Filed
Pursuant to Rule 433
Registration
No. 333−136666
March
28, 2007
 |
New
Issue
|
STRUCTURED
EQUITY PRODUCTS
Indicative
Terms
|
 |
|
THE
BEAR STEARNS COMPANIES INC.
INVESTMENT
HIGHLIGHTS
|
|
|
One
year term to maturity
|
|
|
Reverse
Convertible
Note
Securities
|
· Note
offering linked to the common stock of Allegheny Technologies Incorporated
(the “Reference Asset”).
· The
Notes pay
a fixed rate coupon of [10.25]% per annum, payable as two semi-annual
cash
payments, each equal to one-half of the Coupon Rate times the principal
amount of the Notes, in arrears.
· The
Notes are
a direct obligation of The Bear Stearns Companies Inc. (Rated A1
by
Moody’s / A+ by S&P).
· Issue
price
for the Note offering: [100]% of principal amount ($1,000). However,
investors who purchase an aggregate principal amount of at least
$1,000,000 of this Note offering will be entitled to purchase each
Note
for [99.00]% of the principal amount.
· The
Notes are
not principal protected if: (i) the Trading Level of the Reference
Asset
ever equals or falls below the Contingent Protection Level at any
time
from the Pricing Date up to and including the Calculation Date;
and
(ii) the Final Level of the Reference Asset is less than the Initial
Level
of the Reference Asset.
· The
Notes do
not 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
Asset
|
Symbol
|
Term
to
Maturity
|
Coupon
Rate,
per annum
|
Contingent
Protection Percentage
|
Initial
Public
Offering
Price1
|
|
Allegheny
Technologies Incorporated, common stock, traded on the
NYSE
|
ATI
|
1
year
|
[10.25]%
|
[70]%
|
[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 offering
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 this offering. 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 this Note offering will be entitled to purchase
each Note
for [99.00]% of the principal
amount.
|
|||||
|
|
STRUCTURED
PRODUCTS GROUP
|
|
GENERAL
TERMS FOR THE NOTE
OFFERING
|
This
free
writing prospectus relates to the offering of Notes linked to the common
stock
of Allegheny Technologies Incorporated. We reserve the right to withdraw,
cancel
or modify the offering and to reject orders in whole or in part. Although
the
Note offering relates to the Reference Asset, you should not construe that
fact
as a recommendation as to the merits of acquiring an investment linked
to such
Reference Asset or as to the suitability of an investment in the Note.
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+ (Moody’s / S&P).
|
|
|
PRINCIPAL
AMOUNT OF OFFERING:
|
[●]
|
|
|
DENOMINATIONS:
|
$1,000
per Note and $1,000 multiples thereafter.
|
|
|
REFERENCE
ASSET:
|
The
common stock of Allegheny Technologies Incorporated (“Allegheny”), traded
on the New York Stock Exchange, Inc. (“NYSE”) under the symbol
“ATI.”
|
|
|
SELLING
PERIOD ENDS:
|
April
[2], 2007.
|
|
|
PRICING
DATE:
|
April
[2], 2007.
|
|
|
SETTLEMENT
DATE:
|
April
[5], 2007.
|
|
|
CALCULATION
DATE:
|
April
[2], 2008.
|
|
|
MATURITY
DATE:
|
April
[5], 2008.
|
|
|
COUPON
RATE (PER ANNUM):
|
[10.25]%
per annum, payable semi-annually.
|
|
|
CONTINGENT
PROTECTION PERCENTAGE:
|
[70.00%].
|
|
|
CONTINGENT
PROTECTION LEVEL:
|
[●]
(Contingent Protection Percentage x 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 Trading Level of the Reference
Asset never
equals or falls below the Contingent Protection Level at
any time from the
Pricing Date up to and including the Calculation Date; or
(ii) the Final Level of the Reference Asset is equal to or
greater than
the Initial Level of the 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 Reference
Asset: (i) the
Trading Level of the Reference Asset ever equals or falls
below the
Contingent Protection Level at any time from the Pricing
Date up to and
including the Calculation Date; and
(ii) the Final Level of the Reference Asset is less than
the Initial Level
of the Reference Asset. In that event, we, at our option,
will either: (i)
physically deliver to you an amount of the 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 Reference Asset. It is our intent to physically deliver
the Reference
Asset when applicable, but we reserve the right to settle
the Notes in
cash.
|
||
|
INTEREST
PAYMENT DATE:
|
October
[5], 2007 and April [5], 2008.
|
|
|
INITIAL
LEVEL:
|
The
Closing Price of the Reference Asset on the Pricing
Date.
|
|
|
FINAL
LEVEL:
|
The
Closing Price of the Reference Asset on the Calculation
Date.
