The BearLinxSM Alerian MLP Select Index ETN is linked to the Alerian MLP Select Index (ticker: AMZS) (the "Index"), which is published by the Standard & Poor's, a division of the McGraw-Hill Companies, Inc. (the "Sponsor"), in consultation with Alerian Capital Management LLC ("Alerian"). The BearLinxSM MLP Select Index ETN will track the change in the level of the Index and will pay a monthly coupon equal to the amount of dividends that would be paid from companies underlying the Index each month less a tracking fee.
The Index measures the composite performance of midstream energy oriented Master Limited Partnerships ("MLPs"), and is calculated by the Sponsor using a float-adjusted, market capitalization weighted methodology. The objective of the Index is to provide investors with a comprehensive benchmark for the performance of the energy MLP universe. The MLPs underlying the Index are generally limited partnerships engaged in the exploration, marketing, mining, processing, production, storage or transportation of any mineral or natural resource.
Deal Details
Sector Weightings
As of June 15, 2007 
Index Components
As of June 15, 2007Company Name  |
Ticker |
Price |
Market Cap |
Float Adjust |
Weight |
|---|---|---|---|---|---|
| Alliance Holdings GP LP | AHGP | $30.47 | $1,824.03 | $365.64 | 0.55% |
| Alliance Resource Partners LP | ARLP | $43.83 | $1,602.02 | $905.83 | 1.36% |
| AmeriGas Partners LP | APU | $37.31 | $2,120.05 | $1,192.03 | 1.79% |
| Atlas Pipeline Partners LP | APL | $54.00 | $706.34 | $603.72 | 0.91% |
| Boardwalk Pipeline Partners LP | BWP | $34.56 | $4,017.60 | $1,012.68 | 1.52% |
| Buckeye GP Holdings LP | BGH | $28.05 | $793.82 | $294.53 | 0.44% |
| Buckeye Partners LP | BPL | $50.64 | $2,085.85 | $1,954.59 | 2.94% |
| Copano Energy LLC | CPNO | $42.09 | $1,845.79 | $1,584.44 | 2.38% |
| Crosstex Energy Inc | XTXI | $29.85 | $1,372.40 | $849.37 | 1.28% |
| Crosstex Energy LP | XTEX | $33.96 | $1,473.59 | $483.19 | 0.73% |
| Dorchester Minerals LP | DMLP | $22.50 | $635.41 | $558.63 | 0.84% |
| Eagle Rock Energy Partners LP | EROC | $23.91 | $1,341.68 | $321.69 | 0.48% |
| Enbridge Energy Partners LP | EEP | $54.28 | $4,158.45 | $2,938.40 | 4.42% |
| Energy Transfer Equity LP | ETE | $40.73 | $9,075.88 | $851.05 | 1.28% |
| Energy Transfer Partners LP | ETP | $60.50 | $8,287.14 | $4,298.81 | 6.46% |
| Enterprise Products Partners LP | EPD | $31.03 | $13,435.93 | $8,680.51 | 13.05% |
| Ferrellgas Partners LP | FGP | $24.07 | $1,515.39 | $901.18 | 1.36% |
| Hiland Holdings GP LP | HPGP | $31.76 | $686.02 | $222.70 | 0.33% |
| Inergy LP | NRGY | $35.80 | $1,778.56 | $1,115.29 | 1.68% |
| Kinder Morgan Energy Partners LP | KMP | $54.30 | $9,129.84 | $7,895.34 | 11.87% |
| Kinder Morgan Management LLC | KMR | $51.83 | $3,579.16 | $3,037.43 | 4.57% |
| Linn Energy LLC | LINE | $34.70 | $2,274.94 | $918.53 | 1.38% |
| Magellan Midstream Holdings LP | MGG | $29.28 | $1,834.29 | $644.10 | 0.97% |
| Magellan Midstream Partners LP | MMP | $45.42 | $3,022.53 | $2,953.82 | 4.44% |
| MarkWest Energy Partners LP | MWE | $35.49 | $1,295.38 | $913.31 | 1.37% |
| Natural Resource Partners LP | NRP | $38.01 | $2,034.96 | $925.95 | 1.39% |
| NuStar Energy LP | NS | $66.15 | $3,096.46 | $2,371.95 | 3.57% |
| NuStar GP Holdings LLC | NSH | $36.22 | $1,539.35 | $1,352.64 | 2.03% |
| ONEOK Partners LP | OKS | $68.19 | $5,652.36 | $3,067.14 | 4.61% |
| Penn Virginia Resource Partners LP | PVR | $30.96 | $1,427.45 | $795.32 | 1.20% |
| Plains All American Pipeline LP | PAA | $61.35 | $6,712.01 | $5,040.35 | 7.58% |
| Regency Energy Partners LP | RGNC | $25.25 | $1,203.94 | $538.95 | 0.81% |
| Star Gas Partners LP | SGU | $4.64 | $351.59 | $290.64 | 0.44% |
| Suburban Propane Partners LP | SPH | $48.33 | $1,579.15 | $1,467.99 | 2.21% |
| TC Pipelines LP | TCLP | $39.82 | $1,387.97 | $600.60 | 0.90% |
| TEPPCO Partners LP | TPP | $43.30 | $3,888.55 | $3,106.74 | 4.67% |
| Williams Partners LP | WPZ | $47.63 | $1,874.66 | $1,452.08 | 2.18% |
BearLinx Note Summary
| Ticker Symbol | BSR | Exchange | NYSE |
| Index | Alerian MLP Select Index | Annual Fee | 0.85%* |
| Bloomberg Index Symbol | AMZS Index | Issue Date | 7/20/2007 |
| Reuters Index Symbol | .AMZS | Maturity Date | 7/20/2027** |
| CUSIP Number | 073902835 |
*0.85% annualized based upon a monthly fee of 0.070834%. The monthly fee is deducted from each monthly payment amount payable under the Notes, as further described in the Pricing Supplement. If the coupon amount payable under the Notes for any month is less than the fee, the amount of the difference will be added to the fee to be applied to the coupon payable in the following month until such time as the entire fee has been deducted for all prior months.
