FWP 1 dfwp.htm FREE WRITING PROSPECTUS - E-2138-2147 Free Writing Prospectus - E-2138-2147

Free Writing Prospectus

(To the Prospectus dated August 31, 2007,

the Prospectus Supplement dated September 4, 2007

and the Information Supplement dated December 12, 2007)

  

Filed Pursuant to Rule 433

Registration No. 333-145845

 

May 30, 2008

LOGO

BARCLAYS BANK PLC

 

Barclays Reverse Convertible NotesSM    All Asset Classes and Structures Under One RoofSM

Terms used in this free writing prospectus are described or defined in the prospectus supplement. The reverse convertible notes (the “Notes”) offered will have the terms described in the prospectus supplement and the prospectus, as supplemented by this free writing prospectus. THE NOTES DO NOT GUARANTEE ANY RETURN OF PRINCIPAL AT MATURITY.

Each reference asset below is in the form of a linked share and represents a separate Note offering. The purchaser of a Note will acquire a security linked to a single linked share (not a basket or index of linked shares). The following terms relate to each separate Note offering:

 

 

Issuer: Barclays Bank PLC (Rated AA/Aa1)

 

 

Issue date: June 11, 2008

 

 

Initial valuation date: June 6, 2008

 

 

Final valuation date: December 5, 2008

 

 

Maturity date: December 10, 2008

 

 

Initial price: Closing price of the linked share on the initial valuation date.

 

 

Final price: Closing price of the linked share on the final valuation date.

 

 

Protection price: The protection level multiplied by the initial price.

 

 

Interest payment dates: Paid monthly in arrears on the same day of the month as the issue date and calculated on a 30/360 basis, commencing on the month following the issue date.

 

 

Initial public offering price: 100%

 

 

Tax allocation of coupon rate:

Deposit income*: TBD

Put premium: The coupon rate minus the deposit income.


 

The Notes are expected to carry the same rating as the Medium-Term Notes Program, Series A, which is rated AA by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc., and will be rated Aa1 by Moody’s Investor Services, Inc. The rating is subject to downward revision, suspension or withdrawal at any time by the assigning rating organization. The rating (1) does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked) and (2) is not a recommendation to buy, sell or hold securities.

The following terms relate to the specific Note offering for each respective linked share:

 

Linked Share

   Initial
Share
Price
   Page
Number
   Ticker
Symbol
   Principal
Amount
   Coupon
Rate*
    Protection
Level
    Percentage
Proceeds
to Issuer
   Aggregate
Proceeds
to Issuer
   Percentage
Discount or
Commission
   Aggregate
Discount or
Commission
   Note
Issuance#
   CUSIP/ISIN

Alcoa Inc.

   TBD    FWP-7    AA    TBD    10.250 %   70.0 %   TBD    TBD    TBD    TBD    E-2138    06738RP26/
US06738RP266

Evergreen Solar, Inc.

   TBD    FWP-9    ESLR    TBD    20.000 %   60.0 %   TBD    TBD    TBD    TBD    E-2139    06738RN44/
US06738RN444

Ford Motor Company

   TBD    FWP-11    F    TBD    15.250 %   60.0 %   TBD    TBD    TBD    TBD    E-2140    06738RN77/
US06738RN774

Kohl’s Corporation

   TBD    FWP-13    KSS    TBD    11.000 %   75.0 %   TBD    TBD    TBD    TBD    E-2141    06738RN85/
US06738RN857

LDK Solar Co., Ltd.

   TBD    FWP-15    LDK    TBD    20.000 %   60.0 %   TBD    TBD    TBD    TBD    E-2142    06738RN36/
US06738RN360

The Mosaic Company

   TBD    FWP-17    MOS    TBD    15.500 %   65.0 %   TBD    TBD    TBD    TBD    E-2143    06738RM94/
US06738RM941

Marathon Oil Corporation

   TBD    FWP-19    MRO    TBD    10.500 %   75.0 %   TBD    TBD    TBD    TBD    E-2144    06738RN28/
US06738RN287

Morgan Stanley

   TBD    FWP-21    MS    TBD    10.000 %   70.0 %   TBD    TBD    TBD    TBD    E-2145    06738RN69/
US06738RN691

Suntech Power Holdings Co., Ltd.

   TBD    FWP-23    STP    TBD    20.000 %   65.0 %   TBD    TBD    TBD    TBD    E-2146    06738RN51/
US06738RN519

Tesoro Corporation

   TBD    FWP-25    TSO    TBD    17.500 %   65.0 %   TBD    TBD    TBD    TBD    E-2147    06738RN93/
US06738RN931

 

* Annualized Rate

See “ Risk Factors” in this free writing prospectus and beginning on page S-3 of the prospectus supplement for a description of risks relating to an investment in the Notes.

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.

The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities of Barclays Bank PLC and are not insured by the U.S. Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.

Barclays Bank PLC has filed a registration statement (including a prospectus) with the U.S. Securities and Exchange Commission (“SEC”) for the offering to which this communication relates. Before you invest, you should read the prospectus dated August 31, 2007, the prospectus supplement dated September 4, 2007, and the information supplement dated December 12, 2007, and other documents Barclays Bank PLC has filed with the SEC for more complete information about Barclays Bank PLC and this offering. Buyers should rely upon the prospectus, prospectus supplement and any relevant free writing prospectus or pricing supplement for complete details. You may get these documents and other documents Barclays Bank PLC has filed for free by visiting EDGAR on the SEC website at www.sec.gov. Alternatively, Barclays Bank PLC or any agent or dealer participating in this offering will arrange to send you the prospectus, prospectus supplement and final pricing supplement (when completed) and this free writing prospectus if you request it by calling your Barclays Bank PLC sales representative, such dealer or 1-888-227-2275 (Extension 1101). A copy of the prospectus may be obtained from Barclays Capital, 200 Cedar Knolls Road, Building E, 4th Floor—Attn: US Syndicate Operations, Whippany, NJ 07981.

LOGO


GENERAL TERMS FOR EACH NOTES OFFERING

This free writing prospectus relates to separate Note offerings, each linked to a different linked share. The purchaser of a Note will acquire a security linked to a single linked share (not to a basket or index of linked shares) identified on the cover page. You may participate in any one of the Notes offerings or, at your election, in more than one. We reserve the right to withdraw, cancel or modify any offering and to reject orders in whole or in part. Although each Note offering relates only to the individual linked share identified on the cover page, you should not construe that fact as a recommendation as to the merits of acquiring an investment linked to any of those linked shares or as to the suitability of an investment in the Notes.

You should read this document together with the prospectus, the prospectus supplement and the information supplement. You should carefully consider, among other things, the matters set forth in “Risk Factors” in the prospectus 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. The prospectus, the prospectus supplement and the information supplement may be accessed on the SEC website at www.sec.gov as follows:

Prospectus supplement dated September 4, 2007 and prospectus dated August 31, 2007:

http://www.sec.gov/Archives/edgar/data/312070/000119312507194615/d424b3.htm

Information Supplement dated December 12, 2007:

http://www.sec.gov/Archives/edgar/data/312070/000119312507263911/d424b3.htm

PROGRAM CREDIT RATING

The Notes are issued under the Medium-Term Notes Program, Series A (the “Program”). The Notes are expected to carry the rating of the Program, which is rated AA by Standard & Poor’s, a division of the McGraw-Hill Companies, Inc. (“S&P”), and will be rated Aa1 by Moody’s Investor Services, Inc. (“Moody’s”). An AA rating from S&P generally indicates that the issuer’s capacity to meet its financial commitment on the obligations arising from the Program is very strong. An Aa1 rating by Moody’s indicates that the Program is currently judged by Moody’s to be an obligation of high quality and is subject to very low credit risk. The credit rating is a statement of opinion and not a statement of fact and is subject to downward revisions, suspension or withdrawal at any time by the assigning rating agency. The rating (1) does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked) and (2) is not a recommendation to buy, sell or hold securities.