|
|
|
EXCHANGE
RATIO:
|
[●],
i.e., $1,000 divided by the 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 Final Level multiplied
by the
difference between (x) $1,000 divided by the Initial Level
(rounded to the
nearest three decimal places), and (y) the Exchange
Ratio.
|
|
|
CUSIP:
|
[073902LY2].
|
|
|
LISTING:
|
The
Note 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 Note involves 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
Note. 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 offering 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 Reference
Asset: (i) the
Trading Level of the Reference Asset ever equals or falls
below the
Contingent Protection Level at any time from the Pricing
Date up to and
including the Calculation Date; and
(ii) the Final Level of the Reference Asset is less than
the Initial Level
of the Reference Asset. In that event, we, at our option,
will either: (i)
physically deliver to you an amount of the 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 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
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 the Notes
on request.
However, there can be no guarantee that bids for 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 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 the Note as a put option written by you in
respect of the
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
the Notes, you
agree to treat the Notes in accordance with this characterization
for all
U.S. federal income tax purposes. However, because under
certain
circumstances the Notes may be outstanding for more than
one year it is
possible that the Notes may not be treated as short-term
obligations, in
which case the tax treatment of interest payments on the
Notes is
described in "U.S. Federal Income Tax Considerations -- Tax
Treatment of
U.S. Holders -- Tax Treatment of the Deposit on Notes with
a Term of More
Than a Year" in the prospectus supplement. Moreover, 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.
|
BEAR,
STEARNS & CO. INC.
-3-
|
|
STRUCTURED
PRODUCTS
GROUP
|
|
|
·
|
The
Notes May be Affected by Certain Corporate Events and You
Will Have
Limited Antidilution Protection —
Following certain corporate events relating to the underlying
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 the
Notes will adjust the amount payable at maturity by adjusting
the Initial
Level of the Reference Asset, Contingent Protection Level,
Contingent
Protection Percentage and Exchange Ratio for certain events
affecting the
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 Reference Asset. If an
event occurs
that is perceived by the market to dilute the Reference Asset
but that
does not require the Calculation Agent to adjust the amount
of the
Reference Asset payable at maturity, the market value of
the Notes and the
amount payable at maturity may be materially and adversely
affected.
|
|
INTEREST
AND PAYMENT AT
MATURITY
|
Interest.
The
interest rate for 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.
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 Trading Level of the Reference Asset never equals
or
falls below the Contingent Protection Level at
any
time from the Pricing Date up to and including the Calculation Date;
or
(ii) the
Final Level of the Reference Asset is equal to or greater than the Initial
Level
of the 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 Reference Asset: (i) the Trading
Level
of the Reference Asset ever equals or falls below the Contingent Protection
Level at any time from the Pricing Date up to and including the Calculation
Date; and
(ii) the
Final Level of the Reference Asset is less than the Initial Level of the
Reference Asset.
In
that
event, we, at our option, will either: (i) physically deliver to you an
amount
of the 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 Reference Asset. It is our intent to physically deliver
the
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 Reference Asset (and cash in respect
of
coupon and cash in respect of any fractional shares of the Reference Asset),
as
applicable, to be delivered, and (ii) deliver such cash or shares of the
Reference Asset (and cash in respect of coupon and cash in respect of any
fractional shares of the 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:
|
Scenario
1
The
price of the underlying shares generally increases over the
term of the
Note. The Contingent Protection Level is never breached.
|
 |
 |
|
Outcome
The
Cash Settlement Value equals 100% of the principal amount
of the Notes.
The share price generally increased over the term of the
Note and never
breached the Contingent Protection
Level.
|
BEAR,
STEARNS & CO. INC.
-4-
|
|
STRUCTURED
PRODUCTS GROUP
|
|
Scenario
2
The
price of the underlying shares generally declines over the
term of the
Note. The Contingent Protection Level is never breached.
|
|
 |
|
Outcome
The
Cash Settlement Value equals 100% of the principal amount
of the Notes.
The share price decreased over the term of the Note and at
maturity was
below the Initial Level, but never breached the Contingent
Protection
Level.
|
|
Scenario
3
The
price of the underlying shares declines over the term of
the Note. The
Contingent Protection Level is breached.
|
|
 |
|
Outcome
The
Cash Settlement Value is less than the principal amount of
the Notes,
reflecting the percentage decline in the underlying shares
below the
Initial Level. The Contingent Protection Level is breached
so there is no
principal protection.
|
|
Scenario
4
The
price of the underlying shares declines below the Contingent
Protection
Level, but ultimately recovers to finish above its Initial
Level.
|
|
 |
|
Outcome
The
Cash Settlement Value equals 100% of the principal amount
of the Notes.
