|
Filed
Pursuant to Rule 433
Registration
No. 333−136666
November
1, 2007
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STRUCTURED
EQUITY
PRODUCTS
|
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 |
||
| New Issue |
Indicative
Terms
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 |
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| The Bear Stearns Companies Inc. | ||
| INVESTMENT HIGHLIGHTS | ||
| Reverse |
·
|
Three
separate Note offerings; each linked to one of the listed common
stocks
(each, a “Reference Asset”) identified below. You may elect to participate
in any or all of the Note offerings. Please note that one of the
Notes has
a six-month term to maturity, while the other two Notes have three-month
maturities.
|
|
Convertible
Note
|
· |
Each
of the Notes pays an annualized fixed rate coupon; for each Note,
a single
interest payment is made at maturity. The interest payment at maturity
will equal the principal amount of the Note times (i) one-quarter
of the
applicable Coupon Rate stated below in the case of the three-month
Notes
and (ii) one-half of the applicable Coupon Rate stated below in
the case
of the six-month Note. Interest will be computed using a 360-day
year of
twelve 30-day months, unadjusted.
|
| Securities | · | Each of the Notes is a direct obligation of The Bear Stearns Companies Inc. (Rated A1 by Moody’s / A+ by S&P / A by DBRS Limited). |
| · | Issue price for each Note offering: [100]% of principal amount ($1,000). However, investors who purchase an aggregate principal amount of at least $1,000,000 of any particular Note offering will be entitled to purchase each Note of that particular offering for [99.50]% of the principal amount. | |
|
·
|
Each of the Notes is not principal protected if: (i) the Closing Price of the applicable Reference Asset ever equals or falls below the applicable Contingent Protection Level on any day from the Pricing Date up to and including the Calculation Date; and (ii) the Final Level of the applicable Reference Asset is less than the Initial Level of the applicable Reference Asset. | |
|
·
|
None of the Notes participate in the upside of the Reference Asset. Even if the Final Level of the Reference Asset exceeds the Initial Level of the Reference Asset, your return will not exceed the principal amount invested plus the coupon payments. |
|
Reference
Assets
(for
each of three separate Note offerings)
|
Symbol
|
Term
to Maturity
|
Coupon
Rate,
per Annum
|
Contingent
Protection Percentage
|
Initial
Public Offering Price1
|
|
Research
In Motion Limited, common stock, traded on the NASDAQ
|
RIMM
|
3-months
|
[17.00]%
|
[70]%
|
[100]%
|
|
MasterCard
Incorporated, Class A common stock, traded on the NYSE
|
MA
|
3-months
|
[13.00]%
|
[75]%
|
[100]%
|
|
Texas
Instruments Incorporated, common stock, traded on the NYSE
|
TXN
|
6-months
|
[9.50]%
|
[80]%
|
[100]%
|
|
BEAR,
STEARNS & CO.
INC.
STRUCTURED
PRODUCTS GROUP
(212)
272-6928
|
The
issuer has filed a registration statement (including a prospectus)
with
the SEC for the three offerings to which this free writing prospectus
relates. Before you invest, you should read the prospectus in that
registration statement and other documents the issuer has filed
with the
SEC for more complete information about the issuer and these offerings.
You may get these documents for free by visiting EDGAR on the SEC
Web site
at www.sec.gov.
Alternatively, the issuer, any underwriter or any dealer participating
in
the offerings will arrange to send you the prospectus if you request
it by
calling toll free
1-866-803-9204.
|
|
|
|
|
|
| 1 Investors who purchase an aggregate principal amount of at least $1,000,000 of any particular Note offering will be entitled to purchase each Note of that particular offering for [99.50]% of the principal amount. | ||
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||
|
STRUCTURED
PRODUCTS
GROUP
|
|
GENERAL
TERMS FOR THE NOTE
OFFERINGS
|
This
free
writing prospectus relates to three separate offerings of Notes each linked
to a
different Reference Asset. A
purchaser of a Note will acquire a security linked to a single Reference Asset
(not to a basket of Reference Assets). You may participate in any one of the
three Note offerings or, at your election, in more than one such offering.
We
reserve the right to withdraw, cancel or modify the offerings and to reject
orders in whole or in part. Although each Note offering relates to only one
of
the securities identified below as Reference Assets, you should not construe
that fact as a recommendation as to the merits of acquiring an investment linked
to any such Reference Asset or as to the suitability of an investment in any
of
the Notes. Defined
terms not defined herein shall have the same meaning as in the Prospectus
Supplement discussed below.
|
ISSUER:
|
The
Bear Stearns Companies Inc.
|
|
ISSUER'S
RATING:
|
A1
/
A+ / A (Moody’s / S&P/ DBRS Limited)
|
|
PRINCIPAL
AMOUNT OF OFFERING:
|
[●].
|
|
DENOMINATIONS:
|
$1,000
per Note and $1,000 multiples thereafter.
|
|
REFERENCE
ASSETS:
|
(1)
The common stock of Research In Motion Limited (“RIM”), traded on the
Nasdaq Stock Market, Inc. (“NASDAQ”) under the symbol
“RIMM.”
|
|
(2)
The Class A common stock of MasterCard Incorporated (“MasterCard”), traded
on the New York Stock Exchange, Inc. (“NYSE”) under the symbol
“MA.”
|
|
|
(3)
The common stock of Texas Instruments Incorporated (“Texas Instruments”),
traded on the NYSE under the symbol “TXN.”
|
|
|
SELLING
PERIOD ENDS:
|
November
[●],
2007
|
|
PRICING
PERIOD:
|
November
[●],
2007
|
|
SETTLEMENT
DATE:
|
November
[●],
2007
|
|
CALCULATION
DATE:
|
(1)
For the Note linked to the common stock of RIM, February [●],
2008.
|
|
(2)
For the Note linked to the Class A common stock of MasterCard,
February
[●],
2008.
|
|
|
(3)
For the Note linked to the common stock of Texas Instruments, May
[●],
2008.
|
|
|
MATURITY
DATE:
|
(1) For
the Note linked to the common stock of RIM, February [●],
2008.
|
|
(2)
For the Note linked to the Class A common stock of MasterCard,
February
[●],
2008.
|
|
|
(3)
For the Note linked to the common stock of Texas Instruments, May
[●],
2008.
|
|
|
COUPON
RATE (PER ANNUM):
|
See
cover page for applicable Coupon Rates, calculated on the basis
of a 360
day year of twelve 30-day months, unadjusted.
|
|
CONTINGENT
PROTECTION PERCENTAGES:
|
See cover page for applicable Contingent Protection Percentages. |
|
CONTINGENT
PROTECTION LEVEL:
|
For
the Note linked to the common stock of RIM, [●]
(applicable Contingent Protection Percentage x applicable Initial
Level).
