FWP
Table of Contents

Filed Pursuant to Rule 433

Registration No. 333-180488

 

 

LOGO

 

Dear Client:

Thank you for your interest in Market-Linked Investments (“MLI”). Merrill Lynch has created this MLI Performance Summary to provide transparency regarding the historical performance of regularly issued types of MLIs that have matured or been automatically redeemed over the last 10-plus years. These results are displayed on a deal-by-deal basis to provide you with the ability to consider how these investments performed relative to the performance of the underlying linked asset. The summary is organized by MLI product type, with product performance summaries at the end of each respective section.

When used as a complement to traditional investments (e.g., mutual funds, ETFs, individual securities, professional money managers) within core asset classes, MLIs may deliver significant value as a way to mitigate downside investment risk in volatile markets, enhance asset class performance in low-return markets, or a combination of both.

We hope this MLI Performance Summary helps promote understanding of MLI performance in a variety of market environments over the past 10-plus years. This presentation is historical and is provided for informational and educational purposes only. Past performance may not be indicative of future performance.

We encourage you to read the entire summary, including the methodology, important considerations and risk factors that are set forth in the summary. And before investing in any MLI, you should consult your Financial Advisor and you should carefully read the related prospectus and other offering documents, including the risk factors, to determine whether that investment is right for you given your investment objectives, need for liquidity and other factors.

 

 

 

Merrill Lynch Wealth Management makes available products and services offered by Merrill Lynch, Pierce, Fenner & Smith Incorporated, a registered broker-dealer and member SIPC, and other subsidiaries of Bank of America Corporation.

Investment products:

 

    Are Not FDIC Insured    Are Not Bank Guaranteed    May Lose Value


Table of Contents

LOGO


Table of Contents

LOGO

Table of contents

 

Overview

     1   

Important Considerations

     2   

Product Performance

     3–35   

LOGO Accelerated Return Notes® (ARNs ®)

     3   

LOGO Bear Accelerated Return Notes® (Bear ARNs®)

     12   

LOGO Leveraged Index Return Notes® (LIRNs®)

     14   

LOGO Capped Leveraged Index Return Notes® (Capped LIRNs®)

     16   

LOGO Market-Linked Step Up Notes

     20   

LOGO Strategic Accelerated Redemption Securities® (STARS®)

     22   

LOGO Bear Strategic Accelerated Redemption Securities® (Bear STARS®)

     27   

LOGO Market Index Target-Term Securities® (MITTS®)

     28   

LOGO STEP Income Securities® (STEPS ®)

     33   

Risk Factors

     36   


Table of Contents

LOGO

 

Overview

THE PURPOSE OF THIS PERFORMANCE SUMMARY is to illustrate the performance of Market-Linked Investments (“MLIs”) when compared with the assets to which they are linked (“Linked Assets”). This performance summary includes 942 MLIs, distributed by Merrill Lynch, Pierce, Fenner & Smith Incorporated and issued by Bank of America Corporation, Merrill Lynch & Co., Inc., or a third-party issuer, that have matured or have been automatically redeemed between September 20, 2002, and December 31, 2012.

For a variety of reasons, as described in more detail in the “Risk Factors” section of this document, prior results, including the results illustrated in this document, are not necessarily indicative of the performance of any MLI that you may purchase in the future. This Performance Summary is not intended to provide the sole basis for evaluating, and should not be considered a recommendation with respect to, any MLI, any transaction or any other matter, and it is not indicative of the future performance of any MLI. As in the case of any investment, you should carefully review the applicable prospectus or offering documents before making an investment decision.

The following methodology was used as the basis of this Performance Summary:

 

¡  

942 MLIs, issued by Bank of America Corporation, Merrill Lynch & Co., Inc., or a third-party issuer, that have matured or were automatically redeemed between September 20, 2002, and December 31, 2012, are included in this summary.

 

¡  

MLIs are grouped by Product Type.

Product Types

Nine different Product Types were selected: ARNs®, Bear ARNs®, LIRNs®, Capped LIRNs®, Market-Linked Step Up Notes, STARS®, Bear STARS®, MITTS® and STEPS®.

Linked Asset Types

Three different Linked Asset Types were selected: Equity, Commodity and Currency. Please note that each of these Linked Asset Classes may perform differently when linked to different Product Types.

For each respective group:

 

¡  

The “Average Linked Asset Return” is equal to the simple arithmetic average of the annualized returns of the Linked Assets for the MLI issuances in that group. In instances where the MLI reflects a bearish strategy, the “Average Strategy Return” is assumed to reflect a bearish position in the Linked Asset.

¡  

The “Average MLI Return” is equal to the simple arithmetic average of the annualized returns for the MLIs included in that group and does not reflect the principal amount of each MLI.

 

¡  

The “Average MLI Outperformance/Underperformance” equals the “Average MLI Return” minus the “Average Linked Asset Return” for that group.

 

¡  

The “% of Offerings Where MLI Underperforms Linked Asset” is the percentage of the offerings in which the MLI had a lower return than the Linked Asset.

 

¡  

The “% of Offerings Where Performance Is Equal” is the percentage of the offerings in which the MLI had a return equal to that of the Linked Asset.

 

¡  

The “% of Offerings Where MLI Outperformed Linked Asset” is the percentage of the offerings in which the MLI had a higher return than the Linked Asset.

Please note that the outperformance and underperformance figures represent only comparisons against the Linked Asset and are not in any way an indication of absolute positive or negative performance by the MLI.

 

 

1


Table of Contents

LOGO

 

Important Considerations

 

¡  

The product performance summary tables on the following pages set forth the average performance of a large number of MLIs. Because these amounts reflect the average performance of the indicated offerings, a significant number of MLIs performed worse than these averages.

 

¡  

MLIs that were redeemed or called early and would have matured according to their terms after December 2012 were included in this summary. This factor may introduce upward or downward bias to the Average MLI Return.

 

¡  

Returns for MLIs that were outstanding for more than one year are annualized.

 

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All MLI Returns are calculated pre-tax.

 

¡  

Returns are not asset weighted. Therefore, the returns on each MLI count equally in determining the average MLI return, without regard to the aggregate principal amount of each issuance.

 

¡  

The Linked Asset for each MLI is the index, basket, equity, commodity or currency referenced by the MLI. The Linked Asset Returns do not include dividends paid on the Linked Asset. Such dividends would increase the return on the Linked Asset and decrease any outperformance. In some cases, the inclusion of dividends in the return on a Linked Asset would cause it to outperform the MLI, and not to underperform the MLI.

¡  

If the MLI pays periodic interest payments or coupons, those payments or coupons are included in the MLI Return.

 

¡  

The MITTS® Product Type includes MLIs that were not named MITTS but are included in the MITTS Product Type because they included a significant market downside protection feature.

 

¡  

The returns on the MLIs reflect the underwriting compensation and other fees that are included in the terms of the MLIs.

 

¡  

A wide variety of MLIs may be offered in the future. The performance of MLIs offered in the future is unlikely to be the same as the MLIs issued in the past. Accordingly, the results demonstrated in the performance tables may improve, or become worse, over time.

 

¡  

The Product Types do not include all MLIs types that have been offered historically. Additionally, MLIs based on interest rates or inflation measures are not included in this summary.

 

¡  

There are MLIs that have been offered that have not matured or been redeemed as of the date of this document. You may contact a Merrill Lynch Financial Advisor to learn more about the performance of MLI offerings that are not included in this document.

 

 

2


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNS®)

Offer enhanced exposure—typically three times—to the return of the linked asset subject to a cap. Downside exposure to the linked asset is on a one-to-one basis.

 

LOGO

Product Performance

 

Linked Asset  
Class
  Linked Asset     Pricing Date    Term
 (years)  
    Linked Asset  
Return
1,2
  MLI
Return
1
    MLI Outperformance/  
Underperformance
Equity   Nasdaq-100 Index   January-2003   2.2   19.17%   17.28%   -1.89%
Equity   S&P 500 Index   March-2003   1.2   20.67%   14.79%   -5.88%
Equity   Nasdaq-100 Index   April-2003   1.2   21.33%   18.83%   -2.50%
Equity   AMEX Biotechnology Index   July-2003   1.2   11.21%   14.79%   3.58%
Equity   Nasdaq-100 Index   August-2003   1.2   15.18%   15.03%   -0.15%
Equity   Pfizer Inc   September-2003   1.2   -11.88%   -11.88%   0.00%
Equity   S&P 500 Index   October-2003   1.5   7.76%   11.03%   3.27%
Equity   Semiconductor HOLDRs   October-2003   1.2   -17.23%   -17.23%   0.00%
Equity   Citigroup Inc   October-2003   1.2   1.56%   4.67%   3.11%
Equity   Dow Jones Industrial Average   November-2003   1.2   14.75%   26.83%   12.08%
Equity   Nikkei 225 Index   February-2004   1.3   3.11%   9.26%   6.15%
Equity   Nikkei 225 Index   April-2004   1.2   -2.84%   -2.84%   0.00%
Equity   Global Equity Index Basket   May-2004   1.2   10.14%   9.90%   -0.24%
Equity   S&P 500 Index   May-2004   1.7   8.01%   9.68%   1.67%
Equity   Dow Jones Industrial Average   June-2004   1.6   1.5%   4.44%   2.94%

 

