard Terms, any
beneficial owner of any Units which is a
non-U.S. person shall not be entitled to
exercise any rights of the Unitholders to
instruct or direct Trustee.
Other Terms: The Trust shall not merge or consolidate
with any other trust, entity or person and
the Trust shall not acquire the assets of,
or an interest in, any other trust, entity
or person except as specifically
contemplated herein.
The Trustee shall provide to the
Unitholders copies of any notices it
receives with respect to a redemption of
the Securities or a call of the Securities
under the Swap Agreement and any other
notices with respect to the Securities.
The reference to "B2" in the definition of
Certificate in the Standard Terms shall be
replaced with "Exhibit B2".
The reference to "Section 10.02(ix)" in
the definition of Available Funds in the
Standard Terms shall be replaced with
"Section 10.02(a)(ix)".
The reference to "Section 3.04" in the
definition of Unit Account in the Standard
Terms shall be replaced with "Section
3.05".
The transfer by the Depositor to the
Trustee specified in Section 2.01(a) of
the Standard Terms shall be in trust.
Section 2.06 of the Standard Terms shall
be incorporated herein by inserting "cash
in an amount equal to the premium under
the Swap Agreement and" after the phrase
"constituting the Trust Property,"
therein.
The reference to "calendar day" in the
last sentence of Section 3.06 of the
Standard Terms shall be replaced with
"Business Day".
Section 4.02(d) of the Standard Terms
shall be incorporated herein by striking
"and the Trustee on behalf of the
Unitholders" from the first sentence of
the second paragraph thereof.
Section 5.03(c) of the Standard Terms
shall be incorporated herein by striking
"(if so required by the Trustee or the
Unit Registrar)" from the first sentence
thereof.
Section 7.01(c)(i) of the Standard Terms
shall be incorporated herein by replacing
the first word thereof ("after") with
"alter".
Section 7.02 of the Standard Terms shall
be incorporated herein by striking "(i)
the Trustee determines that such amendment
will not adversely affect the interests of
the Unitholders and (ii)" from the first
sentence thereof, inserting "on which it
may conclusively rely" after "Opinion of
Counsel" in such sentence, and striking
"clause (ii)" from the second sentence of
such Section.
Section 9.03(a) of the Standard Terms
shall be incorporated herein by striking
"or oral" after the "at any time by" in
the third sentence thereof.
Clause (ix) of Section 10.02(a) shall not
apply.
Section 10.02(a)(x) of the Standard Terms
shall be replaced with the following:
(x) the Trustee shall have the power to
sell the Securities and other Trust
Property, in accordance with Article IX
and XI, through the Selling Agent or, if
the Selling Agent shall have resigned or
declined to sell some or all of the
Securities, any broker selected by the
Trustee (at the direction of the
Depositor) with reasonable care, in an
amount sufficient to pay any amount due to
the Swap Counterparty under the Swap
Agreement (including Termination Payments)
or reimbursable to itself in respect of
unpaid Extraordinary Trust Expenses and to
use the proceeds thereof to make such
payments after the distribution of funds
or Trust Property to Unitholders. Any such
broker shall be instructed by the Trustee
to sell such Trust Property in a
reasonable manner designed to maximize the
sale proceeds.
Section 10.05(b) of the Standard Terms
shall be incorporated herein by replacing
", pursuant to the first sentence of this
paragraph" with "the Trustee shall be
indemnified by the Trust, however," in the
last sentence thereof.
Section 10.06(a) of the Standard Terms
shall be incorporated herein by inserting
"or association" after the word
"corporation" in the second sentence
thereof.
Section 10.07(a) of the Standard Terms
shall be incorporated herein by replacing
"notice or resignation" with "notice of
resignation" in the second sentence
thereof and striking the last two
sentences thereof.
Section 10.10(b) of the Standard Terms
shall be incorporated herein by inserting
"The Trustee shall not be liable for the
acts or omissions of any co-trustee."
after the last sentence thereof.
