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Free
Writing Prospectus
Filed
Pursuant to Rule 433
Registration
No. 333−136666
August 3,
2007
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New Issue
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Indicative
Terms
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| The Bear Stearns Companies Inc. | |
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Note
Linked to a Portfolio of Indices and Index Funds
Due:
August [l],
2012
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| INVESTMENT HIGHLIGHTS |
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·
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5
year term to maturity.
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·
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The
Notes are 100% principal protected.
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·
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Issue
is a direct obligation of The Bear Stearns Companies Inc. (Rated
A1 by
Moody’s / A+ by S&P).
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·
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Issue
Price: 100.00% of the principal amount ($1,000 per
Note).
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·
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Linked
to the potential positive performance of a portfolio comprised
of six
indices and two index funds. The following are the six indices
and their
respective Weightings in the portfolio: (1) 45% the S&P
500® Index; (2) 15% the S&P 400 MidCap Index™; (3) 9% the
Dow Jones STOXX 50® Index; (4) 8% the S&P 600 SmallCap
Index™; (5) 6% the Nikkei 225™ Stock Index; and (6) 6% the Dow Jones AIG
Commodity IndexSM (each such index an “Index” and together the
“Indices”). The following are the two index funds and their respective
Weightings in the portfolio: (1) 6% the iShares Dow Jones U.S.
Real Estate
Index Fund and (2) 5% the iShares MSCI Emerging Markets Index
Fund (each
such index fund an “Index Fund” and together the “Index Funds”). Each such
Index or Index Fund will be a “Component” and the eight Components
together will constitute the “Portfolio”.
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·
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The
Cash Settlement Value will be based on the appreciation, if
any, in the
Portfolio over the term of the Notes as measured by the Portfolio
Return.
The “Portfolio Return” is calculated as the weighted average of the eight
Component Performances, where the “Component Performance” with respect to
a Component measures the average level of such Component as
of two
Observation Dates relative to its respective Initial Component
Level on
the Pricing Date (with [115.00-120.00]%
Participation).
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·
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If,
at maturity, the Portfolio Return is greater than zero, the
Cash
Settlement Value for each Note will be equal to the sum of
(A) the
principal amount of the Note plus (B) the product of (i) $1,000
multiplied
by (ii) the Portfolio Return multiplied by (iii) the Participation
Rate.
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·
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If,
at maturity, the Portfolio Return is equal to or less than
zero, the Cash
Settlement Value for each Note will be $1,000.
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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
offering will
arrange to send you the prospectus if you request it by calling
toll free
1-866-803-9204.
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The
Notes will not be listed on any U.S. securities exchange or
quotation
system. Neither the Securities and Exchange Commission nor
any state
securities commission has approved or disapproved of these
securities or
determined that this free writing prospectus is truthful or
complete. Any
representation to the contrary is a criminal
offense.
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1
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GENERAL
TERMS
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This
free
writing prospectus relates to a Note offering linked
to
the potential positive performance of a portfolio comprised of six
indices and
two index funds. The following are the six indices and their respective
Weightings in the portfolio: (1) 45% the S&P 500®
Index;
(2) 15% the S&P 400 MidCap Index™; (3) 9% the Dow Jones STOXX 50®
Index;
(4) 8% the S&P 600 SmallCap Index™; (5) 6% the Nikkei 225™ Stock Index; and
(6) 6% the Dow Jones AIG Commodity IndexSM
(each
such index an “Index” and together the “Indices”). The following are the two
index funds and their respective Weightings in the portfolio: (1) 6%
the iShares
Dow Jones U.S. Real Estate Index Fund and (2) 5% the iShares MSCI Emerging
Markets Index Fund (each such index fund an “Index Fund” and together the “Index
Funds”). Each such Index or Index Fund will be a “Component” and the eight
Components together will constitute the “Portfolio”. We reserve the right to
withdraw, cancel or modify the offering and to reject orders in whole
or in
part. Defined
terms not defined herein shall have the same meaning as in the Pricing
Supplement discussed below.
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ISSUER:
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The
Bear Stearns Companies Inc.
