 |
|
Filed
Pursuant to Rule 433
Registration
No. 333−136666
January
15, 2008
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|
New
Issue
|
Indicative
Terms
|
|
|
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 |
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|
THE
BEAR STEARNS COMPANIES INC.
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|
INVESTMENT
HIGHLIGHTS
|
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|
Reverse
Convertible
Note
Securities
|
·
The
Note offering is linked to the common stock of
The Goldman Sachs Group,
Inc. (the “Reference Asset”). Please note that the Notes have a one-year
term to maturity.
·
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 A2 by Moody’s / A by S&P / A by DBRS
Limited).
·
Issue price for the Note offering: [100]%
of principal amount
($1,000).
·
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
Price
|
|
|
The
Goldman Sachs Group, Inc., traded on the NYSE
|
GS
|
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.
|
|
|
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 The Goldman Sachs Group, 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:
|
A2
/
A / A (Moody’s / S&P/ DBRS Limited)
|
|
PRINCIPAL
AMOUNT OF OFFERING:
|
[●].
|
|
DENOMINATIONS:
|
$1,000
per Note and $1,000 multiples thereafter.
|
|
REFERENCE
ASSET:
|
The
common stock of The Goldman Sachs Group, Inc. traded on the New York Stock
Exchange. (“NYSE”) under the symbol “GS.”
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|
SELLING
PERIOD ENDS:
|
January
[●],
2008.
|
|
PRICING
DATE:
|
January
[●],
2008.
|
|
SETTLEMENT
DATE:
|
January
[●],
2008.
|
|
CALCULATION
DATE:
|
January
[●],
2009.
|
|
MATURITY
DATE:
|
January
[●],
2009.
|
|
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.
|
|
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INTEREST
PAYMENT DATES:
|
July
[●],
2008 and January [●],
2009
|
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INITIAL
LEVEL:
|
The
Closing Price of the Reference Asset on the Pricing
Date.
|
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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:
|
[073902PW2].
|
|
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. Recently, the Internal
Revenue Service ("IRS") and the Treasury Department issued Notice
2008-2
under which they requested comments as to whether the purchaser
of certain notes (which may include the Notes) should be
required to accrue income during its term under a mark-to-market,
accrual
or other methodology, whether income and gain on such a note or
contract
should be ordinary or capital , and whether foreign holders should
be
subject to withholding tax on any deemed income accrual. Accordingly,
it
is possible that regulations or other guidance could provide that
a U.S.
Holder of a Note is required to accrue income in respect of the
Note prior
to the receipt of payments under the Note or its earlier sale.
Moreover,
it is possible that any such regulations or other guidance could
treat all
income and gain of a U.S. holder in respect of a note as ordinary
income
(including gain on a sale). Finally, it is possible that a Non-U.S.
Holder of the Note could be subject to U.S. withholding tax in
respect
of the Note. It is unclear whether any regulations or other guidance
would apply to the Notes (possibly on a retroactive basis). Prospective
investors are urged to consult with their tax advisors regarding
Notice
2008-2 and the possible effect to them of the issuance of regulations
or
other guidance that affects the federal income tax treatment of
the
Notes. See
“Certain U.S. Federal Income Tax Considerations”
below.
|
|
BEAR,
STEARNS & CO.
INC.
|
-3-
|
STRUCTURED
PRODUCTS
GROUP
|
|
·
|
The
Notes Are Subject to Equity Market Risks—
The
Notes involve exposure to price movements in the equity securities
to
which they are linked. Equity securities price movements are difficult
to
predict, and equity securities may be subject to volatile increases
or
decreases in value.
|
|
·
|
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 the 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:
|
BEAR,
STEARNS & CO.
INC.
|
-4-
|
STRUCTURED
PRODUCTS
GROUP
|
|
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.
|
|
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.
|
|
BEAR,
STEARNS & CO.
INC.
|
-5-
|
STRUCTURED
PRODUCTS
GROUP
|
|
REFERENCE
ASSET INFORMATION
|
We
urge
you to read the section “Sponsors or Issuers and Reference Asset” on
page S-25 in the Prospectus Supplement. Companies with
securities
registered under the Exchange Act are required
to file periodically certain
financial and other information specified by the
SEC. Information provided to or
filed with the SEC electronically can be accessed
through a website maintained
by the SEC. The address of the SEC’s website is http://www.sec.gov. Information
provided to or filed with the SEC pursuant to the
Exchange Act by 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.