For
the Note linked to the Class A common stock of MasterCard, [●]
(applicable Contingent Protection Percentage x applicable Initial
Level).
For
the Note linked to the common stock of Texas Instruments, [●]
(applicable Contingent Protection Percentage x applicable Initial
Level).
|
|
AGENT'S
DISCOUNT:
|
[●]%
,
to be disclosed in the final pricing supplement.
|
|
CASH
SETTLEMENT VALUE:
|
We
will pay you 100% of the principal amount of your Notes, in cash,
at
maturity if either
of
the following is true: (i) the Closing Price of the applicable
Reference
Asset never equals or falls below the Contingent Protection Level
on any
day from the Pricing Date up to and including the Calculation Date;
or
(ii) the Final Level of the applicable Reference Asset is equal
to or
greater than the Initial Level of the applicable Reference
Asset.
|
|
However,
if both
of
the following are true, the amount of principal you receive at
maturity
will be reduced by the percentage decrease in the applicable Reference
Asset: (i) the Closing Price of the applicable Reference Asset
ever equals
or falls below the Contingent Protection Level on any day from
the Pricing
Date up to and including the Calculation Date; and
(ii) the Final Level of the applicable Reference Asset is less
than the
Initial Level of the applicable Reference Asset. In that event,
we, at our
option, will either: (i) physically deliver to you an amount of
the
applicable Reference Asset equal to the Exchange Ratio plus the
Fractional
Share Cash Amount (which means that you will receive shares with
a market
value that is less than the full principal amount of your Notes);
or (ii)
pay you a cash amount equal to the principal amount you invested
reduced
by the percentage decrease in the applicable Reference Asset. It
is our
intent to physically deliver the applicable Reference Asset when
applicable, but we reserve the right to settle the Notes in
cash.
|
|
|
INTEREST
PAYMENT DATE:
|
(1)
For the Note linked to the common stock of RIM, February [●],
2008.
|
|
(2)
For the Note linked to the Class A common stock of MasterCard,
February
[●], 2008.
|
|
|
(3)
For the Note linked to the common stock of Texas Instruments, May
[●],
2008.
|
|
|
INITIAL
LEVEL:
|
For
each Note offering, the Closing Price of the applicable Reference
Asset on
the Pricing Date.
|
|
FINAL
LEVEL:
|
For
each Note offering, the Closing Price of the applicable Reference
Asset on
the Calculation Date.
|
|
EXCHANGE
RATIO:
|
For
the Note linked to the common stock of RIM, [●],
i.e., $1,000 divided by the applicable Initial Level (rounded down
to the
nearest whole number, with fractional shares to be paid in
cash).
For
the Note linked to the Class A common stock of MasterCard, [●],
i.e., $1,000 divided by the applicable Initial Level (rounded
down to the
nearest whole number, with fractional shares to be paid in
cash).
For
the Note linked to the common stock of Texas Instruments, [●],
i.e., $1,000 divided by the applicable Initial Level (rounded
down to the
nearest whole number, with fractional shares to be paid in
cash).
|
|
FRACTIONAL
SHARE CASH AMOUNT:
|
An amount in cash per Note equal to the applicable Final Level multiplied by the difference between (x) $1,000 divided by the applicable Initial Level (rounded to the nearest three decimal places), and (y) the applicable Exchange Ratio. |
|
CUSIP:
|
For
the Notes linked to the common stock of RIM:
[073902PT9].
|
|
For
the Notes linked to the Class A common stock of MasterCard:
[073902PU6].
|
|
|
For
the Notes linked to the common stock of Texas Instruments:
[073902PV4].
|
|
|
LISTING:
|
The
Notes will not be listed on any U.S. securities exchange or quotation
system.
|
|
|
BEAR,
STEARNS & CO. INC.
|
-2-
|
STRUCTURED
PRODUCTS
GROUP
|
|
ADDITIONAL
TERMS SPECIFIC TO THE
NOTES
|
You
should read this document together with the prospectus, dated August 16,
2006
(the “Prospectus”), as supplemented by the prospectus supplement, dated August
16, 2006 (the “Prospectus Supplement”). You should carefully consider, among
other things, the matters set forth in “Risk Factors” and “Risk Factors -
Additional Risks Relating to Notes with an Equity Security or Equity Index
as
the Reference Asset” in the Prospectus Supplement, as the Notes involve risks
not associated with conventional debt securities. We urge you to consult
your
investment, legal, tax, accounting and other advisers before you invest in
the
Notes. The Prospectus and Prospectus Supplement may be accessed on the SEC
Web
site at www.sec.gov as follows:
|
·
|
Prospectus
Supplement, dated August 16, 2006:
|
|
·
|
Prospectus,
dated August 16, 2006:
|
|
SELECTED
RISK CONSIDERATIONS
|
The
following highlights some, but not all, of the risk considerations relevant
to
investing in the Notes. The
following must be read in conjunction with the sections “Risk Factors” and “Risk
Factors - Additional Risks Relating to Notes with an Equity Security or Equity
Index as the Reference Asset,” beginning on pages S-7 and S-14,
respectively, in the Prospectus Supplement.
|
·
|
Suitability
of Note for Investment — A
person should reach a decision to invest in the Notes after carefully
considering, with his or her advisors, the suitability of the Notes
in
light of his or her investment objectives and the information set
out in
the Prospectus Supplement. Neither the Issuer nor any dealer participating
in the offerings makes any recommendation as to the suitability of
the
Notes for investment.
|
|
·
|
Not
Principal Protected —The
Notes are not principal protected. If both
of
the following are true, the amount of principal you receive at maturity
will be reduced by the percentage decrease in the applicable Reference
Asset: (i) the Closing Price of the applicable Reference Asset ever
equals
or falls below the Contingent Protection Level on any day from the
Pricing
Date up to and including the Calculation Date; and
(ii) the Final Level of the applicable Reference Asset is less than
the
Initial Level of the applicable Reference Asset. In that event, we,
at our
option, will either: (i) physically deliver to you an amount of the
applicable Reference Asset equal to the Exchange Ratio plus the Fractional
Share Cash Amount (which means that you will receive shares with
a market
value that is less than the full principal amount of your Notes);
or (ii)
pay you a cash amount equal to the principal amount you invested
reduced
by the percentage decrease in the applicable Reference
Asset.