Section 10.14 of the Standard Terms shall
be replaced with the following:
SECTION 10.14. Non-Petition . Prior to the
date that is one year and one day after
all distributions in respect of the Units
have been made, none of the Trustee, the
Trust or the Depositor shall take any
action or institute any proceeding against
any of the others under the United States
Bankruptcy Code or any other liquidation,
insolvency, bankruptcy, moratorium,
reorganization or similar law ("Insolvency
Law") applicable to any of them, now or
hereafter in effect, or which would be
reasonably likely to cause any of the
others to be subject to, or seek the
protection of, any such Insolvency Law.
Section 12.01(a) of the Standard Terms
shall be incorporated herein by replacing
"(v)" with "(vi)" in the last proviso
thereof.
Section 12.01(c) of the Standard Terms
shall be incorporated herein by inserting
",provided at the expense of the party
requesting such amendment," after "Opinion
of Counsel".
Section 12.05 of the Standard Terms shall
be incorporated herein by striking "the
Trustee and" in the last sentence of the
second paragraph thereof.
The reference to "its President, its
Treasurer, or one of its Vice Presidents,
Assistant Vice Presidents or Trust
Officers" in the first sentence of Section
5.02(a) of the Standard Terms shall be
replaced with "a Responsible Officer".
The reference to "the proper officers" in
the second sentence of Section 5.02(a) of
the Standard Terms shall be replaced with
"a Responsible Officer".
The reference to "one of its authorized
signatories" in the first sentence of
Section 5.02(d) of the Standard Terms
shall be replaced with "a Responsible
Officer".
The reference to the "Trust" in the first
sentence of Section 5.08(b) of the
Standard Terms shall be replaced with the
"Trustee".
References to D&P in the Standard Terms
shall be incorporated as references to
Fitch Inc. ("Fitch").
Schedule II
(Terms of Trust Property)
Securities: International Business Machines
Corporation 7.125% Debentures due 2096
Security Issuer: International Business Machines
Corporation
Principal Amount: $49,825,000
Security Rate: 7.125%
Credit Ratings: A1 by Moody's
A+ by S&P
Listing: New York Stock Exchange
Security Agreement: An indenture dated as of October 1, 1993,
between the Security Issuer and The Chase
Manhattan Bank, as trustee, as
supplemented as of December 15, 1995 and
as supplemented from time to time by
supplemental indentures.
Form: Global
Currency of United States dollars
Denomination:
Acquisition Price 96.7792%
by Trust:
Security Payment Date: Each June 1 and December 1, commencing
December 6, 1996.
Original Issue Date: The Securities were issued December 6,
1996.
Maturity Date: December 1, 2096. The Security Issuer may
shorten the maturity of the Securities
upon a "tax event" as described in the
Security Prospectus.
Sinking Fund Terms: Not Applicable
Redemption Terms: The Securities are redeemable at any time
and from time to time subject to payment
of a make-whole amount, if applicable.
CUSIP No.:/ISIN No. 459200 AP 6
Security Trustee: The Chase Manhattan Bank
Available Information The Security Issuer is subject to the
Regarding the Security Issuer informational requirements of the
(if other than U.S. Securities Exchange Act of 1934, as
Treasury obligations): amended, and in accordance therewith files
reports and other information with the
Securities and Exchange Commission (the
"Commission"). Such reports and other
information can be inspected and copied at
the public reference facilities maintained
by the Commission at 450 Fifth Street,
N.W., Washington, D.C. 20549 and at the
following Regional Offices of the
Commission: 7 World Trade Center, 13th
Floor, New York, New York 10048 and
Northwest Atrium Center, 500 West Madison
Street, Chicago, Illinois 60661. Copies of
such materials can be obtained from the
Public Reference Section of the Commission
at 450 Fifth Street, N.W., Washington,
D.C. 20549 at prescribed rates.
SCHEDULE III
MORGAN STANLEY
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Date: April 24, 2001
To: SATURNS Trust No. 2001-1 From: Morgan Stanley & Co.
