Filed
Pursuant to Rule 433
Registration
No. 333−136666
September
19,
2007
 |
New
Issue
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STRUCTURED
EQUITY PRODUCTS
Indicative
Terms
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 |
|
THE
BEAR STEARNS COMPANIES INC.
INVESTMENT
HIGHLIGHTS
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Reverse
Convertible
Note
Securities
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·
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.
·
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.
·
Each
of the Notes is a direct obligation of The Bear Stearns Companies
Inc.
(Rated A1 by Moody’s / A+ by S&P).
·
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 participates 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.
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Reference
Assets
(for
each of three separate Note offerings)
|
Symbol
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Term
to
Maturity
|
Coupon
Rate, per Annum |
Contingent
Protection
Percentage
|
Initial
Public
Offering
Price1
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Amazon.com,
Inc., common stock, traded on the NASDAQ
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AMZN
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3
months
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[18.10]%
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[75]%
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[100]%
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Apple
Inc., common stock, traded on the NASDAQ
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AAPL
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3
months
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[13.10]%
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[75]%
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[100]%
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General
Motors Corporation, common stock, traded on the NYSE
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GM
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3
months
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[13.00]%
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[60]%
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[100]%
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BEAR, STEARNS & CO. INC.
STRUCTURED
PRODUCTS GROUP
(212) 272-6928
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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.
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______________________
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
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GENERAL
TERMS FOR THE NOTE
OFFERING
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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.
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ISSUER:
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The
Bear Stearns Companies Inc.
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ISSUER’S
RATING:
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A1
/
A+ (Moody’s / S&P)
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PRINCIPAL
AMOUNT OF OFFERING:
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[●].
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DENOMINATIONS:
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$1,000
per Note and $1,000 multiples thereafter.
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REFERENCE
ASSETS:
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(1)
The common stock of Amazon.com, Inc. (“Amazon”), traded on the Nasdaq
Stock Market, Inc. (“NASDAQ”) under the symbol “AMZN.”
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(2)
The common stock of Apple Inc. (“Apple”), traded on the NASDAQ under the
symbol “AAPL.”
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(3)
The common stock of General Motors Corporation (“GM”), traded on the New
York Stock Exchange, Inc. (“NYSE”) under the symbol
“GM.”
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SELLING
PERIOD ENDS:
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September
[●],
2007
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PRICING
DATE:
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September
[●],
2007
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SETTLEMENT
DATE:
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September
[●],
2007
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CALCULATION
DATE:
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(1)
For the Note linked to the common stock of Amazon, December
[●],
2007.
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(2)
For the Note linked to the common stock of Apple, December
[●],
2007.
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(3)
For the Note linked to the common stock of GM, March [●],
2008.
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MATURITY
DATE:
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(1) For
the Note linked to the common stock of Amazon, December [●], 2007.
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(2)
For the Note linked to the common stock of Apple, December
[●], 2007.
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(3)
For the Note linked to the common stock of GM, March [●],
2008.
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COUPON
RATE (PER ANNUM):
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See
cover page for applicable Coupon Rates, calculated on the
basis of a 360
day year of twelve 30-day months, unadjusted.
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CONTINGENT
PROTECTION PERCENTAGES:
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See cover page for applicable Contingent Protection Percentages. |
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CONTINGENT
PROTECTION LEVEL:
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[●]
(applicable Contingent Protection Percentage x applicable
Initial
Level).
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AGENT’S
DISCOUNT:
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[●]%
,
to be disclosed in the final pricing supplement.
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CASH
SETTLEMENT VALUE:
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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.
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|
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.
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INTEREST
PAYMENT DATE:
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(1)
For the Note linked to the common stock of Amazon, December
[●], 2007.
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(2)
For the Note linked to the common stock of Apple, December
[●], 2007.
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(3)
For the Note linked to the common stock of GM, March [●],
2008.
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INITIAL
LEVEL:
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For
each Note offering, the Closing Price of the applicable Reference
Asset on
the Pricing Date.
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FINAL
LEVEL:
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For
each Note offering, the Closing Price of the applicable Reference
Asset on
the Calculation Date.
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EXCHANGE
RATIO:
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[●],
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).
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FRACTIONAL
SHARE CASH AMOUNT:
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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. |
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CUSIP:
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For
the Notes linked to the common stock of Amazon:
[073902MG0].