RISK FACTORS

We urge you to read the section “Risk Factors” beginning on page S-3 of the prospectus supplement as the following highlights some, but not all, of the risk considerations relevant to investing in the Notes. In particular we urge you to read the risk factors discussed under the following headings:

 

 

“Risk Factors—Risks Relating to All Notes”;

 

 

“Risk Factors—Additional Risks Relating to Notes with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds, That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds”;

 

 

“Risk Factors—Additional Risks Relating to Notes Which Are Not Fully Principal Protected or Are Contingently Protected”; and

 

 

“Risk Factors—Additional Risks Relating to Notes with a Barrier Percentage or a Barrier Level”.

Suitability of Notes for Investment—You should reach a decision to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes in light of your investment objectives and the specific information set out in this free writing prospectus, the applicable pricing supplement, the information supplement, the prospectus supplement and the prospectus. Neither the Issuer nor any dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment.

No Principal Protection—The principal amount of your investment is not protected and you may receive less, and possibly significantly less, than the amount you invest.

Return Limited to Coupon—Your return is limited to the coupon payments. You will not participate in any appreciation in the value of the linked share.

 

FWP-2


No Secondary Market—Upon issuance, the Notes will not have an established trading market.

Market Disruption Events and Adjustments—The calculation agent may adjust any variable described in this free writing prospectus, including but not limited to the final valuation date, the initial price, the final price, the protection level, the protection price, the physical delivery amount and any combination thereof as described in the following sections of the accompanying prospectus supplement.

 

 

For a description of what constitutes a market disruption event and the consequences thereof, see “Reference Assets—Equity Securities—Market Disruption Events Relating to Notes with an Equity Security as the Reference Asset” with respect to linked shares that are equity securities and “Reference Assets—Exchange-Traded Funds—Market Disruption Events for Notes with the Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds” with respect to linked shares that are exchange-traded funds; and

 

 

For a description of further adjustments that may affect the linked share, see “Reference Assets—Equity Securities—Share Adjustments Relating to Notes with an Equity Security as the Reference Asset” with respect to linked shares that are equity securities and “Reference Assets—Exchange-Traded Funds—Adjustments Relating to Notes with the Reference Asset Comprised of an Exchange-Traded Fund or Exchange-Traded Funds” with respect to linked shares that are exchange-traded funds.

Taxes—We intend to treat each Note as a put option written by you in respect of the reference asset and a deposit with us of cash in an amount equal to the principal amount of the Note to secure your potential obligation under the put option. Pursuant to the terms of the Notes, you agree to treat the Notes in accordance with this characterization for all U.S. federal income tax purposes. However, because there are no regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and treatments are possible. See “Certain U.S. Federal Income Tax Considerations” below.

SUMMARY

Principal Payment at Maturity

A $1,000 investment in the Notes will pay $1,000 at maturity unless: (a) the final price of the linked shares is lower than the initial price of the linked shares; and (b) between the initial valuation date and the final valuation date, inclusive, the closing price of the linked shares on any day is below the protection price.

If the conditions described in (a) and (b) are both true, at maturity you will receive, at our election, instead of the full principal amount of your Notes, either (i) the physical delivery amount (fractional shares to be paid in cash in an amount equal to the fractional shares multiplied by the final price), or (ii) a cash amount equal to the principal amount you invested reduced by the percentage decrease in the price of the linked share.

If you receive shares of the linked shares in lieu of the principal amount of your Notes at maturity, the value of your investment will approximately equal the market value of the shares of the linked shares you receive, which could be substantially less than the value of your original investment. You may lose some or all of your principal if you invest in the Notes.

Interest

The Notes will bear interest, if any, from the issue date specified on the front cover at the coupon rate specified on the front cover of this free writing prospectus. The interest paid, if any, will include interest accrued from the issue date or the prior interest payment date, as the case may be, to, but excluding, the relevant interest payment date or repayment date. No interest will accrue and be payable on your Notes after the maturity date specified on the front cover if such maturity date is extended or if the final valuation date is extended. A “business day” is any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which the principal securities market for the linked share or banking institutions in New York City, generally, are authorized or obligated by law, regulation or executive order to close. See generally “Interest Mechanics” in the prospectus supplement.

Physical Delivery Amount

The physical delivery amount will be calculated by the calculation agent by dividing the principal amount of your Notes by the initial price of the linked shares. The physical delivery amount, the initial price of the linked shares and other amounts may change due to stock splits or other corporate actions. See “Reference Assets—Equity Securities—Share Adjustments Relating to Notes with an Equity Security as the Reference Asset” in the accompanying prospectus supplement.

 

FWP-3


CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS

You should carefully consider, among other things, the matters set forth in “Certain U.S. Federal Income Tax Considerations” in the prospectus supplement. The following discussion summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of Notes.

There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Notes. Under one reasonable approach, each Note should be treated as a put option written by you (the “Put Option”) that permits us to (1) sell the reference asset to you at maturity for an amount equal to the Deposit (as defined below), plus any accrued and unpaid interest, acquisition discount and/or original issue discount on the Deposit, or (2) “cash settle” the Put Option (i.e., require you to pay to us at maturity the difference between the Deposit (plus any accrued and unpaid interest, acquisition discount, and/or original issue discount on the Deposit) and the value of the reference asset at such time), and a deposit with us of cash in an amount equal to the “issue price” or purchase price of your Note (the “Deposit”) to secure your potential obligation under the Put Option. We intend to treat the Notes consistent with this approach. However, other reasonable approaches are possible. Pursuant to the terms of the Notes, you agree to treat the Notes as cash deposits and put options with respect to the reference asset for all U.S. federal income tax purposes. Because the term of the Notes is less than one year, we intend to treat the Deposits as “short-term debt instruments” for U.S. federal income tax purposes. Please see the discussion under the heading “Certain U.S. Federal Income Tax Considerations—U.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax Purposes—Short-Term Obligations” in the accompanying prospectus supplement for certain U.S. federal income tax considerations applicable to short-term obligations.

On the cover page we have determined the yield on the Deposit and the Put Premium, as described in the section of the accompanying prospectus supplement called “Certain U.S. Federal Income Tax Considerations—Certain Notes Treated as Deposits and Put Options”. If the Internal Revenue Service (the “IRS”) were successful in asserting an alternative characterization for the Notes, the timing and character of income on the Notes might differ. We do not plan to request a ruling from the IRS regarding the tax treatment of the Notes, and the IRS or a court may not agree with the tax treatment described in this free writing prospectus.

