FWP 1 dfwp.htm VCNS (16 EQUITIES) VCNs (16 Equities)

Filed Pursuant to Rule 433

Registration No. 333-158663

Subject to Completion

Preliminary Term Sheet dated March 25, 2011

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The notes are being offered by Bank of America Corporation (“BAC”). The notes will have the terms specified in this term sheet as supplemented by the documents indicated below under “Additional Terms” (together, the “Note Prospectus”). Investing in the notes involves a number of risks. There are important differences between the notes and a conventional debt security, including different investment risks. See “Risk Factors” on page TS-6 of this term sheet and beginning on page S-8 of product supplement VCN-2. The notes:

 

         
Are Not FDIC Insured   Are Not Bank Guaranteed   May Lose Value
         

In connection with this offering, Merrill Lynch, Pierce, Fenner & Smith Incorporated (“MLPF&S”) is acting in its capacity as principal for your account.

None of the Securities and Exchange Commission (the “SEC”), any state securities commission, or any other regulatory body has approved or disapproved of these securities or determined if this Note Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

 

    

Per Unit

      

Total

        

Public offering price (1)

     $10.00         $     

Underwriting discount (1)

     $0.25         $     

Proceeds, before expenses, to Bank of America Corporation

     $9.75         $     

 

  (1)

The public offering price and underwriting discount for any purchase of 500,000 units or more in a single transaction by an individual investor will be $9.95 per unit and $0.20 per unit, respectively. The public offering price and underwriting discount for any purchase by certain fee-based trusts and fee-based discretionary accounts managed by U.S. Trust operating through Bank of America, N.A. will be $9.75 per unit and $0.00 per unit, respectively.

*Depending on the date the notes are priced for initial sale to the public (the “pricing date”), which may be in April or May 2011, the settlement date may occur in April or May 2011, and the maturity date may occur in April or May 2017. Any reference in this term sheet to the month in which the pricing date, the settlement date, coupon payment dates, redemption dates, or the maturity date will occur is subject to change as specified above.

 

 

Merrill Lynch & Co.

 

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April     , 2011

  

 

            Units Expected Pricing Date* April     , 2011

Variable Coupon Notes Settlement Date* May     , 2011

Linked to a Basket of 16 Common Equity Securities, Maturity Date* May     , 2017

due May     , 2017 CUSIP No.

$10 principal amount per unit

Term Sheet No.

Variable Coupon Notes

Annual coupon payments based on the average performance of an equally-weighted basket of 16 common equity securities (the “Basket Stocks”), subject to a maximum Coupon Rate of 7.00% to 11.00% per annum and a Minimum Coupon Rate of 2.00% per annum

Payment of principal amount and the final coupon payment at maturity

A maturity of approximately six years

Payment of interest and repayment of principal at maturity are subject to the credit risk of Bank of America Corporation

No listing on any securities exchange

Market Downside Protection

Enhanced Income

Market Access

Enhanced Return

Market Downside Protection


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Summary

The Variable Coupon Notes Linked to a Basket of 16 Common Equity Securities, due May     , 2017 (the “notes”) are our senior unsecured debt securities. The notes are not guaranteed or insured by the Federal Deposit Insurance Corporation or secured by collateral. The notes will rank equally with all of our other unsecured and unsubordinated debt, and all payments due on the notes, including any repayment of principal, will be subject to the credit risk of BAC.

The notes provide investors with annual interest payments based upon the performance of an equally-weighted basket (the “Basket”) of 16 common equity securities. The Basket consists of the following common equity securities:

 

Basket Stock

  

Ticker

  

Weight

 

Initial Share Price

 

Apple Inc.

   AAPL    6.25%  

Cisco Systems, Inc.

   CSCO    6.25%  

Deere & Company

   DE    6.25%  

FedEx Corporation

   FDX    6.25%  

Halliburton Company

   HAL    6.25%  

JPMorgan Chase & Co.

   JPM    6.25%  

Las Vegas Sands Corp.

   LVS    6.25%  

NIKE Inc.

   NKE    6.25%  

Oracle Corporation

   ORCL    6.25%  

Priceline.com Incorporated

   PCLN    6.25%  

Salesforce.com, Inc.

   CRM    6.25%  

The Charles Schwab Corporation

   SCHW    6.25%  

UnitedHealth Group Incorporated

   UNH    6.25%  

Wal-Mart Stores, Inc.

   WMT    6.25%  

Whole Foods Market, Inc.

   WFMI    6.25%  

Yahoo! Inc.

   YHOO    6.25%  

The notes are not traditional debt securities, and investors may not earn interest on their investment above the minimum coupon of 2.00% per annum.

Capitalized terms used but not defined in this term sheet have the meanings set forth in product supplement VCN-2. Unless otherwise indicated or unless the context requires otherwise, all references in this document to “we,” “us,” “our,” or similar references are to BAC.

 

 

Variable Coupon Notes

 

 

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Terms of the Notes

 

Issuer:  

Bank of America Corporation (“BAC”)

 

Original Offering  Price:  

$10.00 per unit

 

Term:  

Approximately six years

 

Coupon Determination Dates:  

Each of the six anniversary dates of the pricing date, determined on the pricing date and set forth in the final term sheet that will be made available in connection with the sale of the notes, subject to postponement as described on page S-20 of product supplement VCN-2 if it is determined that a scheduled Coupon Determination Date is not a trading day or if a Market Disruption Event occurs on a scheduled Coupon Determination Date.

 

Coupon Payment Dates:  

Annually, on May     , of each year or, if that day is not a business day, the next following business day.

 

Coupon Payments:  

On each Coupon Payment Date, the applicable Coupon Payment payable on the notes will equal the product of the principal amount and the Coupon Rate determined on the applicable Coupon Determination Date.

 

Initial Share Price:  

For each Basket Stock, the Initial Share Price will be the Volume Weighted Average Price of the Basket Stock listed in the table immediately above.

 

Volume Weighted Average Price:  

Absent a determination of manifest error, the price (rounded to two decimal places) shown on page “AQR” on Bloomberg L.P. for trading in shares of the Basket Stock taking place on all U.S. exchanges on the pricing date from approximately 9:30 a.m. to 4:02 p.m. for Basket Stocks whose primary exchange is the New York Stock Exchange, and from 9:30 a.m. to 4:05 p.m. for Basket Stocks whose primary exchange is the Nasdaq Global Select Market.

 

Annual Level:  

For each Basket Stock, the Annual Level will be the Closing Price of one share of the Basket Stock on the applicable Coupon Determination Date, multiplied by its Price Multiplier.

 

Minimum Coupon Rate:  

2.00% per annum.

 

Auto-Cap:  

7.00% to 11.00%. The actual Auto-Cap will be determined on the pricing date and set forth in the final term sheet that will be made available in connection with the sale of the notes.

 

Return Floor:  

Not applicable

 

Price Multiplier:  

For each Basket Stock, 1, subject to adjustment for certain corporate events relating to the Basket Stocks described beginning on page S-22 of product supplement VCN-2.