International Limited
Attn: Asset-Backed Securities Group Contact: Madhu Philips
SATURNS Trust No. 2001-1
Fax: 312-904-2084 Fax: 212-761-0406
Tel: 312-904-7807 Tel: 212-761-2583
- --------------------------------------------------------------------------------
Re: Bond Option Transaction. MS Reference Number S6815
The purpose of this letter agreement is to confirm the terms and
conditions of the Transaction entered into between you and Morgan Stanley & Co.
International Limited ("MSIL"), with Morgan Stanley & Co. Incorporated
("MS&Co."), as agent, on the Trade Date specified below (the "Transaction").
This letter agreement constitutes a "Confirmation" as referred to in the
Agreement below.
The definitions and provisions contained in (i) the 1991 ISDA
Definitions and the 1997 ISDA Government Bond Option Definitions (the "Bond
Option Definitions") (each as published by the International Swaps and
Derivatives Association, Inc. ("ISDA")) and (ii) to the extent of terms not
defined herein or in the Bond Option Definitions the 1996 ISDA Equity
Derivatives Definitions (as published by ISDA) (the "Equity Definitions"), are
incorporated into this Confirmation. In the event of any inconsistency between
those definitions and this Confirmation, this Confirmation will govern.
1. This Confirmation supplements, forms a part of, and is subject to,
the ISDA Master Agreement dated as of April 24, 2001, as amended and
supplemented from time to time (the "Agreement"), between you and us. All
provisions contained in the Agreement govern this Confirmation except as
expressly modified below.
2. The terms of the particular Transaction to which this Confirmation
relates are as follows:
I. General Terms
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Trade Date: April 17, 2001
Commencement Date: April 24, 2001
Option Style: American
Option Type: Call
Buyer: MSIL ("Party A")
Seller: SATURNS Trust No. 2001-1 ("Party B")
Bonds: The obligation identified as follows:
Bond Issuer: International Business Machines
Corporation
Issue: 7.125% Debentures due 2096
CUSIP: 459200 AP 6
Coupon: 7.125%
Maturity Date: December 1, 2096
Face Amount Purchased: USD 49,825,000
Premium: USD 124,563
Number of Options: 49,825
Option Entitlement: USD 1,000 of face amount of the Bonds per
Option.
Strike Price: (i) For any Exercise Date on or prior to
June 1, 2006, the greater of (A) 100% or
(B) the redemption price of the Bonds
including any make-whole amount (expressed
as a percentage) subject to a maximum of
110%, or (ii) for any Exercise Date after
June 1, 2006, 99.673%, of the face amount
of the Bonds.
Calculation Agent: Party A
II. Exercise Terms
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Automatic Exercise: Inapplicable
Exercise Period: Any Business Day from, and including, 9:00
a.m. (New York time) on June 1, 2006 to,
and including, the Expiration Time on the
Expiration Date; provided, however, the
Exercise Period shall also include any
Business Day prior to June 1, 2006 (i) if
a Security Default has occurred and is
continuing or (ii) with respect to any
such Bonds as to which notice of
redemption has been delivered by the
Issuer (including if necessary, additional
Bonds to allow for the exercise of whole
Options).
Exercise Date: For each Option exercised or deemed
exercised, the day during the Exercise
Period on which that Option is or is
deemed to be exercised, subject to the
Deemed Exercise and Alternative Settlement
provision set forth below.
Multiple Exercise: Applicable
Minimum Number of Options: 1
Maximum Number of Options: 49,825
Integral Multiple: 1
Written Confirmation of Exercise: Applicable. Buyer shall give irrevocable
exercise notice which may be given orally
(including by telephone) during the
Exercise Period but no later than the
Notification Date. Buyer will execute and
deliver a written exercise notice
confirming the substance of such oral
notice, however, failure to provide such
written notice will not affect the
validity of the oral notice.
Notification Date: Any date at least 35 calendar days but not
more than 60 calendar days prior to the
Exercise Date, provided that any date (i)
which is 30 calendar days after the Bond
Issuer provides notice of redemption or
(ii) when a Security Default has occurred
and is continuing is also a Notification
Date.