LINKED SHARE ISSUER AND LINKED SHARE INFORMATION

We urge you to read the following sections in the accompanying prospectus supplement: “Reference Assets—Equity Securities—Reference Asset Issuer and Reference Asset Information” with respect to linked shares that are equity securities and “Reference Assets—Exchange-Traded Funds—Reference Asset Investment Company and Reference Asset Information” with respect to linked shares that are exchange-traded funds. Companies with securities registered under the Securities Exchange Act of 1934, as amended, which is commonly referred to as the “Exchange Act”, and the Investment Company Act of 1940, as amended, which is commonly referred to as the “’40 Act”, are required to periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The address of the SEC’s website is http://www.sec.gov. Information provided to or filed with the SEC pursuant to the Exchange Act or the ’40 Act by a company issuing a linked share can be located by reference to the relevant linked share SEC file number specified below.

The summary information below regarding the companies issuing the linked shares comes from the issuers’ respective SEC filings and has not been independently verified by us. We do not make any representations as to the accuracy or completeness of such information or of any filings made by the issuers of the linked shares with the SEC. You are urged to refer to the SEC filings made by the relevant issuer and to other publicly available information (such as the issuer’s annual report) to obtain an understanding of the issuer’s business and financial prospects. The summary information contained below is not designed to be, and should not be interpreted as, an effort to present information regarding the financial prospects of any issuer or any trends, events or other factors that may have a positive or negative influence on those prospects or as an endorsement of any particular issuer.

 

FWP-4


Description of Hypothetical Examples

Each linked share described below contains a Table of Hypothetical Values at Maturity, based on the assumptions outlined for each linked share, which demonstrates the return that you would have earned from (i) an investment in the Notes compared to (ii) a direct investment in the linked shares, based on certain percentage changes between the initial price and final price of the linked shares (prior to the deduction of any applicable brokerage fees or charges).

In each Table of Hypothetical Values at Maturity some amounts are rounded and actual returns may be different. The following is a general description of how the hypothetical values in each table were determined.

On the final valuation date, the final price of the linked shares is determined.

If the final price of the linked shares is at or above its initial price, you will receive a payment at maturity of $1,000, regardless of whether the protection price was ever reached or breached during the term of the Notes.

If the final price of the linked shares is below its initial price but the closing price of the linked shares never fell below the protection price during the term of the Notes, you will receive a payment at maturity of $1,000.

If the final price of the linked shares is below its initial price and the closing price of the linked shares fell below the protection price during the term of the Notes, you will receive, at our election, either (a) a number of shares equal to the physical delivery amount, plus a cash amount equal to the fractional shares multiplied by the final price or (b) the cash amount equal to the principal amount that you invested reduced by the percentage decrease in the price of the linked shares.

In any case, you would also have received the applicable interest payments during the term of the Notes. Since the reinvestment rate for each coupon payment is assumed to be 0.00%, assuming no change in the closing price of the linked shares from the initial valuation date to the final valuation date, if the coupon yield on the Notes exceeds the dividend yield on the linked shares, the total return on the Notes would be higher relative to the total return of an investment in the linked shares.

If you had invested directly in the linked shares for the same period, you would have received total cash payments representing the number of shares of the linked shares you could have purchased with your $1,000 investment on the initial valuation date (assuming you could invest in fractional shares) multiplied by the final price of the linked shares. In addition, investors will realize a payment in respect of dividends which will equal the dividend yield multiplied by the $1,000 investment. Investors should realize that for purposes of these calculations the dividend yield is calculated as of the initial date and is held constant regardless of the final level of the linked shares.

Since the reinvestment rate for any dividend payment is assumed to be 0.00%, assuming no change in the closing price of the linked shares from the initial valuation date to the final valuation date, if the coupon rate on the Notes was less than the dividend yield on the linked shares, the total return on the Notes would be lower relative to the total return of an investment in the linked shares.

In each instance, the percentage gain or loss from an investment in the Notes and a direct investment in the linked shares is set forth below in the Table of Hypothetical Values at Maturity.

 

FWP-5


Alcoa Inc.

According to publicly available information, Alcoa Inc. (the “Company”) is a producer of primary aluminum, fabricated aluminum, and alumina, and is active in all major aspects of the industry: technology, mining, refining, smelting, fabricating, and recycling. Aluminum and alumina represent approximately three-fourths of the Company’s revenues. Nonaluminum products include precision castings, industrial fasteners, consumer products, food service and flexible packaging products, plastic closures, and electrical distribution systems for cars and trucks. The Company’s products are used worldwide in aircraft, automobiles, commercial transportation, packaging, consumer products, building and construction, and industrial applications. The Company is global, operating in 44 countries. North America is the largest market with 57% of the Company’s revenues. Europe is also a significant market with 25% of the company’s revenues. The Company’s operations consist of six worldwide segments: Alumina, Primary Metals, Flat-Rolled Products, Extruded and End Products, Engineered Solutions, and Packaging and Consumer.

The linked share’s SEC file number is 1-3610.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 39.09    $ 30.17    $ 33.15

September 30, 2002

   $ 33.80    $ 18.35    $ 19.30

December 31, 2002

   $ 26.37    $ 17.62    $ 22.78

March 31, 2003

   $ 24.75    $ 18.45    $ 19.38

June 30, 2003

   $ 27.19    $ 18.86    $ 25.50

September 30, 2003

   $ 29.50    $ 24.00    $ 26.16

December 31, 2003

   $ 38.92    $ 26.29    $ 38.00

March 31, 2004

   $ 39.20    $ 32.63    $ 34.69

June 30, 2004

   $ 36.56    $ 28.53    $ 33.03

September 30, 2004

   $ 33.68    $ 29.51    $ 33.59

December 31, 2004

   $ 34.98    $ 30.65    $ 31.42

March 31, 2005

   $ 32.29    $ 28.30    $ 30.39

June 30, 2005

   $ 31.79    $ 25.92    $ 26.13

September 30, 2005

   $ 29.98    $ 23.99    $ 24.42

December 30, 2005

   $ 29.84    $ 22.29    $ 29.57

March 31, 2006

   $ 32.19    $ 28.39    $ 30.56

June 30, 2006

   $ 36.96    $ 28.55    $ 32.36

September 29, 2006

   $ 34.00    $ 26.60    $ 28.04

December 29, 2006

   $ 31.30    $ 26.39    $ 30.01

March 30, 2007

   $ 36.05    $ 28.09    $ 33.90

June 29, 2007

   $ 42.90    $ 33.63    $ 40.53

September 30, 2007

   $ 48.77    $ 30.25    $ 39.12

December 31, 2007

   $ 40.70    $ 33.22    $ 36.55

March 31, 2008

   $ 39.67    $ 26.69    $ 36.06

May 29, 2008*

   $ 44.76    $ 33.65    $ 40.34

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: AA

Initial price: $40.34

Protection level: 70.00%

Protection price: $28.24

Physical delivery amount: 24($1,000/Initial price)

Fractional shares: 0.789291

Coupon: 10.25% per annum

Maturity: December 10, 2008

Dividend yield: 1.69% per annum

Coupon amount monthly: $8.54

 

FWP-6


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
   Direct Investment in
the Linked Shares

+ 100%

   5.125%    100.85%

+   90%

   5.125%      90.85%

+   80%

   5.125%      80.85%

+   70%

   5.125%      70.85%

+   60%

   5.125%      60.85%

+   50%

   5.125%      50.85%

+   40%

   5.125%      40.85%

+   30%

   5.125%      30.85%

+   20%

   5.125%      20.85%

+   10%

   5.125%      10.85%

+     5%

   5.125%        5.85%
         

       0%

   5.125%        0.85%
         
     Protection Price Ever
Breached?
    