 

Calculation Agent:   MLPF&S, a subsidiary of BAC

Determining the Coupon Payment for the Notes

On each Coupon Determination Date, the Performance Level for each Basket Stock will be determined as follows:

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The Coupon Rate will equal the arithmetic average of the Performance Level (the “Average Performance Level”) of each of the Basket Stocks on the applicable Coupon Determination Date. However, in no event will the Coupon Rate be less than the Minimum Coupon Rate.

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Variable Coupon Notes

 

 

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Hypothetical Coupon Rate Calculations

Examples

Set forth below are examples of the calculations of the hypothetical Coupon Rates (rounded to the nearest hundredth and expressed as percentages) determined on each of the Coupon Determination Dates, based upon the Minimum Coupon Rate of 2.00% per annum and a hypothetical Auto-Cap of 9.00% (the midpoint of the Auto-Cap range of 7.00% to 11.00%). The examples illustrate, for the hypothetical Initial Share Prices set forth in the table below (the Closing Prices of the Basket Stocks on March 21, 2011), and a range of hypothetical Annual Levels on each Coupon Determination Date:

 

§  

the hypothetical Stock Return and Performance Level of each Basket Stock;

 

§  

the hypothetical Average Performance Level; and

 

§  

the hypothetical Coupon Rate payable on the applicable Coupon Payment Date.

On the first Coupon Determination Date, the hypothetical Stock Return of each Basket Stock is less than zero. The Performance Level of each Basket Stock will equal its hypothetical Stock Return, resulting in a hypothetical Average Performance Level of -19.13%. However, because in no event will the Coupon Rate determined on any Coupon Determination Date be less than the Minimum Coupon Rate, the hypothetical Coupon Rate for May     , 2012 is 2.00%.

On the second Coupon Determination Date, the hypothetical Stock Returns of eight Basket Stocks are less than zero, and the hypothetical Stock Returns of the other eight Basket Stocks are greater than zero. Because of the Auto-Cap, the Performance Levels of each of the Basket Stocks with a Stock Return that is greater than zero will equal the Auto-Cap, and the Performance Levels of each of the Basket Stocks with a Stock Return that is less than zero will equal its hypothetical Stock Return. The hypothetical Average Performance Level is -1.56%. However, because in no event will the Coupon Rate determined on any Coupon Determination Date be less than the Minimum Coupon Rate, the hypothetical Coupon Rate for May     , 2013 is 2.00%.

On the third Coupon Determination Date, the hypothetical Stock Return of one Basket Stock is less than zero, and the hypothetical Stock Return of each of the other Basket Stocks is greater than zero. Because of the Auto-Cap, the Performance Level of the Basket Stocks with a Stock Return that is greater than zero will equal the Auto-Cap, and the Performance Level of the Basket Stock with a Stock Return that is less than zero will equal its hypothetical Stock Return. The hypothetical Average Performance Level is 8.12%. Therefore, the hypothetical Coupon Rate for May     , 2014 is 8.12%.

On the fourth Coupon Determination Date, the hypothetical Stock Return of two Basket Stocks is less than zero, and the hypothetical Stock Return of each of the other Basket Stocks is greater than zero. Because of the Auto-Cap, the Performance Level of the Basket Stocks with a Stock Return that is greater than zero will equal the Auto-Cap, and the Performance Level of each of the Basket Stocks with a Stock Return that is less than zero will equal its hypothetical Stock Return. The hypothetical Average Performance Level is -2.44%. However, because in no event will the Coupon Rate determined on any Coupon Determination Date be less than the Minimum Coupon Rate, the hypothetical Coupon Rate for May     , 2015 is 2.00%.

On the fifth Coupon Determination Date, the hypothetical Stock Return of each Basket Stock is greater than zero. Because of the Auto-Cap, the Performance Level of each Basket Stock will equal the Auto-Cap. Therefore, even though the hypothetical average Stock Return is 14.13%, the hypothetical Coupon Rate for May     , 2016 is 9.00%.

On the sixth Coupon Determination Date, the hypothetical Stock Return of each Basket Stock is greater than zero. Because of the Auto-Cap, the Performance Level of the Basket Stocks with a Stock Return that is greater than zero will equal the Auto-Cap. Therefore, even though the hypothetical average Stock Return is 2.55%, the hypothetical Average Performance Level is 9.00%. As a result, the hypothetical Coupon Rate for May     , 2017 is 9.00%.

These examples and the table below are for illustration only. The Coupon Rate on one or more Coupon Payment Dates may be limited to the Minimum Coupon Rate.

 

 

Variable Coupon Notes

 

 

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                    May     , 2012          May     , 2013          May     , 2014  
         Initial
Share
Price
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
 

Apple Inc.

       339.22           271.38         -20.00     -20.00        305.30         -10.00     -10.00        359.57         6.00     9.00

Cisco Systems, Inc.

       17.39           12.17         -30.02     -30.02        17.91         2.99     9.00        18.75         7.82     9.00

Deere & Company

       91.61           68.71         -25.00     -25.00        81.53         -11.00     -11.00        92.53         1.00     9.00

FedEx Corporation

       89.86           70.09         -22.00     -22.00        92.56         3.00     9.00        96.60         7.50     9.00

Halliburton Company

       45.73           38.87         -15.00     -15.00        40.24         -12.01     -12.01        46.19         1.01     9.00

JPMorgan Chase & Co.

       45.65           33.32         -27.01     -27.01        47.48         4.01     9.00        47.25         3.50     9.00

Las Vegas Sands Corp.

       38.69           33.27         -14.01     -14.01        33.66         -13.00     -13.00        41.51         7.29     9.00

NIKE Inc.

       76.84           66.85         -13.00     -13.00        80.68         5.00     9.00        82.80         7.76     9.00

Oracle Corporation

       31.40           28.26         -10.00     -10.00        27.00         -14.01     -14.01        33.82         7.71     9.00

Priceline.com Incorporated

       456.93           406.67         -11.00     -11.00        493.48         8.00     9.00        488.92         7.00     9.00

Salesforce.com, Inc.

       124.42           95.80         -23.00     -23.00        105.76         -15.00     -15.00        129.40         4.00     9.00

The Charles Schwab Corporation

       17.65           13.41         -24.02     -24.02        18.53         4.99     9.00        18.00         1.98     9.00

UnitedHealth Group Incorporated

       43.19           36.28         -16.00     -16.00        38.66         -10.49     -10.49        44.92         4.01     9.00

Wal-Mart Stores, Inc.

       51.94           43.11         -17.00     -17.00        52.98         2.00     9.00        49.34         -5.01     -5.01

Whole Foods Market, Inc.

       61.73           50.62         -18.00     -18.00        54.63         -11.50     -11.50        64.51         4.50     9.00

Yahoo! Inc.

       16.29           12.87         -20.99     -20.99        16.70         2.52     9.00        17.10         4.97     9.00

Hypothetical Average Stock Return

                     -19.13                         -4.03                         4.44        

Hypothetical Average Performance Level

                             -19.13                         -1.56                         8.12

Hypothetical Coupon Rate

                 2.00             2.00             8.12
                    May     , 2015          May     , 2016          May     , 2017  
         Initial
Share
Price
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
         Annual
Level
     Stock
Return
    Perfor-
mance
Level
 

Apple Inc.

