Filed
Pursuant to Rule 433
Registration
No. 333−136666
September
21, 2007
 |
New
Issue
|
STRUCTURED
EQUITY PRODUCTS
Indicative
Terms
|
 |
|
THE
BEAR STEARNS COMPANIES INC.
INVESTMENT
HIGHLIGHTS
|
|
|
Reverse
Convertible
Note
Securities
|
·
One
year term to maturity.
·
Note
offering linked to the common stock of ArvinMeritor, Inc. (the “Reference
Asset”).
·
The
Notes pay a fixed rate coupon of [14.25]% 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. Interest will be computed
using a 360-day year of twelve 30-day months, unadjusted.
·
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 Closing Price of the
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 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
|
|
ArvinMeritor,
Inc., common stock, traded on the NYSE
|
ARM
|
1
year
|
[14.25]%
|
[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 ArvinMeritor, Inc. 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 ArvinMeritor, Inc., traded on the New York
Stock Exchange,
Inc. (“NYSE”) under the symbol “ARM.”
|
|
SELLING
PERIOD ENDS:
|
September
[●],
2007.
|
|
PRICING
DATE:
|
September
[●],
2007.
|
|
SETTLEMENT
DATE:
|
September
[●],
2007.
|
|
CALCULATION
DATE:
|
September
[●],
2008.
|
|
MATURITY
DATE:
|
September
[●],
2008.
|
|
COUPON
RATE (PER ANNUM):
|
[14.25]%
per annum, payable semi-annually. Interest will be computed
using a
360-day year of twelve 30-day months, unadjusted.
|
|
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 Closing Price of the 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 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
Closing Price of the 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 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 DATES:
|
March
[●],
2008 and September [●],
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:
|
[073902MH8].
|
|
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
Closing Price of the 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 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 relevant Interest Payment Date
or Maturity
Date. Interest will be paid to the person in whose name the Note
is registered
at the close of business on the Record Date before each Interest
Payment Date.
However, interest payable on the Maturity Date will be payable to
the person to
whom principal is payable. If the Interest Payment Date is also a
day on which
principal is due, the interest payable will include interest accrued
to, but
excluding, the stated Maturity Date. 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 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 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
Closing Price
of the 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 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
|
ArvinMeritor,
Inc. (“ARM”)
ArvinMeritor,
Inc.’s (“ArvinMeritor”)
common stock, par value $1.00 per share,
trades on the New York Stock Exchange,
Inc. under the symbol “ARM.” ArvinMeritor is a global supplier of
a broad range
of integrated systems, modules and components
serving light vehicle, commercial
truck, trailer and specialty original
equipment manufacturers and certain
aftermarkets.ArvinMeritor’s SEC file number is
001-15983.
|
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: $16.00
|
|
·
|
Contingent
Protection Percentage: 70%
|
|
·
|
Contingent
Protection Level: $11.20 ($16.00 x
70%)
|
|
·
|
Exchange
Ratio: 62 ($1,000/$16.00)
|
|
·
|
Coupon:
14.25% 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:
$0.39 and 2.46% per annum.
|
Example
1
- On the
Calculation Date, the Final Level of $19.20 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 $71.25, for payments totaling
$1,142.50. If you had
invested directly in the Reference Asset for the same
one-year period, you would
have received total cash payments of $1,224.60 (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
14.25% return with an investment in the Notes and a
22.46% return with a direct
investment in the Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $14.40 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
$1,142.50, earning a 14.25% 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 $924.60 (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 14.25% return with an
investment in the Notes and incurred a loss of 7.54%
with a direct investment in
the Reference Asset.
Example
3
- On the
Calculation Date, the Final Level of $9.60 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
two interest payments of
$71.25, for payments totaling $742.50. If you had invested
directly in the
Reference Asset for the same one-year period, you would
have received total cash
payments of $624.60 (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 25.75%,
while a direct investment in the Reference Asset would
have resulted in a loss
of 37.54%.
BEAR,
STEARNS & CO. INC.