   3    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  
Class
  Linked Asset   Pricing Date    Term
(years)  
   Linked Asset  
Return
1,2
   MLI
Return
1  
   MLI Outperformance/  
Underperformance
Equity   Nasdaq-100 Index   July-2004    1.5    14.22%    12.92%    -1.3%
Equity   Russell 2000 Index   August-2004    1.2    13.08%    11.94%    -1.14%
Currency   Currency Exchange Rate   September-2004    1.2    -4.10%    -4.10%    0.00%
Equity   Russell 2000 Index   December-2004    1.5    3.67%    10.78%    7.11%
Equity   Dow Jones Industrial Average   February-2005    1.5    2.38%    7.08%    4.70%
Equity   AMEX Biotechnology Index   March-2005    1.5    21.49%    12.61%    -8.88%
Commodity   Dow Jones-UBS Commodity Index   May-2005    2.0    7.25%    14.02%    6.77%
Equity   Nasdaq-100 Index   June-2005    1.0    2.85%    8.60%    5.75%
Equity   Global Equity Index Basket   August-2005    1.2    16.40%    10.72%    -5.68%
Equity   Nikkei 225 Index   August-2005    1.2    26.31%    19.03%    -7.28%
Equity   Asian Equity Index Basket   November-2005    1.2    41.57%    14.79%    -26.78%
Equity   Russell 2000 Index   December-2005    1.2    16.09%    13.82%    -2.27%
Equity   Nikkei 225 Index   December-2005    1.2    8.61%    22.52%    13.91%
Equity   Nasdaq-100 Index   January-2006    1.5    9.94%    12.04%    2.10%
Equity   S&P 500 Index   February-2006    1.6    7.10%    9.57%    2.47%
Commodity   Gold Spot Price   February-2006    1.2    13.01%    16.41%    3.40%
Equity   Dow Jones Eurostoxx 50 Index   March-2006    1.2    12.89%    15.57%    2.68%
Equity   International Equity Index Basket   March-2006    1.2    14.85%    14.79%    -0.06%
Commodity   Dow Jones-UBS Commodity Index   March-2006    1.2    2.02%    6.04%    4.02%
Equity   Asian Equity Index Basket   May-2006    1.2    12.49%    17.82%    5.33%
Equity   Nikkei 225 Index   June-2006    1.2    9.45%    23.64%    14.19%
Equity   Russell 2000 Index   June-2006    1.2    11.51%    15.76%    4.25%
Equity   Nasdaq-100 Index   August-2006    1.2    32.67%    13.82%    -18.85%
Equity   Philadelphia Gold and Silver Index   August-2006    1.2    11.19%    28.26%    17.07%
Equity   S&P MidCap 400 Index   August-2006    1.0    15.69%    15.00%    -0.69%
Equity   Dow Jones Industrial Average   August-2006    1.2    12.68%    11.42%    -1.26%
Equity   Russell 2000 Index   September-2006      1.3    5.00%    14.80%    9.80%
Equity   Global Equity Index Basket   October-2006    1.2    1.89%    5.65%    3.76%
Equity   Nikkei 225 Index   November-2006    1.2    -5.34%    -5.34%    0.00%
Equity   Dow Jones Industrial Average   November-2006    1.3    1.70%    5.07%    3.37%
Equity   MSCI EAFE Index   November-2006    1.2    1.70%    5.08%    3.38%
Commodity   Gold Spot Price   December-2006    1.2    40.93%    11.54%    -29.39%
Equity   Energy Select Sector Index   December-2006    1.2    23.12%    18.57%    -4.55%
Commodity   Rogers International Commodity Index - Excess Return   December-2006    1.2    30.35%    15.60%    -14.75%
Equity   International Equity Index Basket   January-2007    1.2    31.06%    18.18%    -12.88%
Equity   S&P 500 Index   January-2007    1.2    -5.71%    -5.71%    0.00%
Equity   Asian Equity Index Basket   February-2007    1.2    1.09%    2.98%    1.89%
Equity   Topix Small Cap Index   February-2007    1.2    -26.29%    -26.29%    0.00%
Equity   Russell 2000 Index   February-2007    1.2    -7.77%    -7.77%    0.00%
Equity   Nikkei 225 Index   March-2007    1.2    -17.86%    -17.86%    0.00%
Commodity   Merrill Lynch Commodity Index - Excess Return   March-2007    1.2    36.06%    19.63%    -16.43%
Equity   Global Equity Index Basket   March-2007    1.2    -8.68%    -8.68%    0.00%

 

   4    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Linked Asset  
  Return 1,2   
  MLI 
  Return1   
  MLI Outperformance/ 
Underperformance

Equity

  S&P 500 Index   March-2007   1.1   -5.15%   -5.15%   0.00%

Equity

  S&P MidCap 400 Index   March-2007   1.0   -7.36%   -7.36%   0.00%

Equity

  MSCI EAFE Index   May-2007   1.2   -11.13%   -11.13%   0.00%

Equity

  Russell 2000 Index   May-2007   1.3   -12.21%   -12.21%   0.00%

Equity

  Greater China Equity Index Basket   May-2007   1.2   9.46%   20.12%   10.66%

Equity

  Dow Jones Eurostoxx 50 Index   May-2007   1.2   -21.64%   -21.64%   0.00%

Commodity

  Gold Spot Price   May-2007   1.2   30.89%   11.54%   -19.35%

Equity

  International Equity Index Basket   May-2007   1.2   -13.82%   -13.82%   0.00%

Commodity

  Dow Jones-UBS Commodity Index   May-2007   1.2   15.04%   24.44%   9.40%

Equity

  Dow Jones Eurostoxx 50 Index   May-2007   1.2   -22.31%   -22.31%   0.00%

Equity

  Nikkei 225 Index   May-2007   1.2   -21.98%   -21.98%   0.00%

Equity

  MSCI EAFE Index   June-2007   1.2   -17.01%   -17.01%   0.00%

Equity

  Dow Jones Eurostoxx 50 Index   June-2007   1.2   -21.24%   -21.24%   0.00%

Equity

  Topix Small Cap Index   June-2007   1.2   -27.73%   -27.73%   0.00%

Equity

  Asian Equity Index Basket   July-2007   1.2   -26.46%   -26.46%   0.00%

Equity

  Nasdaq-100 Index   August-2007   1.0   -1.46%   -1.46%   0.00%

Equity

  S&P MidCap 400 Index   August-2007   1.0   -5.58%   -5.58%   0.00%

Equity

  Nikkei 225 Index   August-2007   1.2   -30.17%   -30.17%   0.00%

Equity

  Philadelphia Defense Sector Index   August-2007   1.2   -18.45%   -18.45%   0.00%

Equity

  S&P 500 Index   August-2007   1.2   -38.69%   -38.69%   0.00%

Equity

  Russell 2000 Index   August-2007   1.2   -28.61%   -28.61%   0.00%

Equity

  Dow Jones STOXX 600 Index   August-2007   1.2   -35.94%   -35.94%   0.00%

Commodity

  Dow Jones-UBS Commodity Index   August-2007   1.2   -17.02%   -17.02%   0.00%

Equity

  Philadelphia Gold and Silver Index   September-2007   1.2   -36.23%   -36.23%   0.00%

Equity

  Nasdaq-100 Index   September-2007   1.2   -39.08%   -39.08%   0.00%

Equity

  Russell 1000 Growth Index   September-2007   1.2   -37.52%   -37.52%   0.00%

Equity

  S&P 500 Index   September-2007   1.2   -38.06%   -38.06%   0.00%

Equity

  MSCI EAFE Index   September-2007   1.2   -44.10%   -44.10%   0.00%

Equity

  Dow Jones BRIC 50 Index   September-2007   1.2   -50.02%   -50.02%   0.00%

Equity

  Nasdaq-100 Index   October-2007   1.2   -38.85%   -38.85%   0.00%

Equity

  Philadelphia Gold and Silver Index   October-2007   1.2   -32.89%   -32.89%   0.00%

Commodity

  Rogers International Commodity Index - Excess Return   October-2007   1.2   -37.79%   -37.79%   0.00%

Equity

  S&P 100 Index   November-2007   1.2   -36.40%   -36.40%   0.00%

Equity

  Philadelphia Semiconductor Index   November-2007     1.2   -47.76%   -47.76%   0.00%

Equity

  S&P MidCap 400 Index   November-2007   1.2   -36.42%   -36.42%   0.00%

Equity

  Dow Jones Industrial Average   November-2007   1.2   -33.62%   -33.62%   0.00%

Equity

  MSCI EAFE Index   November-2007   1.2   -44.89%   -44.89%   0.00%

Equity

  Global Equity Index Basket   January-2008   1.2   -37.55%   -37.55%   0.00%

Equity

  Nikkei 225 Index   January-2008   1.2   -34.34%   -34.34%   0.00%

Equity

  Russell 2000 Index   January-2008   1.2   -33.37%   -33.37%   0.00%

Equity

  S&P 500 Index   January-2008   1.2   -34.96%   -34.96%   0.00%

Equity

  MSCI Emerging Markets Index   January-2008   1.2   -40.55%   -40.55%   0.00%

 

   5    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Linked Asset  
  Return 1,2   
  MLI 
  Return1   
  MLI Outperformance/ 
Underperformance

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   January-2008   1.2   -33.02%   -33.02%   0.00%

Equity

  S&P Asia 50 Index   January-2008   1.2   -33.77%   -33.77%   0.00%

Equity

  MSCI EAFE Index   February-2008   1.2   -38.96%   -38.96%   0.00%

Equity

  Dow Jones Industrial Average   February-2008   1.2   -31.08%   -31.08%   0.00%

Equity

  Russell 1000 Growth Index   February-2008   1.2   -28.11%   -28.11%   0.00%

Commodity

  Rogers International Commodity Index - Excess Return   February-2008   1.2   -45.42%   -45.42%   0.00%