|
|
·
|
Return
Limited to Coupon — Your
return is limited to the principal amount you invested plus the coupon
payments. You will not participate in any appreciation in the value
of the
applicable Reference Asset.
|
|
·
|
No
Secondary Market — Because
the Notes will not be listed on any securities exchange, a secondary
trading market is not expected to develop, and, if such a market
were to
develop, it may not be liquid. Bear, Stearns & Co. Inc. intends under
ordinary market conditions to indicate prices for each of the Notes
on
request. However, there can be no guarantee that bids for any of
the
outstanding Notes will be made in the future; nor can the prices
of any
such bids be predicted.
|
|
·
|
No
Interest, Dividend or Other Payments —
You will not receive any interest or dividend payments or other
distributions on the stock comprising the applicable Reference Asset;
nor
will such payments be included in the calculation of the Cash Settlement
Value you will receive at maturity.
|
|
·
|
Taxes —
We
intend to treat each Note as a put option written by you in respect
of the
applicable Reference Asset and a deposit with us of cash in an amount
equal to the issue price of the Note to secure your potential obligation
under the put option, and we intend to treat the deposit as a short-term
obligation for U.S. federal income tax purposes. Pursuant to the
terms of
each of the Notes, you agree to treat the Notes in accordance with
this
characterization for all U.S. federal income tax purposes. However,
because there are no regulations, published rulings or judicial decisions
addressing the characterization for U.S. federal income tax purposes
of
securities with terms that are substantially the same as those of
the
Notes, other characterizations and treatments are possible. See “Certain
U.S. Federal Income Tax Considerations”
below.
|
|
·
|
The
Notes Are Subject to Equity Market Risks—
The
Notes involve exposure to price movements in the equity securities
to
which they are respectively linked. Equity securities price movements
are
difficult to predict, and equity securities may be subject to volatile
increases or decreases in value.
|
|
·
|
Each
of the Notes May be Affected by Certain Corporate Events and You
Will Have
Limited Antidilution Protection —
Following certain corporate events relating to the underlying applicable
Reference Asset (where the underlying company is not the surviving
entity), you will receive at maturity, cash or a number of shares
of the
common stock of a successor corporation to the underlying company,
based
on the Closing Price of such successor’s common stock. The Calculation
Agent for each of the Notes will adjust the amount payable at maturity
by
adjusting the Initial Level of the applicable Reference Asset, Contingent
Protection Level, Contingent Protection Percentage and Exchange Ratio
for
certain events affecting the applicable Reference Asset, such as
stock
splits and stock dividends and certain other corporate events involving
an
underlying company. However, the Calculation Agent is not required
to make
an adjustment for every corporate event that can affect the applicable
Reference Asset. If an event occurs that is perceived by the market
to
dilute the applicable Reference Asset but that does not require the
Calculation Agent to adjust the amount of the applicable Reference
Asset
payable at maturity, the market value of the Notes and the amount
payable
at maturity may be materially and adversely
affected.
|
|
|
BEAR,
STEARNS & CO. INC.
|
-3-
|
STRUCTURED
PRODUCTS
GROUP
|
|
INTEREST
AND PAYMENT AT
MATURITY
|
Interest.
The
interest rate for each of the Notes is designated on the cover of this
free-writing prospectus. The interest paid will include interest accrued from
the Original Issue Date to, but excluding, the Maturity Date. Interest will
be
payable to the person to whom principal is payable. Interest will be computed
using a 360-day year of twelve 30-day months, unadjusted.
Payment
at Maturity.
We will
pay you 100% of the principal amount of your Notes, in cash, at maturity if
either
of the
following is true: (i) the Closing Price of the applicable Reference Asset
never
equals or falls below the Contingent Protection Level on
any
day from the Pricing Date up to and including the Calculation Date;
or
(ii) the
Final Level of the applicable Reference Asset is equal to or greater than the
Initial Level of the applicable Reference Asset.
However,
if both
of the
following are true, the amount of principal you receive at maturity will be
reduced by the percentage decrease in the applicable Reference Asset: (i) the
Closing Price of the applicable Reference Asset ever equals or falls below
the
Contingent Protection Level on any day from the Pricing Date up to and including
the Calculation Date; and
(ii) the
Final Level of the applicable Reference Asset is less than the Initial Level
of
the applicable Reference Asset.
In
that
event, we, at our option, will either: (i) physically deliver to you an amount
of the applicable Reference Asset equal to the Exchange Ratio plus the
Fractional Share Cash Amount (which means that you will receive shares with
a
market value that is less than the full principal amount of your Notes); or
(ii)
pay you a cash amount equal to the principal amount you invested reduced by
the
percentage decrease in the applicable Reference Asset. It is our intent to
physically deliver the applicable Reference Asset when applicable, but we
reserve the right to settle the Notes in cash.
We
will
(i) provide written notice to the Trustee and to the Depositary, on or
prior to the Business Day immediately prior to the Maturity Date of the amount
of cash or number of shares of the applicable Reference Asset (and cash in
respect of coupon and cash in respect of any fractional shares of the applicable
Reference Asset), as applicable, to be delivered, and (ii) deliver such
cash or shares of the applicable Reference Asset (and cash in respect of coupon
and cash in respect of any fractional shares of the applicable Reference Asset),
if applicable, to the Trustee for delivery to you. The Calculation Agent shall
determine the Exchange Ratio.
The
following scenarios and graphs generally illustrate how the Cash Settlement
Value of the Reverse Convertible Note Securities is determined:
|
|
BEAR,
STEARNS & CO. INC.
|
-4-
|
STRUCTURED
PRODUCTS
GROUP
|
|
REFERENCE
ASSET
INFORMATION
|
We
urge
you to read the section “Sponsors or Issuers and Reference Asset” on
page S-25 in the Prospectus Supplement. Companies with securities
registered under the Exchange Act are required to file periodically certain
financial and other information specified by the SEC. Information provided
to or
filed with the SEC electronically can be accessed through a website maintained
by the SEC. The address of the SEC’s website is http://www.sec.gov. Information
provided to or filed with the SEC pursuant to the Exchange Act by each company
issuing a Reference Asset can be located by reference to the SEC file number
provided below.