     NO    YES     

-     5%

   5.125%        0.125%      -4.15%

-   10%

   5.125%      -4.875%      -9.15%

-   20%

   5.125%    -14.875%    -19.15%

-   30%

   5.125%    -24.875%    -29.15%

-   40%

   N/A    -34.875%    -39.15%

-   50%

   N/A    -44.875%    -49.15%

-   60%

   N/A    -54.875%    -59.15%

-   70%

   N/A    -64.875%    -69.15%

-   80%

   N/A    -74.875%    -79.15%

-   90%

   N/A    -84.875%    -89.15%

- 100%

   N/A    -94.875%    -99.15%

 

FWP-7


Evergreen Solar, Inc.

According to publicly available information, Evergreen Solar, Inc. (the “Company”) develops, manufactures and markets solar power products enabled by its proprietary String Ribbon technology that provide reliable and environmentally clean electric power throughout the world.

The Company’s revenues today are primarily derived from the sale of solar modules, which are assemblies of photovoltaic cells that have been electrically interconnected and laminated in a physically durable and weather-tight package. The Company sells its products using distributors, systems integrators and other value-added resellers, who often add value through system design by incorporating its modules with electronics, structures and wiring systems. Applications for its products include on-grid generation, in which supplemental electricity is provided to an electric utility grid, and off-grid generation for markets where access to conventional electric power is not economical or physically feasible. The Company’s products are currently sold primarily in Europe and the United States.

The linked share’s SEC file number is 0-31687.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 3.48    $ 1.32    $ 1.43

September 30, 2002

   $ 1.70    $ 0.65    $ 0.83

December 31, 2002

   $ 1.68    $ 0.44    $ 1.29

March 31, 2003

   $ 2.32    $ 1.01    $ 1.61

June 30, 2003

   $ 1.98    $ 1.26    $ 1.35

September 30, 2003

   $ 3.25    $ 1.01    $ 2.07

December 31, 2003

   $ 2.89    $ 1.48    $ 1.69

March 31, 2004

   $ 2.80    $ 1.68    $ 2.40

June 30, 2004

   $ 5.15    $ 2.25    $ 3.24

September 30, 2004

   $ 3.29    $ 1.92    $ 2.86

December 31, 2004

   $ 4.70    $ 2.82    $ 4.37

March 31, 2005

   $ 7.60    $ 4.00    $ 7.07

June 30, 2005

   $ 8.23    $ 4.68    $ 6.43

September 30, 2005

   $ 9.54    $ 5.73    $ 9.33

December 30, 2005

   $ 12.84    $ 7.74    $ 10.65

March 31, 2006

   $ 17.50    $ 10.77    $ 15.40

June 30, 2006

   $ 16.25    $ 10.00    $ 12.98

September 29, 2006

   $ 13.50    $ 7.90    $ 8.30

December 29, 2006

   $ 9.80    $ 7.27    $ 7.57

March 30, 2007

   $ 10.98    $ 6.97    $ 9.75

June 29, 2007

   $ 13.21    $ 8.11    $ 9.30

September 30, 2007

   $ 10.49    $ 7.95    $ 8.93

December 31, 2007

   $ 18.84    $ 8.95    $ 17.27

March 31, 2008

   $ 18.61    $ 7.52    $ 9.27

May 29, 2008*

   $ 12.12    $ 8.08    $ 10.20

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: ESLR

Initial price: $10.20

Protection level: 60.00%

Protection price: $6.12

Physical delivery amount: 98($1,000/Initial price)

Fractional shares: 0.039216

Coupon: 20.00% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $16.67

 

FWP-8


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
   Direct Investment in
the Linked Shares

+ 100%

   10.00%    100.00%

+   90%

   10.00%      90.00%

+   80%

   10.00%      80.00%

+   70%

   10.00%      70.00%

+   60%

   10.00%      60.00%

+   50%

   10.00%      50.00%

+   40%

   10.00%      40.00%

+   30%

   10.00%      30.00%

+   20%

   10.00%      20.00%

+   10%

   10.00%      10.00%

+     5%

   10.00%        5.00%
         

       0%

   10.00%        0.00%
         
     Protection Price Ever
Breached?
    
     NO    YES     

-     5%

   10.00%         5.00%        -5.00%

-   10%

   10.00%         0.00%      -10.00%

-   20%

   10.00%    -10.00%      -20.00%

-   30%

   10.00%    -20.00%      -30.00%

-   40%

   10.00%    -30.00%      -40.00%

-   50%

   N/A    -40.00%      -50.00%

-   60%

   N/A    -50.00%      -60.00%

-   70%

   N/A    -60.00%      -70.00%

-   80%

   N/A    -70.00%      -80.00%

-   90%

   N/A    -80.00%      -90.00%

- 100%

   N/A    -90.00%    -100.00%

 

FWP-9


Ford Motor Company

According to publicly available information, Ford Motor Company (the “Company”) was incorporated in Delaware in 1919. The Company acquired the business of a Michigan company, also known as Ford Motor Company, which had been incorporated in 1903 to produce and sell automobiles designed and engineered by Henry Ford. The Company is now one of the world’s largest producers of cars and trucks combined. The Company and its subsidiaries also engage in other businesses, including financing vehicles. Information about the Company can be found throughout its website located at www.ford.com.

The linked share’s SEC file number is 1-3950.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 18.23    $ 14.88    $ 16.00

September 30, 2002

   $ 16.24    $ 9.24    $ 9.80

December 31, 2002

   $ 11.91    $ 6.90    $ 9.30

March 31, 2003

   $ 10.73    $ 6.59    $ 7.52

June 30, 2003

   $ 11.71    $ 7.35    $ 10.99

September 30, 2003

   $ 12.53    $ 10.43    $ 10.77

December 31, 2003

   $ 17.31    $ 10.68    $ 16.00

March 31, 2004

   $ 17.34    $ 12.75    $ 13.57

June 30, 2004

   $ 16.48    $ 13.00    $ 15.65

September 30, 2004

   $ 15.76    $ 13.62    $ 14.05

December 31, 2004

   $ 15.00    $ 12.61    $ 14.64

March 31, 2005

   $ 14.75    $ 10.94    $ 11.33

June 30, 2005

   $ 11.69    $ 9.09    $ 10.24

September 30, 2005

   $ 11.18    $ 9.55    $ 9.86

December 30, 2005

   $ 9.95    $ 7.57    $ 7.72

March 31, 2006

   $ 8.96    $ 7.39    $ 7.96

June 30, 2006

   $ 8.00    $ 6.18    $ 6.93

September 29, 2006

   $ 9.46    $ 6.07    $ 8.09

December 29, 2006

   $ 9.19    $ 6.85    $ 7.51

March 30, 2007

   $ 8.97    $ 7.43    $ 7.89

June 29, 2007

   $ 9.70    $ 7.67    $ 9.42

September 30, 2007

   $ 9.64    $ 7.49    $ 8.49

December 31, 2007

   $ 9.24    $ 6.65    $ 6.73

March 31, 2008

   $ 6.94    $ 4.95    $ 5.72

May 29, 2008*

   $ 8.79    $ 5.77    $ 6.71

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: F

Initial price: $6.71

Protection level: 60.00%

Protection price: $4.03

Physical delivery amount: 149($1,000/Initial price)

Fractional shares: 0.031297

Coupon: 15.25% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $12.71

 

FWP-10


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
   Direct Investment in
the Linked Shares

+ 100%

   7.625%    100.00%

+   90%

   7.625%      90.00%

+   80%

   7.625%      80.00%

+   70%

   7.625%      70.00%

+   60%

   7.625%      60.00%

+   50%

   7.625%      50.00%

+   40%

   7.625%      40.00%

+   30%

   7.625%      30.00%

+   20%

   7.625%      20.00%

+   10%

   7.625%      10.00%

+     5%

   7.625%        5.00%
         

       0%

   7.625%        0.00%
         
     Protection Price Ever
Breached?
    