       339.22           346.00         2.00     9.00        385.01         13.50     9.00        346.00         2.00     9.00

Cisco Systems, Inc.

       17.39           17.76         2.13     9.00        19.48         12.02     9.00        17.91         2.99     9.00

Deere & Company

       91.61           18.32         -80.00     -80.00        101.69         11.00     9.00        96.19         5.00     9.00

FedEx Corporation

       89.86           89.95         0.10     9.00        101.54         13.00     9.00        90.76         1.00     9.00

Halliburton Company

       45.73           46.46         1.60     9.00        52.59         15.00     9.00        47.56         4.00     9.00

JPMorgan Chase & Co.

       45.65           46.11         1.01     9.00        52.04         14.00     9.00        46.79         2.50     9.00

Las Vegas Sands Corp.

       38.69           5.80         -85.01     -85.01        42.75         10.49     9.00        40.04         3.49     9.00

NIKE Inc.

       76.84           78.88         2.65     9.00        85.29         11.00     9.00        80.30         4.50     9.00

Oracle Corporation

       31.40           32.14         2.36     9.00        35.33         12.52     9.00        33.13         5.51     9.00

Priceline.com Incorporated

       456.93           502.62         10.00     9.00        530.04         16.00     9.00        463.78         1.50     9.00

Salesforce.com, Inc.

       124.42           125.79         1.10     9.00        146.82         18.00     9.00        125.04         0.50     9.00

The Charles Schwab Corporation

       17.65           17.80         0.85     9.00        20.65         17.00     9.00        17.78         0.74     9.00

UnitedHealth Group Incorporated

       43.19           44.18         2.29     9.00        49.67         15.00     9.00        43.30         0.25     9.00

Wal-Mart Stores, Inc.

       51.94           52.41         0.90     9.00        60.77         17.00     9.00        52.59         1.25     9.00

Whole Foods Market, Inc.

       61.73           62.96         1.99     9.00        71.61         16.01     9.00        63.12         2.25     9.00

Yahoo! Inc.

       16.29           16.61         1.96     9.00        18.65         14.49     9.00        16.82         3.25     9.00

Hypothetical Average Stock Return

                     -8.38                         14.13                         2.55        

Hypothetical Average Performance Level

                             -2.44                         9.00                         9.00

Hypothetical Coupon Rate

                 2.00             9.00             9.00

 

 

Variable Coupon Notes

 

 

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Risk Factors

There are important differences between the notes and a conventional debt security. An investment in the notes involves significant risks, including those listed below. You should carefully review the more detailed explanation of risks relating to the notes in the “Risk Factors” sections beginning on page S-8 of product supplement VCN-2 and page S-4 of the MTN prospectus supplement identified below under “Additional Terms.” We also urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

 

  §  

The Coupon Rate on one or more Coupon Payment Dates may be limited to the Minimum Coupon Rate.

 

  §  

Your yield may be less than the yield on a conventional debt security of comparable maturity.

 

  §  

The Coupon Rate that will be applicable to each Coupon Payment Date is limited to the same rate as the Auto-Cap.

 

  §  

Due to the Auto-Cap, a significantly negative Stock Return of one or more Basket Stocks may not be offset by the positive stock return of one or more other Basket Stocks.

 

  §  

Your investment return, if any, may be less than a comparable investment directly in the Basket or the Basket Stocks.

 

  §  

You must rely on your own evaluation of the merits of an investment linked to the Basket Stocks.

 

  §  

Payments on the notes are subject to our credit risk, and changes in our credit ratings are expected to affect the value of the notes.

 

  §  

In seeking to provide you with what we believe to be commercially reasonable terms for the notes while providing MLPF&S with compensation for its services, we have considered the costs of developing, hedging, and distributing the notes.

 

  §  

A trading market is not expected to develop for the notes. MLPF&S is not obligated to make a market for, or to repurchase, the notes.

 

  §  

The Coupon Payments will not be affected by all developments relating to the Basket Stocks.

 

  §  

Changes in the value of one or more of the Basket Stocks may be offset by changes in the value of one or more of the other Basket Stocks.

 

  §  

If you attempt to sell the notes prior to maturity, their market value, if any, will be affected by various factors that interrelate in complex ways, and their market value may be less than their Original Offering Price.

 

  §  

You will have no rights of a holder of any of the Basket Stocks, you will have no rights to receive any of the Basket Stocks, and you will not be entitled to dividends or other distributions by the issuers of the Basket Stocks.

 

  §  

Although we or our affiliates may from time to time hold one or more Basket Stocks, we do not control any company included in the Basket and are not responsible for any disclosure made by any other company.

 

  §  

Our business activities relating to the issuers of the Basket Stocks may create conflicts of interest with you.

 

  §  

The issuers of the Basket Stocks have no obligations relating to the notes and we will not perform any due diligence procedures with respect to these issuers.

 

  §  

Purchases and sales of the Basket Stocks by us and our affiliates may affect your return.

 

  §  

Our trading and hedging activities may create conflicts of interest with you.

 

  §  

Our hedging activities may affect your return on the notes and their market value.

 

  §  

The Annual Level of each Basket Stock determined on any Coupon Determination Date is not subject to adjustment for all corporate events.

 

  §  

There may be potential conflicts of interest involving the calculation agent. We have the right to appoint and remove the calculation agent.

 

  §  

You should consider the tax consequences of investing in the notes. See “Certain U.S. Federal Income Taxation Considerations” below and beginning on page S-29 of product supplement VCN-2.

 

 

Variable Coupon Notes

 

 

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Investor Considerations

 

You may wish to consider an investment in the notes if:

 

§  

You anticipate that the Annual Level of each of the Basket Stocks will be greater than the Initial Share Price on each of the Coupon Determination Dates.

 

§  

You accept that the Coupon Rate applicable to each annual interest period is uncertain and may not be more than the Minimum Coupon Rate.

 

§  

You accept that the Coupon Rate for each Coupon Payment Date is limited to the same rate as the Auto-Cap.

 

§  

You seek exposure to the Basket Stocks with no expectation of dividends or other benefits of owning the Basket Stocks.

 

§  

You are willing to accept that a trading market is not expected to develop for the notes. You understand that secondary market prices for the notes, if any, will be affected by various factors, including our actual and perceived creditworthiness.

 

§  

You are willing to make an investment, the payments on which depend on our creditworthiness, as the issuer of the notes.

The notes may not be an appropriate investment for you if:

 

§  

You anticipate that the Annual Level of each of the Basket Stocks will be less than the Initial Share Price on each of the Coupon Determination Dates.

 

§  

You seek an investment that provides annual interest payments with a guaranteed rate or a floating rate that is not limited to the Auto-Cap.

 

§  

You want to receive dividends or other distributions paid on the Basket Stocks.

 

§  

You seek assurances that there will be a liquid market if and when you want to sell the notes prior to maturity.

 

§  

You are unwilling or are unable to assume the credit risk associated with us, as the issuer of the notes.

