Filed
Pursuant to Rule 433
Registration
No. 333−136666
July
2, 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 American Depositary Receipts of Companhia
Vale do
Rio Doce (the “Reference Asset”).
·
The Notes pay a fixed rate coupon of [14.00]% 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).
·
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
Price
|
|
American
Depositary Receipts of Companhia Vale do Rio Doce, traded on
the
NYSE
|
RIO
|
1
year
|
[14.00]%
|
[80]%
|
[100]%
|
|
BEAR, STEARNS & CO. INC.
STRUCTURED
PRODUCTS GROUP
(212) 272-6928
|
The
issuer has filed a registration statement (including a
prospectus) with
the SEC for the 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.
|
|||||
|
|
STRUCTURED
PRODUCTS GROUP
|
|
GENERAL
TERMS FOR THE NOTE
OFFERING
|
This
free
writing prospectus relates to the offering of Notes linked to the
American
Depositary Receipts of Companhia Vale do Rio Doce. 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
American Depositary Receipts of Companhia Vale do Rio
Doce, traded on the
New York Stock Exchange, Inc. (“NYSE”) under the symbol
“RIO.”
|
|
SELLING
PERIOD ENDS:
|
July
[●],
2007.
|
|
PRICING
DATE:
|
July
[●],
2007.
|
|
SETTLEMENT
DATE:
|
July
[●],
2007.
|
|
CALCULATION
DATE:
|
July
[●],
2008.
|
|
MATURITY
DATE:
|
July
[●],
2008.
|
|
COUPON
RATE (PER ANNUM):
|
[14.00]%
per annum, payable semi-annually. Interest will be computed
using a
360-day year of twelve 30-day months, unadjusted.
|
|
CONTINGENT
PROTECTION PERCENTAGE:
|
[80.00]%. |
|
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 DATES:
|
January
[●],
2008 and July [●],
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:
|
[073902MB1].
|
|
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 or
American Depositary Receipts (“ADRs”) of a successor corporation to the
underlying company, based on the Closing Price of such
successor’s common
stock or ADRs, as applicable. 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.
|
|
·
|
ADRs
of Companhia Vale do Rio ("CVRD"), which are quoted and
traded in the
U.S., may trade differently from CVRD ordinary shares,
which are quoted
and traded in Brazilian Reals—
Fluctuations in the exchange rate between the Brazilian
Real and the U.S.
Dollar may affect the U.S. Dollar equivalent of the Brazilian
Real price
of CVRD ordinary shares on the Sao Paulo Exchange and,
as a result, may
affect the market price of the ADRs of CVRD, which may
consequently affect
the market value of the
Notes.
|
|
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. 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 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
|
Companhia
Vale do Rio Doce (“RIO”)
The
stock
of Companhia
Vale do Rio Doce
(“CVRD”)
is traded in the U.S. market in the form
of American Depositary Receipts
(“ADRs”) on the New York Stock Exchange under
the symbol “RIO.” Each ADR
represents one share of CVRD’s common stock. CVRD’s common stock is traded on
the Sao Paulo Stock Exchange. A holder
of CVRD’s ADRs has the right to obtain a
corresponding number of shares of CVRD’s common stock.
CVRD is
a diversified metals and mining company,
and produces and/or exports worldwide
iron ore and pellets, nickel, copper, manganese,
ferroalloys, bauxite, precious
metals, cobalt, kaolin, potash and other
products. CVRD is also engaged in
mineral exploration efforts around the
globe, and operates logistics systems in
Brazil, including railroads, maritime terminals
and ports that are integrated
with its mining operations. Directly and
through affiliates and joint ventures,
CVRD maintains investments in the aluminum,
coal, energy and steel businesses.
CVRD’s
SEC file number is 001-15030.
|
ILLUSTRATIVE
EXAMPLES & HISTORICAL
TABLES
|
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: $45.00
|
|
·
|
Contingent
Protection Percentage: 80%
|
|
·
|
Contingent
Protection Level: $36.00 ($45.00 x
80%)
|
|
·
|
Exchange
Ratio: 22 ($1,000/$45.00)
|
|
·
|
Coupon:
14.00% 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: $0.61
and 1.35% per annum.
|
Example
1
- On the
Calculation Date, the Final Level of $54.00 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 $70.00, for payments totaling $1,140.00.
If you had
invested directly in the Reference Asset for the same one-year
period, you would
have received total cash payments of $1,213.50 (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
14.00% return with an investment in the Notes and a 21.35%
return with a direct
investment in the Reference Asset.
Example
2
- On the
Calculation Date, the Final Level of $40.50 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
$1,140.00, earning a 14.00% 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 $913.50 (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 14.00%
return with an
investment in the Notes and incurred a loss of 8.65% with
a direct investment in
the Reference Asset.
Example
3
- On the
Calculation Date, the Final Level of $31.50 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 $700.00 plus two
interest payments of
$70.00, for payments totaling $840.00. If you had invested
directly in the
Reference Asset for the same one-year period, you would
have received total cash
payments of $713.50 (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 16.00%,
while a direct investment in the Reference Asset would
have resulted in a loss
of 28.65%.
