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STRUCTURED
PRODUCTS GROUP
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ADDITIONAL
TERMS SPECIFIC TO THE
NOTES
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You
should read this document together with the prospectus and prospectus
supplement, each dated August 16, 2006 (the “Prospectus” and “Prospectus
Supplement,” respectively), and the more detailed information contained in the
Pricing Supplement, dated March 5, 2008 (subject to completion) (the “Pricing
Supplement”). You should carefully consider, among other things, the matters set
forth in “Risk Factors” in the Prospectus Supplement and the Pricing Supplement,
as the Notes involve risks not associated with conventional debt securities.
We
urge you to consult your investment, legal, tax, accounting and other advisers
before you invest in the Notes. You may access the Pricing Supplement, the
Prospectus Supplement and the Prospectus on the SEC web site as
follows:
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Pricing
Supplement dated March 5, 2008 (subject to completion):
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Prospectus
Supplement dated August 16, 2006:
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Prospectus
dated August 16, 2006:
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STRUCTURED
PRODUCTS GROUP
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The
following tables and graphs are for illustrative purposes and are not indicative
of the future performance of the Index or the future value of the
Notes.
Because
the Index Level may be subject to significant fluctuation over the term of
the
Notes, it is not possible to present a chart or table illustrating the complete
range of all possible Cash Settlement Values. Therefore, the examples do
not
purport to be representative of every possible scenario concerning increases
or
decreases in the Index Level during the term of the Notes or whether, at
any
time during the Observation Period, the Index Level is observed at or above
the
Upper Barrier or at or below the Lower Barrier. You should not construe these
examples or the data included in any table or graph below as an indication
or
assurance of the expected performance of the Notes.
You
can review the historical levels of the Index in the section of the Pricing
Supplement called “Description of the Index.” The historical performance of the
Index included in the Pricing Supplement should not be taken as an indication
of
the future performance of the Index. It is impossible to predict whether
the
Final Index Level will be greater than or less than the Initial Index Level
or
whether, at any time during the Observation Period, the Index Level will
be
observed above the Upper Barrier or below the Lower Barrier during the term
of
the Notes.
Assumptions
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Investor
purchases $1,000.00 aggregate principal amount of Notes at the
initial
public offering price of $1,000.00.
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Investor
holds the Notes to maturity.
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The
Initial Index Level is equal to
1,400.00.
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The
Lower Barrier is 1,120.00 (representing 80.00% of the Initial Index
Level).
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The
Upper Barrier is 1,680.00 (representing 120.00% of the Initial
Index
Level).
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All
returns are based on a 15-month term; pre-tax
basis.
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No
Market Disruption Events occur during the term of the
Notes.
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Example
1
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Example
2
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Example
3
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Example
4
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Initial
Level
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1,400.00
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1,400.00
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1,400.00
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1,400.00
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Lower
Barrier Level
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1,120.00
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1,120.00
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1,120.00
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1,120.00
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Upper
Barrier Level
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1,680.00
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1,680.00
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1,680.00
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1,680.00
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Low
point during Note
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1,162.00
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980.00
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1,162.00
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1,162.00
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High
point during Note
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1,638.00
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1,638.00
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1,820.00
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1,638.00
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Lower
Barrier breached
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No
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Yes
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No
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No
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Upper
Barrier breached
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No
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No
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Yes
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No
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Final
Level
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1,176.00
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1,176.00
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1,428.00
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1,470.00
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Change
in Index Price
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-16.00%
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-16.00%
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2.00%
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5.00%
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Variable
Return
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$110.00
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$0.00
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$0.00
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$110.00
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Note
Value at Maturity
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$1,110.00
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$1,000.00
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$1,000.00
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$1,110.00
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Example
1:
In
this
example, the Index Level, at all times during the Observation Period, is
observed below the Upper Barrier and above the Lower Barrier.