     NO    YES     

-     5%

   7.625%        2.625%        -5.00%

-   10%

   7.625%      -2.375%      -10.00%

-   20%

   7.625%    -12.375%      -20.00%

-   30%

   7.625%    -22.375%      -30.00%

-   40%

   7.625%    -32.375%      -40.00%

-   50%

   N/A    -42.375%      -50.00%

-   60%

   N/A    -52.375%      -60.00%

-   70%

   N/A    -62.375%      -70.00%

-   80%

   N/A    -72.375%      -80.00%

-   90%

   N/A    -82.375%      -90.00%

- 100%

   N/A    -92.375%    -100.00%

 

FWP-11


Kohl’s Corporation

According to publicly available information, Kohl’s Corporation (the “Company”) operates family-oriented, department stores. The Company’s stores sell moderately priced apparel, footwear, accessories and home products targeted to customers shopping for their families and homes.

Central to the Company’s pricing strategy and overall profitability is a culture focused on maintaining a low cost structure. As of February 2, 2008, the Company operated 929 stores in 47 states. In addition, the Company offers on-line shopping on its website.

The linked share’s SEC file number is 1-11084.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 78.74    $ 66.26    $ 70.08

September 30, 2002

   $ 73.75    $ 56.25    $ 60.81

December 31, 2002

   $ 71.70    $ 44.00    $ 55.95

March 31, 2003

   $ 59.50    $ 46.18    $ 56.58

June 30, 2003

   $ 60.55    $ 48.04    $ 51.38

September 30, 2003

   $ 65.44    $ 50.40    $ 53.50

December 31, 2003

   $ 56.63    $ 42.50    $ 44.94

March 31, 2004

   $ 54.10    $ 40.83    $ 48.33

June 30, 2004

   $ 49.50    $ 39.59    $ 42.28

September 30, 2004

   $ 52.00    $ 41.02    $ 48.19

December 31, 2004

   $ 53.24    $ 45.46    $ 49.17

March 31, 2005

   $ 53.86    $ 45.26    $ 51.63

June 30, 2005

   $ 58.50    $ 46.18    $ 55.91

September 30, 2005

   $ 58.90    $ 47.87    $ 50.18

December 30, 2005

   $ 50.96    $ 43.63    $ 48.60

March 31, 2006

   $ 53.54    $ 42.78    $ 53.01

June 30, 2006

   $ 59.70    $ 51.52    $ 59.12

September 29, 2006

   $ 68.44    $ 53.09    $ 64.92

December 29, 2006

   $ 75.52    $ 64.65    $ 68.43

March 30, 2007

   $ 77.00    $ 65.56    $ 76.61

June 29, 2007

   $ 79.55    $ 68.10    $ 71.03

September 30, 2007

   $ 71.62    $ 52.75    $ 57.33

December 31, 2007

   $ 63.96    $ 44.16    $ 45.80

March 31, 2008

   $ 48.39    $ 37.89    $ 42.89

May 29, 2008*

   $ 50.93    $ 41.90    $ 45.33

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: KSS

Initial price: $45.33

Protection level: 75.00%

Protection price: $34.00

Physical delivery amount: 22($1,000/Initial price)

Fractional shares: 0.060446

Coupon: 11.00% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $9.17

 

FWP-12


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   5.50%   100.00%

+   90%

   5.50%     90.00%

+   80%

   5.50%     80.00%

+   70%

   5.50%     70.00%

+   60%

   5.50%     60.00%

+   50%

   5.50%     50.00%

+   40%

   5.50%     40.00%

+   30%

   5.50%     30.00%

+   20%

   5.50%     20.00%

+   10%

   5.50%     10.00%

+     5%

   5.50%       5.00%
        

       0%

   5.50%       0.00%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   5.50%       0.50%       -5.00%

-   10%

   5.50%     -4.50%     -10.00%

-   20%

   5.50%   -14.50%     -20.00%

-   30%

   N/A   -24.50%     -30.00%

-   40%

   N/A   -34.50%     -40.00%

-   50%

   N/A   -44.50%     -50.00%

-   60%

   N/A   -54.50%     -60.00%

-   70%

   N/A   -64.50%     -70.00%

-   80%

   N/A   -74.50%     -80.00%

-   90%

   N/A   -84.50%     -90.00%

- 100%

   N/A   -94.50%   -100.00%

 

FWP-13


LDK Solar Co., Ltd.

According to publicly available information, LDK Solar Co., Ltd. (the “Company”) is a manufacturer of multicrystalline solar wafers. Solar wafers are the principal raw material used to produce solar cells, which are devices capable of converting sunlight into electricity. The Company sells multicrystalline wafers globally to manufacturers of photovoltaic products, including solar cells and solar modules. The Company produces and sells multicrystalline solar wafers between 180 and 220 microns in thickness. In addition, the Company provides wafer processing services to monocrystalline and multicrystalline solar cell and module manufacturers.

The linked share’s SEC file number is 001-33464.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

     N.A.      N.A.      N.A.

September 30, 2002

     N.A.      N.A.      N.A.

December 31, 2002

     N.A.      N.A.      N.A.

March 31, 2003

     N.A.      N.A.      N.A.

June 30, 2003

     N.A.      N.A.      N.A.

September 30, 2003

     N.A.      N.A.      N.A.

December 31, 2003

     N.A.      N.A.      N.A.

March 31, 2004

     N.A.      N.A.      N.A.

June 30, 2004

     N.A.      N.A.      N.A.

September 30, 2004

     N.A.      N.A.      N.A.

December 31, 2004

     N.A.      N.A.      N.A.

March 31, 2005

     N.A.      N.A.      N.A.

June 30, 2005

     N.A.      N.A.      N.A.

September 30, 2005

     N.A.      N.A.      N.A.

December 30, 2005

     N.A.      N.A.      N.A.

March 31, 2006

     N.A.      N.A.      N.A.

June 30, 2006

     N.A.      N.A.      N.A.

September 29, 2006

     N.A.      N.A.      N.A.

December 29, 2006

     N.A.      N.A.      N.A.

March 30, 2007

     N.A.      N.A.      N.A.