Limited Right to Confirm Exercise: Inapplicable
Expiration Date: December 1, 2093
Expiration Time: 4:00 p.m. New York time
Business Days: New York and Chicago
III. Settlements:
- -----------------
Settlement: Physical Settlement (subject to the Deemed
Exercise and Alternative Settlement
provision below). Party A will notify
Party B separately regarding the clearance
system details.
Bond Payment: An amount equal to the sum of:
(i) The product of the Strike Price and
the Exercised Call Notional Amount,
(ii) The accrued interest, if applicable,
and
(iii) Any Fractional Unit Make Whole
Amount.
In addition, in connection with any
partial exercise, Party A shall pay to the
Expense Administrator an amount equal to
the present value of the Trustee Fee that
will accrue from the date of such exercise
until the Scheduled Final Distribution
Date (as defined in the Trust Agreement),
assuming for this purpose that the Trust
(as defined in the Trust Agreement) is not
terminated prior to the Scheduled Final
Distribution Date, multiplied by the
Exercised Call Notional Amount and divided
by $49,825,000.
Exercised Call Notional Amount: The product of the Option Entitlement and
the number of Options exercised on the
relevant Exercise Date.
Settlement Date: Exercise Date
Deposit of Bond Payment: Except in the event of a deemed exercise,
Party A must deposit the Bond Payment with
the Trustee on the Business Day prior to
the Exercise Date. The Bonds are to be
delivered "free" to Party A.
Deemed Exercise and Alternative In the event that any of the Bonds held by
Settlement: Party B are redeemed by the Bond Issuer
and paid in full in accordance with their
terms, an equivalent number of Options
with respect to any remaining Bonds held
by Party B shall be deemed to have been
exercised (and the requirements of notice
of exercise and written confirmation of
exercise deemed satisfied), in the same
proportion as the portion of the Bonds
held by Party B that are redeemed. The
effective date of deemed exercise shall be
35 calendar days prior to the date on
which Party B receives the cash proceeds
delivered in connection with the
redemption. As a result of such deemed
exercise, (i) Party B shall pay to Party
A, against the payment by Party A set
forth in clause (ii), the cash proceeds
delivered in connection with such
redemption (including any cash paid or
delivered in respect of accrued interest
on the Bonds) and (ii) Party A shall pay
to Party B, against the payment and/or
delivery set forth in clause (i), the Bond
Payment.
3. Additional Definitions:
"Expense Administration Agreement" means the expense administration agreement
dated as of April 24, 2001 between Party B and the Expense Administrator.
"Expense Administrator" means MSDW Structured Asset Corp. acting pursuant to the
Expense Administration Agreement.
"Fractional Unit Make Whole Amount" means the amount specified in paragraph 9.
"Security Default" has the meaning set forth in the Trust Agreement.
"Security Agreement" means the indenture dated as of October 1, 1993, between
the Bond Issuer and The Chase Manhattan Bank, as trustee, as supplemented as of
December 15, 1995 and as supplemented from time to time by supplemental
indentures, all as relating to the Bonds.
"Trust Agreement" means the trust agreement dated as of April 24, 2001, between
the MSDW Structured Asset Corp. and LaSalle Bank National Association.
4. Representations:
Morgan Stanley & Co. Incorporated is acting as agent for both parties
but does not guarantee the performance of Party A.
5. Additional Termination Event:
As set forth in the Agreement, a Trust Wind-Up Event will result in an
Additional Termination Event under the Agreement with respect to which Party B
shall be the Affected Party and this Transaction shall be an Affected
Transaction.
An optional exchange of Units for Securities pursuant to the Trust
Agreement will result in a partial Additional Termination Event with respect a
number of Options equivalent to the Securities to be exchanged for the Units and
with respect to which this Transaction shall be an Affected Transaction.