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For
the Notes linked to the common stock of Apple:
[073902MF2].
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For
the Notes linked to the common stock of GM:
[073902ME5].
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LISTING:
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The
Notes will not be listed on any U.S. securities exchange
or quotation
system.
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BEAR,
STEARNS & CO. INC.
-2-
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STRUCTURED
PRODUCTS GROUP
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ADDITIONAL
TERMS SPECIFIC TO THE
NOTES
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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:
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·
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Prospectus
Supplement, dated August 16, 2006:
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·
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Prospectus,
dated August 16, 2006:
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SELECTED
RISK
CONSIDERATIONS
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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·
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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.
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BEAR,
STEARNS & CO. INC.
-3-
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|
STRUCTURED
PRODUCTS GROUP
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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:
|
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 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
|
Amazon.com,
Inc. (“AMZN”)
Amazon.com,
Inc. (“Amazon”) common
stock, par value $0.01 per share, trades
on the NASDAQ under the symbol “AMZN.”
Amazon operates retail websites and
offers programs that enable third parties
to
sell products on its websites. Amazon’s SEC file number is
000-22513.
Apple
Inc. (“AAPL”)
Apple
Inc. (“Apple”) common stock, no
par value per share, trades on the
NASDAQ under the symbol “AAPL.” Apple
designs, manufactures and markets personal
computers and related software,
services, peripherals and networking
solutions. It also designs, develops
and
markets a line of portable digital
music players along with related accessories
and services including the online distribution
of third-party music, audio
books, music videos, short films, television
shows and
movies. Apple’s SEC file number is
000-10030.
General
Motors Corporation (“GM”)
General
Motors Corporation (“GM”)
common stock, par value $1⅔ per share, trades on the NYSE under
the symbol “GM.”
GM is primarily engaged in the worldwide
development, production, and marketing
of cars, trucks, and parts. GM’s SEC file number is
001-00043.
|
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.
Amazon.com,
Inc. (“AMZN”)
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: $ 89.00
|
|
·
|
Contingent
Protection Percentage: 75%
|
|
·
|
Contingent
Protection Level: $ 66.75 ($89.00 x
75%)
|
|
·
|
Exchange
Ratio: 11 ($1,000/$89.00)
|
|
·
|
Coupon:
18.10% per annum, paid as a single payment
at maturity equal to
one-quarter of the coupon, in
arrears.
|
|
·
|
The
reinvestment rate on any interest payments
made during the term of the
Notes is assumed to be 0%. 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. 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.
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|
·
|
Maturity:
Three months.
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|
·
|
Dividend
and dividend yield on the Reference Asset:
No dividend distributed.
|
Example
1
- On the
Calculation Date, the Final Level of $106.80 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 $45.25, for payments totaling $1,045.25. 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 4.53% return with an investment
in the Notes and
a 20.00% return with a direct investment in the Reference
Asset.
BEAR,
STEARNS & CO. INC.
-6-
|
|
STRUCTURED
PRODUCTS GROUP
|
Example
2
- On the
Calculation Date, the Final
Level of $80.10 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
$1,045.25, earning a 4.53%
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 4.53% return with an investment
in the Notes and
incurred a loss of 10.00% with
a direct investment in the
Reference
Asset.
Example
3
- On the
Calculation Date, the Final
Level of $57.85 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
$45.25, for payments totaling
$695.25. If you had invested
directly in the
Reference Asset for the same
three-month period, you would
have received total
cash payments of $650.00 (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
30.48%, while a direct
investment in the Reference
Asset would have resulted in
a loss of 35.00%.