Equity

  MSCI Brazil Index   February-2008   1.2   -43.25%   -43.25%   0.00%

Equity

  S&P 500 Index   March-2008   1.2   -26.87%   -26.87%   0.00%

Equity

  S&P MidCap 400 Index   March-2008   1.2   -23.22%   -23.22%   0.00%

Equity

  Philadelphia Gold and Silver Index   March-2008   1.2   -15.15%   -15.15%   0.00%

Equity

  Health Care Select Sector Index   March-2008   1.2   -16.65%   -16.65%   0.00%

Equity

  Asian Equity Index Basket   March-2008   1.2   -17.92%   -17.92%   0.00%

Equity

  WilderHill New Energy Global Innovation Index   March-2008   1.2   -34.72%   -34.72%   0.00%

Equity

  International Equity Index Basket   April-2008   1.2   -34.23%   -34.23%   0.00%

Equity

  S&P 500 Index   May-2008   1.2   -31.84%   -31.84%   0.00%

Commodity

  Merrill Lynch Commodity Index - Excess Return   May-2008   1.2   -37.88%   -37.88%   0.00%

Equity

  Nikkei 225 Index   May-2008   1.2   -25.04%   -25.04%   0.00%

Equity

  Global Equity Index Basket   June-2008   1.2   -23.78%   -23.78%   0.00%

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   June-2008   1.2   -29.43%   -29.43%   0.00%

Equity

  S&P 500 Index   June-2008   1.2   -21.95%   -21.95%   0.00%

Equity

  MSCI EAFE Index   June-2008   1.2   -24.19%   -24.19%   0.00%

Equity

  Technology Select Sector Index   June-2008   1.2   -14.04%   -14.04%   0.00%

Equity

  S&P 500 Index   June-2008   1.2   -19.65%   -19.65%   0.00%

Equity

  S&P 100 Index   June-2008   1.2   -18.25%   -18.25%   0.00%

Commodity

  Gold Spot Price   July-2008   1.2   8.35%   24.44%   16.09%

Equity

  S&P 500 Index   July-2008   1.2   -15.05%   -15.05%   0.00%

Commodity

  Dow Jones-UBS Commodity Index   July-2008   1.2   -34.20%   -34.20%   0.00%

Equity

  Russell 2000 Index   August-2008   1.2   -11.57%   -11.57%   0.00%

Equity

  MSCI EAFE Index   August-2008   1.2   -14.58%   -14.58%   0.00%

Equity

  Dow Jones Eurostoxx 50 Index   August-2008   1.2   -12.85%   -12.85%   0.00%

Equity

  S&P MidCap 400 Index   August-2008   1.2   -11.80%   -11.80%   0.00%

Equity

  Nasdaq-100 Index   August-2008   1.2   -6.73%   -6.73%   0.00%

Equity

  MSCI EAFE Index   August-2008   1.2   -9.84%   -9.84%   0.00%

Equity

  S&P 500 Index   September-2008    1.2   -7.36%   -7.36%   0.00%

Commodity

  Dow Jones-UBS Commodity Index   September-2008    1.2   -20.64%   -20.64%   0.00%

Equity

  Select Sectors Index Basket   October-2008   1.2   13.01%   23.48%   10.47%

Equity

  S&P 500 Index   October-2008   1.2   16.22%   33.11%   16.89%

Equity

  S&P 500 Index   October-2008   1.2   16.22%   26.49%   10.27%

Equity

  Russell 2000 Index   October-2008   1.2   20.24%   30.63%   10.39%

Equity

  Nikkei 225 Index   October-2008   1.2   21.74%   33.00%   11.26%

Equity

  S&P 500 Index   November-2008   1.2   23.73%   36.29%   12.56%

Equity

  Consumer Staples Select Sector Index   November-2008   1.2   10.86%   27.66%   16.80%

 

   6    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Linked Asset  
  Return 1,2   
  MLI
  Return1   
  MLI Outperformance/ 
Underperformance

Equity

  MSCI EAFE Index   November-2008   1.2   30.34%   33.47%   3.13%

Equity

  S&P 500 Index   January-2009   1.2   22.83%   24.96%   2.13%

Commodity

  Gold Spot Price   January-2009   1.2   19.69%   38.72%   19.03%

Equity

  S&P 500 Index   January-2009   1.2   31.07%   28.61%   -2.46%

Equity

  S&P 500 Index   February-2009   1.2   48.05%   25.42%   -22.63%

Equity

  Russell 2000 Index   March-2009   1.2   44.87%   34.53%   -10.34%

Equity

  S&P 500 Index   March-2009   1.2   30.55%   27.40%   -3.15%

Commodity

  Gold Spot Price   March-2009   1.2   25.03%   35.61%   10.58%

Equity

  Russell 3000 Index   April-2009   1.6   27.03%   14.91%   -12.12%

Equity

  S&P 500 Index   May-2009   1.2   17.11%   22.59%   5.48%

Commodity

  Dow Jones-UBS Commodity Index   May-2009   1.2   4.94%   14.69%   9.75%

Equity

  MSCI EAFE Index   May-2009   1.2   11.52%   19.51%   7.99%

Commodity

  MLCX Brent Index   May-2009   1.6   15.19%   27.82%   12.63%

Equity

  S&P 500 Index   May-2009   1.2   18.87%   14.30%   -4.57%

Equity

  S&P MidCap 400 Index   May-2009   1.2   28.53%   24.44%   -4.09%

Commodity

  Rogers International Commodity Index - Excess Return   May-2009   1.2   4.53%   13.48%   8.95%

Equity

  Russell 2000 Index   June-2009   1.2   18.96%   25.51%   6.55%

Equity

  S&P 500 Index   June-2009   1.2   15.60%   19.75%   4.15%

Commodity

  Rogers International Commodity Index - Excess Return   June-2009   1.2   2.67%   7.97%   5.30%

Equity

  S&P MidCap 400 Index   July-2009   1.3   18.72%   17.63%   -1.09%

Commodity

  Basket of Commodity Indices   July-2009   2.0   19.08%   23.49%   4.41%

Equity

  Technology Select Sector Index   July-2009   1.2   12.44%   19.39%   6.95%

Equity

  S&P 500 Index   July-2009   1.2   13.20%   18.06%   4.86%

Commodity

  Gold Spot Price   July-2009   1.2   29.78%   22.64%   -7.14%

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   July-2009   1.2   19.08%   15.61%   -3.47%

Equity

  Dow Jones Eurostoxx 50 Index   August-2009   2.0   -8.46%   -8.46%   0.00%

Equity

  Energy Select Sector Index   August-2009   2.0   14.01%   22.58%   8.57%

Equity

  S&P 500 Index   August-2009   2.0   7.66%   17.96%   10.30%

Commodity

  Merrill Lynch Commodity Index Extra Agriculture X1 Index   August-2009   2.0   25.34%   18.64%   -6.70%

Equity

  S&P 500 Index   August-2009   1.2   12.37%   20.21%   7.84%

Commodity

  Rogers International Commodity Index - Excess Return   August-2009   1.2   15.61%   23.84%   8.23%

Equity

  S&P 100 Index   September-2009    1.2   7.65%   14.79%   7.14%

Commodity

  Gold Spot Price   September-2009     1.2   29.54%   24.92%   -4.62%

Equity

  MSCI EAFE Index   September-2009   1.2   3.20%   9.53%   6.33%

Equity

  Nasdaq-100 Index   October-2009   1.2   28.83%   16.61%   -12.22%

Equity

  Energy Select Sector Index   October-2009   1.2   18.34%   24.17%   5.83%

Equity

  S&P MidCap 400 Index   October-2009   1.2   30.69%   21.1%   -9.59%

Equity

  S&P 500 Index   October-2009   1.2   18.26%   16.37%   -1.89%

Equity

  MSCI EAFE Index   October-2009   1.2   5.02%   14.92%   9.90%

Equity

  Energy Select Sector Index   November-2009   1.2   18.26%   21.48%   3.22%

Equity

  S&P 500 Index   November-2009   1.2   13.38%   15.62%   2.24%

Commodity

  Rogers International Commodity Index - Excess Return   November-2009   1.2   18.24%   20.36%   2.12%

 