June 29, 2007

   $ 32.50    $ 22.27    $ 31.30

September 30, 2007

   $ 76.75    $ 31.57    $ 68.90

December 31, 2007

   $ 75.25    $ 26.15    $ 47.01

March 31, 2008

   $ 51.60    $ 19.64    $ 27.00

May 29, 2008*

   $ 47.62    $ 27.20    $ 42.62

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: LDK

Initial price: $42.62

Protection level: 60.00%

Protection price: $25.57

Physical delivery amount: 23($1,000/Initial price)

Fractional shares: 0.463163

Coupon: 20.00% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $16.67

 

FWP-14


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   10.00%   100.00%

+   90%

   10.00%     90.00%

+   80%

   10.00%     80.00%

+   70%

   10.00%     70.00%

+   60%

   10.00%     60.00%

+   50%

   10.00%     50.00%

+   40%

   10.00%     40.00%

+   30%

   10.00%     30.00%

+   20%

   10.00%     20.00%

+   10%

   10.00%     10.00%

+     5%

   10.00%       5.00%
        

       0%

   10.00%       0.00%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   10.00%      5.00%       -5.00%

-   10%

   10.00%      0.00%     -10.00%

-   20%

   10.00%   -10.00%     -20.00%

-   30%

   10.00%   -20.00%     -30.00%

-   40%

   10.00%   -30.00%     -40.00%

-   50%

   N/A   -40.00%     -50.00%

-   60%

   N/A   -50.00%     -60.00%

-   70%

   N/A   -60.00%     -70.00%

-   80%

   N/A   -70.00%     -80.00%

-   90%

   N/A   -80.00%     -90.00%

- 100%

   N/A   -90.00%   -100.00%

 

FWP-15


The Mosaic Company

According to publicly available information, The Mosaic Company (the “Company”) is a producer and marketer of concentrated phosphate and potash crop nutrients for the global agriculture industry. Through its broad product offering, the Company is a single source supplier of phosphate-, potash- and nitrogen-based crop nutrients and animal feed ingredients. The Company serves customers in approximately 45 countries. The Company has phosphate mining operations in Florida and phosphate production facilities in Florida and Louisiana; potash mines and production facilities in Saskatchewan, Canada, New Mexico and Michigan; strategic equity investments in phosphate and nitrogen production facilities in Brazil and Canada; and other production, blending or distribution operations or equity investments in nearly a dozen countries, including the top four nutrient consuming countries in the world.

The linked share’s SEC file number is 001-32327.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

     N.A.      N.A.      N.A.

September 30, 2002

     N.A.      N.A.      N.A.

December 31, 2002

     N.A.      N.A.      N.A.

March 31, 2003

     N.A.      N.A.      N.A.

June 30, 2003

     N.A.      N.A.      N.A.

September 30, 2003

     N.A.      N.A.      N.A.

December 31, 2003

     N.A.      N.A.      N.A.

March 31, 2004

     N.A.      N.A.      N.A.

June 30, 2004

     N.A.      N.A.      N.A.

September 30, 2004

     N.A.      N.A.      N.A.

December 31, 2004

   $ 18.58    $ 14.80    $ 16.32

March 31, 2005

   $ 17.42    $ 14.60    $ 17.06

June 30, 2005

   $ 17.16    $ 12.38    $ 15.56

September 30, 2005

   $ 17.98    $ 15.11    $ 16.02

December 30, 2005

   $ 15.62    $ 12.51    $ 14.63

March 31, 2006

   $ 17.14    $ 13.78    $ 14.35

June 30, 2006

   $ 17.28    $ 13.31    $ 15.65

September 29, 2006

   $ 17.12    $ 14.03    $ 16.90

December 29, 2006

   $ 23.54    $ 16.20    $ 21.36

March 30, 2007

   $ 28.84    $ 19.49    $ 26.66

June 29, 2007

   $ 40.96    $ 26.44    $ 39.02

September 30, 2007

   $ 54.83    $ 32.50    $ 53.52

December 31, 2007

   $ 97.60    $ 48.72    $ 94.34

March 31, 2008

   $ 119.78    $ 71.00    $ 102.60

May 29, 2008*

   $ 143.32    $ 95.00    $ 121.79

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: MOS

Initial price: $121.79

Protection level: 65.00%

Protection price: $79.16

Physical delivery amount: 8($1,000/Initial price)

Fractional shares: 0.210855

Coupon: 15.50% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $12.92

 

FWP-16


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   7.75%   100.00%

+   90%

   7.75%     90.00%

+   80%

   7.75%     80.00%

+   70%

   7.75%     70.00%

+   60%

   7.75%     60.00%

+   50%

   7.75%     50.00%

+   40%

   7.75%     40.00%

+   30%

   7.75%     30.00%

+   20%

   7.75%     20.00%

+   10%

   7.75%     10.00%

+     5%

   7.75%       5.00%
        

       0%

   7.75%       0.00%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   7.75%      2.75%       -5.00%

-   10%

   7.75%     -2.25%     -10.00%

-   20%

   7.75%   -12.25%     -20.00%

-   30%

   7.75%   -22.25%     -30.00%

-   40%

   N/A   -32.25%     -40.00%

-   50%

   N/A   -42.25%     -50.00%

-   60%

   N/A   -52.25%     -60.00%

-   70%

   N/A   -62.25%     -70.00%

-   80%

   N/A   -72.25%     -80.00%

-   90%

   N/A   -82.25%     -90.00%

- 100%

   N/A   -92.25%   -100.00%

 

FWP-17


Marathon Oil Corporation

According to publicly available information, Marathon Oil Corporation (“the Company”) consists of three operating segments: 1) Exploration and Production– explores for, produces and markets crude oil and natural gas on a worldwide basis; 2) Refining, Marketing and Transportation– refines, markets and transports crude oil and petroleum products, primarily in the Midwest, the upper Great Plains and southeastern United States; and 3) Integrated Gas – markets and transports products manufactured from natural gas, such as liquefied natural gas and methanol, on a worldwide basis, and is developing other projects to link stranded natural gas resources with key demand areas. The Company conducts exploration, development and production activities in ten countries, with a focus on international growth while continuing to maintain its position in the United States.

The linked share’s SEC file number is 033-07065.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 14.95    $ 12.83    $ 13.56

September 30, 2002

   $ 13.60    $ 10.51    $ 11.34

December 31, 2002

   $ 11.74    $ 9.41    $ 10.65

March 31, 2003

   $ 12.15    $ 9.93    $ 11.99

June 30, 2003

   $ 13.60    $ 11.24    $ 13.18

September 30, 2003

   $ 14.74    $ 12.46    $ 14.25

December 31, 2003

   $ 16.81    $ 14.30    $ 16.55

March 31, 2004

   $ 18.16    $ 15.24    $ 16.84

June 30, 2004

   $ 18.94    $ 16.00    $ 18.92

September 30, 2004

   $ 20.80    $ 16.78    $ 20.64

December 31, 2004

   $ 21.30    $ 18.02    $ 18.81

March 31, 2005

   $ 24.65    $ 17.76    $ 23.46

June 30, 2005

   $ 27.95    $ 21.75    $ 26.69

September 30, 2005

   $ 36.33    $ 26.90    $ 34.47

December 30, 2005

   $ 34.99    $ 27.71    $ 30.49

March 31, 2006

   $ 39.68    $ 31.01    $ 38.09

June 30, 2006

   $ 43.28    $ 34.70    $ 41.65

September 29, 2006

   $ 46.64    $ 34.42    $ 38.45

December 29, 2006

   $ 49.37    $ 35.34    $ 46.25

March 30, 2007

   $ 51.74    $ 41.50    $ 49.42

June 29, 2007

   $ 67.04    $ 49.45    $ 59.96

September 30, 2007

   $ 65.21    $ 46.97    $ 57.02

December 31, 2007

   $ 63.07    $ 51.99    $ 60.86

March 31, 2008

   $ 63.22    $ 43.30    $ 45.60

May 29, 2008*

   $ 55.75    $ 44.59    $ 50.67

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: MRO

Initial price: $50.67

Protection level: 75.00%

Protection price: $38.00

Physical delivery amount: 19($1,000/Initial price)