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
|
|
|
89.00
|
115.70
|
$1,000.00
|
4.53%
|
4.53%
|
|
30.00%
|
0.00%
|
30.00%
|
|
89.00
|
111.25
|
$1,000.00
|
4.53%
|
4.53%
|
|
25.00%
|
0.00%
|
25.00%
|
|
89.00
|
106.80
|
$1,000.00
|
4.53%
|
4.53%
|
|
20.00%
|
0.00%
|
20.00%
|
|
89.00
|
102.35
|
$1,000.00
|
4.53%
|
4.53%
|
|
15.00%
|
0.00%
|
15.00%
|
|
89.00
|
97.90
|
$1,000.00
|
4.53%
|
4.53%
|
|
10.00%
|
0.00%
|
10.00%
|
|
89.00
|
93.45
|
$1,000.00
|
4.53%
|
4.53%
|
|
5.00%
|
0.00%
|
5.00%
|
|
89.00
|
89.00
|
$1,000.00
|
4.53%
|
4.53%
|
|
0.00%
|
0.00%
|
0.00%
|
|
89.00
|
84.55
|
$1,000.00
|
4.53%
|
4.53%
|
|
-5.00%
|
0.00%
|
-5.00%
|
|
89.00
|
80.10
|
$1,000.00
|
4.53%
|
4.53%
|
|
-10.00%
|
0.00%
|
-10.00%
|
|
89.00
|
75.65
|
$1,000.00
|
4.53%
|
4.53%
|
|
-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
|
|
|
89.00
|
111.25
|
$1,000.00
|
4.53%
|
4.53%
|
|
25.00%
|
0.00%
|
25.00%
|
|
89.00
|
106.80
|
$1,000.00
|
4.53%
|
4.53%
|
|
20.00%
|
0.00%
|
20.00%
|
|
89.00
|
102.35
|
$1,000.00
|
4.53%
|
4.53%
|
|
15.00%
|
0.00%
|
15.00%
|
|
89.00
|
97.90
|
$1,000.00
|
4.53%
|
4.53%
|
|
10.00%
|
0.00%
|
10.00%
|
|
89.00
|
93.45
|
$1,000.00
|
4.53%
|
4.53%
|
|
5.00%
|
0.00%
|
5.00%
|
|
89.00
|
89.00
|
$1,000.00
|
4.53%
|
4.53%
|
|
0.00%
|
0.00%
|
0.00%
|
|
89.00
|
84.55
|
$950.00
|
4.53%
|
-0.48%
|
|
-5.00%
|
0.00%
|
-5.00%
|
|
89.00
|
80.10
|
$900.00
|
4.53%
|
-5.48%
|
|
-10.00%
|
0.00%
|
-10.00%
|
|
89.00
|
75.65
|
$850.00
|
4.53%
|
-10.48%
|
|
-15.00%
|
0.00%
|
-15.00%
|
|
89.00
|
71.20
|
$800.00
|
4.53%
|
-15.48%
|
|
-20.00%
|
0.00%
|
-20.00%
|
|
89.00
|
66.75
|
$750.00
|
4.53%
|
-20.48%
|
|
-25.00%
|
0.00%
|
-25.00%
|
|
89.00
|
62.30
|
$700.00
|
4.53%
|
-25.48%
|
|
-30.00%
|
0.00%
|
-30.00%
|
|
89.00
|
57.85
|
$650.00
|
4.53%
|
-30.48%
|
|
-35.00%
|
0.00%
|
-35.00%
|
|
89.00
|
53.40
|
$600.00
|
4.53%
|
-35.48%
|
|
-40.00%
|
0.00%
|
-40.00%
|
|
89.00
|
48.95
|
$550.00
|
4.53%
|
-40.48%
|
|
-45.00%
|
0.00%
|
-45.00%
|
|
89.00
|
44.50
|
$500.00
|
4.53%
|
-45.48%
|
|
-50.00%
|
0.00%
|
-50.00%
|
|
89.00
|
40.05
|
$450.00
|
4.53%
|
-50.48%
|
|
-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
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
|
|
|
June
28,
2002
|
20.40
|
12.52
|
16.25
|
|
March
31,
2005
|
45.44
|
32.83
|
34.27
|
|
September
30,
2002
|
17.93
|
12.26
|
15.93
|
|
June
30,
2005
|
36.99
|
30.61
|
33.08
|
|
December
31,
2002
|
25.00
|
16.01
|
18.89
|
|
September
30,
2005
|
46.97
|
32.79
|
45.30
|
|
March
31,
2003
|
28.04
|
18.55
|
26.03
|
|
December
30,
2005
|
50.00
|
38.72
|
47.15
|
|
June
30,
2003
|
37.24
|
24.13
|
36.49
|
|
March
31,
2006
|
48.56
|
35.14
|
36.51
|
|
September
30,
2003
|
51.30
|
34.00
|
48.36
|
|
June
30,
2006
|
38.84
|
31.52
|
38.68
|
|
December
31,
2003
|
61.14
|
47.00
|
52.64
|
|
September
29,
2006
|
38.62
|
25.76
|
32.12
|
|
March
31,
2004
|
57.82
|
39.16
|
43.28
|
|
December
29,
2006
|
43.25
|
30.59
|
39.46
|
|
June
30,
2004
|
54.69
|
40.57
|
54.40
|
|
March
30,
2007
|
42.00
|
36.30
|
39.79
|
|
September
30,
2004
|
54.04
|
34.85
|
40.86
|
|
June
29,
2007
|
74.72
|
39.55
|
68.41
|
|
December
31,
2004
|
45.68
|
33.00
|
44.29
|
|
July
2,
2007
to
September
17,
2007
|
89.90
|
68.02
|
86.91
|
Apple
Inc.