   7    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Commodity   Crude Oil   December-2009      1.2   14.20%   14.79%   0.59%
Equity   MSCI EAFE Index   December-2009   1.2   10.07%   15.15%   5.08%
Equity   Dow Jones U.S. Real Estate Index   January-2010   1.2   23.74%   27.62%   3.88%
Equity   Russell 2000 Index   January-2010   1.2   23.52%   18.31%   -5.21%
Equity   S&P 500 Index   January-2010   1.2   13.71%   14.23%   0.52%
Equity   Financial Select Sector Index   January-2010   1.2   10.53%   19.63%   9.10%
Equity   MSCI EAFE Index   January-2010   1.2   6.18%   14.91%   8.73%
Commodity   Gold Spot Price   January-2010   1.2   25.29%   18.43%   -6.86%
Equity   Energy Select Sector Index   February-2010   1.2   32.89%   18.06%   -14.83%
Equity   S&P 500 Index   February-2010   1.2   16.87%   13.28%   -3.59%
Equity   S&P MidCap 400 Index   February-2010   1.2   27.95%   15.45%   -12.50%
Equity   Russell 2000 Index   February-2010   1.2   27.15%   17.48%   -9.67%
Equity   MSCI EAFE Index   February-2010   1.2   14.09%   15.03%   0.94%
Commodity   Silver Spot Price   February-2010   1.2   139.83%   27.83%   -112.0%
Commodity   Rogers International Commodity Index - Excess Return   February-2010   1.2   32.37%   16.00%   -16.37%
Commodity   Silver Spot Price   March-2010   1.3   68.57%   26.25%   -42.32%
Equity   PHLX Oil Service Sector Index   March-2010   1.2   24.23%   20.03%   -4.20%
Equity   S&P 500 Index   March-2010   1.2   11.47%   11.91%   0.44%
Equity   Industrial Select Sector Index   March-2010   1.2   16.17%   13.72%   -2.45%
Commodity   Platinum Spot Price   March-2010   1.2   8.30%   24.54%   16.24%
Equity   MSCI EAFE Index   March-2010   1.2   6.55%   14.42%   7.87%
Commodity   Gold Spot Price   March-2010   1.2   32.08%   15.15%   -16.93%
Equity   MSCI Emerging Markets Index   March-2010   1.2   9.97%   14.06%   4.09%
Commodity   Merrill Lynch Commodity Index Extra A01 Index   March-2010   1.2   23.65%   12.35%   -11.3%
Equity   S&P 500 Index   April-2010   1.2   4.74%   12.99%   8.25%
Equity   Financial Select Sector Index   April-2010   1.2   -8.56%   -8.56%   0.00%
Equity   Philadelphia Oil Service Sector Index   April-2010   1.2   12.70%   22.48%   9.78%
Equity   Russell 2000 Index   April-2010   1.2   5.59%   16.60%   11.01%
Commodity   Rogers International Commodity Index - Excess Return   April-2010   1.2   17.57%   15.15%   -2.42%
Commodity   Silver Spot Price   April-2010   1.2   68.76%   20.68%   -48.08%
Equity   Energy Select Sector Index   May-2010   2.0   11.56%   20.04%   8.48%
Equity   PHLX Housing Sector Index   May-2010   1.2   0.65%   1.96%   1.31%
Equity   Russell 2000 Index   May-2010   1.2   24.30%   23.24%   -1.06%
Equity   S&P 500 Index   May-2010   1.2   20.58%   17.70%   -2.88%
Commodity   Gold Spot Price   May-2010   1.2   26.97%   15.29%   -11.68%
Equity   MSCI EAFE Index   May-2010   1.2   20.74%   18.91%   -1.83%
Equity   Brazil and China Index Basket   May-2010   1.2   10.15%   24.28%   14.13%
Equity   Apple Inc./Technology Select Sector   May-2010   1.2   29.57%   12.39%   -17.18%
Commodity   Copper Spot Price   June-2010   1.1   41.36%   25.07%   -16.29%
Equity   S&P 500 Index   June-2010   1.2   5.80%   15.57%   9.77%
Equity   S&P MidCap 400 Index   June-2010   1.2   8.12%   18.43%   10.31%
Equity   Nasdaq-100 Index   June-2010   1.2   11.12%   15.57%   4.45%

 

   8    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
  MLI Outperformance/  
Underperformance
Equity   Energy Select Sector Index   July-2010   1.2   10.50%   20.48%   9.98%
Equity   S&P MidCap 400 Index   July-2010   1.2   4.76%   14.15%   9.39%
Equity   Russell 2000 Index   July-2010   1.2   1.34%   4.02%   2.68%
Equity   S&P 500 Index   July-2010   1.2   3.97%   11.82%   7.85%
Equity   MSCI EAFE Index   July-2010   1.2   -6.87%   -6.87%   0.00%
Commodity   Rogers International Commodity Index - Excess Return   July-2010   1.2   10.52%   13.54%   3.02%
Commodity   Gold Spot Price   July-2010   1.2   34.50%   15.78%   -18.72%
Commodity   Silver Spot Price   July-2010   1.2   70.98%   24.77%   -46.21%
Equity   S&P 500 Index   August-2010   1.2   13.56%   17.65%   4.09%
Equity   Financial Select Sector Index   August-2010   1.2   -3.36%   -3.36%   0.00%
Commodity   Rogers International Commodity Index - Excess Return   August-2010   1.2   16.61%   13.31%   -3.30%
Equity   S&P 500 Index   September-2010      1.2   7.29%   15.01%   7.72%
Equity   PHLX Oil Service Sector Index   September-2010   1.2   18.01%   22.04%   4.03%
Equity   Russell 2000 Index   September-2010   1.2   8.21%   21.1%   12.89%
Equity   MSCI Emerging Markets Index   September-2010   1.2   -9.17%   -9.17%   0.00%
Commodity   Gold Spot Price   September-2010   1.2   25.74%   16.56%   -9.18%
Commodity   Rogers International Commodity Index - Excess Return   September-2010   1.2   9.19%   11.67%   2.48%
Equity   S&P 500 Index   October-2010   1.2   2.46%   7.34%   4.88%
Equity   Energy Select Sector Index   October-2010   1.2   9.56%   17.60%   8.04%
Equity   S&P MidCap 400 Index   October-2010   1.2   2.39%   7.14%   4.75%
Commodity   Rogers International Commodity Index - Excess Return   October-2010   1.2   -1.09%   -1.09%   0.00%
Commodity   Gold Spot Price   November-2010   1.2   20.74%   15.60%   -5.14%
Equity   MSCI EAFE Index   November-2010   1.2   -6.11%   -6.11%   0.00%
Equity   S&P 500 Index   November-2010   1.2   9.30%   13.57%   4.27%
Commodity   Crude Oil   December-2010   1.2   13.23%   13.73%   0.50%
Equity   MSCI EAFE Index   December-2010   1.2   -4.77%   -4.77%   0.00%
Commodity   Copper Spot Price   December-2010   1.1   -10.28%   -10.28%   0.00%
Equity   S&P 500 Index   December-2010   1.2   6.63%   12.25%   5.62%
Commodity   Gold Spot Price   December-2010   1.2   23.23%   14.55%   -8.68%
Equity   S&P 500 Index   January-2011   1.2   8.21%   12.82%   4.61%
Commodity   Crude Oil   January-2011   1.0   10.19%   12.21%   2.02%
Commodity   Copper Spot Price   January-2011   1.2   -13.18%   -13.18%   0.00%
Equity   Financial Select Sector Index   January-2011   1.1   -4.05%   -4.05%   0.00%
Commodity   Gold Spot Price   January-2011   1.2   21.87%   12.77%   -9.10%
Commodity   Rogers International Commodity Index - Excess Return   January-2011   1.2   -0.59%   -0.59%   0.00%
Equity   Energy Select Sector Index   January-2011   1.2   1.12%   3.35%   2.23%
Equity   S&P 500 Index   January-2011   1.2   6.68%   11.18%   4.50%
Equity   MSCI EAFE Index   January-2011   1.2   -7.48%   -7.48%   0.00%
Equity   S&P MidCap 400 Index   January-2011   1.2   5.34%   12.79%   7.45%
Commodity   Copper Spot Price   January-2011   1.1   -11.85%   -11.85%   0.00%
Equity   Global Equity Basket   February-2011   1.2   -1.76%   -1.76%   0.00%
Equity   Global Equity Basket   February-2011   1.2   -2.96%   -2.96%   0.00%

 

   9    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Commodity   Rogers International Commodity Index - Excess Return   February-2011   1.2   -8.05%   -8.05%   0.00%
Equity   MSCI EAFE Index   February-2011   1.2   -10.57%   -10.57%   0.00%
Equity   Nasdaq-100 Index   February-2011   1.2   12.84%   11.57%   -1.27%
Equity   S&P 500 Index   February-2011   1.2   4.43%   11.57%   7.14%
Equity   Industrial Select Sector Index   February-2011   1.2   0.70%   2.09%   1.39%
Equity   Energy Select Sector Index   February-2011   1.2   -8.07%   -8.07%   0.00%
Commodity   Copper Spot Price   February-2011   1.1   -9.57%   -9.57%   0.00%
Commodity   Rogers International Commodity Index - Agriculture Excess Return   March-2011   1.2   -19.56%   -19.56%   0.00%
Equity   Energy Select Sector Index   March-2011   1.2   -14.58%   -14.58%   0.00%
Commodity   Palladium Spot Price   March-2011   1.2   -18.84%   -18.84%   0.00%
Equity   S&P 500 Index   March-2011   1.2   0.12%   0.35%   0.23%
Equity   MSCI EAFE Index   March-2011   1.2   -16.16%   -16.16%   0.00%
Commodity   Gold Spot Price   March-2011   1.2   6.95%   12.62%   5.67%
Equity   Financial Select Sector Index   March-2011   1.2   -12.27%   -12.27%   0.00%
Equity   Russell 2000 Index   March-2011   1.2   -5.90%   -5.90%   0.00%
Equity   Dell Inc   April-2011   1.2   -15.21%   -15.21%   0.00%
Equity   Energy Select Sector Index   April-2011   1.2   -17.05%   -17.05%   0.00%
Equity   S&P MidCap 400 Index   April-2011   1.2   -8.22%   -8.22%   0.00%
Equity   Russell 2000 Index   April-2011   1.2   -8.92%   -8.92%   0.00%
Equity   MSCI EAFE Index   April-2011   1.2   -19.50%   -19.50%   0.00%
Equity   S&P 500 Index   April-2011   1.2   -1.87%   -1.87%   0.00%
Commodity   Silver Spot Price   April-2011   1.2   -38.00%   -38.00%   0.00%
Commodity   Merrill Lynch Commodity Index - Excess Return   April-2011   1.2   -20.26%   -20.26%   0.00%
Commodity   Front Month Brent Crude Oil Futures Contract   May-2011   1.5   -3.43%   -3.43%   0.00%
Commodity   Palladium Spot Price   May-2011   1.2   -20.19%   -20.19%   0.00%
Equity   MSCI EAFE Index   May-2011   1.2   -14.29%   -14.29%   0.00%
Equity   S&P 500 Index   May-2011   1.1   2.36%   7.07%   4.71%
Equity   MSCI Emerging Markets Index   May-2011   1.2   -15.49%   -15.49%   0.00%
Equity   PHLX Oil Service Sector Index   May-2011   1.2   -18.26%   -18.26%   0.00%
Commodity   Rogers International Commodity Index - Agriculture Excess Return   May-2011   1.2   -8.69%   -8.69%   0.00%
Commodity   Gold Spot Price   May-2011   1.2   5.43%   12.84%   7.41%
Commodity   Merrill Lynch Commodity index eXtra A06 Index - Excess Return   June-2011   1.0   -21.82%   -21.82%   0.00%
Commodity   Commodity Index Basket   June-2011   1.2   -7.21%   -7.21%   0.00%
Commodity   Front Month Brent Crude Oil Futures Contract   June-2011   1.4   -6.35%   -6.35%   0.00%
Equity   PHLX Oil Service Sector Index   June-2011   1.2   -8.79%   -8.79%   0.00%
Equity   S&P 500 Index   June-2011   1.2   8.10%   12.99%   4.89%
Equity   Financial Select Sector Index   June-2011   1.2   1.27%   3.80%   2.53%
Commodity   Rogers International Commodity Index - Excess Return   June-2011   1.2   -1.44%   -1.44%   0.00%
Equity   Global Equity Index Basket   June-2011   1.2   -1.94%   -1.94%   0.00%
Equity   Russell 2000 Index   June-2011   1.2   0.81%   2.43%   1.62%
Commodity   Rogers International Commodity Index - Agriculture Excess Return   July-2011   1.2   -3.52%   -3.52%   0.00%
Equity   S&P 500 Index   July-2011   1.2   9.86%   11.99%   2.13%