Therefore,
the Cash Settlement Value would equal $1,110.00, or the $1,000.00 principal
amount of the Notes plus the Variable Return of $110.00; where the Variable
Return is as calculated below:
Variable
Return = $1,000.00 x 11.00%
Variable
Return = $110.00
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STRUCTURED
PRODUCTS GROUP
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In
this
example, your return on investment will be positive (11.00%), because at
all
times during the Observation Period, the Index Level was observed below the
Upper Barrier and above the Lower Barrier. Provided that, at all times during
the Observation Period, the Index Level remains below the Upper Barrier and
above the Lower Barrier, both a positive and negative change in the Index
Level
(relative to the Initial Index Level) will produce a Variable Return of
$110.00.
Example
2:
In
this
example, the Index Level at some time during the Observation Period is observed
below the Lower Barrier. Accordingly, the Variable Return equals zero.
Therefore,
the Cash Settlement Value would equal the $1,000.00 principal amount of the
Notes.
In
this
example, your return on investment would be 0.00%, because, at some time
during
the Observation Period the Index Level was observed below the Lower
Barrier.
Example
3:
In
this
example, the Index Level at some time during the Observation Period is observed
above the Upper Barrier. Accordingly, the Variable Return equals zero.
Therefore,
the Cash Settlement Value would equal the $1,000.00 principal amount of the
Notes.
In
this
example, your return on investment would be 0.00%, because at some time during
the Observation Period the Index Level was observed above the Upper
Barrier.
Example
4:
In
this
example, the Index Level, at all times during the Observation Period, is
observed below the Upper Barrier and above the Lower Barrier.
Therefore,
the Cash Settlement Value would equal $1,110.00, or the $1,000.00 principal
amount of the Notes plus the Variable Return of $110.00; where the Variable
Return is as calculated below:
Variable
Return = $1,000.00 x 11.00%
Variable
Return = $110.00
In
this
example, your return on investment will be positive (11.00%), because at
all
times during the Observation Period, the Index Level was observed below the
Upper Barrier and above the Lower Barrier. Provided that, at all times during
the Observation Period, the Index Level remains below the Upper Barrier and
above the Lower Barrier, both a positive and negative change in the Index
Level
(relative to the Initial Index Level) will produce a Variable Return of
$110.00.
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STRUCTURED
PRODUCTS GROUP
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SELECTED
RISK
CONSIDERATIONS
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Suitability
of the Notes 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 Pricing Supplement. Neither the Issuer nor any dealer participating
in
the offering makes any recommendation as to the suitability of
the Notes
for investment.
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Non-conventional
return
- The
yield on the Notes may be less than the overall return you would
earn if
you purchased a conventional debt security at the same time and
with the
same maturity.
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No
interest, dividend or other payments
- You
will not receive any interest, dividend payments or other distributions
on
the stocks underlying the Index, nor will such payments be included
in the
calculation of the Cash Settlement Value you will receive at
maturity.
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Not
exchange listed
- The
Notes will not be listed on any securities exchange or quotation
system,
and we do not expect a trading market to develop, which may affect
the
price that you receive for your Notes upon any sale prior to maturity.
If
you sell the Notes prior to maturity, you may receive less, and
possibly
significantly less, than your initial investment in the
Notes.
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Liquidity
- Because
the Notes will not be listed on any securities exchange or quotation
system, we do not expect a trading market to develop, and, if such
a
market were to develop, it may not be liquid. Our subsidiary, Bear,
Stearns & Co. Inc. (“Bear Stearns”) has advised us that they intend
under ordinary market conditions to indicate prices for the Notes
on
request. However, we cannot guarantee that bids for outstanding
Notes will
be made in the future; nor can we predict the price at which those
bids
will be made. In any event, Notes will cease trading as of the
close of
business on the Maturity Date.
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Taxes
- For
U.S. federal income tax purposes, we intend to treat the Notes as
contingent payment debt instruments. As a result, you will be required
to
include original issue discount (“OID”) in income during your ownership of
the Notes even though no cash payments will be made with respect
to the
Notes until maturity. Additionally, you will generally be required
to
recognize ordinary income on the gain, if any, realized on a sale,
upon
maturity, or other disposition of the Notes. You should review the
discussion under the section entitled "Certain U.S. Federal Income
Tax
Considerations" in the Pricing
Supplement.
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