(“AAPL”)
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:
$ 142.00
|
|
·
|
Contingent
Protection
Percentage:
75%
|
|
·
|
Contingent
Protection
Level:
$
106.50
($142.00
x
75%)
|
|
·
|
Exchange
Ratio:
7
($1,000/$142.00)
|
|
·
|
Coupon:
13.10%
per
annum,
paid
as
a
single
payment
at
maturity
equal
to
one-quarter
of
the
coupon,
in
arrears.
|
|
·
|
The
reinvestment
rate
on
any
interest
payments
made
during
the
term
of
the
Notes
is
assumed
to
be
0%.
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.
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:
Three
months.
|
|
·
|
Dividend
and
dividend
yield
on
the
Reference
Asset:
No
dividend
distributed.
|
Example
1
-
On
the
Calculation
Date,
the
Final
Level
of
$170.40
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
$32.75,
for
payments
totaling
$1,032.75.
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
3.28%
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
$127.80
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
$1,032.75,
earning
a
3.28%
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
3.28%
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.
-8-
|
|
STRUCTURED
PRODUCTS
GROUP
|
Example
3
-
On
the
Calculation
Date,
the
Final
Level
of
$92.30
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
$32.75,
for
payments
totaling
$682.75.
If
you
had
invested
directly
in
the
Reference
Asset
for
the
same
three-month
period,
you
would
have
received
total
cash
payments
of
$650.00
(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
31.73%,
while
a
direct
investment
in
the
Reference
Asset
would
have
resulted
in
a
loss
of
35.00%.
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
|
|
|
142.00
|
184.60
|
$1,000.00
|
3.28%
|
3.28%
|
|
30.00%
|
0.00%
|
30.00%
|
|
142.00
|
177.50
|
$1,000.00
|
3.28%
|
3.28%
|
|
25.00%
|
0.00%
|
25.00%
|
|
142.00
|
170.40
|
$1,000.00
|
3.28%
|
3.28%
|
|
20.00%
|
0.00%
|
20.00%
|
|
142.00
|
163.30
|
$1,000.00
|
3.28%
|
3.28%
|
|
15.00%
|
0.00%
|
15.00%
|
|
142.00
|
156.20
|
$1,000.00
|
3.28%
|
3.28%
|
|
10.00%
|
0.00%
|
10.00%
|
|
142.00
|
149.10
|
$1,000.00
|
3.28%
|
3.28%
|
|
5.00%
|
0.00%
|
5.00%
|
|
142.00
|
142.00
|
$1,000.00
|
3.28%
|
3.28%
|
|
0.00%
|
0.00%
|
0.00%
|
|
142.00
|
134.90
|
$1,000.00
|
3.28%
|
3.28%
|
|
-5.00%
|
0.00%
|
-5.00%
|
|
142.00
|
127.80
|
$1,000.00
|
3.28%
|
3.28%
|
|
-10.00%
|
0.00%
|
-10.00%
|
|
142.00
|
120.70
|
$1,000.00
|
3.28%
|
3.28%
|
|
-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
|
|
|
142.00
|
177.50
|
$1,000.00
|
3.28%
|
3.28%
|
|
25.00%
|
0.00%
|
25.00%
|
|
142.00
|
170.40
|
$1,000.00
|
3.28%
|
3.28%
|
|
20.00%
|
0.00%
|
20.00%
|
|
142.00
|
163.30
|
$1,000.00
|
3.28%
|
3.28%
|