 

   10    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   PHLX Semiconductor Sector Index   July-2011   1.2   0.17%   0.52%   0.35%
Commodity   Rogers International Commodity Index - Excess Return   July-2011   1.2   -5.14%   -5.14%   0.00%
Equity   MSCI EAFE Index   July-2011   1.2   -6.56%   -6.56%   0.00%
Equity   MSCI Brazil Index   July-2011   1.2   -16.93%   -16.93%   0.00%
Equity   Russell 2000 Index   July-2011   1.2   5.34%   15.85%   10.51%
Commodity   Copper Spot Price   July-2011   1.2   -12.72%   -12.72%   0.00%
Commodity   Gold Spot Price   August-2011   1.2   -0.65%   -0.65%   0.00%
Commodity   Front Month Palladium Futures Contract   August-2011   1.3   -11.74%   -11.74%   0.00%
Equity   S&P MidCap 400 Index   August-2011   1.2   11.21%   16.00%   4.79%
Equity   S&P 500 Index   August-2011   1.2   15.35%   15.11%   -0.24%
Commodity   Rogers International Commodity Index - Excess Return   September-2011   1.2   -5.23%   -5.23%   0.00%
Commodity   Front Month Platinum Futures Contract   September-2011   1.2   2.43%   7.26%   4.83%
Equity   Energy Select Sector Index   September-2011   1.2   13.80%   24.73%   10.93%
Equity   S&P MidCap 400 Index   September-2011   1.2   18.28%   21.51%   3.23%
Equity   S&P 500 Index   September-2011   1.2   16.84%   18.40%   1.56%
Equity   Russell 2000 Index   September-2011   1.2   17.37%   25.42%   8.05%
Equity   NYSE Arca Gold Miners Index   September-2011   1.2   -10.79%   -10.79%   0.00%
Equity   MSCI EAFE Index   September-2011   1.2   7.17%   21.23%   14.06%
Commodity   Dow Jones-UBS Commodity Index - Excess Return   September-2011   1.2   0.04%   0.13%   0.09%
Commodity   Dow Jones-UBS Agriculture Sub-Index - Excess Return   October-2011   1.2   1.49%   4.46%   2.97%

Product Performance Summary

 

                              % OF DEALS WHERE:
     Number of  
Offerings
 

  Average Linked  

Asset Return1,2

  Average MLI  
Return
1
  Average MLI Outperformance/   
Underperformance
1
       MLI Underperforms  
Linked Asset
  Performance is  
Equal
 

MLI Outperforms

Linked Asset

All Linked Asset Classes   329   1.56%   1.73%   0.17%       20.36%   41.64%   37.99%

Equity

  246   -0.62%   0.90%   1.52%       17.07%   42.28%   40.65%

Commodity

  82   8.17%   4.27%   -3.90%       30.49%   39.02%   30.49%

Currency

  1   -4.10%   -4.10%   0.00%       0.00%   100.00%   0.00%

 

   11    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO BEAR ACCELERATED RETURN NOTES® (BEAR ARNS®)

Offer enhanced exposure, with the positive returns based on a multiple—typically five times—of any decline in value of the linked asset, subject to a cap. Negative returns on the Bear ARNs are on a one-to-one basis based on any increase of the linked asset.

Product Performance

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Strategy  
  Return 1,2,3   
  MLI 
  Return1   
       MLI Outperformance/     
Underperformance

Equity

  Philadelphia Housing Index   June-2005   2.0   3.84%   11.11%   7.27%

Equity

  Philadelphia Housing Index   December-2005   1.2   11.60%   26.83%   15.23%

Equity

  S&P 500 Index   June-2006   0.8   -11.78%   -11.78%   0.00%

Commodity

  Crude Oil   September-2006   1.1   -13.43%   -9.13%   4.30%

Equity

  Philadelphia Housing Index   September-2006       0.8   -7.70%   -7.70%   0.00%

Equity

  Nasdaq-100 Index   November-2006   0.8   -8.51%   0.00%   8.51%

Equity

  Philadelphia Housing Index   March-2007   1.1   32.13%   26.94%   -5.19%

Equity

  Cohen & Steers Realty Majors Portfolio Index   March-2007   1.2   10.71%   27.78%   17.07%

Equity

  S&P 500 Index   May-2007   1.2   12.53%   19.63%   7.10%

Equity

  Philadelphia Housing Index   May-2007   1.2   41.05%   27.78%   -13.27%

Equity

  S&P 500 Index   June-2007   0.8   14.83%   42.15%   27.32%

Equity

  Dow Jones Industrial Average   June-2007   1.2   11.60%   18.02%   6.42%

Equity

  Philadelphia Housing Index   June-2007   1.2   32.96%   26.11%   -6.85%

Equity

  Russell 2000 Index   July-2007   1.2   11.24%   26.11%   14.87%

Equity

  Utilities Select Sector Index   July-2007   1.2   10.45%   16.97%   6.52%

Equity

  Mortgage Finance Basket   August-2007   1.2   47.81%   16.00%   -31.81%

Equity

  Russell 3000 Index   August-2007   1.2   28.01%   21.63%   -6.38%

Equity

  Russell 3000 Index   November-2007   1.2   34.71%   21.68%   -13.03%

Equity

  Russell 2000 Index   November-2007   1.2   33.08%   23.96%   -9.12%

Equity

  Consumer Discretionary Select Sector Index   January-2008   1.2   29.55%   16.00%   -13.55%

Equity

  Energy Select Sector Index   February-2008   1.2   32.90%   16.41%   -16.49%

Equity

  S&P 500 Index   February-2008   1.2   30.25%   10.39%   -19.86%

Equity

  Energy Select Sector Index   May-2008   1.2   32.60%   16.41%   -16.19%

Commodity

  Crude Oil   June-2008   1.0   47.95%   25.05%   -22.90%

Equity

  Russell 3000 Index   July-2008   1.2   14.36%   14.38%   0.02%

Equity

  S&P 500 Index   August-2008   1.2   13.15%   15.60%   2.45%

Equity

  Russell 2000 Index   October-2008   1.1   0.12%   0.58%   0.46%

Equity

  S&P 500 Index   October-2008   1.2   -16.77%   -8.21%   8.56%

Equity

  S&P 500 Index   November-2008   1.2   -24.93%   -16.21%   8.72%

Equity

  Retail Select Industry Index   January-2009   1.0   -74.33%   -64.33%   10.00%

Equity

  S&P 500 Index   January-2009   0.8   -24.27%   -14.27%   10.00%

Equity

  S&P 500 Index   February-2009   1.0   -47.72%   -37.72%   10.00%

Equity

  S&P 500 Index   March-2009   1.2   -32.58%   -23.68%   8.90%

Equity

  S&P 500 Index   May-2009   1.2   -16.31%   -7.76%   8.55%

Equity

  S&P 500 Index   October-2009   1.1   -13.95%   -13.95%   0.00%

 

   12    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Strategy  
  Return 1,2,3   
  MLI 
  Return1   
       MLI Outperformance/     
Underperformance