 

 

Other Provisions

We may deliver the notes against payment therefor in New York, New York on a date that is greater than three business days following the pricing date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement of the notes occurs more than three business days from the pricing date, purchasers who wish to trade the notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

If you place an order to purchase the notes, you are consenting to MLPF&S acting as a principal in effecting the transaction for your account.

Supplement to the Plan of Distribution; Conflicts of Interest

MLPF&S, a broker-dealer subsidiary of BAC, is a member of the Financial Industry Regulatory Authority, Inc. (“FINRA”) and will participate as selling agent in the distribution of the notes. Accordingly, offerings of the notes will conform to the requirements of FINRA Rule 5121. Under our distribution agreement with MLPF&S, MLPF&S will purchase the notes from us on the issue date as principal at the purchase price indicated on the cover of this term sheet, less the indicated underwriting discount. MLPF&S will not receive an underwriting discount for notes sold to certain fee-based trusts and fee-based discretionary accounts managed by U.S. Trust operating through Bank of America, N.A. In the original offering of the notes, the notes will be sold in minimum investment amounts of 100 units.

MLPF&S may use this Note Prospectus for offers and sales in secondary market transactions and market-making transactions in the notes but is not obligated to engage in such secondary market transactions and/or market-making transactions. MLPF&S may act as principal or agent in these transactions, and any such sales will be made at prices related to prevailing market prices at the time of the sale.

 

 

Variable Coupon Notes

 

 

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The Basket Stocks

None of the issuers of the Basket Stocks has authorized or sanctioned the notes or participated in the preparation of this term sheet. Each of these issuers is subject to the informational requirements of the Exchange Act and files reports and other information with the SEC. Companies with securities registered under the Exchange Act are required to file periodically financial and other information required by the SEC. Information filed with the SEC can be inspected and copied at the Public Reference Section of the SEC, 100 F Street, N.E., Room 1580, Washington, D.C. 20549. Copies of this material also can be obtained from the Public Reference Section at prescribed rates. In addition, information filed electronically by each of the issuers of the Basket Stocks with the SEC can be reviewed through a website maintained by the SEC. The address of the SEC’s website is http://www.sec.gov.

This term sheet relates only to the notes and does not relate to the Basket Stocks. We are not offering or selling securities of any of the issuers of the Basket Stocks. The descriptions of the Basket Stocks in this section are derived from the publicly available documents described in the preceding paragraph. None of us or our affiliates has participated in the preparation of these documents, verified the accuracy or the completeness of the information concerning the Basket Stocks included in the publicly available documents or made any due diligence inquiry with respect to the Basket Stocks. We do not make any representation that the publicly available documents or any other publicly available information about the Basket Stocks are accurate or complete. There can be no assurance that events occurring prior or subsequent to the date of this term sheet (including events that would affect the accuracy or completeness of the publicly available documents described in the preceding paragraph) that might affect the value of any of the Basket Stocks have been or will be publicly disclosed. Because each Coupon Payment is related to the value of the Basket Stocks, those events, if any, also would affect the market value of the notes. We do not intend to furnish to you any additional information about the Basket Stocks. Neither we nor any of our affiliates makes any representation to you as to the future performance of any of the Basket Stocks.

We obtained the historical prices of the Basket Stocks shown below from the Bloomberg Financial® service, without independent verification. The historical value of any Basket Stock should not be taken as an indication of its future performance, and we cannot assure you that its Annual Level determined on any Coupon Determination Date will not decrease from its Initial Share Price.

You should make your own investigation into the Basket Stocks.

Historical Data on the Basket Stocks

The following tables set forth the high, low, and period-end closing prices of each of the Basket Stocks on its principal exchange from the first quarter of 2006 through March 21, 2011.

Apple Inc.

Apple Inc. designs, manufactures, and markets personal computers and related personal computing and mobile communication devices along with a variety of related software, services, peripherals, and networking solutions. The company sells its products worldwide through its online stores, its retail stores, its direct sales force, third-party wholesalers, and resellers. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “AAPL.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter      85.61      58.72      62.72
   Second Quarter      71.93      56.02      57.12
   Third Quarter      77.74      50.55      77.03
   Fourth Quarter      91.80      73.18      84.84

2007

   First Quarter      97.13      83.27      92.91
   Second Quarter    125.09      90.24    122.04
   Third Quarter    154.50    117.05    153.54
   Fourth Quarter    199.83    153.76    198.08

2008

   First Quarter    194.97    119.15    143.50
   Second Quarter    189.96    147.14    167.44
   Third Quarter    179.69    105.26    113.66
   Fourth Quarter    111.04      80.49      85.35

2009

   First Quarter    109.87    78.20    105.12
   Second Quarter    144.67    108.69    142.43
   Third Quarter    186.15    135.40    185.37
   Fourth Quarter    211.64    180.76    210.86

2010

   First Quarter    235.83    192.00    234.93
   Second Quarter    274.16    235.86    251.53
   Third Quarter    292.46    240.16    283.75
   Fourth Quarter    325.47    278.64    322.56

2011

   First Quarter (through March 21, 2011)    363.13    326.72    339.22

 

 

Variable Coupon Notes

 

 

TS-8


LOGO

 

Cisco Systems, Inc.

Cisco Systems, Inc. supplies data networking products for the Internet. The company’s Internet Protocol-based networking solutions are installed at corporations, public institutions and telecommunication companies worldwide. The company’s solutions transport data, voice, and video within buildings, across campuses, and around the world. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “CSCO.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    21.97    17.45    21.67
   Second Quarter    21.86    19.30    19.53
   Third Quarter    23.50    17.24    23.00
   Fourth Quarter    27.63    22.98    27.33

2007

   First Quarter    28.93    25.30    25.53
   Second Quarter    28.36    25.40    27.85
   Third Quarter    33.22    27.89    33.11
   Fourth Quarter    34.08    26.96    27.07

2008

   First Quarter    26.75    22.86    24.09
   Second Quarter    27.54    23.11    23.26
   Third Quarter    24.91    21.04    22.56
   Fourth Quarter    21.95    14.47    16.30

2009

   First Quarter    17.79    13.62    16.77
   Second Quarter    20.10    16.85    18.64
   Third Quarter    23.66    18.13    23.54
   Fourth Quarter    24.38    22.67    23.94

2010

   First Quarter    26.65    22.47    26.03
   Second Quarter    27.57    21.31    23.31
   Third Quarter    24.77    20.05    21.90
   Fourth Quarter    24.51    19.07    20.23

2011

   First Quarter (through March 21, 2011)    22.06    17.00    17.39

Deere & Company

Deere & Company manufactures and distributes a range of agricultural, construction and forestry, and commercial and consumer equipment. The company supplies replacement parts for its own products and for those of other manufacturers. The company also provides product and parts financing services. This Basket Stock trades on the New York Stock Exchange under the symbol “DE.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    39.89    34.00    39.53
   Second Quarter    45.67    38.65    41.75
   Third Quarter    42.39    34.34    41.96
   Fourth Quarter    49.07    41.80    47.54