-6-
|
|
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)
|
1-Year
Total
Return
|
Percentage
Change in
Value
of Reference
Asset
|
Dividend
Yield
|
1-Year
Total Return
|
|
|
16.00
|
20.80
|
$1,000.00
|
14.25%
|
14.25%
|
|
30.00%
|
2.46%
|
32.46%
|
|
16.00
|
20.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
25.00%
|
2.46%
|
27.46%
|
|
16.00
|
19.20
|
$1,000.00
|
14.25%
|
14.25%
|
|
20.00%
|
2.46%
|
22.46%
|
|
16.00
|
18.40
|
$1,000.00
|
14.25%
|
14.25%
|
|
15.00%
|
2.46%
|
17.46%
|
|
16.00
|
17.60
|
$1,000.00
|
14.25%
|
14.25%
|
|
10.00%
|
2.46%
|
12.46%
|
|
16.00
|
16.80
|
$1,000.00
|
14.25%
|
14.25%
|
|
5.00%
|
2.46%
|
7.46%
|
|
16.00
|
16.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
0.00%
|
2.46%
|
2.46%
|
|
16.00
|
15.20
|
$1,000.00
|
14.25%
|
14.25%
|
|
-5.00%
|
2.46%
|
-2.54%
|
|
16.00
|
14.40
|
$1,000.00
|
14.25%
|
14.25%
|
|
-10.00%
|
2.46%
|
-7.54%
|
|
16.00
|
13.60
|
$1,000.00
|
14.25%
|
14.25%
|
|
-15.00%
|
2.46%
|
-12.54%
|
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)
|
1-Year
Total
Return
|
Percentage
Change in
Value
of Reference
Asset
|
Dividend
Yield
|
1-Year
Total Return
|
|
|
16.00
|
20.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
25.00%
|
2.46%
|
27.46%
|
|
16.00
|
19.20
|
$1,000.00
|
14.25%
|
14.25%
|
|
20.00%
|
2.46%
|
22.46%
|
|
16.00
|
18.40
|
$1,000.00
|
14.25%
|
14.25%
|
|
15.00%
|
2.46%
|
17.46%
|
|
16.00
|
17.60
|
$1,000.00
|
14.25%
|
14.25%
|
|
10.00%
|
2.46%
|
12.46%
|
|
16.00
|
16.80
|
$1,000.00
|
14.25%
|
14.25%
|
|
5.00%
|
2.46%
|
7.46%
|
|
16.00
|
16.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
0.00%
|
2.46%
|
2.46%
|
|
16.00
|
15.20
|
$950.00
|
14.25%
|
9.25%
|
|
-5.00%
|
2.46%
|
-2.54%
|
|
16.00
|
14.40
|
$900.00
|
14.25%
|
4.25%
|
|
-10.00%
|
2.46%
|
-7.54%
|
|
16.00
|
13.60
|
$850.00
|
14.25%
|
-0.75%
|
|
-15.00%
|
2.46%
|
-12.54%
|
|
16.00
|
12.80
|
$800.00
|
14.25%
|
-5.75%
|
|
-20.00%
|
2.46%
|
-17.54%
|
|
16.00
|
12.00
|
$750.00
|
14.25%
|
-10.75%
|
|
-25.00%
|
2.46%
|
-22.54%
|
|
16.00
|
11.20
|
$700.00
|
14.25%
|
-15.75%
|
|
-30.00%
|
2.46%
|
-27.54%
|
|
16.00
|
10.40
|
$650.00
|
14.25%
|
-20.75%
|
|
-35.00%
|
2.46%
|
-32.54%
|
|
16.00
|
9.60
|
$600.00
|
14.25%
|
-25.75%
|
|
-40.00%
|
2.46%
|
-37.54%
|
|
16.00
|
8.80
|
$550.00
|
14.25%
|
-30.75%
|
|
-45.00%
|
2.46%
|
-42.54%
|
|
16.00
|
8.00
|
$500.00
|
14.25%
|
-35.75%
|
|
-50.00%
|
2.46%
|
-47.54%
|
|
16.00
|
7.20
|
$450.00
|
14.25%
|
-40.75%
|
|
-55.00%
|
2.46%
|
-52.54%
|
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
|
32.50
|
22.89
|
24.00
|
|
March
31,
2005
|
22.62
|
15.15
|
15.47
|
|
September
30,
2002
|
25.00
|
17.67
|
18.70
|
|
June
30,
2005
|
19.92
|
11.74
|
17.79
|
|
December
31,
2002
|
18.06
|
14.39
|
16.67
|
|
September
30,
2005
|
20.22
|
15.70
|
16.72
|
|
March
31,
2003
|
18.10
|
12.02
|
13.99
|
|
December
30,
2005
|
17.28
|
12.67
|
14.39
|
|
June
30,
2003
|
21.65
|
13.79
|
20.18
|
|
March
31,
2006
|
17.68
|
13.21
|
14.91
|
|
September
30,
2003
|
21.18
|
17.38
|
17.81
|
|
June
30,
2006
|
17.90
|
14.52
|
17.19
|
|
December
31,
2003
|
24.45
|
16.45
|
24.12
|
|
September
29,
2006
|
17.36
|
13.37
|
14.24
|
|
March
31,
2004
|
26.24
|
18.48
|
19.83
|
|
December
29,
2006
|
18.99
|
13.74
|
18.23
|
|
June
30,
2004
|
22.10
|
17.58
|
19.57
|
|
March
30,
2007
|
20.21
|
17.21
|
18.25
|
|
September
30,
2004
|
20.32
|
18.03
|
18.75
|
|
June
29,
2007
|
22.56
|
17.18
|
22.20
|
|
December
31,
2004
|
22.83
|
16.25
|
22.37
|
|
July
2,
2007
to
September
20,
2007
|
23.65
|
15.59
|
16.24
|
|
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.
BEAR,
STEARNS & CO. INC.
-8-
|
|
STRUCTURED
PRODUCTS
GROUP
|
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
|
|
ArvinMeritor,
Inc.
|
1
year
|
[14.25]%
|
[●]%
|
[●]%
|
BEAR,
STEARNS & CO. INC.
-9-