Even though the share price decreased below the Contingent
Protection
Level during the term of the Note, by the Calculation Date
the underlying
share price was
above the Initial Level.
|
|
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 the company
issuing the Reference Asset can be located by reference to
the SEC file number
provided below.
The
summary information below regarding the company issuing the
stock comprising the
Reference Asset comes from such 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 Reference Asset with the SEC. Investors
are urged to refer to the SEC filings made by the 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
issuer or any trends, events or other factors that may have
a positive or
negative influence on those prospects or as an endorsement
of the
issuer.
BEAR,
STEARNS & CO. INC.
-5-
|
|
STRUCTURED
PRODUCTS GROUP
|
Allegheny
Technologies Incorporated
(“ATI”)
Allegheny
Technologies Incorporated (“Allegheny”) common stock, par value $0.10 per share,
trades on the NYSE under the symbol “ATI.” Allegheny is a specialty metals
producer which uses innovative technologies to offer growing
global markets a
wide range of specialty metals solutions. Allegheny’s products include titanium
and titanium alloys, nickel-based alloys and superalloys, zirconium,
hafnium and
niobium, stainless and specialty steel alloys, grain-oriented
silicon electrical
steel and tool steels, tungsten-based materials, and forgings
and castings.
Allegheny’s
SEC file number is 001-12001.
|
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 Reference Asset or of the movements that
are likely to occur
with respect to the 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.
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: $110.00
|
| · |
Contingent
Protection Percentage: 70%
|
| · |
Contingent
Protection Level: $77.00 ($110.00 x
70%)
|
| · |
Exchange
Ratio: 9 ($1,000/$110.00)
|
| · |
Coupon:
10.25% per annum, paid semi-annually in
arrears.
|
| · |
The
reinvestment rate on any interest payments made during
the term of the
Notes is assumed to be 0%. The one-year total return
on a direct
investment in the Reference Asset is calculated below
prior to the
deduction of any brokerage fees or charges. Both
a positive reinvestment
rate, or 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:
One year.
|
| · |
Dividend
and
dividend yield on the Reference Asset: $0.51 and
0.46% per annum.
|
Example
1
- On the
Calculation Date, the Final Level of $132.00 is greater than
the Initial Level,
resulting in a payment at maturity of the principal of $1,000,
regardless of
whether the Contingent Protection Level was ever reached or
breached, plus two
interest payments of $51.25, for payments totaling $1,102.50.
If you had
invested directly in the Reference Asset for the same one-year
period, you would
have received total cash payments of $1,204.60 (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
10.25% return with an investment in the Notes and a 20.46%
return with a direct
investment in the Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $99.00 is below the Initial
Level, but the
Trading Level never equaled or fell below the Contingent Protection
Level. As
discussed in example 1 above, an investor would receive total
payments of
$1,102.50, earning a 10.25% return over the term of the Notes.
A direct
investment in the Reference Asset during that same one-year
time period would
have generated a return of $904.60 (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 10.25%
return with an
investment in the Notes and incurred a loss of 9.54% with a
direct investment in
the Reference Asset.
Example
3
- On the
Calculation Date, the Final Level of $66.00 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 $600.01 plus two interest
payments of
$51.25, for payments totaling $702.51. If you had invested
directly in the
Reference Asset for the same one-year period, you would have
received total cash
payments of $604.60 (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 29.75%,
while a direct investment in the Reference Asset would have
resulted in a loss
of 39.54%.
BEAR,
STEARNS & CO. INC.