2007

   First Quarter    57.98    45.45    54.32
   Second Quarter    62.15    52.24    60.37
   Third Quarter    74.21    58.55    74.21
   Fourth Quarter    93.12    70.76    93.12

2008

   First Quarter    94.69    76.40    80.44
   Second Quarter    93.35    71.38    72.13
   Third Quarter    73.47    47.76    49.50
   Fourth Quarter    46.30    28.77    38.32

2009

   First Quarter    45.99    24.83    32.87
   Second Quarter    47.05    34.26    39.95
   Third Quarter    46.31    35.31    42.92
   Fourth Quarter    56.59    41.13    54.09

2010

   First Quarter    61.96    48.96    59.46
   Second Quarter    62.21    54.78    55.68
   Third Quarter    73.61    54.50    69.78
   Fourth Quarter    84.46    68.57    83.05

2011

   First Quarter (through March 21, 2011)    95.86    83.02    91.61

 

 

Variable Coupon Notes

 

 

TS-9


LOGO

 

FedEx Corporation

FedEx Corporation delivers packages and freight to multiple countries and territories through an integrated global network. The company provides worldwide express delivery, ground small-parcel delivery, less-than-truckload freight delivery, supply chain management services, customs brokerage services, and trade facilitation and electronic commerce solutions. This Basket Stock trades on the New York Stock Exchange under the symbol “FDX.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    116.00      98.02    112.94
   Second Quarter    119.42    105.10    116.86
   Third Quarter    118.29      98.12    108.68
   Fourth Quarter    118.63    107.42    108.62

2007

   First Quarter    120.97    107.43    107.43
   Second Quarter    112.37    104.49    110.97
   Third Quarter    117.25    102.86    104.75
   Fourth Quarter    107.51      89.17      89.17

2008

   First Quarter      93.48      82.55      92.67
   Second Quarter      98.65      77.25      78.79
   Third Quarter      92.00      73.01      79.04
   Fourth Quarter      80.74      54.94      64.15

2009

   First Quarter      64.44      34.28      44.49
   Second Quarter      61.71      44.96      55.62
   Third Quarter      79.53      53.36      75.22
   Fourth Quarter      91.36      72.69      83.45

2010

   First Quarter      93.40      76.69      93.40
   Second Quarter      95.62      70.11      70.11
   Third Quarter      87.29      70.70      85.50
   Fourth Quarter      95.21      85.43      93.01

2011

   First Quarter (through March 21, 2011)      98.32      85.28      89.86

Halliburton Company

Halliburton Company provides energy services and engineering and construction services, as well as manufactures products for the energy industry. The company offers services and products and integrated solutions to customers in the exploration, development, and production of oil and natural gas. This Basket Stock trades on the New York Stock Exchange under the symbol “HAL.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    40.43    32.30    36.51
   Second Quarter    41.67    34.14    37.11
   Third Quarter    37.79    27.84    28.45
   Fourth Quarter    33.74    26.57    31.05

2007

   First Quarter    32.40    28.27    31.74
   Second Quarter    36.71    31.09    34.50
   Third Quarter    38.95    31.97    38.40
   Fourth Quarter    41.48    35.08    37.91

2008

   First Quarter    39.33    31.75    39.33
   Second Quarter    53.07    39.42    53.07
   Third Quarter    53.91    30.29    32.39
   Fourth Quarter    30.32    13.46    18.18

2009

   First Quarter    21.16    14.78    15.47
   Second Quarter    24.33    15.55    20.70
   Third Quarter    28.32    18.72    27.12
   Fourth Quarter    31.75    25.74    30.09

2010

   First Quarter    34.60    28.10    30.13
   Second Quarter    34.96    21.15    24.55
   Third Quarter    33.40    24.98    33.07
   Fourth Quarter    41.15    31.40    40.83

2011

   First Quarter (through March 21, 2011)    48.43    38.17    45.73

 

 

Variable Coupon Notes

 

 

TS-10


LOGO

 

JPMorgan Chase & Co.

JPMorgan Chase & Co. provides global financial services and retail banking. The company provides services such as investment banking, treasury and securities services, asset management, private banking, card member services, commercial banking, and home finance. The company serves business enterprises, institutions, and individuals. This Basket Stock trades on the New York Stock Exchange under the symbol “JPM.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    42.11    38.05    41.64
   Second Quarter    46.65    39.95    42.00
   Third Quarter    47.22    40.71    46.96
   Fourth Quarter    48.95    46.01    48.30

2007

   First Quarter    51.65    46.70    48.38
   Second Quarter    53.20    48.24    48.45
   Third Quarter    50.05    43.00    45.82
   Fourth Quarter    47.58    40.46    43.65

2008

   First Quarter    48.25    36.48    42.95
   Second Quarter    49.25    34.31    34.31
   Third Quarter    48.24    31.02    46.70
   Fourth Quarter    49.85    22.72    31.53

2009

   First Quarter    31.35    15.90    26.58
   Second Quarter    38.94    27.25    34.11
   Third Quarter    46.47    32.27    43.82
   Fourth Quarter    47.16    40.27    41.67

2010

   First Quarter    45.02    37.70    44.75
   Second Quarter    47.81    36.61    36.61
   Third Quarter    41.64    35.63    38.07
   Fourth Quarter    42.67    36.96    42.42

2011

   First Quarter (through March 21, 2011)    48.00    43.40    45.65

Las Vegas Sands Corp.

Las Vegas Sands Corp. owns and operates casino resorts and convention centers. The company operates in the United States, Macau and Singapore. The company’s casinos offer a wide range of gaming activities and entertainment as well as overnight accommodations, while its expo centers host a wide range of entertainment shows, expositions, and other activities. This Basket Stock trades on the New York Stock Exchange under the symbol “LVS.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter      56.72      38.68      56.66
   Second Quarter      77.86      55.00      77.86
   Third Quarter      77.15      59.41      68.35
   Fourth Quarter      97.00      67.77      89.48

2007

   First Quarter    108.59      81.02      86.61
   Second Quarter      90.74      72.83      76.39
   Third Quarter    139.71      76.64    133.42
   Fourth Quarter    144.56    103.05    103.05

2008

   First Quarter    100.32      71.85      73.64
   Second Quarter      81.50      47.10      47.44
   Third Quarter      56.87      31.83      36.11
   Fourth Quarter      31.32        3.23        5.93

2009

   First Quarter        8.48        1.42        3.01
   Second Quarter      11.34        3.74        7.86
   Third Quarter      19.56        6.65      16.84
   Fourth Quarter      18.28      13.17      14.94

2010

   First Quarter      21.90      15.37      21.15
   Second Quarter      27.04      19.85      22.14
   Third Quarter      35.59      21.59      34.85
   Fourth Quarter      52.80      35.19      45.95

2011

   First Quarter (through March 21, 2011)      50.60      36.34      38.69

 

 

Variable Coupon Notes

 

 

TS-11


LOGO

 

NIKE Inc.