The
Goldman Sachs Group, Inc. (“GS”)
The
Goldman Sachs Group, Inc.’s (“Goldman”) common stock, par value $0.01 per share,
trades on the NYSE under the symbol “GS.” Goldman is a global investment
banking, securities and investment management firm
that provides services
worldwide to a client base that includes corporations,
financial institutions,
governments and high-net-worth individuals. Goldman’s
SEC file number is
001-14965.
|
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: $ 200.00
|
|
·
|
Contingent
Protection Percentage: 70%
|
|
·
|
Contingent
Protection Level: $ 140 ($200 x
70%)
|
|
·
|
Exchange
Ratio: 5 ($1,000/$200)
|
|
·
|
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:
$1.40 and 0.70% per annum.
|
Example
1
- On the
Calculation Date, the Final Level of $240.00 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 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 $1,207.00 (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 14.25% return
with an investment in the Notes and a 20.70% 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 $180.00 is below
the Initial Level, but the
Closing Price never equaled or fell below the Contingent
Protection Level. As
discussed in example 1 above, an investor would receive
total payments of
$1,142.50, 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 $907.00 (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 14.25% return with an
investment in the Notes and incurred a loss of 9.30%
with a direct investment in
the Reference Asset.
Example
3
- On the
Calculation Date, the Final Level of $120.00 is below
the Initial Level and also
is below the Contingent Protection Level. At our
election, an investor would
receive a cash payment in the amount of $600.00 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 $607.00 (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 25.75%,
while a direct investment in the Reference Asset
would have resulted in a loss
of 39.30%.
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
|
|
|
200.00
|
260.00
|
$1,000.00
|
14.25%
|
14.25%
|
30.00%
|
0.70%
|
30.70%
|
|
|
200.00
|
250.00
|
$1,000.00
|
14.25%
|
14.25%
|
25.00%
|
0.70%
|
25.70%
|
|
|
200.00
|
240.00
|
$1,000.00
|
14.25%
|
14.25%
|
20.00%
|
0.70%
|
20.70%
|
|
|
200.00
|
230.00
|
$1,000.00
|
14.25%
|
14.25%
|
15.00%
|
0.70%
|
15.70%
|
|
|
200.00
|
220.00
|
$1,000.00
|
14.25%
|
14.25%
|
10.00%
|
0.70%
|
10.70%
|
|
|
200.00
|
210.00
|
$1,000.00
|
14.25%
|
14.25%
|
5.00%
|
0.70%
|
5.70%
|
|
|
200.00
|
200.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
0.00%
|
0.70%
|
0.70%
|
|
200.00
|
190.00
|
$1,000.00
|
14.25%
|
14.25%
|
-5.00%
|
0.70%
|
-4.30%
|
|
|
200.00
|
180.00
|
$1,000.00
|
14.25%
|
14.25%
|
-10.00%
|
0.70%
|
-9.30%
|
|
|
200.00
|
170.00
|
$1,000.00
|
14.25%
|
14.25%
|
-15.00%
|
0.70%
|
-14.30%
|
|
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
|
|
|
200.00
|
250.00
|
$1,000.00
|
14.25%
|
14.25%
|
25.00%
|
0.70%
|
25.70%
|
|
|
200.00
|
240.00
|
$1,000.00
|
14.25%
|
14.25%
|
20.00%
|
0.70%
|
20.70%
|
|
|
200.00
|
230.00
|
$1,000.00
|
14.25%
|
14.25%
|
15.00%
|
0.70%
|
15.70%
|
|
|
200.00
|
220.00
|
$1,000.00
|
14.25%
|
14.25%
|
10.00%
|
0.70%
|
10.70%
|
|
|
200.00
|
210.00
|
$1,000.00
|
14.25%
|
14.25%
|
5.00%
|
0.70%
|
5.70%
|
|
|
200.00
|
200.00
|
$1,000.00
|
14.25%
|
14.25%
|
|
0.00%
|
0.70%
|
0.70%
|
|
200.00
|
190.00
|
$950.00
|
14.25%
|
9.25%
|
-5.00%
|
0.70%
|
-4.30%
|
|
|
200.00
|
180.00
|
$900.00
|
14.25%
|
4.25%
|
-10.00%
|
0.70%
|
-9.30%
|
|
|
200.00
|
170.00
|
$850.00
|
14.25%
|
-0.75%
|
-15.00%
|
0.70%
|
-14.30%
|
|
|
200.00
|
160.00
|
$800.00
|
14.25%
|
-5.75%
|
-20.00%
|
0.70%
|
-19.30%
|
|
|
200.00
|
150.00
|
$750.00
|
14.25%
|
-10.75%
|
-25.00%
|
0.70%
|
-24.30%
|
|
|
200.00
|
140.00
|
$700.00
|
14.25%
|
-15.75%
|
-30.00%
|
0.70%
|
-29.30%
|
|
|
200.00
|
130.00
|
$650.00
|
14.25%
|
-20.75%
|
-35.00%
|
0.70%
|
-34.30%
|
|
|
200.00
|
120.00
|
$600.00
|
14.25%
|
-25.75%
|
-40.00%
|
0.70%
|
-39.30%
|
|
|
200.00
|
110.00
|
$550.00
|
14.25%
|
-30.75%
|
-45.00%
|
0.70%
|
-44.30%
|
|
|
200.00
|
100.00
|
$500.00
|
14.25%
|
-35.75%
|
-50.00%
|
0.70%
|
-49.30%
|
|
|
200.00
|
90.00
|
$450.00
|
14.25%
|
-40.75%
|
-55.00%
|
0.70%
|
-54.30%
|
|
|
BEAR,
STEARNS & CO.