-6-
|
|
STRUCTURED
PRODUCTS GROUP
|
Table
of Hypothetical Cash Settlement
Values
Assumes
the Trading Level 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)
|
1-Year
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
1-Year
Total Return
|
|
|
110.00
|
143.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
30.00%
|
0.46%
|
30.46%
|
|
110.00
|
137.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
25.00%
|
0.46%
|
25.46%
|
|
110.00
|
132.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
20.00%
|
0.46%
|
20.46%
|
|
110.00
|
126.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
15.00%
|
0.46%
|
15.46%
|
|
110.00
|
121.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
10.00%
|
0.46%
|
10.46%
|
|
110.00
|
115.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
5.00%
|
0.46%
|
5.46%
|
|
110.00
|
110.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
0.00%
|
0.46%
|
0.46%
|
|
110.00
|
104.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
-5.00%
|
0.46%
|
-4.54%
|
|
110.00
|
99.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
-10.00%
|
0.46%
|
-9.54%
|
|
110.00
|
93.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
-15.00%
|
0.46%
|
-14.54%
|
Table
of Hypothetical Cash Settlement Values
Assumes
the Trading Level 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)
|
1-Year
Total Return
|
Percentage
Change in Value of Reference Asset
|
Dividend
Yield
|
1-Year
Total Return
|
|
|
110.00
|
137.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
25.00%
|
0.46%
|
25.46%
|
|
110.00
|
132.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
20.00%
|
0.46%
|
20.46%
|
|
110.00
|
126.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
15.00%
|
0.46%
|
15.46%
|
|
110.00
|
121.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
10.00%
|
0.46%
|
10.46%
|
|
110.00
|
115.50
|
$1,000.00
|
10.25%
|
10.25%
|
|
5.00%
|
0.46%
|
5.46%
|
|
110.00
|
110.00
|
$1,000.00
|
10.25%
|
10.25%
|
|
0.00%
|
0.46%
|
0.46%
|
|
110.00
|
104.50
|
$950.00
|
10.25%
|
5.25%
|
|
-5.00%
|
0.46%
|
-4.54%
|
|
110.00
|
99.00
|
$900.00
|
10.25%
|
0.25%
|
|
-10.00%
|
0.46%
|
-9.54%
|
|
110.00
|
93.50
|
$850.00
|
10.25%
|
-4.75%
|
|
-15.00%
|
0.46%
|
-14.54%
|
|
110.00
|
88.00
|
$800.00
|
10.25%
|
-9.75%
|
|
-20.00%
|
0.46%
|
-19.54%
|
|
110.00
|
82.50
|
$750.00
|
10.25%
|
-14.75%
|
|
-25.00%
|
0.46%
|
-24.54%
|
|
110.00
|
77.00
|
$700.00
|
10.25%
|
-19.75%
|
|
-30.00%
|
0.46%
|
-29.54%
|
|
110.00
|
71.50
|
$650.00
|
10.25%
|
-24.75%
|
|
-35.00%
|
0.46%
|
-34.54%
|
|
110.00
|
66.00
|
$600.00
|
10.25%
|
-29.75%
|
|
-40.00%
|
0.46%
|
-39.54%
|
|
110.00
|
60.50
|
$550.00
|
10.25%
|
-34.75%
|
|
-45.00%
|
0.46%
|
-44.54%
|
|
110.00
|
55.00
|
$500.00
|
10.25%
|
-39.75%
|
|
-50.00%
|
0.46%
|
-49.54%
|
|
110.00
|
49.50
|
$450.00
|
10.25%
|
-44.75%
|
|
-55.00%
|
0.46%
|
-54.54%
|
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
|
|
|
December
31, 2001
|
17.01
|
12.50
|
16.75
|
|
September
30, 2004
|
20.50
|
16.53
|
18.25
|
|
March
29, 2002
|
17.10
|
14.72
|
16.54
|
|
December
31, 2004
|
23.48
|
14.22
|
21.67
|
BEAR,
STEARNS & CO. INC.
-7-
|
|
STRUCTURED
PRODUCTS GROUP
|
|
June
28, 2002
|
19.10
|
15.08
|
15.80
|
|
March
31, 2005
|
26.35
|
17.30
|
24.11
|
|
September
30, 2002
|
15.86
|
6.20
|
6.92
|
|
June
30, 2005
|
26.40
|
19.21
|
22.06
|
|
December
31, 2002
|
7.66
|
5.21
|
6.23
|
|
September
30, 2005
|
31.38
|
21.58
|
30.98
|
|
March
31, 2003
|
6.85
|
2.10
|
2.90
|
|
December
30, 2005
|
36.66
|
26.12
|
36.08
|
|
June
30, 2003
|
7.54
|
2.88
|
6.60
|
|
March
31, 2006
|
62.25
|
35.47
|
61.18
|
|
September
30, 2003
|
8.23
|
5.95
|
6.55
|
|
June
30, 2006
|
87.50
|
54.78
|
69.24
|
|
December
31, 2003
|
14.00
|
6.55
|
13.22
|
|
September
29, 2006
|
70.38
|
55.00
|
62.19
|
|
March
31, 2004
|
13.94
|
8.64
|
12.10
|
|
December
29, 2006
|
98.72
|
59.82
|
90.68
|
|
June
30, 2004
|
18.40
|
9.17
|
18.05
|
|
January
3, 2007 to March 26, 2007
|
110.00
|
85.10
|
108.62
|
|
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 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, the 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. However, because under certain circumstances
the Notes
may be outstanding for more than one year it is possible that
the Notes may not
be treated as short-term obligations, in which case the tax
treatment of
interest payments on the Notes is described in "U.S. Federal
Income Tax
Considerations -- Tax Treatment of U.S. Holders -- Tax Treatment
of the Deposit
on Notes with a Term of More Than a Year" in the prospectus
supplement.
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
|
|
Allegheny
Technologies
Incorporated
|
1
year
|
[10.25]%
|
[●]%
|
[●]%
|
BEAR,
STEARNS & CO. INC.
-8-