|
15.00%
|
0.00%
|
15.00%
|
|
142.00
|
156.20
|
$1,000.00
|
3.28%
|
3.28%
|
|
10.00%
|
0.00%
|
10.00%
|
|
142.00
|
149.10
|
$1,000.00
|
3.28%
|
3.28%
|
|
5.00%
|
0.00%
|
5.00%
|
|
142.00
|
142.00
|
$1,000.00
|
3.28%
|
3.28%
|
|
0.00%
|
0.00%
|
0.00%
|
|
142.00
|
134.90
|
$950.00
|
3.28%
|
-1.73%
|
|
-5.00%
|
0.00%
|
-5.00%
|
|
142.00
|
127.80
|
$900.00
|
3.28%
|
-6.73%
|
|
-10.00%
|
0.00%
|
-10.00%
|
|
142.00
|
120.70
|
$850.00
|
3.28%
|
-11.73%
|
|
-15.00%
|
0.00%
|
-15.00%
|
|
142.00
|
113.60
|
$800.00
|
3.28%
|
-16.73%
|
|
-20.00%
|
0.00%
|
-20.00%
|
|
142.00
|
106.50
|
$750.00
|
3.28%
|
-21.73%
|
|
-25.00%
|
0.00%
|
-25.00%
|
|
142.00
|
99.40
|
$700.00
|
3.28%
|
-26.73%
|
|
-30.00%
|
0.00%
|
-30.00%
|
|
142.00
|
92.30
|
$650.00
|
3.28%
|
-31.73%
|
|
-35.00%
|
0.00%
|
-35.00%
|
|
142.00
|
85.20
|
$600.00
|
3.28%
|
-36.73%
|
|
-40.00%
|
0.00%
|
-40.00%
|
|
142.00
|
78.10
|
$550.00
|
3.28%
|
-41.73%
|
|
-45.00%
|
0.00%
|
-45.00%
|
|
142.00
|
71.00
|
$500.00
|
3.28%
|
-46.73%
|
|
-50.00%
|
0.00%
|
-50.00%
|
|
142.00
|
63.90
|
$450.00
|
3.28%
|
-51.73%
|
|
-55.00%
|
0.00%
|
-55.00%
|
BEAR,
STEARNS
&
CO.
INC.
-9-
|
|
STRUCTURED
PRODUCTS
GROUP
|
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
|
|
|
June
28,
2002
|
13.09
|
7.99
|
8.86
|
|
March
31,
2005
|
45.44
|
31.30
|
41.67
|
|
September
30,
2002
|
9.40
|
6.90
|
7.25
|
|
June
30,
2005
|
44.44
|
33.11
|
36.81
|
|
December
31,
2002
|
8.69
|
6.68
|
7.17
|
|
September
30,
2005
|
54.56
|
36.29
|
53.61
|
|
March
31,
2003
|
7.69
|
6.78
|
7.07
|
|
December
30,
2005
|
75.46
|
47.87
|
71.89
|
|
June
30,
2003
|
9.85
|
6.36
|
9.56
|
|
March
31,
2006
|
87.05
|
57.67
|
62.72
|
|
September
30,
2003
|
11.66
|
9.26
|
10.32
|
|
June
30,
2006
|
73.38
|
55.41
|
57.12
|
|
December
31,
2003
|
12.50
|
9.63
|
10.69
|
|
September
29,
2006
|
77.78
|
50.35
|
77.03
|
|
March
31,
2004
|
14.07
|
10.59
|
13.53
|
|
December
29,
2006
|
93.15
|
72.60
|
84.84
|
|
June
30,
2004
|
17.10
|
12.75
|
16.27
|
|
March
30,
2007
|
97.80
|
81.90
|
92.91
|
|
September
30,
2004
|
19.64
|
14.37
|
19.38
|
|
June
29,
2007
|
127.60
|
89.60
|
122.04
|
|
December
31,
2004
|
34.79
|
18.83
|
32.20
|
|
July
2,
2007
to
September
17,
2007
|
148.91
|
111.62
|
138.41
|
General
Motors
Corporation
(“GM”)
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:
$ 35.00
|
|
·
|
Contingent
Protection
Percentage:
60%
|
|
·
|
Contingent
Protection
Level:
$
21.00
($35.00
x
60%)
|
|
·
|
Exchange
Ratio:
28
($1,000/$35.00)
|
|
·
|
Coupon:
13.00%
per
annum,
paid
as
a
single
payment
at
maturity
equal
to
one-half
of
the
coupon,
in
arrears.
|
|
·
|
The
reinvestment
rate
on
any
interest
payments
made
during
the
term
of
the
Notes
is
assumed
to
be
0%.
