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
----------------------------
Name: Brian D. Ames
Title: Vice President
MSDW STRUCTURED ASSET CORP.
By: /s/ Sue Portelli
------------------------------
Name: Sue Portelli
Title: Attorney in fact
Attachments: Terms Schedule (consisting of Schedules I, II and III)
Schedule I
(Terms of Trust and Units)
Trust: SATURNS Trust No. 2001-4
Date of Trust Agreement: June 5, 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: $27,546,000
Issue Price: 100%
Number of Units: 1,101,840 (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: June 5, 2001
Closing Date: June 5, 2001
Specified Currency: United States dollars
Business Day: New York, New York and Chicago, Illinois
Interest Rate: 9.25%
Interest Reset Period: Not Applicable
Rating: Baa3 by Moody's
BBB (with a negative outlook) by S&P
Rating Agencies: Moody's and S&P
Scheduled Final Distribution Date: March 1, 2098. 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 rights under 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 such 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 5,
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.
Guaranty: Morgan Stanley Dean Witter & Co. (the
"Guarantor") 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 March 1 and September 1, commencing
September 1, 2001.
If any payment with respect to the
Securities held by the Trust is not
received by the Trustee by 12 noon (New
York City time) on a Distribution Date,
the corresponding distribution on the
Units will not occur until the next
Business Day that the Trust is in
receipt of proceeds of such payment
prior to 12 noon, with no adjustment to
the amount distributed.
Record Date: Each February 15 and August 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 June 5, 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.
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 September 1, 2001.
The amount of the Retained Interest is
$655,312.
If a Security Default occurs on or prior
to September 1, 2001 and the Depositor
does not receive such Retained Interest
amount in connection with such
Distribution Date, the Depositor will
have a claim for such Retained Interest,
and will share pro rata with holders of
the Units to the extent of such claim in
the proceeds from the recovery on the
Securities.
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 a
minimum aggregate amount of $250,000
and, if in excess of such amount, in a
$25 integral multiple 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. The
Rating Agency Condition must be
satisfied in connection with any 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 the Rating
Agency Condition specified herein is to
be satisfied only with respect to
Moody's or S&P, only clause (i) or
clause (ii) shall be applicable. Such
satisfaction 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, institute any
proceeding, join in any action or
proceeding or otherwise cause any action
or 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: Cummins Engine Company 5.65% Debentures
due March 1, 2098
Security Issuer: Cummins Engine Company, Inc.
Principal Amount: $45,334,000
Accreted Value: As of any date means the
sum of the
present values of the Remaining
Scheduled Payments, on the Securities
discounted to such date on a semiannual
basis (assuming a 360-day year
consisting of twelve 30-day months) at
7.476% per annum.
The redemption amount of the Securities
and the amount due in the event of a
default will be based upon the Accreted
Value of the Securities rather than the
par amount of the Securities.
"Remaining Scheduled Payments" means,
with respect to each Security to be
redeemed, the remaining scheduled
payments of the principal thereof and
interest thereon that would be due after
the related redemption date but for such
redemption; provided, however, that, if
such redemption date is not an interest
payment date, the amount of the next
succeeding scheduled interest payment
thereon will be reduced by the amount of
interest accrued thereon to such
redemption date.
Security Rate: 5.65%
Credit Ratings: Baa3 by Moody's
BBB (with a negative outlook) by S&P
Listing: Not applicable
Security Agreement: An indenture dated as of March 1, 1986,
between the Security Issuer and The
Chase Manhattan Bank (as successor under
the Security Agreement to The Chase
Manhattan Bank, N.A.), as trustee, as
supplemented from time to time by
supplemental indentures.
Form: Global
Currency of United States dollars
Denomination:
Acquisition Price 59.0983%
by Trust:
Security Payment Date: Each March 1 and September 1, commencing
September 1, 1998.
Original Issue Date: The Securities were issued March 3,
1998.
Maturity Date: March 1, 2098. 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 at the
Accreted Value, subject to payment of a
make-whole amount, if applicable.
CUSIP No.:/ISIN No. 231021 AK 2
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
(Call Option Confirm)
MORGAN STANLEY
- --------------------------------------------------------------------------------
Date: June 5, 2001
To: SATURNS Trust No. 2001-4 From: Morgan Stanley & Co.
International Limited
Attn: Asset-Backed Securities Group Contact: Madhu Philips
SATURNS Trust No. 2001-4
Fax: 312-904-2084 Fax: 212-761-0406
Tel: 312-904-7807 Tel: 212-761-2583
- ------------------------------------------------------------------------------
Re: Bond Option Transaction. MS Reference Number S7058
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 June 5, 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
Trade Date: May 25, 2001
Commencement Date: June 5, 2001
Option Style: American
Option Type: Call
Buyer: MSIL ("Party A")
Seller: SATURNS Trust No. 2001-4 ("Party B")
Bonds: The obligation identified as follows:
Bond Issuer: Cummins Engine Company, Inc.
Issue: 5.65% Debentures due 2098
CUSIP: 231021 AK 2
Coupon: 5.65%
Maturity Date: March 1, 2098
Face Amount Purchased: USD 45,334,000
Premium: USD 113,335
Number of Options: 45,334
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 5, 2006 (other than in connection
with a Security Default, as defined in the
Trust Agreement), the redemption price of
the Bonds including any make-whole amount
(expressed as a percentage) subject to a
maximum of 110% of the aggregate Unit
Principal Balance, or (ii) for any
Exercise Date after June 5, 2006 or in
connection with a Security Default (as
defined in the Trust Agreement), 60.7624%,
of the face amount of the Bonds.
Calculation Agent: Party A
II. Exercise Terms
Automatic Exercise: Inapplicable
Exercise Period: Any Business Day from, and including, 9:00
a.m. (New York time) on June 5, 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 5, 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: 45,334
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: March 1, 2095
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 $45,334,000.
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 June 5, 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 March 1, 1986,
between the Bond Issuer and The Bank of New York, as successor trustee, as
supplemented from time to time by supplemental indentures, all as relating to
the Bonds.
"Trust Agreement" means the trust agreement dated as of June 5, 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.
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), 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, 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). If an early termination occurs due to a tender
of the Bonds to the Bond Issuer, the Swap Termination Payment shall be paid
prior to any payment on the Units.
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)
with respect to such assignment and any transfer.
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 2001-4
Unit Account / AC-2090067/
Account No.: 67-8796-004
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 26 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 S7058 by executing this Confirmation and returning
it to us.
Best Regards,
MORGAN STANLEY & CO. INTERNATIONAL LIMITED
BY: /s/ Sue Portelli
------------------------------
Name: Sue Portelli
Title: Attorney in fact
Acknowledged and agreed as of the date first written above:
SATURNS TRUST NO. 2001-4
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/ Sue Portelli
------------------------------
Name: Sue Portelli
Title: Attorney in fact