Equity

  S&P 500 Index   November-2009   0.5   1.92%   9.61%   7.69%

Equity

  S&P 500 Index   January-2010   0.5   -0.13%   -0.13%   0.00%

Equity

  S&P 500 Index   February-2010   0.5   2.08%   6.23%   4.15%

Equity

  S&P 500 Index   February-2010   0.5   2.99%   8.65%   5.66%

Equity

  S&P 500 Index   March-2010   0.5   2.44%   7.33%   4.89%

Equity

  Russell 2000 Index   May-2010   0.5   -12.50%   -12.50%   0.00%

Equity

  S&P 500 Index   July-2010   0.5   -20.19%   -20.19%   0.00%

Equity

  S&P 500 Index   July-2010   0.5   -16.70%   -16.70%   0.00%

Equity

  S&P 500 Index   August-2010   0.5   -26.28%   -26.28%   0.00%

Equity

  S&P 500 Index   September-2010   0.3   -12.08%   -12.08%   0.00%

Equity

  S&P 500 Index   September-2010       0.5   -12.05%   -12.05%   0.00%

Equity

  S&P 500 Index   October-2010   0.6   -14.37%   -14.37%   0.00%

Equity

  Russell 2000 Index   November-2010   0.5   -14.51%   -14.51%   0.00%

Equity

  S&P 500 Index   January-2011   0.6   -4.94%   -4.94%   0.00%

Equity

  S&P 500 Index   January-2011   0.5   -2.87%   -2.87%   0.00%

Equity

  Russell 2000 Index   February-2011   0.5   10.54%   12.06%   1.52%

Equity

  Russell 2000 Index   June-2011   0.5   10.47%   12.99%   2.52%

Equity

  Russell 2000 Index   September-2011   0.5   -16.82%   -16.82%   0.00%

Equity

  Russell 2000 Index   January-2012   0.5   -3.07%   0.00%   3.07%

Equity

  Russell 2000 Index   January-2012   0.6   -2.22%   -2.22%   0.00%

Product Performance Summary

 

     % OF DEALS WHERE:
     Number of   
Offerings
  Average Strategy   
Return
1,2,3
  Average MLI 
Return
1
  Average MLI Outperformance/ 
Underperformance
1
  MLI Underperforms 
Strategy Return
  Performance is 
Equal
  MLI Outperforms 
Strategy Return
All Linked Asset Classes   55   2.12%   2.80%   0.68%   21.82%   29.09%   49.09%

Equity

  53   1.55%   2.61%   1.06%   20.75%   30.19%   49.06%

Commodity

  2   17.26%   7.96%   -9.30%   50.00%   0.00%   50.00%

Currency

  0            

 

   13    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO  LEVERAGED INDEX RETURN NOTES® (LIRNS®)

Offer enhanced exposure to a linked asset, while offering some buffer against the risk of losses. Beyond the buffer, downside exposure to the linked asset is on a one-to-one basis.

 

LOGO

Product Performance

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Linked Asset  
  Return 1,2   
  MLI 
  Return1   
  MLI Outperformance/ 
Underperformance

Equity

  Nikkei 225 Index   August-2004   4.5   -8.63%   -3.98%   4.65%

Equity

  Dow Jones Industrial Average   September-2004   5.0   -0.63%   0.00%   0.63%

Commodity

  Dow Jones-UBS Commodity Index   December-2004   5.1   -1.61%   0.00%   1.61%

Equity

  Global Equity Index Basket   December-2004   5.0   -1.01%   0.00%   1.01%

Commodity

  Dow Jones-UBS Commodity Index   February-2005   5.0   -2.10%   0.00%   2.10%

Equity

  Emerging Market Equity Basket   March-2006   3.5   2.56%   2.70%   0.14%

Commodity

  Rogers International Commodity Index - Excess Return   November-2006   3.5   -6.63%   -0.48%   6.15%

Equity

  MSCI Emerging Markets Index   March-2007   3.5   3.04%   3.34%   0.30%

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   March-2007   3.0   -7.08%   0.00%   7.08%

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   August-2007   2.5   -9.01%   -0.41%   8.60%

Equity

  Global Equity Index Basket   August-2007   2.0   -18.50%   -12.58%   5.92%

Equity

  Global Equity Index Basket   November-2007   2.4   -12.52%   -7.68%   4.84%

Commodity

  MLCX Biofuels-Excess Return Index   November-2007     2.3   -2.94%   0.00%   2.94%

Equity

  Merrill Lynch Commodity Index - Excess Return   February-2008   4.0   -6.18%   -2.29%   3.89%

Equity

  Global Equity Index Basket   March-2008   3.0   -5.28%   -1.70%   3.58%

 

   14    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years) 
  Linked Asset  
  Return 1,2   
  MLI 
  Return1   
  MLI Outperformance/ 
Underperformance

Commodity

  Rogers International Commodity Index - Excess Return   March-2008   3.3   -8.27%   -4.73%   3.54%

Commodity

  Rogers International Commodity Index - Excess Return   May-2008   3.5   -8.19%   -4.81%   3.38%

Commodity

  Rogers International Commodity Index - Agriculture Excess Return   June-2008   3.0   -6.06%   -2.24%   3.82%

Equity

  S&P 500 Index   May-2009   3.0   13.95%   18.10%   4.15%

Equity

  S&P 500 Index   June-2009   3.0   13.86%   17.91%   4.05%

Commodity

  Rogers International Commodity Index - Agricultural Excess Return   June-2009   3.1   8.62%   10.94%   2.32%

Equity

  S&P 500 Index   July-2009   3.0   11.73%   15.67%   3.94%

Equity

  MSCI EAFE Index   July-2009   3.0   -0.25%   0.00%   0.25%

Commodity

  Rogers International Commodity Index - Excess Return   July-2009   3.0   7.08%   8.23%   1.15%

 

 

Product Performance Summary

 

                   

% OF DEALS WHERE:

      Number of 
Offerings
 

 Average Linked 

Asset Return1,2

   Average MLI 
Return1
   Average MLI Outperformance/ 
Underperformance1
   MLI Underperforms 
Linked Asset
   Performance is 
Equal
   MLI Outperforms 
Linked Asset
All Linked Asset Classes   24   -1.84%   1.50%   3.34%   0.00%   0.00%   100.00%

Equity

  13   -0.61%   2.27%   2.88%   0.00%   0.00%   100.00%

Commodity

  11   -3.29%   0.59%   3.88%   0.00%   0.00%   100.00%

Currency

  0            

 

   15    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO CAPPED LEVERAGED INDEX RETURN NOTES® (CAPPED LIRNS®)

Offer enhanced exposure—typically two times—to the return of the linked asset subject to a cap, while offering some buffer against the risk of losses. Beyond the buffer, downside exposure to the linked asset is on a one-to-one basis.

 

 

LOGO

Product Performance

 

  Linked Asset  

Class

  Linked Asset      Pricing Date         Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
 

  MLI Outperformance/  
Underperformance

Equity   Russell 2000 Index   May-2008   1.5   -12.24%   -5.26%   6.98%
Commodity   Natural Gas   June-2008   2.3   -34.26%   -24.05%   10.21%
Equity   International Small Cap Basket   June-2008   1.5   -14.12%   -7.06%   7.06%
Equity   Russell 2000 Index   June-2008   1.6   -6.54%   -0.16%   6.38%
Equity   MSCI Brazil Index   June-2008   1.6   -7.74%   -1.32%   6.42%
Equity   MSCI China Index   July-2008   1.5   -3.72%   0.00%   3.72%
Equity   MSCI EAFE Index   July-2008   1.5   -12.66%   -2.26%   10.40%
Equity   MSCI Emerging Markets Index   July-2008   1.5   -4.79%   0.00%   4.79%
Equity   S&P 500 Index   August-2008   1.5   -9.49%   -2.61%   6.88%
Equity   S&P BRIC 40 Index   August-2008   1.5   -3.89%   0.00%   3.89%
Equity   Stowe Global Coal Index   August-2008   1.5   -15.79%   -5.22%   10.57%
Equity   S&P 500 Index   September-2008   1.5   -4.45%   0.00%   4.45%
Equity   S&P 500 Index   September-2008   1.5   -2.21%   0.00%   2.21%
Equity   S&P 500 Index   September-2008   1.5   -2.21%   0.00%   2.21%
Commodity   Rogers International Commodity Index - Excess Return   September-2008   1.5   -19.83%   -12.55%   7.28%

 

   16    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  

Class

  Linked Asset   Pricing Date   Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
 