The
summary information below regarding the companies issuing the stocks comprising
the applicable Reference Assets comes from each issuer’s SEC filings and has not
been independently verified by us. We do not make any representations as to
the
accuracy or completeness of such information or of any filings made by the
issuer of the applicable Reference Asset with the SEC. Investors
are urged to refer to the SEC filings made by the applicable issuer and to
other
publicly available information (such as the issuer’s annual report) to obtain an
understanding of the issuer’s business and financial prospects. The summary
information contained below is not designed to be, and should not be interpreted
as, an effort to present information regarding the financial prospects of the
applicable issuer or any trends, events or other factors that may have a
positive or negative influence on those prospects or as an endorsement of any
such issuer.
|
|
BEAR,
STEARNS & CO. INC.
|
-5-
|
STRUCTURED
PRODUCTS
GROUP
|
Research
In Motion Limited (“RIMM”)
Research
In Motion. (“RIM”) common stock, no par value, trades on the NASDAQ under the
symbol “RIMM.” RIM is a designer, manufacturer and marketer of wireless
solutions for the worldwide mobile communications market. RIM’s
SEC file number is 000- 29898.
MasterCard
Incorporated (“MA”)
MasterCard
Incorporated. (“MasterCard”) Class A common stock, par value $.0001 per share,
trades on the NYSE under the symbol “MA.” MasterCard is a global payment
solutions company that provides a variety of services in support of the credit,
debit and related payment programs of financial institutions. MasterCard’s
SEC file number is 001-
32877.
Texas
Instruments Incorporated (“TXN”)
Texas
Instruments Incorporated (“Texas Instruments”) common stock, par value $1.00 per
share, trades on the NYSE under the symbol “TXN.” Texas Instruments is
primarily engaged in the worldwide design, manufacture, marketing, and sale
of
high-technology components. Texas
Instruments’s SEC file number is 001- 03761.
|
ILLUSTRATIVE
EXAMPLES & HISTORICAL
TABLES
|
The
following are illustrative examples demonstrating the hypothetical amounts
payable at maturity based on the assumptions outlined below. These examples
do
not purport to be representative of every possible scenario concerning increases
or decreases in the applicable Reference Asset or of the movements that are
likely to occur with respect to the relevant Reference Asset. You should not
construe these examples or the data included in the tables set forth below
as an
indication of the expected performance of any of the Notes. Some amounts are
rounded and actual returns may be different.
Research
In Motion Limited (“RIMM”)
Assumptions:
|
·
|
Investor
purchases $1,000 principal amount of Notes on the Pricing Date at
the
initial offering price of 100% and holds the Notes to maturity. No
Market
Disruption Events or Events of Default occur during the term of the
Notes.
|
|
·
|
Initial
Level: $ 122.00
|
|
·
|
Contingent
Protection Percentage: 70%
|
|
·
|
Contingent
Protection Level: $ 85.40 ($122 x
70%)
|
|
·
|
Exchange
Ratio: 8 ($1,000/$122)
|
|
·
|
Coupon:
17.00% per annum, paid as a single payment at maturity equal to
one-quarter of the coupon, in
arrears.
|
|
·
|
The
3-month total return on a direct investment in the Reference Asset
is
calculated below prior to the deduction of any brokerage fees or
charges.
The incurrence of any brokerage fees or charges would increase the
total
return on the Notes relative to the total return of the Reference
Asset.
|
|
·
|
Assumes
cash settlement at maturity.
|
|
·
|
Maturity:
Three months.
|
|
·
|
Dividend
and dividend yield on the Reference Asset: No dividend distributed.
|
Example
1
- On the
Calculation Date, the Final Level of $146.40 is greater than the Initial Level,
resulting in a payment at maturity of $1,000, regardless of whether the
Contingent Protection Level was ever reached or breached, plus one interest
payment of $42.50, for payments totaling $1,042.50. If you had invested directly
in the Reference Asset for the same three-month period, you would have received
total cash payments of $1,200.00 (number of shares of the Reference Asset
multiplied by the Final Level), assuming liquidation of shares at the Final
Level. You would have earned a 4.25% return with an investment in the Notes
and
a 20.00% return with a direct investment in the Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $109.80 is below the Initial Level, but
the
Closing Price never equaled or fell below the Contingent Protection Level.
As
discussed in example 1 above, an investor would receive total payments of
$1,042.50, earning a 4.25% return over the term of the Notes. A direct
investment in the Reference Asset during that same three-month time period
would
have generated a return of $900.00 (number of shares of the Reference Asset
multiplied by the Final Level), assuming liquidation of shares at the Final
Level. You would have earned a 4.25% return with an investment in the Notes
and
incurred a loss of 10.00% with a direct investment in the Reference
Asset.
|
|
BEAR,
STEARNS & CO. INC.
|
-6-
|
STRUCTURED
PRODUCTS
GROUP
|
Example
3
- On the
Calculation Date, the Final Level of $73.20
is
below the Initial Level and also is below the Contingent Protection Level.
At
our election, an investor would receive a cash payment in the amount of $600.00
plus one interest payment of $42.50, for payments totaling $642.50. If you
had
invested directly in the Reference Asset for the same three-month period, you
would have received total cash payments of $600.00 (number of shares of the
Reference Asset multiplied by the Final Level), assuming liquidation of shares
at the Final Level. An investment in the Notes would have resulted in a loss
of
35.75%, while a direct investment in the Reference Asset would have resulted
in
a loss of 40.00%.