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.
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:
Six
months.
|
|
·
|
Dividend
and
dividend
yield
on
the
Reference
Asset:
$0.98
and
2.80%
per
annum.
|
Example
1
-
On
the
Calculation
Date,
the
Final
Level
of
$42.00
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
$65.00,
for
payments
totaling
$1,065.00.
If
you
had
invested
directly
in
the
Reference
Asset
for
the
same
six-month
period,
you
would
have
received
total
cash
payments
of
$1,214.00
(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
6.50%
return
with
an
investment
in
the
Notes
and
a
21.40%
return
with
a
direct
investment
in
the
Reference
Asset.
Example
2
-
On
the
Calculation
Date,
the
Final
Level
of
$31.50
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
$1,065.00,
earning
a
6.50%
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
$914.00
(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
6.50%
return
with
an
investment
in
the
Notes
and
incurred
a
loss
of
8.60%
with
a
direct
investment
in
the
Reference
Asset.
Example
3
-
On
the
Calculation
Date,
the
Final
Level
of
$17.50
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
$500.00
plus
one
interest
payment
of
$65.00,
for
payments
totaling
$565.00.
If
you
had
invested
directly
in
the
Reference
Asset
for
the
same
six-month
period,
you
would
have
received
total
cash
payments
of
$514.00
(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
43.50%,
while
a
direct
investment
in
the
Reference
Asset
would
have
resulted
in
a
loss
of
48.60%.
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
|
|
|
35.00
|
45.50
|
$1,000.00
|
6.50%
|
6.50%
|
|
30.00%
|
1.40%
|
31.40%
|
|
35.00
|
43.75
|
$1,000.00
|
6.50%
|
6.50%
|
|
25.00%
|
1.40%
|
26.40%
|
|
35.00
|
42.00
|
$1,000.00
|
6.50%
|
6.50%
|
|
20.00%
|
1.40%
|
21.40%
|
|
35.00
|
40.25
|
$1,000.00
|
6.50%
|
6.50%
|
|
15.00%
|
1.40%
|
16.40%
|
|
35.00
|
38.50
|
$1,000.00
|
6.50%
|
6.50%
|
|
10.00%
|
1.40%
|
11.40%
|
|
35.00
|
36.75
|
$1,000.00
|
6.50%
|
6.50%
|
|
5.00%
|
1.40%
|
6.40%
|
|
35.00
|
35.00
|
$1,000.00
|
6.50%
|
6.50%
|
|
0.00%
|
1.40%
|
1.40%
|
|
35.00
|
33.25
|
$1,000.00
|
6.50%
|
6.50%
|
|
-5.00%
|
1.40%
|
-3.60%
|
|
35.00
|
31.50
|
$1,000.00
|
6.50%
|
6.50%
|
|
-10.00%
|
1.40%
|
-8.60%
|
|
35.00
|
29.75
|
$1,000.00
|
6.50%
|
6.50%
|
|
-15.00%
|
1.40%
|
-13.60%
|
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
|
|
|
35.00
|
43.75
|
$1,000.00
|
6.50%
|
6.50%
|
|
25.00%
|
1.40%
|
26.40%
|
|
35.00
|
42.00
|
$1,000.00
|
6.50%
|
6.50%
|
|
20.00%
|
1.40%
|
21.40%
|
|
35.00
|
40.25
|
$1,000.00
|
6.50%
|
6.50%
|
|
15.00%
|
1.40%
|
16.40%
|
|
35.00
|
38.50
|