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ISSUER’S
RATING:
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A1
/ A+ (Moody’s / S&P)
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CUSIP
NUMBER:
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073928X32
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ISSUE
PRICE:
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100.00%
of the Principal Amount
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PRINCIPAL
AMOUNT:
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$[l]
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DENOMINATIONS:
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$[10,000]
per Note and $1,000 multiples thereafter
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SELLING
PERIOD ENDS:
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August
[l],
2007
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SETTLEMENT
DATE:
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August
[l],
2007
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MATURITY
DATE:
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August
[l],
2012 (for a term of approximately 60 months). The Maturity
Date is subject
to adjustment as described in the Pricing Supplement.
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CASH
SETTLEMENT VALUE:
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An
amount in cash that depends upon the Portfolio Return.
If, at maturity,
the Portfolio Return is greater than zero, then the Cash
Settlement Value
for each Note will be equal to the sum of (A) the Principal
Amount of the
Note plus (B) the product of (i) $1,000 multiplied by (ii)
the Portfolio
Return multiplied by (iii) the Participation Rate.
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If,
at maturity, the Portfolio Return is equal to or less than
zero, then the
Cash Settlement Value for each Note will be $1,000. Because
the Notes are
principal protected if held to maturity, in no event will
the Cash
Settlement Value for each Note held to maturity be less
than $1,000.
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PORTFOLIO
RETURN:
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An
amount determined by the Calculation Agent and equal to
the sum of the
Component Performance for each Component multiplied by
its respective
Weighting in the Portfolio.
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COMPONENT
PERFORMANCE:
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As
of the Final Observation Date and with respect to a Component,
the
quotient, expressed as a percentage, of (i) the arithmetic
average of the
Observation Levels for that Component as of each Observation
Date minus
the Initial Component Level of that Component divided by
(ii) the Initial
Component Level of that Component.
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FINAL
OBSERVATION DATE:
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August
[l],
2012.
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OBSERVATION
LEVELS:
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As
of any Observation Date and with respect to each Index,
the closing index
level as reported by the relevant Index Sponsor and displayed
on Bloomberg
Page SPX <Index> <Go> with respect to the SPX; Bloomberg Page
MID <Index> <Go> with respect to the MID; Bloomberg Page SX5P
<Index> <Go> with respect to the SX5P; Bloomberg Page SML
<Index> <Go> with respect to the SML; Bloomberg Page NKY
<Index> <Go> with respect to the NKY; and Bloomberg Page DJAIG
<Index> <Go> with respect to the DJAIG; and with respect to
each Index Fund, as of any Observation Date, the closing
price as reported
by the Relevant Exchange and as displayed on Bloomberg
Page IYR US
<Equity> <Go> with respect to the IYR; and Bloomberg Page EEM
US <Equity> <Go> with respect to the
EEM.
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FIFTH
THIRD SECURITIES, INC.
2
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OBSERVATION
DATES:
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February
[l],
2010 and August [l],
2012. The Observation Dates are subject to adjustment
as described in the
Pricing Supplement.
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INITIAL
COMPONENT LEVELS:
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[l]
with respect to the SPX;
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[l]
with respect to the MID;
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[l] with
respect to the SX5P;
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[l]
with respect to the SML;
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[l]
with respect to the NKY;
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[l]
with respect to the DJAIG;
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[l]
with respect to the IYR; and
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[l]
with respect to the EEM.
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WEIGHTING:
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45%
with respect to the SPX;
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15%
with respect to the MID;
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9%
with respect to the SX5P;
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8%
with respect to the SML;
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6%
with respect to the NKY;
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6%
with respect to the DJAIG;
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6%
with respect to the IYR; and
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5%
with respect to the EEM.
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INTEREST:
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The
Notes will not bear interest.
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PARTICIPATION
RATE:
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[115.00-120.00]%
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FIFTH
THIRD SECURITIES, INC.