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Never
Equals
or Falls Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
3-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
3-Month
Total Return
|
|
|
122.00
|
158.60
|
$1,000.00
|
4.25%
|
4.25%
|
30.00%
|
0.00%
|
30.00%
|
|
|
122.00
|
152.50
|
$1,000.00
|
4.25%
|
4.25%
|
25.00%
|
0.00%
|
25.00%
|
|
|
122.00
|
146.40
|
$1,000.00
|
4.25%
|
4.25%
|
20.00%
|
0.00%
|
20.00%
|
|
|
122.00
|
140.30
|
$1,000.00
|
4.25%
|
4.25%
|
15.00%
|
0.00%
|
15.00%
|
|
|
122.00
|
134.20
|
$1,000.00
|
4.25%
|
4.25%
|
10.00%
|
0.00%
|
10.00%
|
|
|
122.00
|
128.10
|
$1,000.00
|
4.25%
|
4.25%
|
5.00%
|
0.00%
|
5.00%
|
|
|
122.00
|
122.00
|
$1,000.00
|
4.25%
|
4.25%
|
0.00%
|
0.00%
|
0.00%
|
|
|
122.00
|
115.90
|
$1,000.00
|
4.25%
|
4.25%
|
-5.00%
|
0.00%
|
-5.00%
|
|
|
122.00
|
109.80
|
$1,000.00
|
4.25%
|
4.25%
|
-10.00%
|
0.00%
|
-10.00%
|
|
|
122.00
|
103.70
|
$1,000.00
|
4.25%
|
4.25%
|
-15.00%
|
0.00%
|
-15.00%
|
|
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Does
Equal or
Fall Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
3-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
3-Month
Total Return
|
|
|
122.00
|
152.50
|
$1,000.00
|
4.25%
|
4.25%
|
25.00%
|
0.00%
|
25.00%
|
|
|
122.00
|
146.40
|
$1,000.00
|
4.25%
|
4.25%
|
20.00%
|
0.00%
|
20.00%
|
|
|
122.00
|
140.30
|
$1,000.00
|
4.25%
|
4.25%
|
15.00%
|
0.00%
|
15.00%
|
|
|
122.00
|
134.20
|
$1,000.00
|
4.25%
|
4.25%
|
10.00%
|
0.00%
|
10.00%
|
|
|
122.00
|
128.10
|
$1,000.00
|
4.25%
|
4.25%
|
5.00%
|
0.00%
|
5.00%
|
|
|
122.00
|
122.00
|
$1,000.00
|
4.25%
|
4.25%
|
0.00%
|
0.00%
|
0.00%
|
|
|
122.00
|
115.90
|
$950.00
|
4.25%
|
-0.75%
|
-5.00%
|
0.00%
|
-5.00%
|
|
|
122.00
|
109.80
|
$900.00
|
4.25%
|
-5.75%
|
-10.00%
|
0.00%
|
-10.00%
|
|
|
122.00
|
103.70
|
$850.00
|
4.25%
|
-10.75%
|
-15.00%
|
0.00%
|
-15.00%
|
|
|
122.00
|
97.60
|
$800.00
|
4.25%
|
-15.75%
|
-20.00%
|
0.00%
|
-20.00%
|
|
|
122.00
|
91.50
|
$750.00
|
4.25%
|
-20.75%
|
-25.00%
|
0.00%
|
-25.00%
|
|
|
122.00
|
85.40
|
$700.00
|
4.25%
|
-25.75%
|
-30.00%
|
0.00%
|
-30.00%
|
|
|
122.00
|
79.30
|
$650.00
|
4.25%
|
-30.75%
|
-35.00%
|
0.00%
|
-35.00%
|
|
|
122.00
|
73.20
|
$600.00
|
4.25%
|
-35.75%
|
-40.00%
|
0.00%
|
-40.00%
|
|
|
122.00
|
67.10
|
$550.00
|
4.25%
|
-40.75%
|
-45.00%
|
0.00%
|
-45.00%
|
|
|
122.00
|
61.00
|
$500.00
|
4.25%
|
-45.75%
|
-50.00%
|
0.00%
|
-50.00%
|
|
|
122.00
|
54.90
|
$450.00
|
4.25%
|
-50.75%
|
-55.00%
|
0.00%
|
-55.00%
|
|
|
|
BEAR,
STEARNS & CO. INC.
|
-7-
|
STRUCTURED
PRODUCTS
GROUP
|
The
following table sets forth, on a per share basis, the high and low Trading
Prices as well as end-of-quarter closing prices, for the Reference Asset during
the periods indicated below. We obtained the information in the tables below
from Bloomberg Financial Markets, without independent verification.
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
|
|
September
30, 2002
|
2.65
|
1.42
|
1.57
|
June
30, 2005
|
28.18
|
20.62
|
24.60
|
|
|
December
31, 2002
|
2.84
|
1.39
|
2.19
|
September
30, 2005
|
27.50
|
22.37
|
22.77
|
|
|
March
31, 2003
|
2.67
|
1.79
|
2.18
|
December
30, 2005
|
23.15
|
17.00
|
22.00
|
|
|
June
30, 2003
|
3.91
|
2.13
|
3.60
|
March
31, 2006
|
30.18
|
20.95
|
28.29
|
|
|
September
30, 2003
|
6.51
|
3.41
|
6.37
|
June
30, 2006
|
29.37
|
20.34
|
23.26
|
|
|
December
31, 2003
|
11.83
|
6.17
|
11.14
|
September
29, 2006
|
34.83
|
20.71
|
34.22
|
|
|
March
31, 2004
|
16.94
|
11.02
|
15.56
|
December
29, 2006
|
47.55
|
32.92
|
42.59
|
|
|
June
30, 2004
|
23.09
|
14.17
|
22.82
|
March
30, 2007
|
49.02
|
39.92
|
45.50
|
|
|
September
30, 2004
|
25.81
|
17.42
|
25.45
|
June
29, 2007
|
66.86
|
42.93
|
66.66
|
|
|
December
31, 2004
|
34.52
|
24.06
|
27.47
|
September
28, 2007
|
100.98
|
61.54
|
98.55
|
|
|
March
31, 2005
|
27.88
|
20.09
|
25.47
|
October
1, 2007 to
October
31, 2007
|
128.36
|
95.02
|
124.51
|
MasterCard
Incorporated (“MA”)
Assumptions:
|
·
|
Investor
purchases $1,000 principal amount of Notes on the Pricing Date
at the
initial offering price of 100% and holds the Notes to maturity.
No Market
Disruption Events or Events of Default occur during the term of
the
Notes.
|
|
·
|
Initial
Level: $ 190.00
|
|
·
|
Contingent
Protection Percentage: 75%
|
|
·
|
Contingent
Protection Level: $ 142.50 ($190.00 x
75%)
|
|
·
|
Exchange
Ratio: 5 ($1,000/$190.00)
|
|
·
|
Coupon:
13.00% per annum, paid as a single payment at maturity equal to
one-quarter of the coupon, in
arrears.
|
|
·
|
The
3-month total return on a direct investment in the Reference Asset
is
calculated below prior to the deduction of any brokerage fees or
charges.
The incurrence of any brokerage fees or charges, would increase
the total
return on the Notes relative to the total return of the Reference
Asset.
|
|
·
|
Assumes
cash settlement at maturity.
|
|
·
|
Maturity:
Three months.
|
|
·
|
Dividend
and dividend yield on the Reference Asset: $0.59 and 0.31% per
annum.
|
Example
1
- On the
Calculation Date, the Final Level of $228.00 is greater than the Initial
Level,
resulting in a payment at maturity of $1,000, regardless of whether the
Contingent Protection Level was ever reached or breached, plus one interest
payment of $32.50, for payments totaling $1,032.50. If you had invested directly
in the Reference Asset for the same three-month period, you would have received
total cash payments of $1,200.78 (number of shares of the Reference Asset
multiplied by the Final Level, plus the dividend payments), assuming liquidation
of shares at the Final Level. You would have earned a 3.25% return with an
investment in the Notes and a 20.08% return with a direct investment in the
Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $171.00 is below the Initial Level,
but the
Closing Price never equaled or fell below the Contingent Protection Level.