** The Notes are listed for trading on the NYSE but may be redeemed prior to maturity at the option of the Noteholder on a weekly basis throughout the term of the Note for a minimum of 75,000 Notes.
Index Correlation and Volatility
Correlation |
Annualized Historical Volatility |
1-year Total Return |
3-year Annualized Total Return |
||||
|---|---|---|---|---|---|---|---|
| Alerian MLP Select Index (AMZS) | 1.00 | 9.79% | 26.03% | 17.93% | |||
| S&P 500 | 0.24 | 14.93% | 18.65% | 11.74% | |||
| Russell 2000 | 0.27 | 19.51% | 14.24% | 14.05% | |||
| NASDAQ | 0.18 | 27.86% | 15.89% | 8.32% | |||
| Dow Jones | 0.26 | 15.14% | 19.33% | 11.04% | |||
Correlation is the tendency of two variables to move in the same direction by proportional amounts, and is (usually) measured by a number ranging between -1 and +1. A higher positive number means that the two variables tend to move in the same direction more often and larger / smaller moves in one variable are more likely to correspond to respectively larger / smaller moves in the other. Similarly, a number closer to -1 means that the two variables tend to move in opposite directions more often, but larger / smaller moves in one variable still correspond to relatively larger / smaller magnitude moves in the other. Alternately, a number near zero means that the two variables tend not to have much of a significant relationship with one another as far as the direction or magnitude.
The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investment, when sold or redeemed may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted.
An investment in the BearLinx Notes involves risks, including possible loss of principal. For a description of the primary risks related to the BearLinx Notes see the "Risk Factors" section in the Pricing Supplement.
The issuer has filed a registration statement (including a prospectus) with the SEC for the offering to which this communication relates. Before you invest, you should read the prospectus 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 website at www.sec.gov or by following the hyperlinks provided below. 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, or you may request a copy from any other dealer participation in the offering. You may also access the prospectus, prospectus supplement and pricing supplement on the SEC website as follows:
Pricing Supplement:
http://www.sec.gov/Archives/edgar/data/777001/000114420407037421/v081375_424b5.htm
Prospectus Supplement:
http://www.sec.gov/Archives/edgar/data/777001/000104746906011015/a2172743z424b5.htm
Prospectus:
http://sec.gov/Archives/edgar/data/777001/000104746906011007/a2172711zs-3asr.htm
Bear Stearns, a subsidiary of the Issuer, assists in the promotion of the BearLinx Notes.
The BearLinx Notes are unsecured obligations of the Issuer and are not secured debt. The BearLinx Notes are riskier than ordinary unsecured debt securities and have no principal protection. You should carefully consider, among other things, the matters set forth in "Risk Factors" in the prospectus supplement and the pricing supplement, as the BearLinx Notes involve risks not associated with conventional debt securities. Risks of investing in the BearLinx Notes include limited portfolio diversification, uncertain principal repayment, and illiquidity. The tracking fee will reduce the amount of the monthly coupon payments you will receive during the term of the BearLinx Notes, and you may receive less than the principal amount of your investment at maturity even if the value of the Index has increased. An investment in the BearLinx Notes may not be suitable for all investors.
The BearLinx Notes may be on the New York Stock Exchange through any brokerage account. There are restrictions on the minimum number of BearLinx Notes you may redeem directly with the Issuer, and the dates on which you may redeem them, as specified in the Pricing Supplement. Sales in the secondary market may result in significant losses.
An investment in the BearLinx Notes may carry risks similar to a concentrated securities investment in the energy oriented Master Limited Partnership sector.
Subject to requirements described in the Pricing Supplement, the BearLinx Notes may be redeemed weekly with the Issuer in large, institutional blocks (75,000 BearLinx Notes). A redemption charge will apply.
The sale, redemption or maturity of the BearLinx Notes will generate tax consequences. For more complete description, please see the description of the US federal income tax treatment in the Pricing Supplement.
None of the Issuer or its affiliates provide tax advice and nothing contained herein should be construed to be tax advice. Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used, and cannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to support the promotion or marketing of the transactions or other matters addressed herein. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the BearLinx Notes..
Alerian MLP Select Index, Alerian MLP Select Total Return Index, Alerian MLP Index and Alerian MLP Total Return Index are trademarks of Alerian Capital Management LLC and their use is granted under a license from Alerian Capital Management LLC