3
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COMPONENTS:
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The
Notes are linked to the potential positive performance
of a portfolio
comprised of six indices and two index funds. The
following are the six
indices and their respective Weightings in the
portfolio: (1) 45% the
S&P 500®
Index (the “SPX”); (2) 15% the S&P 400 MidCap Index™ (the “MID”); (3)
9% the Dow Jones STOXX 50®
Index (the “SX5P”); (4) 8% the S&P 600 SmallCap Index™ (the “SML”);
(5) 6% the Nikkei 225™ Stock Index (the “NKY”); and (6) 6% the Dow Jones
AIG Commodity IndexSM
(the “DJAIG”) (each such index an “Index” and together the “Indices”). The
following are the two index funds and their respective
Weightings in the
portfolio: (1) 6% the iShares Dow Jones U.S. Real
Estate Index Fund (the
“IYR”) and (2) 5% the iShares MSCI Emerging Markets
Index Fund (the “EEM”)
(each such index fund an “Index Fund” and together the “Index Funds”).
Each such Index or Index Fund will be a “Component” and the eight
Components together will constitute the “Portfolio”. The Weighting of each
Component is fixed at the respective Weighting
mentioned above and will
not change during the term of the Notes unless
one or more Components are
modified during the term of the Notes.
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INDEX
SPONSORS:
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Standard
& Poor’s (“S&P”), a division of The McGraw-Hill Companies, Inc.
as
sponsor of the SPX, MID, and SML; STOXX Limited,
a partnership of Deutsche
Börse AG, Dow Jones & Company and the SWX Group as the sponsor of the
SX5P; Nihon Keizai Shimbun, Inc. as the sponsor
of the NKY; and Dow Jones
& Company Inc. and AIG Financial Products Corp. (“AIG-FP”) as sponsor
of the DJAIG are hereinafter referred to as “Index Sponsors.” See
“Description of the Portfolio” in the Pricing
Supplement.
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INDEX
FUND ISSUERS:
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iShares
Trust, as the issuer of the IYR; and iShares, Inc.,
as the issuer of the
EEM are hereinafter referred to as the “Index Fund Issuers.” See
“Description of the Portfolio” in the Pricing Supplement.
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FIFTH
THIRD SECURITIES, INC.
4
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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 August 3, 2007 (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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·
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Pricing
Supplement dated August 3, 2007 (subject to
completion):
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| · |
Prospectus
Supplement dated August 16, 2006:
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·
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Prospectus
dated August 16, 2006:
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ILLUSTRATIVE
EXAMPLES OF CASH SETTLEMENT
VALUE
|
The
following tables are for illustrative purposes and
are not indicative of the
future performance of the Components or the future
value of the
Notes.
The
following examples demonstrate how the hypothetical
Cash Settlement Value of a
Note is calculated based on the assumptions outlined
below. The examples do not
purport to be representative of every possible scenario
concerning increases or
decreases in the Portfolio or
the Components underlying the Portfolio. You should
not construe the examples as
an indication or assurance of the expected performance
of the Notes. Actual
returns may be different. The examples demonstrating
the hypothetical Cash
Settlement Value of a Note are based on the following
assumptions:
ASSUMPTIONS:
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·
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Investor
purchases $1,000 aggregate principal amount
of Notes at the initial public
offering price of $1,000.
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·
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Investor
holds the Notes to maturity.
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·
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The
Participation Rate is 116.00%.
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·
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The
Initial Component Level for the SPX is equal
to 1,450.00.
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·
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The
Initial Component Level for the MID is equal
to
850.00.
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·
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The
Initial Component Level for the SX5P is equal
to
3,750.00.
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·
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The
Initial Component Level for the SML is equal
to
410.00.
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·
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The
Initial Component Level for the NKY is equal
to
16,900.00.
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·
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The
Initial Component Level for the DJAIG is
equal to
170.00.
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·
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The
Initial Component Level for the IYR is equal
to
70.00.
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·
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The
Initial Component Level for the EEM is equal
to
130.00.
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·
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All
returns are based on a 60 month term, pre-tax
basis.
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| · |
No
Market Disruption Events or Events of Default
occur during the term of the
Notes.
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FIFTH
THIRD SECURITIES, INC.
5
Example
1: The Portfolio Return is greater than zero.
