Morgan Guaranty Trust Co of New Yorkplans an issue of 12,000 warrants for gold bullion at 425 dlrs
an ounce, lead manager Morgan Guaranty (Switzerland) AG said.
    Each warrant, priced at 955 Swiss francs, entitled holders
to acquire five-ounce bars of .999 gold in the period from
April 30, 1987, to July 31, 1991, exercisable on Wednesdays.
    The warrants represented unsecured, unsubordinated
liabilities of the borrower. Payment was due April 16, and a
quotation on the Luxembourg bourse was planned.
    The warrants, when exercised, would be repaid in current
dollars based on the value of gold on the exercise date.
    The conditions represent a premium of about 145 dlrs an
ounce to the current gold price.
    A Morgan (Switzerland) official said that on the basis of
the maturity of four years and three months, the pricing
involved an implicit volatility of gold of 24.5 pct before the
warrants were in the money, compared with implicit volatility
of 30 pct for the Indosuez gold warrants and 26 pct for the
Citibank gold warrants recent issued with maturities of 18 and
24 months.
 REUTER