NIKE, Inc. designs, develops, and markets athletic footwear, apparel, equipment, and accessory products for men, women, and children. The company sells its products worldwide to retail stores, through its own stores, subsidiaries, and distributors. This Basket Stock trades on the New York Stock Exchange under the symbol “NKE.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    43.65    40.48    42.55
   Second Quarter    42.52    38.99    40.50
   Third Quarter    44.20    38.10    43.81
   Fourth Quarter    50.15    43.74    49.52

2007

   First Quarter    54.63    47.60    53.13
   Second Quarter    58.29    52.58    58.29
   Third Quarter    59.83    53.19    58.66
   Fourth Quarter    67.00    59.16    64.24

2008

   First Quarter    69.08    55.98    68.00
   Second Quarter    70.07    59.50    59.61
   Third Quarter    67.79    55.67    66.90
   Fourth Quarter    66.16    43.61    51.00

2009

   First Quarter    53.44    38.57    46.89
   Second Quarter    59.26    47.00    51.78
   Third Quarter    64.70    51.06    64.70
   Fourth Quarter    66.21    61.95    66.07

2010

   First Quarter    74.66    61.30    73.50
   Second Quarter    78.23    67.55    67.55
   Third Quarter    80.64    67.21    80.14
   Fourth Quarter    92.30    79.88    85.42

2011

   First Quarter (through March 21, 2011)    89.88    76.84    76.84

Oracle Corporation

Oracle Corporation supplies software for enterprise information management. The company offers databases and relational servers, application development and decision support tools, and enterprise business applications. The company’s software runs on network computers, personal digital assistants, set-top devices, PCs, workstations, minicomputers, mainframes, and massively parallel computers. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “ORCL.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    13.99    12.20    13.69
   Second Quarter    14.93    13.18    14.49
   Third Quarter    18.23    14.10    17.74
   Fourth Quarter    19.66    17.10    17.14

2007

   First Quarter    18.49    16.29    18.13
   Second Quarter    19.88    18.14    19.71
   Third Quarter    21.99    19.11    21.65
   Fourth Quarter    23.04    19.36    22.58

2008

   First Quarter    23.07    18.44    19.56
   Second Quarter    23.18    19.84    21.00
   Third Quarter    23.52    18.10    20.31
   Fourth Quarter    19.86    15.40    17.73

2009

   First Quarter    18.68    13.85    18.07
   Second Quarter    21.63    18.07    21.42
   Third Quarter    22.86    20.18    20.84
   Fourth Quarter    25.01    20.34    24.54

2010

   First Quarter    26.04    23.06    25.69
   Second Quarter    26.51    21.46    21.46
   Third Quarter    27.50    21.55    26.85
   Fourth Quarter    31.76    26.90    31.30

2011

   First Quarter (through March 21, 2011)    33.69    30.14    31.40

 

 

Variable Coupon Notes

 

 

TS-12


LOGO

 

Priceline.com Incorporated

Priceline.com Incorporated enables consumers to use the Internet to save money on a variety of products and services. The company’s product allows customers to name their own price on products or services and communicates that demand directly to participating sellers or to their private databases. Participants include domestic and international airlines, and hotel chains. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “PCLN.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter      24.87      21.06      24.84
   Second Quarter      32.22      23.81      29.86
   Third Quarter      36.79      25.91      36.79
   Fourth Quarter      43.97      36.75      43.61

2007

   First Quarter      55.26      42.29      53.26
   Second Quarter      68.74      54.21      68.74
   Third Quarter      89.95      61.56      88.75
   Fourth Quarter    119.73      84.27    114.86

2008

   First Quarter    127.51      89.36    120.86
   Second Quarter    139.66    115.46    115.46
   Third Quarter    117.20      66.84      68.43
   Fourth Quarter      73.65      47.07      73.65

2009

   First Quarter      86.68      66.04      78.78
   Second Quarter    118.00      80.88    111.55
   Third Quarter    168.24    103.75    165.82
   Fourth Quarter    229.24    157.79    218.50

2010

   First Quarter    255.99    195.35    255.00
   Second Quarter    273.00    175.19    176.54
   Third Quarter    349.93    176.41    348.34
   Fourth Quarter    420.65    330.86    399.55

2011

   First Quarter (through March 21, 2011)    469.08    409.41    456.93

Salesforce.com, Inc.

Salesforce.com, Inc. provides software on demand. The company supplies a customer relationship management service to businesses worldwide providing a technology platform for customers and developers to build and run business applications. Clients use the company to manage their customer, sales and operational data. This Basket Stock trades on the New York Stock Exchange under the symbol “CRM.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter      42.65      33.61      36.33
   Second Quarter      37.19      24.90      26.66
   Third Quarter      38.39      21.85      35.88
   Fourth Quarter      44.00      35.26      36.45

2007

   First Quarter      49.88      36.07      42.82
   Second Quarter      48.72      40.55      42.86
   Third Quarter      51.32      38.86      51.32
   Fourth Quarter      64.99      48.53      62.69

2008

   First Quarter      61.66      47.88      57.87
   Second Quarter      74.43      59.35      68.23
   Third Quarter      70.74      44.76      48.40
   Fourth Quarter      46.41      21.96      32.01

2009

   First Quarter      37.03      25.77      32.73
   Second Quarter      44.90      32.69      38.17
   Third Quarter      58.54      35.57      56.93
   Fourth Quarter      74.64      54.51      73.77

2010

   First Quarter      77.51      62.08      74.45
   Second Quarter      97.10      75.54      85.82
   Third Quarter    123.14      87.07    111.80
   Fourth Quarter    150.58      99.91    132.00

2011

   First Quarter (through March 21, 2011)    146.47    120.01    124.42

 

 

Variable Coupon Notes

 

 

TS-13


LOGO

 

The Charles Schwab Corporation

The Charles Schwab Corporation provides a variety of financial services to individual investors, independent investment managers, retirement plans, and institutions. The company provides its clients with securities brokerage, banking, and related financial services through offices in the United States, Puerto Rico, and the United Kingdom. This Basket Stock currently trades on the New York Stock Exchange under the symbol “SCHW.” Prior to March 5, 2010, this Basket Stock traded on The Nasdaq Stock Market under the symbol “SCHW.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    18.13    14.43    17.21
   Second Quarter    18.45    14.55    15.98
   Third Quarter    17.91    14.26    17.91
   Fourth Quarter    19.36    16.64    19.34

2007

   First Quarter    20.35    17.76    18.29
   Second Quarter    22.69    18.55    20.52
   Third Quarter    22.48    17.90    21.60
   Fourth Quarter    25.55    21.60    25.55

2008

   First Quarter    24.78    18.04    18.83
   Second Quarter    22.78    18.31    20.54
   Third Quarter    26.00    18.78    26.00
   Fourth Quarter    24.37    14.59    16.17

2009

   First Quarter    16.63    11.34    15.50
   Second Quarter    18.92    15.31    17.54
   Third Quarter    19.45    16.47    19.15
   Fourth Quarter    19.49    16.94    18.82

2010

   First Quarter    19.78    17.50    18.69
   Second Quarter    19.88    14.18    14.18
   Third Quarter    15.43    12.76    13.90
   Fourth Quarter    17.42    13.98    17.11