As
discussed in example 1 above, an investor would receive total payments of
$1,032.50, earning a 3.25% return over the term of the Notes. A direct
investment in the Reference Asset during that same three-month time period
would
have generated a return of $900.78 (number of shares of the Reference Asset
multiplied by the Final Level, plus the dividend payments), assuming liquidation
of shares at the Final Level. You would have earned a 3.25% return with an
investment in the Notes and incurred a loss of 9.92% with a direct investment
in
the Reference Asset.
|
|
BEAR,
STEARNS & CO. INC.
|
-8-
|
STRUCTURED
PRODUCTS
GROUP
|
Example
3
- On the
Calculation Date, the Final Level of $123.50 is below the Initial Level and
also
is below the Contingent Protection Level. At our election, an investor would
receive a cash payment in the amount of $650.00 plus one interest payment
of
$32.50, for payments totaling $682.50. If you had invested directly in the
Reference Asset for the same three-month period, you would have received
total
cash payments of $650.78 (number of shares of the Reference Asset multiplied
by
the Final Level, plus the dividend payments), assuming liquidation of shares
at
the Final Level. An investment in the Notes would have resulted in a loss
of
31.75%, while a direct investment in the Reference Asset would have resulted
in
a loss of 34.92%.
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Never
Equals
or Falls Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
3-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
3-Month
Total Return
|
|
|
190.00
|
247.00
|
$1,000.00
|
3.25%
|
3.25%
|
30.00%
|
0.08%
|
30.08%
|
|
|
190.00
|
237.50
|
$1,000.00
|
3.25%
|
3.25%
|
25.00%
|
0.08%
|
25.08%
|
|
|
190.00
|
228.00
|
$1,000.00
|
3.25%
|
3.25%
|
20.00%
|
0.08%
|
20.08%
|
|
|
190.00
|
218.50
|
$1,000.00
|
3.25%
|
3.25%
|
15.00%
|
0.08%
|
15.08%
|
|
|
190.00
|
209.00
|
$1,000.00
|
3.25%
|
3.25%
|
10.00%
|
0.08%
|
10.08%
|
|
|
190.00
|
199.50
|
$1,000.00
|
3.25%
|
3.25%
|
5.00%
|
0.08%
|
5.08%
|
|
|
190.00
|
190.00
|
$1,000.00
|
3.25%
|
3.25%
|
0.00%
|
0.08%
|
0.08%
|
|
|
190.00
|
180.50
|
$1,000.00
|
3.25%
|
3.25%
|
-5.00%
|
0.08%
|
-4.92%
|
|
|
190.00
|
171.00
|
$1,000.00
|
3.25%
|
3.25%
|
-10.00%
|
0.08%
|
-9.92%
|
|
|
190.00
|
161.50
|
$1,000.00
|
3.25%
|
3.25%
|
-15.00%
|
0.08%
|
-14.92%
|
|
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Does
Equal or
Fall Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
3-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
3-Month
Total Return
|
|
|
190.00
|
237.50
|
$1,000.00
|
3.25%
|
3.25%
|
25.00%
|
0.08%
|
25.08%
|
|
|
190.00
|
228.00
|
$1,000.00
|
3.25%
|
3.25%
|
20.00%
|
0.08%
|
20.08%
|
|
|
190.00
|
218.50
|
$1,000.00
|
3.25%
|
3.25%
|
15.00%
|
0.08%
|
15.08%
|
|
|
190.00
|
209.00
|
$1,000.00
|
3.25%
|
3.25%
|
10.00%
|
0.08%
|
10.08%
|
|
|
190.00
|
199.50
|
$1,000.00
|
3.25%
|
3.25%
|
5.00%
|
0.08%
|
5.08%
|
|
|
190.00
|
190.00
|
$1,000.00
|
3.25%
|
3.25%
|
0.00%
|
0.08%
|
0.08%
|
|
|
190.00
|
180.50
|
$950.00
|
3.25%
|
-1.75%
|
-5.00%
|
0.08%
|
-4.92%
|
|
|
190.00
|
171.00
|
$900.00
|
3.25%
|
-6.75%
|
-10.00%
|
0.08%
|
-9.92%
|
|
|
190.00
|
161.50
|
$850.00
|
3.25%
|
-11.75%
|
-15.00%
|
0.08%
|
-14.92%
|
|
|
190.00
|
152.00
|
$800.00
|
3.25%
|
-16.75%
|
-20.00%
|
0.08%
|
-19.92%
|
|
|
190.00
|
142.50
|
$750.00
|
3.25%
|
-21.75%
|
-25.00%
|
0.08%
|
-24.92%
|
|
|
190.00
|
133.00
|
$700.00
|
3.25%
|
-26.75%
|
-30.00%
|
0.08%
|
-29.92%
|
|
|
190.00
|
123.50
|
$650.00
|
3.25%
|
-31.75%
|
-35.00%
|
0.08%
|
-34.92%
|
|
|
190.00
|
114.00
|
$600.00
|
3.25%
|
-36.75%
|
-40.00%
|
0.08%
|
-39.92%
|
|
|
190.00
|
104.50
|
$550.00
|
3.25%
|
-41.75%
|
-45.00%
|
0.08%
|
-44.92%
|
|
|
190.00
|
95.00
|
$500.00
|
3.25%
|
-46.75%
|
-50.00%
|
0.08%
|
-49.92%
|
|
|
190.00
|
85.50
|
$450.00
|
3.25%
|
-51.75%
|
-55.00%
|
0.08%
|
-54.92%
|
|
|
|
BEAR,
STEARNS & CO. INC.
|
-9-
|
STRUCTURED
PRODUCTS
GROUP
|
The
following table sets forth on a per share basis the high and low Trading
Prices,
as well as end-of-quarter closing prices, for the Reference Asset during
the
periods indicated below. We obtained the information in the tables below
from
Bloomberg Financial Markets, without independent verification.