Fractional shares: 0.735544

Coupon: 10.50% per annum

Maturity: December 10, 2008

Dividend yield: 1.89% per annum

Coupon amount monthly: $8.75

 

FWP-18


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   5.25%   100.95%

+   90%

   5.25%     90.95%

+   80%

   5.25%     80.95%

+   70%

   5.25%     70.95%

+   60%

   5.25%     60.95%

+   50%

   5.25%     50.95%

+   40%

   5.25%     40.95%

+   30%

   5.25%     30.95%

+   20%

   5.25%     20.95%

+   10%

   5.25%     10.95%

+     5%

   5.25%       5.95%
        

       0%

   5.25%       0.95%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   5.25%      0.25%     -4.05%

-   10%

   5.25%     -4.75%     -9.05%

-   20%

   5.25%   -14.75%   -19.05%

-   30%

   N/A   -24.75%   -29.05%

-   40%

   N/A   -34.75%   -39.05%

-   50%

   N/A   -44.75%   -49.05%

-   60%

   N/A   -54.75%   -59.05%

-   70%

   N/A   -64.75%   -69.05%

-   80%

   N/A   -74.75%   -79.05%

-   90%

   N/A   -84.75%   -89.05%

- 100%

   N/A   -94.75%   -99.05%

 

FWP-19


Morgan Stanley

According to publicly available information, Morgan Stanley (the “Company”) is a global financial services firm that, through its subsidiaries and affiliates, provides its products and services to a large and diversified group of clients and customers, including corporations, governments, financial institutions and individuals. The Company was originally incorporated under the laws of the State of Delaware in 1981, and its predecessor companies date back to 1924. The Company conducts its business from its headquarters in and around New York City, its regional offices and branches throughout the U.S. and its principal offices in London, Tokyo, Hong Kong and other world financial centers. At November 30, 2007, the Company had 48,256 employees worldwide.

The Company is a global financial services firm that maintains significant market positions in each of its business segments—Institutional Securities, Global Wealth Management Group, Asset Management and Discover.

The linked share’s SEC file number is 1-11758.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 47.56    $ 33.06    $ 35.76

September 30, 2002

   $ 38.58    $ 27.14    $ 28.12

December 31, 2002

   $ 38.87    $ 23.95    $ 33.14

March 31, 2003

   $ 36.84    $ 26.95    $ 31.83

June 30, 2003

   $ 41.80    $ 31.88    $ 35.49

September 30, 2003

   $ 44.08    $ 35.21    $ 41.89

December 31, 2003

   $ 48.79    $ 42.10    $ 48.04

March 31, 2004

   $ 52.16    $ 46.24    $ 47.57

June 30, 2004

   $ 48.56    $ 41.70    $ 43.81

September 30, 2004

   $ 44.15    $ 38.63    $ 40.92

December 31, 2004

   $ 46.45    $ 39.24    $ 46.09

March 31, 2005

   $ 50.23    $ 44.44    $ 47.52

June 30, 2005

   $ 49.81    $ 39.57    $ 43.56

September 30, 2005

   $ 45.32    $ 41.66    $ 44.78

December 30, 2005

   $ 48.70    $ 42.16    $ 47.10

March 31, 2006

   $ 53.32    $ 47.10    $ 52.15

June 30, 2006

   $ 54.79    $ 45.28    $ 52.47

September 29, 2006

   $ 61.14    $ 49.96    $ 60.52

December 29, 2006

   $ 69.23    $ 60.22    $ 67.60

March 30, 2007

   $ 70.28    $ 58.88    $ 65.38

June 29, 2007

   $ 75.32    $ 64.13    $ 69.63

September 30, 2007

   $ 73.64    $ 54.90    $ 63.00

December 31, 2007

   $ 69.23    $ 47.25    $ 53.11

March 31, 2008

   $ 53.39    $ 33.56    $ 45.70

May 29, 2008*

   $ 51.55    $ 41.13    $ 43.78

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: MS

Initial price: $43.78

Protection level: 70.00%

Protection price: $30.65

Physical delivery amount: 22($1,000/Initial price)

Fractional shares: 0.841480

Coupon: 10.00% per annum

Maturity: December 10, 2008

Dividend yield: 2.47% per annum

Coupon amount monthly: $8.33

 

FWP-20


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   5.00%   101.24%

+   90%

   5.00%     91.24%

+   80%

   5.00%     81.24%

+   70%

   5.00%     71.24%

+   60%

   5.00%     61.24%

+   50%

   5.00%     51.24%

+   40%

   5.00%     41.24%

+   30%

   5.00%     31.24%

+   20%

   5.00%     21.24%

+   10%

   5.00%     11.24%

+     5%

   5.00%       6.24%
        

       0%

   5.00%       1.24%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   5.00%      0.00%     -3.76%

-   10%

   5.00%     -5.00%     -8.76%

-   20%

   5.00%   -15.00%   -18.76%

-   30%

   5.00%   -25.00%   -28.76%

-   40%

   N/A   -35.00%   -38.76%

-   50%

   N/A   -45.00%   -48.76%

-   60%

   N/A   -55.00%   -58.76%

-   70%

   N/A   -65.00%   -68.76%

-   80%

   N/A   -75.00%   -78.76%

-   90%

   N/A   -85.00%   -88.76%

- 100%

   N/A   -95.00%   -98.76%

 

FWP-21


Suntech Power Holdings Co., Ltd.

According to publicly available information, Suntech Power Holdings Co., Ltd. (the “Company”) is one of the leading solar energy companies in the world as measured by production output in 2005. Since the Company commenced business commenced business in May 2002, it has grown rapidly to become the world’s fourth largest manufacturer of PV cells in 2006. The Company also provides PV system integration services in China. The Company’s products are used to provide reliable and environmentally friendly electric power for residential, commercial, industrial and public utility applications in various markets worldwide, including a number of European countries such as Germany and Spain, as well as China and the United States. The Company sells its products outside of China primarily through distributors and in China primarily to PV module manufacturers and end users directly.

The linked share’s SEC file number is: 001-32689.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

     N.A.      N.A.      N.A.

September 30, 2002

     N.A.      N.A.      N.A.

December 31, 2002

     N.A.      N.A.      N.A.

March 31, 2003

     N.A.      N.A.      N.A.

June 30, 2003

     N.A.      N.A.      N.A.

September 30, 2003

     N.A.      N.A.      N.A.

December 31, 2003

     N.A.      N.A.      N.A.

March 31, 2004

     N.A.      N.A.      N.A.

June 30, 2004

     N.A.      N.A.      N.A.

September 30, 2004

     N.A.      N.A.      N.A.

December 31, 2004

     N.A.      N.A.      N.A.

March 31, 2005

     N.A.      N.A.      N.A.

June 30, 2005

     N.A.      N.A.      N.A.

September 30, 2005

     N.A.      N.A.      N.A.