  MLI Outperformance/  
Underperformance

Commodity   Gold Spot Price   September-2008   1.5   13.90%   27.16%   13.26%
Equity   Nikkei 225 Index   October-2008   1.5   12.25%   20.33%   8.08%
Equity   S&P 500 Index   October-2008   2.0   12.13%   21.41%   9.28%
Equity   S&P 500 Index   October-2008   2.0   12.13%   24.13%   12.00%
Commodity   Dow Jones-UBS Commodity Index   October-2008   1.5   1.07%   2.13%   1.06%
Equity   S&P 500 Index   October-2008   1.5   16.88%   26.34%   9.46%
Equity   S&P 500 Index   October-2008   1.5   16.88%   18.53%   1.65%
Equity   Technology Select Sector Index   November-2008   1.5   29.51%   25.98%   -3.53%
Equity   S&P 500 Index   November-2008   1.5   16.95%   28.40%   11.45%
Equity   Global Equity Index Basket   December-2008   1.6   21.77%   23.02%   1.25%
Equity   S&P 500 Index   December-2008   2.0   24.00%   16.04%   -7.96%
Equity   Russell 2000 Index   January-2009   1.5   15.74%   25.15%   9.41%
Equity   S&P 500 Index   January-2009   1.5   12.17%   17.64%   5.47%
Equity   Nasdaq-100 Index   January-2009   1.5   29.60%   18.04%   -11.56%
Equity   MSCI EAFE Index   January-2009   1.5   8.07%   15.11%   7.04%
Commodity   Dow Jones-UBS Commodity Index   January-2009   1.5   5.64%   11.14%   5.50%
Commodity   Dow Jones-UBS Commodity Index   January-2009   1.5   10.52%   14.65%   4.13%
Equity   S&P 500 Index   January-2009   1.5   19.13%   17.40%   -1.73%
Equity   MSCI EAFE Index   January-2009   1.5   19.28%   15.23%   -4.05%
Commodity   MLCX Brent Index   February-2009   1.6   25.74%   24.23%   -1.51%
Commodity   Gold Spot Price   February-2009   1.5   19.41%   31.12%   11.71%
Commodity   Dow Jones-UBS Commodity Index   February-2009   1.5   13.70%   14.49%   0.79%
Equity   S&P 500 Index   February-2009   1.5   26.58%   21.01%   -5.57%
Equity   Global Equity Index Basket   March-2009   1.5   42.98%   17.95%   -25.03%
Equity   Global Equity Index Basket   March-2009   1.5   16.36%   17.40%   1.04%
Equity   S&P 500 Index   May-2009   1.6   18.36%   16.92%   -1.44%
Equity   MSCI Emerging Markets Index   May-2009   2.1   23.15%   16.58%   -6.57%
Commodity   Merrill Lynch Commodity Index eXtra Brent 4-Series Index – Excess Return   May-2009   2.0   28.05%   18.36%   -9.69%
Commodity   Gold Spot Price   June-2009   2.0   28.38%   17.07%   -11.31%
Equity   FTSE/Xinhua China 25 Index   June-2009   2.0   5.73%   11.17%   5.44%
Equity   MSCI Emerging Markets Index   July-2009   2.0   17.34%   19.84%   2.50%
Equity   Russell 2000 Index   August-2009   2.0   7.15%   13.85%   6.70%
Equity   S&P 500 Index   August-2009   2.0   5.71%   11.12%   5.41%
Equity   Financial Select Sector Index   August-2009   2.0   -7.88%   -0.07%   7.81%
Equity   Global Equity Index Basket   August-2009   2.0   5.15%   10.06%   4.91%
Equity   S&P 500 Index   September-2009   2.0   4.31%   8.44%   4.13%
Commodity   Rogers International Commodity Index - Excess Return   September-2009   2.0   12.70%   16.93%   4.23%
Equity   MSCI Emerging Markets Index   October-2009   2.0   0.64%   1.27%   0.63%
Commodity   Rogers International Commodity Index - Excess Return   October-2009   2.0   7.98%   15.42%   7.44%
Commodity   Gold Spot Price   October-2009   2.0   26.16%   14.72%   -11.44%
Equity   Dow Jones U.S. Real Estate Index   November-2009   2.0   11.28%   18.34%   7.06%
Equity   Basket of FTSE/Xinhua China 25 Index and the Bovespa Index   November-2009   2.0   -9.35%   -4.00%   5.35%

 

   17    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  
Class
   Linked Asset   Pricing Date      Term
(years)  
   Linked Asset  
Return
1,2
   MLI
Return
1  
   MLI Outperformance/  
Underperformance

Equity

   Gold Spot Price   December-2009    2.1    19.83%    14.28%    -5.55%

Equity

   S&P 500 Index   December-2009    2.1    6.76%    12.14%    5.38%

Equity

   Rogers International Commodity Index - Excess Return   December-2009    2.1    7.73%    14.90%    7.17%

Equity

   Dow Jones U.S. Real Estate Index   January-2010    2.1    16.86%    14.95%    -1.91%

Equity

   S&P BRIC 40 Index   January-2010    2.0    1.65%    3.27%    1.62%

Equity

   Rogers International Commodity Index - Excess Return   January-2010    2.0    11.04%    12.25%    1.21%

Equity

   Merrill Lynch Commodity index eXtra Brent 4-Series Index - Excess Return   January-2010    2.0    23.13%    17.47%    -5.66%

Equity

   S&P 500 Index   February-2010    2.0    10.73%    10.27%    -0.46%

Equity

   Dow Jones U.S. Real Estate Index   February-2010    2.0    15.31%    17.05%    1.74%

Equity

   S&P BRIC 40 Index   February-2010    2.0    5.56%    10.83%    5.27%

Equity

   S&P 500 Index   March-2010    2.0    9.67%    9.78%    0.11%

Equity

   Brazil and China Index Basket   March-2010    2.0    -3.05%    0.00%    3.05%

Equity

   Rogers International Commodity Index - Agriculture Excess Return   March-2010    2.0    13.24%    8.45%    -4.79%

Equity

   S&P 500 Index   April-2010    2.0    6.78%    10.42%    3.64%

Equity

   Gold Spot Price   April-2010    2.0    18.48%    9.55%    -8.93%

Equity

   PHLX Housing Sector Index   April-2010    2.0    -2.64%    0.00%    2.64%

Equity

   S&P 500 Index   May-2010    2.0    10.82%    13.65%    2.83%

Commodity

   Palladium Spot Price   May-2010    1.5    27.49%    26.10%    -1.39%

Equity

   S&P 500 Index   June-2010    2.0    11.30%    12.05%    0.75%

Commodity

   Rogers International Commodity Index - Excess Return   June-2010    2.0    5.12%    10.00%    4.88%

Equity

   Global Equity Basket   June-2010    2.0    -0.99%    0.00%    0.99%

Equity

   Global Equity Index Basket   July-2010    2.0    7.98%    11.62%    3.64%

Equity

   S&P 500 Index   July-2010    2.0    11.12%    12.21%    1.09%

Equity

   Global Equity Index Basket   July-2010    2.0    3.50%    6.88%    3.38%

Equity

   S&P 500 Index   August-2010    2.0    15.56%    13.98%    -1.58%

Equity

   Russell 2000 Index   August-2010    2.0    15.76%    18.32%    2.56%

Equity

   PHLX Gold and Silver Sector Index   August-2010    2.0    -2.82%    0.00%    2.82%

Equity

   Global Equity Index Basket   August-2010    2.0    8.09%    10.91%    2.82%

Commodity

   Gold Spot Price   August-2010    2.0    16.12%    11.64%    -4.48%

Commodity

   ML Commodity Index eXtra - WTI 4-Series Index - Excess Return   September-2010    2.0    2.89%    5.69%    2.80%

Equity

   S&P 500 Index   September-2010    2.0    13.77%    9.87%    -3.90%

Equity

   Global Equity Index Basket   September-2010    2.0    5.95%    8.90%    2.95%

Equity

   Global Equity Index Basket   October-2010    2.0    3.04%    5.98%    2.94%

Equity

   S&P 500 Index   October-2010    2.0    10.28%    10.15%    -0.13%

Equity

   S&P BRIC 40 Index   October-2010    2.0    -6.53%    -1.32%    5.21%

Commodity

   Rogers International Commodity Index - Excess Return   October-2010    2.0    3.30%    6.49%    3.19%

Commodity

   Silver Spot Price   October-2010    2.0    16.27%    18.35%    2.08%

Commodity

   Gold Spot Price   October-2010    2.0    13.42%    10.77%    -2.65%

Equity

   Technology Select Sector Index   November-2010    2.0    7.61%    9.54%    1.93%

Equity

   S&P 500 Index   November-2010    2.0    7.56%    9.57%    2.01%

Equity

   MSCI Brazil Index   November-2010    2.0    -14.82%    -9.14%    5.68%

Commodity

   Dow Jones-UBS Agriculture Sub-Index - Excess Return   November-2010    2.0    3.50%    6.88%    3.38%

 

   18    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  
Class
   Linked Asset    Pricing Date      Term
(years)  
   Linked Asset  
Return
1,2
  MLI
Return
1  
  MLI Outperformance/  
Underperformance

Commodity

   Silver Spot Price    November-2010    2.0    11.66%   19.42%   7.76%
Equity    S&P 500 Index    December-2010    2.0    6.68%   9.28%   2.60%
Equity    Global Equity Index Basket    December-2010    2.0    -2.68%   0.00%   2.68%
Equity    Russell 2000 Index    December-2010    2.0    2.59%   5.12%   2.53%

Commodity

   Rogers International Commodity Index - Excess Return    December-2010    2.0    -1.53%   0.00%   1.53%
Commodity    Front Month Corn Futures Contract    February-2011    0.8    -17.55%   -7.55%   10.00%

 

Product Performance Summary

 

     

% OF DeALs WheRe:

      Number of  
Offerings
  

  Average Linked  

Asset Return1,2

   Average MLI  
Return
1
   Average MLI Outperformance/  
Underperformance
1
   MLI  Underperforms  
Linked Asset
   Performance  
is Equal
   MLI Outperforms  
Linked Asset
All Linked Asset Classes    105    7.89%    10.20%    2.31%    23.81%    0.00%    76.19%
Equity    80    7.61%    9.90%    2.29%    22.50%    0.00%    77.50%
Commodity    25    8.79%    11.14%    2.35%    28.00%    0.00%    72.00%
Currency    0                  

 

   19    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO MARKET-LINKED STEP UP NOTES

Pay a “Step Up Payment” if the linked asset is unchanged or has increased up to a pre-determined “Step Up Value.” If the linked asset increases by more than the Step Up Value, participation is on a one-to-one basis in the linked asset’s return. Downside exposure to the linked asset is on a one-to-one basis, but may be reduced by an additional buffer against a certain percentage of the losses.