INC.
|
-7-
|
STRUCTURED
PRODUCTS
GROUP
|
The
following table sets forth, on a per share basis,
the quarterly high and low
trading prices as well as end-of-quarter closing
prices, for the Reference Asset
during the periods indicated below. We obtained the
information in the tables
below from Bloomberg Financial Markets, without independent
verification.
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
Quarter
Ending
|
Quarterly
High
|
Quarterly
Low
|
Quarterly
Close
|
|
|
December
31, 2002
|
81.00
|
58.57
|
68.10
|
September
30, 2005
|
121.70
|
102.02
|
121.58
|
|
|
March
31, 2003
|
75.75
|
61.02
|
68.08
|
December
30, 2005
|
134.99
|
110.23
|
127.71
|
|
|
June
30, 2003
|
91.98
|
68.06
|
83.75
|
March
31, 2006
|
159.63
|
124.23
|
156.96
|
|
|
September
30, 2003
|
93.74
|
82.36
|
83.90
|
June
30, 2006
|
169.31
|
136.79
|
150.43
|
|
|
December
31, 2003
|
100.78
|
83.90
|
98.73
|
September
29, 2006
|
171.15
|
138.97
|
169.17
|
|
|
March
31, 2004
|
109.29
|
96.15
|
104.35
|
December
29, 2006
|
206.70
|
168.51
|
199.35
|
|
|
June
30, 2004
|
107.50
|
87.68
|
94.16
|
March
30, 2007
|
222.75
|
189.85
|
206.63
|
|
|
September
30, 2004
|
94.96
|
83.29
|
93.24
|
June
29, 2007
|
233.97
|
203.29
|
216.75
|
|
|
December
31, 2004
|
110.88
|
90.74
|
104.04
|
September
28, 2007
|
225.77
|
157.38
|
216.74
|
|
|
March
31, 2005
|
113.93
|
101.79
|
109.99
|
December
31, 2007
|
250.70
|
196.90
|
215.05
|
|
|
June
30, 2005
|
114.25
|
94.75
|
102.02
|
January
2, 2008 to
January
11, 2008
|
215.05
|
183.70
|
198.74
|
|
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.
|
BEAR,
STEARNS & CO.
INC.
|
-8-
|
STRUCTURED
PRODUCTS
GROUP
|
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.
Recently,
the Internal Revenue Service ("IRS")
and the Treasury Department issued
Notice
2008-2 under which they requested comments
as to whether the purchaser
of certain notes (which may include the Notes) should be required
to accrue income during its term under
a mark-to-market, accrual or other
methodology, whether income and gain
on such a note or contract should be
ordinary or capital , and whether foreign
holders should be subject to
withholding tax on any deemed income
accrual. Accordingly, it is possible
that
regulations or other guidance could
provide that a U.S. Holder of a Note
is
required to accrue income in respect
of the Note prior to the receipt of
payments under the Note or its earlier
sale. Moreover, it is possible that
any
such regulations or other guidance
could treat all income and gain of
a U.S.
holder in respect of a note as ordinary
income (including gain on a sale).
Finally, it is possible that a Non-U.S.
Holder of the Note could be subject
to
U.S. withholding tax in respect of the Note. It is unclear whether any
regulations or other guidance would
apply to the Notes (possibly on a
retroactive basis). Prospective investors
are urged to consult with their tax
advisors regarding Notice 2008-2 and
the possible effect to them of the
issuance
of regulations or other guidance that
affects the federal income tax treatment
of the Notes.
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
|
|
The
Goldman Sachs Group, Inc.
|
1
year
|
[14.25]%
|
[5.20]%
|
[9.05]%
|
|
BEAR,
STEARNS & CO.
INC.
|
-9-