December 30, 2005

   $ 28.20    $ 19.03    $ 27.25

March 31, 2006

   $ 45.86    $ 25.50    $ 36.99

June 30, 2006

   $ 41.48    $ 21.50    $ 28.25

September 29, 2006

   $ 32.70    $ 21.60    $ 25.83

December 29, 2006

   $ 34.94    $ 23.15    $ 34.01

March 30, 2007

   $ 40.40    $ 31.62    $ 34.61

June 29, 2007

   $ 39.58    $ 31.41    $ 36.47

September 30, 2007

   $ 44.94    $ 31.81    $ 39.90

December 31, 2007

   $ 88.62    $ 37.52    $ 82.32

March 31, 2008

   $ 90.00    $ 28.21    $ 40.56

May 29, 2008*

   $ 51.62    $ 40.33    $ 40.52

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: STP

Initial price: $40.52

Protection level: 65.00%

Protection price: $26.34

Physical delivery amount: 24($1,000/Initial price)

Fractional shares: 0.679171

Coupon: 20.00% per annum

Maturity: December 10, 2008

Dividend yield: 0.00% per annum

Coupon amount monthly: $16.67

 

FWP-22


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   10.00%   100.00%

+   90%

   10.00%     90.00%

+   80%

   10.00%     80.00%

+   70%

   10.00%     70.00%

+   60%

   10.00%     60.00%

+   50%

   10.00%     50.00%

+   40%

   10.00%     40.00%

+   30%

   10.00%     30.00%

+   20%

   10.00%     20.00%

+   10%

   10.00%     10.00%

+     5%

   10.00%       5.00%
        

       0%

   10.00%       0.00%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   10.00%      5.00%       -5.00%

-   10%

   10.00%      0.00%     -10.00%

-   20%

   10.00%   -10.00%     -20.00%

-   30%

   10.00%   -20.00%     -30.00%

-   40%

   N/A   -30.00%     -40.00%

-   50%

   N/A   -40.00%     -50.00%

-   60%

   N/A   -50.00%     -60.00%

-   70%

   N/A   -60.00%     -70.00%

-   80%

   N/A   -70.00%     -80.00%

-   90%

   N/A   -80.00%     -90.00%

- 100%

   N/A   -90.00%   -100.00%

 

FWP-23


Tesoro Corporation

According to publicly available information, Tesoro Corporation (“the Company”) is based in San Antonio, Texas. The Company was incorporated in Delaware in 1968 under the name Tesoro Petroleum Corporation, which was subsequently changed in 2004 to Tesoro Corporation. The Company is one of the largest independent petroleum refiners and marketers in the United States with two operating segments — (1) refining crude oil and other feedstocks at its seven refineries in the western and mid-continental United States and selling refined products in bulk and wholesale markets and (2) selling motor fuels and convenience products in the retail market through its 911 branded retail stations in 17 states. The Company’s refining segment produces refined products, primarily gasoline and gasoline blendstocks, jet fuel, diesel fuel and heavy fuel oils for sale to a wide variety of commercial customers in the western and mid-continental United States. Its retail segment distributes motor fuels through a network of retail stations, primarily under the Tesoro®, Mirastar®, Shell® and USA Gasoline brands.

The Company’s principal executive offices are located at 300 Concord Plaza Drive, San Antonio, Texas 78216-6999.

The linked share’s SEC file number is 001-03473.

Historical Performance of the Linked Share

The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.

 

Quarter/Period Ending

   Quarterly
High
   Quarterly
Low
   Quarterly
Close

June 28, 2002

   $ 7.27    $ 2.82    $ 3.88

September 30, 2002

   $ 3.87    $ 1.20    $ 1.40

December 31, 2002

   $ 2.60    $ 0.63    $ 2.26

March 31, 2003

   $ 3.72    $ 1.70    $ 3.70

June 30, 2003

   $ 4.28    $ 3.23    $ 3.44

September 30, 2003

   $ 4.71    $ 3.33    $ 4.23

December 31, 2003

   $ 7.56    $ 4.28    $ 7.29

March 31, 2004

   $ 9.67    $ 7.00    $ 9.40

June 30, 2004

   $ 13.88    $ 8.88    $ 13.80

September 30, 2004

   $ 15.85    $ 10.90    $ 14.77

December 31, 2004

   $ 17.33    $ 13.88    $ 15.93

March 31, 2005

   $ 19.09    $ 14.13    $ 18.51

June 30, 2005

   $ 24.93    $ 17.03    $ 23.26

September 30, 2005

   $ 35.90    $ 23.06    $ 33.62

December 30, 2005

   $ 34.64    $ 26.17    $ 30.78

March 31, 2006

   $ 36.99    $ 28.85    $ 34.17

June 30, 2006

   $ 37.86    $ 30.16    $ 37.18

September 29, 2006

   $ 38.40    $ 26.48    $ 28.99

December 29, 2006

   $ 36.55    $ 27.33    $ 32.89

March 30, 2007

   $ 51.40    $ 31.47    $ 50.22

June 29, 2007

   $ 64.65    $ 50.06    $ 57.15

September 30, 2007

   $ 62.00    $ 42.64    $ 46.02

December 31, 2007

   $ 65.50    $ 44.53    $ 47.70

March 31, 2008

   $ 48.35    $ 26.55    $ 30.00

May 29, 2008*

   $ 33.40    $ 21.71    $ 23.26

 

* High, low and closing prices are for the period starting April 1, 2008 and ending May 29, 2008.

Hypothetical Examples

The following Table of Hypothetical Values at Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section “Description of Hypothetical Examples” above.

Assumptions:

 

 

Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.

 

 

No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.

Linked share: TSO

Initial price: $23.26

Protection level: 65.00%

Protection price: $15.12

Physical delivery amount: 42($1,000/Initial price)

Fractional shares: 0.992261

Coupon: 17.50% per annum

Maturity: December 10, 2008

Dividend yield: 2.15% per annum

Coupon amount monthly: $14.58

 

FWP-24


Table of Hypothetical Values at Maturity

 

     6-Month Total Return

Final Level

(% Change)

   Investment in the
Notes
  Direct Investment in
the Linked Shares

+ 100%

   8.75%   101.08%

+   90%

   8.75%     91.08%

+   80%

   8.75%     81.08%

+   70%

   8.75%     71.08%

+   60%

   8.75%     61.08%

+   50%

   8.75%     51.08%

+   40%

   8.75%     41.08%

+   30%

   8.75%     31.08%

+   20%

   8.75%     21.08%

+   10%

   8.75%     11.08%

+     5%

   8.75%       6.08%
        

       0%

   8.75%       1.08%
        
     Protection Price Ever
Breached?
   
     NO   YES    

-     5%

   8.75%      3.75%     -3.92%

-   10%

   8.75%     -1.25%     -8.92%

-   20%

   8.75%   -11.25%   -18.92%

-   30%

   8.75%   -21.25%   -28.92%

-   40%

   N/A   -31.25%   -38.92%

-   50%

   N/A   -41.25%   -48.92%

-   60%

   N/A   -51.25%   -58.92%

-   70%

   N/A   -61.25%   -68.92%

-   80%

   N/A   -71.25%   -78.92%

-   90%

   N/A   -81.25%   -88.92%

- 100%

   N/A   -91.25%   -98.92%

 

FWP-25