$1,000.00
|
6.50%
|
6.50%
|
|
10.00%
|
1.40%
|
11.40%
|
|
35.00
|
36.75
|
$1,000.00
|
6.50%
|
6.50%
|
|
5.00%
|
1.40%
|
6.40%
|
|
35.00
|
35.00
|
$1,000.00
|
6.50%
|
6.50%
|
|
0.00%
|
1.40%
|
1.40%
|
|
35.00
|
33.25
|
$950.00
|
6.50%
|
1.50%
|
|
-5.00%
|
1.40%
|
-3.60%
|
|
35.00
|
31.50
|
$900.00
|
6.50%
|
-3.50%
|
|
-10.00%
|
1.40%
|
-8.60%
|
|
35.00
|
29.75
|
$850.00
|
6.50%
|
-8.50%
|
|
-15.00%
|
1.40%
|
-13.60%
|
|
35.00
|
28.00
|
$800.00
|
6.50%
|
-13.50%
|
|
-20.00%
|
1.40%
|
-18.60%
|
|
35.00
|
26.25
|
$750.00
|
6.50%
|
-18.50%
|
|
-25.00%
|
1.40%
|
-23.60%
|
|
35.00
|
24.50
|
$700.00
|
6.50%
|
-23.50%
|
|
-30.00%
|
1.40%
|
-28.60%
|
|
35.00
|
22.75
|
$650.00
|
6.50%
|
-28.50%
|
|
-35.00%
|
1.40%
|
-33.60%
|
|
35.00
|
21.00
|
$600.00
|
6.50%
|
-33.50%
|
|
-40.00%
|
1.40%
|
-38.60%
|
|
35.00
|
19.25
|
$550.00
|
6.50%
|
-38.50%
|
|
-45.00%
|
1.40%
|
-43.60%
|
|
35.00
|
17.50
|
$500.00
|
6.50%
|
-43.50%
|
|
-50.00%
|
1.40%
|
-48.60%
|
|
35.00
|
15.75
|
$450.00
|
6.50%
|
-48.50%
|
|
-55.00%
|
1.40%
|
-53.60%
|
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.
BEAR,
STEARNS
&
CO.
INC.
-11-
|
|
STRUCTURED
PRODUCTS
GROUP
|
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
|
|
June
28,
2002
|
68.17
|
50.00
|
53.45
|
|
March
31,
2005
|
40.80
|
27.98
|
29.39
|
|
September
30,
2002
|
54.08
|
38.11
|
38.90
|
|
June
30,
2005
|
36.65
|
24.67
|
34.00
|
|
December
31,
2002
|
41.50
|
30.80
|
36.86
|
|
September
30,
2005
|
37.70
|
30.21
|
30.61
|
|
March
31,
2003
|
41.12
|
29.75
|
33.62
|
|
December
30,
2005
|
31.50
|
18.33
|
19.42
|
|
June
30,
2003
|
39.50
|
32.84
|
36.00
|
|
March
31,
2006
|
24.60
|
18.47
|
21.27
|
|
September
30,
2003
|
43.23
|
35.00
|
40.93
|
|
June
30,
2006
|
30.56
|
19.00
|
29.79
|
|
December
31,
2003
|
54.39
|
40.04
|
53.40
|
|
September
29,
2006
|
33.64
|
27.12
|
33.26
|
|
March
31,
2004
|
55.55
|
44.72
|
47.10
|
|
December
29,
2006
|
36.56
|
28.49
|
30.72
|
|
June
30,
2004
|
50.04
|
42.88
|
46.59
|
|
March
30,
2007
|
37.24
|
28.81
|
30.64
|
|
September
30,
2004
|
46.93
|
40.53
|
42.48
|
|
June
29,
2007
|
38.66
|
28.86
|
37.80
|
|
December
31,
2004
|
43.29
|
36.90
|
40.06
|
|
July
2,
2007
to
September
17,
2007
|
38.27
|
29.10
|
35.23
|
|
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.
BEAR,
STEARNS & CO. INC.
-12-
|
|
STRUCTURED
PRODUCTS GROUP
|
|
Reference
Asset
|
Term
to Maturity
|
Coupon
Rate, per Annum
|
Yield
on the Deposit,
per
Annum
|
Put
Premium, per Annum
|
|
Amazon.com,
Inc.
|
3-months
|
[18.10]%
|
[●]%
|
[●]%
|
|
Apple
Inc.
|
3-months
|
[13.10]%
|
[●]%
|
[●]%
|
|
General
Motors Corporation
|
6-months
|
[13.00]%
|
[●]%
|
[●]%
|
BEAR,
STEARNS & CO. INC.
-13-