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
|
|
June
30, 20062
|
50.63
|
39.00
|
48.00
|
|
|
September
29, 2006
|
70.45
|
43.67
|
70.35
|
|
|
December
29, 2006
|
108.60
|
68.28
|
98.49
|
|
|
March
30, 2007
|
118.07
|
95.30
|
106.24
|
|
|
June
29, 2007
|
169.40
|
105.93
|
165.87
|
|
|
September
28, 2007
|
174.60
|
120.00
|
147.97
|
|
|
October
1, 2007 to October 31, 2007
|
194.78
|
143.15
|
189.91
|
|
Texas
Instruments Incorporated (“TXN”)
Assumptions:
|
·
|
Investor
purchases $1,000 principal amount of Notes on the Pricing Date at
the
initial offering price of 100% and holds the Notes to maturity. No
Market
Disruption Events or Events of Default occur during the term of the
Notes.
|
|
·
|
Initial
Level: $32.00
|
|
·
|
Contingent
Protection Percentage: 80%
|
|
·
|
Contingent
Protection Level: $ 25.60 ($32.00
x80%)
|
|
·
|
Exchange
Ratio: 31 ($1,000/$32.00)
|
|
·
|
Coupon:
9.50% per annum, paid as a single payment at maturity equal to one-half
of
the coupon, in arrears.
|
|
·
|
The
6-month total return on a direct investment in the Reference Asset
is
calculated below prior to the deduction of any brokerage fees or
charges.
The incurrence of any brokerage fees or charges, would increase the
total
return on the Notes relative to the total return of the Reference
Asset.
|
|
·
|
Assumes
cash settlement at maturity.
|
|
·
|
Maturity:
Six months.
|
|
·
|
Dividend
and dividend yield on the Reference Asset: $0.40 and 1.24% per annum.
|
Example
1
- On the
Calculation Date, the Final Level of $38.40 is greater than the Initial Level,
resulting in a payment at maturity of $1,000, regardless of whether the
Contingent Protection Level was ever reached or breached, plus one interest
payment of $47.50, for payments totaling $1,047.50. If you had invested directly
in the Reference Asset for the same six-month period, you would have received
total cash payments of $1,206.20 (number of shares of the Reference Asset
multiplied by the Final Level, plus the dividend payments), assuming liquidation
of shares at the Final Level. You would have earned a 4.75% return with an
investment in the Notes and a 20.62% return with a direct investment in the
Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $28.80 is below the Initial Level, but
the
Closing Price never equaled or fell below the Contingent Protection Level.
As
discussed in example 1 above, an investor would receive total payments of
$1,047.50, earning a 4.75% return over the term of the Notes. A direct
investment in the Reference Asset during that same six-month time period would
have generated a return of $906.20 (number of shares of the Reference Asset
multiplied by the Final Level, plus the dividend payments), assuming liquidation
of shares at the Final Level. You would have earned a 4.75 %
return
with an investment in the Notes and incurred a loss of 9.38% with a direct
investment in the Reference Asset.
Example
3
- On the
Calculation Date, the Final Level of $22.40 is below the Initial Level and
also
is below the Contingent Protection Level. At our election, an investor would
receive a cash payment in the amount of $700.00 plus one interest payment of
$47.50, for payments totaling $747.50. If you had invested directly in the
Reference Asset for the same six-month period, you would have received total
cash payments of $706.20 (number of shares of the Reference Asset multiplied
by
the Final Level, plus the dividend payments), assuming liquidation of shares
at
the Final Level. An investment in the Notes would have resulted in a loss of
25.25%, while a direct investment in the Reference Asset would have resulted
in
a loss of 29.38%.
2
Shares of MasterCard commenced trading on May 24, 2006.
|
|
BEAR,
STEARNS & CO. INC.
|
-10-
|
STRUCTURED
PRODUCTS
GROUP
|
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Never
Equals
or Falls Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
6-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
6-Month
Total Return
|
|
|
32.00
|
41.60
|
$1,000.00
|
4.75%
|
4.75%
|
30.00%
|
0.62%
|
30.62%
|
|
|
32.00
|
40.00
|
$1,000.00
|
4.75%
|
4.75%
|
25.00%
|
0.62%
|
25.62%
|
|
|
32.00
|
38.40
|
$1,000.00
|
4.75%
|
4.75%
|
20.00%
|
0.62%
|
20.62%
|
|
|
32.00
|
36.80
|
$1,000.00
|
4.75%
|
4.75%
|
15.00%
|
0.62%
|
15.62%
|
|
|
32.00
|
35.20
|
$1,000.00
|
4.75%
|
4.75%
|
10.00%
|
0.62%
|
10.62%
|
|
|
32.00
|
33.60
|
$1,000.00
|
4.75%
|
4.75%
|
5.00%
|
0.62%
|
5.62%
|
|
|
32.00
|
32.00
|
$1,000.00
|
4.75%
|
4.75%
|
0.00%
|
0.62%
|
0.62%
|
|
|
32.00
|
30.40
|
$1,000.00
|
4.75%
|
4.75%
|
-5.00%
|
0.62%
|
-4.38%
|
|
|
32.00
|
28.80
|
$1,000.00
|
4.75%
|
4.75%
|
-10.00%
|
0.62%
|
-9.38%
|
|
|
32.00
|
27.20
|
$1,000.00
|
4.75%
|
4.75%
|
-15.00%
|
0.62%
|
-14.38%
|
|
Table
of Hypothetical Cash Settlement Values
Assumes
the Closing Price Does
Equal or
Fall Below the Contingent Protection Level Before the Calculation
Date
|
Investment
in the Notes
|
Direct
Investment in the Reference Asset
|
|||||||
|
Initial
Level
|
Hypothetical
Final Level
|
Cash
Settlement Value
|
Total
Coupon Payments (in % Terms)
|
6-Month
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
6-Month
Total Return
|
|
|
32.00
|
40.00
|
$1,000.00
|
4.75%
|
4.75%
|
25.00%
|
0.62%
|
25.62%
|
|
|
32.00
|
38.40
|
$1,000.00
|
4.75%
|
4.75%
|
20.00%
|
0.62%
|
20.62%
|
|
|
32.00
|
36.80
|
$1,000.00
|
4.75%
|
4.75%
|
15.00%
|
0.62%
|
15.62%
|
|
|
32.00
|
35.20
|
$1,000.00
|
4.75%
|
4.75%
|
10.00%
|
0.62%
|
10.62%
|
|
|
32.00
|
33.60
|
$1,000.00
|
4.75%
|
4.75%
|
5.00%
|
0.62%
|
5.62%
|
|
|
32.00
|
32.00
|
$1,000.00
|
4.75%
|
4.75%
|
0.00%
|
0.62%
|
0.62%
|
|
|
32.00
|
30.40
|
$950.00
|
4.75%
|
-0.25%
|
-5.00%
|
0.62%
|
-4.38%
|
|
|
32.00
|
28.80
|
$900.00
|
4.75%
|
-5.25%
|
-10.00%
|
0.62%
|
-9.38%
|
|
|
32.00
|
27.20
|
$850.00
|
4.75%
|
-10.25%
|
-15.00%
|
0.62%
|
-14.38%
|
|
|
32.00
|
25.60
|
$800.00
|
4.75%
|
-15.25%
|
-20.00%
|
0.62%
|
-19.38%
|
|
|
32.00
|
24.00
|
$750.00
|
4.75%
|
-20.25%
|
-25.00%
|
0.62%
|
-24.38%
|
|
|
32.00
|
22.40
|
$700.00
|
4.75%
|
-25.25%
|
-30.00%
|
0.62%
|
-29.38%
|
|
|
32.00
|
20.80
|
$650.00
|
4.75%
|
-30.25%
|
-35.00%
|
0.62%
|
-34.38%
|
|
|
32.00
|
19.20
|
$600.00
|
4.75%
|
-35.25%
|
-40.00%
|
0.62%
|
-39.38%
|
|
|
32.00
|
17.60
|
$550.00
|
4.75%
|
-40.25%
|
-45.00%
|
0.62%
|
-44.38%
|
|
|
32.00
|
16.00
|
$500.00
|
4.75%
|
-45.25%
|
-50.00%
|
0.62%
|
-49.38%
|
|
|
32.00
|
14.40
|
$450.00
|
4.75%
|
-50.25%
|
-55.00%
|
0.62%
|
-54.38%
|
|
The
following table sets forth on a per share basis the high and low Closing Prices,
as well as end-of-quarter closing prices, for the Reference Asset during the
periods indicated below. We obtained the information in the tables below from
Bloomberg Financial Markets, without independent verification.