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
|
|
|
45.00
|
58.50
|
$1,000.00
|
14.00%
|
14.00%
|
|
30.00%
|
1.35%
|
31.35%
|
|
45.00
|
56.25
|
$1,000.00
|
14.00%
|
14.00%
|
|
25.00%
|
1.35%
|
26.35%
|
|
45.00
|
54.00
|
$1,000.00
|
14.00%
|
14.00%
|
|
20.00%
|
1.35%
|
21.35%
|
|
45.00
|
51.75
|
$1,000.00
|
14.00%
|
14.00%
|
|
15.00%
|
1.35%
|
16.35%
|
|
45.00
|
49.50
|
$1,000.00
|
14.00%
|
14.00%
|
|
10.00%
|
1.35%
|
11.35%
|
|
45.00
|
47.25
|
$1,000.00
|
14.00%
|
14.00%
|
|
5.00%
|
1.35%
|
6.35%
|
|
45.00
|
45.00
|
$1,000.00
|
14.00%
|
14.00%
|
|
0.00%
|
1.35%
|
1.35%
|
|
45.00
|
42.75
|
$1,000.00
|
14.00%
|
14.00%
|
|
-5.00%
|
1.35%
|
-3.65%
|
|
45.00
|
40.50
|
$1,000.00
|
14.00%
|
14.00%
|
|
-10.00%
|
1.35%
|
-8.65%
|
|
45.00
|
38.25
|
$1,000.00
|
14.00%
|
14.00%
|
|
-15.00%
|
1.35%
|
-13.65%
|
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
|
|
|
45.00
|
56.25
|
$1,000.00
|
14.00%
|
14.00%
|
|
25.00%
|
1.35%
|
26.35%
|
|
45.00
|
54.00
|
$1,000.00
|
14.00%
|
14.00%
|
|
20.00%
|
1.35%
|
21.35%
|
|
45.00
|
51.75
|
$1,000.00
|
14.00%
|
14.00%
|
|
15.00%
|
1.35%
|
16.35%
|
|
45.00
|
49.50
|
$1,000.00
|
14.00%
|
14.00%
|
|
10.00%
|
1.35%
|
11.35%
|
|
45.00
|
47.25
|
$1,000.00
|
14.00%
|
14.00%
|
|
5.00%
|
1.35%
|
6.35%
|
|
45.00
|
45.00
|
$1,000.00
|
14.00%
|
14.00%
|
|
0.00%
|
1.35%
|
1.35%
|
|
45.00
|
42.75
|
$950.00
|
14.00%
|
9.00%
|
|
-5.00%
|
1.35%
|
-3.65%
|
|
45.00
|
40.50
|
$900.00
|
14.00%
|
4.00%
|
|
-10.00%
|
1.35%
|
-8.65%
|
|
45.00
|
38.25
|
$850.00
|
14.00%
|
-1.00%
|
|
-15.00%
|
1.35%
|
-13.65%
|
|
45.00
|
36.00
|
$800.00
|
14.00%
|
-6.00%
|
|
-20.00%
|
1.35%
|
-18.65%
|
|
45.00
|
33.75
|
$750.00
|
14.00%
|
-11.00%
|
|
-25.00%
|
1.35%
|
-23.65%
|
|
45.00
|
31.50
|
$700.00
|
14.00%
|
-16.00%
|
|
-30.00%
|
1.35%
|
-28.65%
|
|
45.00
|
29.25
|
$650.00
|
14.00%
|
-21.00%
|
|
-35.00%
|
1.35%
|
-33.65%
|
|
45.00
|
27.00
|
$600.00
|
14.00%
|
-26.00%
|
|
-40.00%
|
1.35%
|
-38.65%
|
|
45.00
|
24.75
|
$550.00
|
14.00%
|
-31.00%
|
|
-45.00%
|
1.35%
|
-43.65%
|
|
45.00
|
22.50
|
$500.00
|
14.00%
|
-36.00%
|
|
-50.00%
|
1.35%
|
-48.65%
|
|
45.00
|
20.25
|
$450.00
|
14.00%
|
-41.00%
|
|
-55.00%
|
1.35%
|
-53.65%
|
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
|
|
|
March
29, 2002
|
4.63
|
4.25
|
4.57
|
|
December
31, 2004
|
14.63
|
10.12
|
14.51
|
|
June
28, 2002
|
5.07
|
4.25
|
4.61
|
|
March
31, 2005
|
18.31
|
12.72
|
15.81
|
|
September
30, 2002
|
4.61
|
3.67
|
3.79
|
|
June
30, 2005
|
16.50
|
12.51
|
14.64
|
|
December
31, 2002
|
4.92
|
3.61
|
4.82
|
|
September
30, 2005
|
22.46
|
14.55
|
21.93
|
|
March
31, 2003
|
4.95
|
4.25
|
4.49
|
|
December
30, 2005
|
22.98
|
18.35
|
20.57
|
|
June
30, 2003
|
5.15
|
4.45
|
4.94
|
|
March
31, 2006
|
25.80
|
20.79
|
24.27
|
|
September
30, 2003
|
7.02
|
4.94
|
6.80
|
|
June
30, 2006
|
29.10
|
19.63
|
24.04
|
|
December
31, 2003
|
9.98
|
6.82
|
9.75
|
|
September
29, 2006
|
24.54
|
19.16
|
21.56
|
|
March
31, 2004
|
10.58
|
8.28
|
9.15
|
|
December
29, 2006
|
30.46
|
20.68
|
29.74
|
|
June
30, 2004
|
9.52
|
6.88
|
7.93
|
|
March
30, 2007
|
38.05
|
27.06
|
36.99
|
|
September
30, 2004
|
11.38
|
7.70
|
11.24
|
|
April
2, 2007 to June 28,
2007
|
47.71
|
36.87
|
44.02
|
|
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
|
|
Companhia
Vale do Rio Doce
|
1
year
|
[14.00]%
|
[●]%
|
[●]%
|
BEAR,
STEARNS & CO. INC.
-9-