2011

   First Quarter (through March 21, 2011)    19.45    17.16    17.65

UnitedHealth Group Incorporated

UnitedHealth Group Incorporated owns and manages organized health systems in the United States and internationally. The company provides employers products and resources to plan and administer employee benefit programs. The company also serves the health needs of older Americans, provides specialized care services, and provides health care information and research to providers and payers. This Basket Stock trades on the New York Stock Exchange under the symbol “UNH.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    62.90    54.32    55.86
   Second Quarter    55.47    42.09    44.78
   Third Quarter    52.53    44.83    49.20
   Fourth Quarter    53.93    45.27    53.73

2007

   First Quarter    56.88    50.88    52.97
   Second Quarter    55.33    51.14    51.14
   Third Quarter    53.58    46.33    48.43
   Fourth Quarter    58.99    47.05    58.20

2008

   First Quarter    56.93    33.84    34.36
   Second Quarter    38.08    25.97    26.25
   Third Quarter    33.01    21.00    25.39
   Fourth Quarter    27.04    16.30    26.60

2009

   First Quarter    29.99    16.35    20.93
   Second Quarter    28.87    20.54    24.98
   Third Quarter    29.92    23.91    25.04
   Fourth Quarter    32.32    24.04    30.48

2010

   First Quarter    35.13    31.48    32.67
   Second Quarter    33.41    28.40    28.40
   Third Quarter    35.73    27.85    35.11
   Fourth Quarter    38.05    33.95    36.11

2011

   First Quarter (through March 21, 2011)    44.79    37.13    43.19

 

 

Variable Coupon Notes

 

 

TS-14


LOGO

 

Wal-Mart Stores, Inc.

Wal-Mart Stores, Inc. operates discount stores, supercenters, and neighborhood markets. The company’s discount stores and supercenters offer merchandise such as apparel, housewares, small appliances, electronics, and hardware. The company’s markets offer a full-line supermarket and a limited assortment of general merchandise. The company operates nationally and internationally. This Basket Stock trades on the New York Stock Exchange under the symbol “WMT.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    48.54    44.74    47.24
   Second Quarter    49.65    45.03    48.17
   Third Quarter    49.81    43.02    49.32
   Fourth Quarter    51.75    45.54    46.18

2007

   First Quarter    50.26    45.73    46.95
   Second Quarter    51.21    46.33    48.11
   Third Quarter    49.15    42.27    43.65
   Fourth Quarter    49.43    42.90    47.53

2008

   First Quarter    53.62    45.72    52.68
   Second Quarter    59.80    54.08    56.20
   Third Quarter    63.17    56.02    59.89
   Fourth Quarter    59.73    49.67    56.06

2009

   First Quarter    57.18    46.42    52.10
   Second Quarter    53.80    47.87    48.44
   Third Quarter    51.88    47.57    49.09
   Fourth Quarter    54.96    49.00    53.45

2010

   First Quarter    55.99    52.61    55.60
   Second Quarter    55.53    48.07    48.07
   Third Quarter    54.08    48.00    53.52
   Fourth Quarter    55.36    53.25    53.93

2011

   First Quarter (through March 21, 2011)    57.57    51.37    51.94

Whole Foods Market, Inc.

Whole Foods Market, Inc. owns and operates a chain of natural food supermarkets in the United States. The company’s stores provides full range of merchandise, featuring products that are free of artificial flavors, sweeteners, colors, preservatives, and added chemicals. Whole Foods also develops, produces, and markets nutriceuticals and nutritional supplements. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “WFMI.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    78.24    60.02    66.44
   Second Quarter    72.34    60.74    64.64
   Third Quarter    65.39    47.37    59.43
   Fourth Quarter    65.40    46.26    46.93

2007

   First Quarter    52.11    42.51    44.85
   Second Quarter    47.91    38.16    38.30
   Third Quarter    48.96    36.00    48.96
   Fourth Quarter    53.20    39.74    40.80

2008

   First Quarter    41.74    30.65    32.97
   Second Quarter    34.98    23.69    23.69
   Third Quarter    24.02    17.84    20.03
   Fourth Quarter    20.23      8.19      9.44

2009

   First Quarter    18.23      9.29    16.80
   Second Quarter    22.71    17.20    18.98
   Third Quarter    30.49    17.18    30.49
   Fourth Quarter    34.19    25.30    27.45

2010

   First Quarter    36.94    27.22    36.15
   Second Quarter    42.50    36.02    36.02
   Third Quarter    40.15    34.19    37.11
   Fourth Quarter    51.35    34.57    50.59

2011

   First Quarter (through March 21, 2011)    61.73    48.10    61.73

 

 

Variable Coupon Notes

 

 

TS-15


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Yahoo! Inc.

Yahoo! Inc. is a global Internet media company that offers an online guide to Web navigation, aggregated information content, communication services, and commerce. The company’s site includes a hierarchical, subject-based directory of Web sites, which enables users to locate and access information and services through hypertext links included in the directory. This Basket Stock trades on the Nasdaq Global Select Market under the symbol “YHOO.”

 

          High
    Closing Price    
   Low
    Closing Price    
   Period-End
    Closing Price     

2006

   First Quarter    43.42    30.07    32.26
   Second Quarter    33.53    29.00    33.00
   Third Quarter    33.38    24.65    25.28
   Fourth Quarter    28.49    23.04    25.54

2007

   First Quarter    32.10    25.61    31.29
   Second Quarter    32.09    26.98    27.13
   Third Quarter    27.50    22.52    26.84
   Fourth Quarter    33.63    23.02    23.26

2008

   First Quarter    29.98    19.05    28.93
   Second Quarter    28.67    20.66    20.66
   Third Quarter    24.64    16.88    17.30
   Fourth Quarter    16.96      8.95    12.20

2009

   First Quarter    14.12    11.01    12.81
   Second Quarter    16.67    12.75    15.66
   Third Quarter    17.81    14.18    17.81
   Fourth Quarter    17.67    14.97    16.78

2010

   First Quarter    17.23    14.79    16.53
   Second Quarter    18.97    13.83    13.83
   Third Quarter    15.52    13.08    14.17
   Fourth Quarter    17.02    14.23    16.63

2011

   First Quarter (through March 21, 2011)    17.77    15.58    16.29

 

 

Variable Coupon Notes

 

 

TS-16


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Certain U.S. Federal Income Taxation Considerations

Set forth below is a summary of certain U.S. federal income tax considerations relating to an investment in the notes. The following summary is not complete and is qualified in its entirety by the discussion under the section entitled “U.S. Federal Income Tax Summary” beginning on page S-29 of product supplement VCN-2, which you should carefully review prior to investing in the notes. For purposes of that discussion, we intend to take the position that the notes will be treated as “contingent payment debt instruments” for U.S. federal income tax purposes, subject to taxation under the “noncontingent bond method,” and the balance of this discussion assumes that this characterization is proper and will be respected. Capitalized terms used and not defined herein have the meanings ascribed to them in product supplement VCN-2.