6. Swap Termination Payments. In the event an Early Termination Date is
designated with respect to which this Transaction is an Affected Transaction
(other than as a result of a self-tender or optional exchange of Units for
Bonds), there shall be payable to Party A as a termination payment in lieu of
the termination payment determined in accordance with Section 6(e) of the
Agreement an amount equal to the excess (if any) of the sale proceeds in excess
of the principal of and interest on the Units. If an early termination occurs
due to a tender of the Bonds to the Bond Issuer or optional exchange of Units
for Bonds, the Swap Termination Payment shall be determined under Section 6(e)
determined on the basis of "Market Quotation" under the Swap Agreement (with
Party B as sole Affected Party). Party B shall not tender the Bonds unless the
terms of the self-tender provide for payment of at least such amount as Party A
advises would be the amount payable to Party A as a termination payment. If an
early termination occurs due to a tender of the Bonds to the Bond Issuer or
optional exchange of Units for Bonds, the Swap Termination Payment shall be paid
prior to any payment on the exchanged Units.
In the event of an optional exchange of the Units for Bonds, the Swap
Termination Payment shall also include an amount equal to (i) the present value
of the Trustee Fee that will accrue from the date of exchange until the
Scheduled Final Distribution Date (as defined in the Trust Agreement), assuming
for this purpose that the Trust (as defined in the Trust Agreement) is not
terminated prior to the Scheduled Final Distribution Date, multiplied by the
principal amount of Bonds exchanged and divided by $49,825,000. Party A shall
remit such amount to the Expense Administrator.
7. Assignment. The rights under this Confirmation and the Agreement may
be assigned at any time and from time to time in whole or in part; provided that
any such assignment shall be an assignment of whole Options and provided further
that Rating Agency Condition is satisfied (as provided in the Trust Agreement).
8. Account Details:
Payments to Party A: Citibank, New York
ABA No. 021 000 089
For: Morgan Stanley & Co. International Limited
Account No. 4072 4601
Operations Contact: Barbara Kent
Tel: 212-761-4662
Fax: 212-761-0581
Payments to Party B: LaSalle Bank, Chicago, Illinois
ABA No. 071 000 505
Reference: SATURNS 2001-1
Unit Account / AC-2090067/
Account No.: 67-8762-105
Operations Contact: Brian Ames
Tel: 312-904-7807
Fax: 312-904-2084
9. Fractional Unit Make-Whole Amount: In the event any exercise or
deemed exercise hereunder would result in a fractional Unit (as defined in the
Trust Agreement) remaining after such exercise, Party A shall, in addition to
amounts payable hereunder, pay to Party B the remaining fractional Unit
Principal Balance (as defined in the Trust Agreement) together with accrued
interest on such Unit and, if applicable, any Additional Distribution (as
defined in the Trust Agreement). Party A shall be entitled to reimbursement from
the Expense Administrator to the extent provided in the Expense Administration
Agreement.
10. Representations: Morgan Stanley & Co. Incorporated is acting as
agent for both parties but does not guarantee the performance of Party A. Party
B represents and warrants to Party A, which representation and warranty will be
deemed to be repeated by Party B on each date on which a Transaction is entered
into, that it owns or controls (or, in the case of an investment advisor
(whether or not registered under the United States Investment Advisors Act of
1940), has under management) in excess of USD 49 million in Aggregate Financial
Assets (as defined below).
For purposes hereof, Aggregate Financial Assets of an entity means the total, on
a gross basis, without deduction for liabilities of the entity, of all cash,
money-market instruments, securities of unaffiliated issuers, futures and
options.
Please confirm that the foregoing correctly sets forth the terms of our
agreement MS Reference Number S6815 by executing this Confirmation and returning
it to us.
Best Regards,
MORGAN STANLEY & CO. INTERNATIONAL LIMITED
BY: /s/ Chris Boas
---------------------------
Name: Chris Boas
Title: Attorney-In-Fact
Acknowledged and agreed as of the date first written above:
SATURNS TRUST NO. 2001-1
BY: LaSalle Bank National Association,
solely as Trustee and not in its individual capacity.
BY: /s/ Brian D. Ames
---------------------------
Name: Brian D. Ames
Title: Vice President
MORGAN STANLEY & CO. INCORPORATED hereby agrees to and
acknowledges its role as agent for both parties in accordance with
the Schedule to the Agreement.
BY: /s/ Michael Harpe
---------------------------
Name: Michael Harpe
Title: Managing Director