 

 

LOGO

Product Performance

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years)4 
  Linked Asset  
  Return 1,2  
  MLI 
  Return1   
       MLI Outperformance/     
Underperformance

Equity

  S&P 500 Index   September-2009       2.0   5.26%   11.74%   6.48%

Equity

  S&P 500 Index   October-2009   2.0   8.98%   10.72%   1.74%

Equity

  Russell 2000 Index   October-2009   2.0   12.16%   12.69%   0.53%

Equity

  S&P 500 Index   November-2009   2.0   4.86%   10.49%   5.63%

Equity

  Dow Jones STOXX 600 Index   November-2009   2.0   -4.59%   -4.59%   0.00%

Equity

  S&P 500 Index   November-2009   3.0   7.14%   7.14%   0.00%

Equity

  S&P 500 Index   December-2009   2.0   4.63%   10.27%   5.64%

Equity

  S&P 500 Index   January-2010   2.0   9.48%   9.48%   0.00%

Equity

  S&P 500 Index   March-2010   2.0   9.66%   9.66%   0.00%

Equity

  S&P 500 Index   April-2010   2.0   6.88%   8.47%   1.59%

Equity

  S&P 500 Index   May-2010   2.0   10.13%   10.13%   0.00%

Equity

  S&P 500 Index   June-2010   2.0   11.83%   11.83%   0.00%

Equity

  MSCI EAFE Index   June-2010   2.0   -0.56%   -0.56%   0.00%

 

   20    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset   Pricing Date   Term 
 (years)4 
  Linked Asset  
  Return 1,2  
  MLI 
  Return1   
       MLI Outperformance/     
Underperformance

Equity

  S&P 500 Index   July-2010   2.0   11.22%   11.22%   0.00%

Equity

  Pfizer, Inc   August-2010   1.0   18.48%   18.48%   0.00%

Equity

  S&P 500 Index   September-2010       2.0   13.93%   13.93%   0.00%

Equity

  Global Equity Index Basket   September-2010   2.0   5.94%   9.32%   3.38%

Equity

  S&P 500 Index   October-2010   2.0   10.03%   10.03%   0.00%

Equity

  Global Equity Index Basket   December-2010   2.0   1.82%   8.07%   6.25%

Equity

  S&P 500 Index   October-2011   1.1   5.31%   7.25%   1.94%

Equity

  S&P 500 Index   November-2011   1.1   18.37%   19.81%   1.44%

Product Performance Summary

 

     % OF DEALS WHERE:
     Number of   
Offerings
 

Average Linked  

Asset Return1,2

 

Average MLI   

Return1

 

Average

MLI Outperformance/ 
Underperformance
1

  MLI Underperforms 
Linked Asset
  Performance is  
Equal
  MLI Outperforms 
Linked Asset
All Linked Asset Classes   21   8.14%   9.79%   1.65%   0.00%   52.38%   47.62%

Equity

  21   8.14%   9.79%   1.65%   0.00%   52.38%   47.62%

Commodity

  0            

Currency

  0            

 

   21    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO STRATEGIC ACCELERATED REDEMPTION SECURITIES® (STARS®)

Pay a “Call Premium” in the event that the linked asset is at or above its starting value on any of the applicable call dates. Downside exposure to the linked asset is on a one-to-one basis, but may be reduced by an additional buffer against a certain percentage of the losses.

 

 

LOGO

Product Performance

 

  Linked Asset  
Class
   Linked Asset        Pricing Date      

Term

  (years)4  

     Linked Asset  
Return
1,2
  MLI
  Return
1  
  MLI Outperformance/  
Underperformance
Equity    Dow Jones Eurostoxx 50 Index   November-2007   2.0   -20.89%   -14.81%   6.08%
Equity    S&P 500 Index   November-2007   2.0   -12.93%   -7.37%   5.56%
Commodity    Dow Jones-UBS Commodity Index   November-2007   2.0   -12.73%   -7.16%   5.57%
Equity    Nasdaq-100 Index   January-2008   2.0   -1.33%   0.00%   1.33%
Equity    Nikkei 225 Index   January-2008   2.0   -13.35%   -7.76%   5.59%
Equity    S&P 500 Index   February-2008   2.0   -10.08%   -4.69%   5.39%
Equity    S&P 500 Index   March-2008   2.0   -4.42%   0.00%   4.42%
Equity    Russell 2000 Index   March-2008   2.0   -1.66%   0.00%   1.66%
Equity    Dow Jones Industrial Average   March-2008   2.0   -6.54%   -1.34%   5.20%
Equity    S&P 500 Index   May-2008   2.0   -8.35%   -3.05%   5.30%
Equity    S&P 500 Index   June-2008   2.0   -9.30%   -3.95%   5.35%

 

   22    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset        Pricing Date       Term
  (years)
4  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   Dow Jones Industrial Average   June-2008   2.0   -8.59%   -3.27%   5.32%
Equity   S&P 500 Index   July-2008   2.0   -6.87%   -1.65%   5.22%
Equity   Dow Jones Industrial Average   August-2008   2.0   -6.57%   -1.36%   5.21%
Commodity   Dow Jones-UBS Commodity Index   August-2008   2.0   -17.68%   -11.81%   5.87%
Equity   S&P 500 Index   September-2008   2.0   -2.58%   0.00%   2.58%
Equity   iShares MSCI EAFE Index Fund   September-2008   2.0   -3.33%   0.00%   3.33%
Equity   S&P 500 Index   October-2008   1.0   13.96%   24.10%   10.14%
Equity   iShares MSCI EAFE Index Fund   October-2008   1.0   25.79%   27.80%   2.01%
Equity   S&P 500 Index   November-2008   1.0   27.79%   25.35%   -2.44%
Equity   S&P 500 Index   January-2009   1.0   28.88%   18.35%   -10.53%
Equity   Russell MidCap Growth Index   January-2009   1.0   44.32%   20.00%   -24.32%
Equity   S&P 500 Index   February-2009   1.0   48.20%   19.10%   -29.10%
Equity   S&P 500 Index   March-2009   1.0   44.75%   18.15%   -26.60%
Commodity   SPDR Gold Trust   April-2009   1.0   26.97%   14.21%   -12.76%
Equity   S&P 500 Index   May-2009   1.0   27.55%   12.50%   -15.05%
Equity   MSCI Brazil Index   May-2009   1.0   17.14%   15.00%   -2.14%
Equity   S&P 500 Index   May-2009   1.0   19.89%   14.00%   -5.89%
Equity   iShares FTSE/Xinhua 25 Index   May-2009   1.0   6.77%   21.45%   14.68%
Equity   S&P 500 Index   June-2009   1.0   19.27%   14.27%   -5.00%
Equity   iShares MSCI EAFE Index Fund   June-2009   1.0   2.20%   15.80%   13.60%
Equity   S&P 500 Index   July-2009   1.0   15.46%   12.41%   -3.05%
Equity   iShares MSCI Brazil Index Fund   July-2009   1.0   24.99%   21.01%   -3.98%
Equity   S&P 500 Index   September-2009   1.0   7.66%   11.25%   3.59%
Equity   Russell 2000 Index   September-2009   1.0   8.95%   13.90%   4.95%
Equity   S&P 500 Index   October-2009   1.0   17.57%   9.80%   -7.77%
Equity   Financial Select Sector SPDR   December-2009   1.0   12.97%   14.30%   1.33%
Equity   S&P 500 Index   January-2010   0.5   1.49%   8.35%   6.86%
Equity   S&P 500 Index   January-2010   1.0   19.44%   7.90%   -11.54%
Equity   S&P 500 Index   February-2010   1.0   17.87%   7.73%   -10.14%
Equity   S&P 500 Index   February-2010   0.5   -4.83%   -4.83%   0.00%
Equity   S&P 500 Index   March-2010   1.0   13.34%   7.00%   -6.34%
Equity   S&P 500 Index   March-2010   0.5   -3.61%   -3.61%   0.00%
Equity   S&P 500 Index   April-2010   0.5   -2.53%   -2.53%   0.00%
Equity   S&P 500 Index   April-2010   1.0   12.80%   8.80%   -4.00%
Commodity   Front Month RBOB Gasoline Contract   May-2010   0.5   8.35%   17.70%   9.35%
Equity   S&P 500 Index   May-2010   0.5   10.56%   7.64%   -2.92%
Equity   S&P 500 Index   May-2010   0.5   12.34%   10.96%   -1.38%
Equity   S&P 500 Index   June-2010   0.5   12.50%   5.62%   -6.88%
Equity   S&P 500 Index   June-2010   0.5   15.85%   9.79%   -6.06%
Equity   S&P 500 Index   July-2010   0.5   16.51%   8.83%   -7.68%
Equity   SPDR Euro STOXX 50 ETF   July-2010   0.5   12.40%   6.65%   -5.75%
Equity   S&P 500 Index   July-2010   0.5   17.22%   5.88%   -11.34%

 

   23    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)
4  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   S&P 500 Index   August-2010   0.5   17.85%   4.60%   -13.25%
Equity   S&P 500 Index   August-2010   0.5   27.26%   11.20%   -16.06%
Equity   S&P 500 Index   August-2010   0.5   24.65%   6.35%   -18.30%
Equity   iShares MSCI Brazil Index Fund   August-2010   0.5   10.38%   9.83%   -0.55%
Equity   S&P 500 Index   September-2010   0.5   13.72%   9.18%   -4.54%
Equity   S&P 500 Index   September-2010   0.5   15.02%   4.88%   -10.14%
Equity   International Equity Basket   September-2010   0.5   8.28%   5.02%   -3.26%
Equity   S&P 500 Index   October-2010   0.5   13.96%   4.98%   -8.98%
Equity   S&P 500 Index   October-2010   0.5   11.48%   8.23%   -3.25%
Equity   S&P 500 Index   October-2010   0.5   12.80%   3.90%   -8.90%
Equity   S&P 500 Index   November-2010   0.5   11.18%   3.73%   -7.45%
Equity   S&P 500 Index   November-2010   0.5   12.92%   8.41%   -4.51%
Equity   International Equity Basket   November-2010   0.5   4.64%   5.37%   0.73%
Equity