In
this
example, the levels of seven Components increase relative
to their Initial
Component Levels as of the first Observation Date and the
level of one Component
decreases relative to its Initial Component Level as of
the first Observation
Date. The levels of each Component increase relative to
their Initial Component
Levels as of the second Observation Date. This example
illustrates how holders
of the Notes may benefit from the increase in the Observation
Level of the
Components relative to their respective Initial Component
Levels on each related
Observation Date.
|
Index
|
Initial
Component
Level
|
Observation
Date
1
|
Observation
Date
2
|
Component
Performance
|
Weighting
in the
Portfolio
|
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SPX
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1,450.00
|
2,953.00
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2,847.00
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100.00%
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45%
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MID
|
850.00
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1,055.00
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1,200.00
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32.65%
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15%
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SX5P
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3,750.00
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4,142.00
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4,427.00
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14.25%
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9%
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SML
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410.00
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569.00
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495.00
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29.76%
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8%
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NKY
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16,900.00
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27,444.00
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30,420.00
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71.20%
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6%
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DJAIG
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170.00
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212.00
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218.00
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26.47%
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6%
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IYR
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70.00
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48.00
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119.00
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19.29%
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6%
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EEM
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130.00
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233.00
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208.00
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69.62%
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5%
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On
the
Final Observation Date, the Component Performance for SPX
would be 100.00%, the
Component Performance for MID would be 32.65%, the Component
Performance for
SX5P would be 14.25%, the Component Performance for SML
would be 29.76%, the
Component Performance for NKY would be 71.20%, the Component
Performance for
DJAIG would be 26.47%, the Component Performance for IYR
would be 19.29% and the
Component Performance for EEM would be 69.62%, each as
calculated pursuant to
the below formula:
In
this
example, using the formula below, the Portfolio Return
would be greater than
zero.
The
Portfolio Return is an amount equal to the sum of the Component
Performance for
each Component multiplied by its respective Weighting in
the Portfolio.
Portfolio
Return = (100.00% x 45%) + (32.65% x 15%) + (14.25% x 9%)
+ (29.76% x 8%) +
(71.20% x 6%) + (26.47% x 6%) + (19.29% x 6%) + (69.62%
x 5%)
Portfolio
Return = 64.06%
The
Cash
Settlement Value, using the formula below, would equal
$1,743.10.
FIFTH
THIRD SECURITIES, INC.
6
Example
2: The Portfolio Return might be less than zero.
In
this
example, the Observation Levels of six Components
decrease relative to their
Initial Component Levels as of the first Observation
Date and the Observation
Levels of two Components increase relative to their
Initial Component Levels as
of the first Observation Date. The Observation Levels
of seven Components
decrease relative to their Initial Component Levels
as of the second Observation
Date and the Observation Level of one Component increases
relative to its
Initial Component Level as of the second Observation
Date. As a result, the
Portfolio Return would be less than zero, and holders
of the Notes would
therefore have received only the principal amount
of each Note at maturity.
|
Index
|
Initial
Component
Level
|
Observation
Date
1
|
Observation
Date
2
|
Component
Performance
|
Weighting
in the
Portfolio
|
|
SPX
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1,450.00
|
1,281.00
|
1,229.00
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-13.45%
|
45%
|
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MID
|
850.00
|
449.00
|
442.00
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-47.59%
|
15%
|
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SX5P
|
3,750.00
|
2,927.00
|
3,178.00
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-18.60%
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9%
|
|
SML
|
410.00
|
329.00
|
334.00
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-19.15%
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8%
|
|
NKY
|
16,900.00
|
18,915.00
|
18,501.00
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10.70%
|
6%
|
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DJAIG
|
170.00
|
122.00
|
123.00
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-27.94%
|
6%
|
|
IYR
|
70.00
|
72.00
|
65.00
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-2.14%
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6%
|
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EEM
|
130.00
|
105.00
|
102.00
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-20.38%
|
5%
|
On
the
Final Observation Date, the Component Performance
for SPX would be -13.45%, the
Component Performance for MID would be -47.59%, the
Component Performance for
SX5P would be -18.60%, the Component Performance
for SML would be -19.15%, the
Component Performance for NKY would be 10.70%, the
Component Performance for
DJAIG would be -27.94%, the Component Performance
for IYR would be -2.14% and
the Component Performance for EEM would be -20.38%,
each as calculated pursuant
to the below formula:
In
this
example, using the formula below, the Portfolio Return
would not be greater than
zero.
The
Portfolio Return is an amount equal to the sum of
the Component Performance for
each Component multiplied by its respective Weighting
in the Portfolio.