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
|
|
September
30, 2002
|
27.25
|
14.21
|
14.77
|
|
June
30, 2005
|
29.18
|
22.51
|
28.07
|
|
December
31, 2002
|
21.45
|
13.10
|
15.01
|
|
September
30, 2005
|
34.50
|
27.89
|
33.90
|
|
March
31, 2003
|
18.75
|
13.90
|
16.37
|
|
December
30, 2005
|
34.68
|
27.15
|
32.07
|
|
June
30, 2003
|
21.98
|
15.96
|
17.60
|
|
March
31, 2006
|
34.95
|
28.72
|
32.47
|
|
September
30, 2003
|
26.12
|
17.21
|
22.80
|
|
June
30, 2006
|
36.40
|
28.52
|
30.29
|
|
December
31, 2003
|
31.30
|
22.87
|
29.38
|
|
September
29, 2006
|
34.00
|
26.77
|
33.25
|
|
March
31, 2004
|
33.98
|
26.80
|
29.22
|
|
December
29, 2006
|
33.58
|
28.34
|
28.80
|
|
June
30, 2004
|
31.01
|
22.94
|
24.18
|
|
March
30, 2007
|
32.93
|
28.24
|
30.10
|
|
September
30, 2004
|
24.08
|
18.06
|
21.28
|
|
June
29, 2007
|
38.41
|
29.65
|
37.63
|
|
December
31, 2004
|
25.88
|
20.56
|
24.62
|
|
September
28, 2007
|
39.63
|
31.80
|
36.59
|
|
March
31, 2005
|
27.79
|
20.70
|
25.49
|
|
October
1, 2007 to
October
31, 2007
|
37.17
|
30.71
|
32.60
|
|
|
BEAR,
STEARNS & CO. INC.
|
-11-
|
STRUCTURED
PRODUCTS
GROUP
|
|
CERTAIN
U.S. FEDERAL INCOME TAX
CONSIDERATIONS
|
This
summary supplements the section entitled “Certain U.S. Federal Income Tax
Considerations” in the prospectus supplement and supersedes it to the extent
inconsistent therewith but is subject to the limitations and qualifications
set
forth therein. In the opinion of Cadwalader, Wickersham & Taft LLP, special
U.S. tax counsel to us, the following discussion, when read together with the
section entitled, “Certain U.S. Federal Income Tax Considerations” in the
prospectus supplement, summarizes certain of the material U.S. federal income
tax consequences of the purchase, beneficial ownership, and disposition of
each
of the Notes.
There
are
no statutory provisions, regulations, published rulings or judicial decisions
addressing the characterization for U.S. federal income tax purposes of
securities with terms that are substantially the same as those of the Notes.
Under one approach, each Note should be treated as a put option written by
you
(the “Put Option”) that permits us to (1) sell the Reference Assets to you at
maturity for an amount equal to the principal amount of the Note, or (2) “cash
settle” the Put Option (i.e., require you to pay to us at maturity the
difference between the principal amount of the Note and the value of the
Reference Assets otherwise deliverable under the Put Option), and a deposit
with
us of cash (the “Deposit”) in an amount equal to the “issue price” (as described
in the prospectus supplement) of your Notes to secure your potential obligation
under the Put Option. We intend to treat the Notes consistent with this approach
and pursuant to the terms of the Notes, you agree to treat the Notes under
this
approach for all U.S. federal income tax purposes. The description below of
the
Reference Asset includes a chart that indicates the portion of each interest
payment that represents the yield on the Deposit and the Put Premium, assuming
that the issue price of the Notes is par. You may contact Bill Bamber at (212)
272-6635 for the issue price of the Notes.
We
also
intend to treat the Deposits as “short-term obligations” for U.S. federal income
tax purposes. See “Certain U.S. Federal Income Tax Considerations —Tax Treatment
of the Deposit on Notes with a Term of One Year or Less” in the prospectus
supplement for certain U.S. federal income tax considerations applicable to
short-term obligations.
Because
there are no statutory provisions, regulations, published rulings or judicial
decisions addressing the characterization for U.S. federal income tax purposes
of securities with terms that are substantially the same as those of the Notes,
other characterizations and treatments are possible and the timing and character
of income in respect of the Notes might differ from the treatment described
above. For example, the Notes could be treated as short-term obligations rather
than a Put Option and a Deposit.
PROSPECTIVE
PURCHASERS OF NOTES SHOULD CONSULT THEIR TAX ADVISORS AS TO THE FEDERAL, STATE,
LOCAL, AND OTHER TAX CONSEQUENCES TO THEM OF THE PURCHASE, OWNERSHIP AND
DISPOSITION OF NOTES.
|
Reference
Asset
|
Term
to Maturity
|
Coupon
Rate, per Annum
|
Yield
on the Deposit, per Annum
|
Put
Premium, per Annum
|
|
Research
in Motion Limited
|
3-months
|
[17.00]%
|
[●]%
|
[●]%
|
|
MasterCard
Incorporated
|
3-months
|
[13.00]%
|
[●]%
|
[●]%
|
|
Texas
Instruments Incorporated
|
6-months
|
[9.50]%
|
[●]%
|
[●]%
|
|
|
BEAR,
STEARNS & CO. INC.
|
-12-