Portfolio
Return = (-13.45% x 45%) + (-47.59% x 15%) + (-18.60%
x 9%) + (-19.15% x 8%) +
(10.70% x 6%) + (-27.94% x 6%) + (-2.14% x 6%) +
(-20.38% x 5%)
Portfolio
Return = -18.58%
Since
the
Portfolio Return would be less than zero, the Cash Settlement Value for each
Note would be the principal amount of $1,000.
FIFTH
THIRD SECURITIES, INC.
7
Example
3: Some Components move higher while others move
lower.
In
this
example, the Observation Levels of four Components
decrease relative to their
Initial Component Levels as of the first Observation
Date and the Observation
Levels of four Components increase relative to
their Initial Component Levels as
of the first Observation Date. The Observation
Levels of five Components
decrease relative to their Initial Component Levels
as of the second Observation
Date and the Observation Levels of three Components
increase relative to their
Initial Component Levels as of the second Observation
Date. This example
illustrates how holders of the Notes may benefit
from the increase in the
Observation Level of some of the Components relative
to their respective Initial
Component Levels on each related Observation Date.
|
Index
|
Initial
Component Level
|
Observation
Date 1
|
Observation
Date 2
|
Component
Performance
|
Weighting
in the Portfolio
|
|
SPX
|
1,450.00
|
1,258.00
|
1,322.00
|
-11.03%
|
45%
|
|
MID
|
850.00
|
1,282.00
|
1,304.00
|
52.12%
|
15%
|
|
SX5P
|
3,750.00
|
3,929.00
|
3,685.00
|
1.52%
|
9%
|
|
SML
|
410.00
|
507.00
|
514.00
|
24.51%
|
8%
|
|
NKY
|
16,900.00
|
23,110.00
|
22,727.00
|
35.61%
|
6%
|
|
DJAIG
|
170.00
|
114.00
|
126.00
|
-29.41%
|
6%
|
|
IYR
|
70.00
|
53.00
|
54.00
|
-23.57%
|
6%
|
|
EEM
|
130.00
|
107.00
|
102.00
|
-19.62%
|
5%
|
On
the
Final Observation Date, the Component Performance
for SPX would be -11.03%, the
Component Performance for MID would be 52.12%,
the Component Performance for
SX5P would be 1.52%, the Component Performance
for SML would be 24.51%, the
Component Performance for NKY would be 35.61%,
the Component Performance for
DJAIG would be -29.41%, the Component Performance
for IYR would be -23.57% and
the Component Performance for EEM would be -19.62%,
each as calculated pursuant
to the below formula:
In
this
example, using the formula below, the Portfolio
Return would be greater than
zero.
The
Portfolio Return is an amount equal to the sum
of the Component Performance for
each Component multiplied by its respective Weighting
in the Portfolio.
Portfolio
Return = (-11.03% x 45%) + (52.12% x 15%) + (1.52%
x 9%) + (24.51% x 8%) +
(35.61% x 6%) + (-29.41% x 6%) + (-23.57% x 6%)
+ (-19.62% x 5%)
Portfolio
Return = 2.93%
The
Cash
Settlement Value, using the formula below, would
equal $1,033.99.
FIFTH
THIRD SECURITIES, INC.
8
|
SELECTED
RISK CONSIDERATIONS
|
|
·
|
No
current income—We
will not pay any interest on
the Notes.
|
|
|
·
|
Non-conventional
return—The
yield on the Notes therefore
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.
|
|
|
·
|
No
interest, dividend or other
payments—You
will not receive any interest,
dividend payments or other
distributions on
the constituents of the Components;
nor will such payments be included
in
the calculation of the Cash
Settlement Value you will receive
at
maturity.
|
|
|
·
|
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. Fifth Third
Securities, Inc.
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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The
Components may not move in
tandem—At
a time when the level or price
of one or more of the Components
increases,
the level or price of one or
more of the other Components
may decline.
Therefore, in calculating the
Portfolio Return, increases
in the level or
price of one or more of the
Components may be moderated,
or wholly offset,
by lesser increases or declines
in the level or price of one
or more of
the other Components.
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FIFTH
THIRD SECURITIES, INC.
9