Under this characterization, the notes generally will be subject to the Treasury regulations governing contingent payment debt instruments. Under those regulations, a U.S. Holder will be required to report OID or interest income based on a “comparable yield” and a “projected payment schedule,” established by us for determining interest accruals and adjustments with respect to a note. A U.S. Holder who does not use the “comparable yield” and follow the “projected payment schedule” to calculate its OID and interest income on a note must timely disclose and justify the use of other estimates to the IRS.

A U.S. Holder will be required to recognize interest income equal to the amount of any “positive adjustment” for a note for the taxable year in which a contingent payment is paid (including a payment of interest at maturity). A positive adjustment is the excess of actual payments in respect of contingent payments over the projected amount of contingent payments. A U.S. Holder also will be required to account for any “negative adjustment” for a taxable year in which a contingent payment is paid. A negative adjustment is the excess of the projected amounts of contingent payments over actual payments in respect of the contingent payments. A net negative adjustment is the amount by which total negative adjustments in a taxable year exceed total positive adjustments in such taxable year. A net negative adjustment (1) will first reduce the amount of interest for the note that a U.S. Holder would otherwise be required to include in income in the taxable year, and (2) to the extent of any excess, will result in an ordinary loss equal to that portion of the excess as does not exceed the excess of (A) the amount of all previous interest inclusions under the note over (B) the total amount of the U.S. Holder’s net negative adjustments treated as ordinary loss on the note in prior taxable years. A net negative adjustment is not subject to the 2% floor limitation imposed on miscellaneous deductions under Section 67 of the Code. Any net negative adjustment in excess of the amounts described above in (1) and (2) will be carried forward to offset future interest income on the note or to reduce the amount realized on a sale, exchange, or redemption of the note and, in the case of a payment at maturity, should result in a capital loss. The deductibility of capital losses by a U.S. Holder is subject to limitations.

The following table assumes an expected issue date of May 5, 2011 and maturity date of May 5, 2017 for the notes and is based upon a hypothetical projected payment schedule and a hypothetical comparable yield equal to 4.1318% per annum (compounded annually), that we established for the notes, and shows the amounts of ordinary income from a note that an initial U.S. Holder that holds the note until maturity and pays taxes on a calendar year basis should be required to report each calendar year. The following tables are for illustrative purposes only. The actual tables will be completed on the pricing date and included in the final term sheet.

 

Accrual Period    Interest Deemed to Accrue  
During Accrual Period  (per  
$10.00 principal amount  
per unit of the notes)  
   Total Interest Deemed to
Have Accrued from
Original Issue Date (per
$10.00 principal amount
per unit of the notes)

May 5, 2011 through December 31, 2011

   $0.2694    $0.2694

January 1, 2012 through December 31, 2012

   $0.4132    $0.6826

January 1, 2013 through December 31, 2013

   $0.4132    $1.0958

January 1, 2014 through December 31, 2014

   $0.4132    $1.5090

January 1, 2015 through December 31, 2015

   $0.4132    $1.9222

January 1, 2016 through December 31, 2016

   $0.4132    $2.3353

January 1, 2017 through May 5, 2017

   $0.1438    $2.4791

In addition, we have determined the hypothetical projected payment schedule for the notes as follows:

 

Date    Projected Payment

May 5, 2012

     $0.4132

May 5, 2013

     $0.4132

May 5, 2014

     $0.4132

May 5, 2015

     $0.4132

May 5, 2016

     $0.4132

May 5, 2017

   $10.4132

You should be aware that these amounts are not calculated or provided for any purposes other than the determination of a U.S. Holder’s interest accruals and adjustments with respect to the notes for U.S. federal income tax purposes. By providing the table above and the projected payment schedule, we make no representations regarding the actual amounts of interest payments on the notes.

Upon a sale, exchange, or redemption of a note prior to maturity, a U.S. Holder generally will recognize taxable gain or loss equal to the difference between the amount realized on the sale, exchange, or redemption and the holder’s tax basis in the notes. A U.S. Holder’s tax basis in a note generally will equal the cost of that note, increased by the amount of OID previously accrued by the holder for that note (without regard to any positive or negative adjustments under the contingent payment debt regulations), and decreased by the amount of any projected payments for previous periods on the note. A U.S. Holder generally will treat any gain as interest income, and will treat any loss as ordinary loss to the extent of the excess of previous interest inclusions over the total negative adjustments previously taken into account as ordinary losses, and the balance as long-term or short-term capital loss depending upon the U.S. Holder’s holding period for the note.

You should consult your own tax advisor concerning the U.S. federal income tax consequences to you of acquiring, owning, and disposing of the notes, as well as any tax consequences arising under the laws of any state, local, foreign, or other tax jurisdiction and the possible effects of changes in U.S. federal or other tax laws. See the discussion under the section entitled “U.S. Federal Income Tax Summary” beginning on page S-29 of product supplement VCN-2.

 

 

Variable Coupon Notes

 

 

TS-17


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Additional Terms

You should read this term sheet, together with the documents listed below, which together contain the terms of the notes and supersede all prior or contemporaneous oral statements as well as any other written materials. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the sections indicated on the cover of this term sheet. The notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting, and other advisors before you invest in the notes.

You may access the following documents on the SEC Website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Website):

 

  §  

Product supplement VCN-2 dated October 26, 2010:

http://www.sec.gov/Archives/edgar/data/70858/000119312510236590/d424b5.htm

 

  §  

Series L MTN prospectus supplement dated April 21, 2009 and prospectus dated April 20, 2009:

http://www.sec.gov/Archives/edgar/data/70858/000095014409003387/g18667b5e424b5.htm

Our Central Index Key, or CIK, on the SEC Website is 70858.

We have filed a registration statement (including a product supplement, a prospectus supplement, and a prospectus) with the SEC for the offering to which this term sheet relates. Before you invest, you should read the product supplement, the prospectus supplement, and the prospectus in that registration statement, and the other documents relating to this offering that we have filed with the SEC for more complete information about us and this offering. You may get these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, we, any agent, or any dealer participating in this offering will arrange to send you the Note Prospectus if you so request by calling MLPF&S toll-free at 1-866-500-5408.

Market-Linked Investments Classification

Market-Linked Investments come in four basic categories, each designed to meet a different set of investor risk profiles, time horizons, income requirements and market views (bullish, bearish, moderate outlook, etc.). The following descriptions of these categories are meant solely for informational purposes and are not intended to represent any particular Market-Linked Investment or guarantee performance. Certain Market-Linked Investments may have overlapping characteristics.

LOGO

Market Downside Protection Market-Linked Investments combine some of the capital preservation features of traditional bonds with the growth potential of equities and other asset classes. They offer full or partial market downside protection at maturity, while offering market exposure that may provide better returns than comparable fixed income securities. It is important to note that the market downside protection feature provides investors with protection only at maturity, subject to issuer credit risk. In addition, in exchange for full or partial protection, you forfeit dividends and full exposure to the linked asset’s upside. In some circumstances, this could result in a lower return than with a direct investment in the asset.

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These short- to medium-term market-linked notes offer you a way to enhance your income stream, either through variable or fixed-interest coupons, an added payout at maturity based on the performance of the linked asset, or both. In exchange for receiving current income, you will generally forfeit upside potential on the linked asset. Even so, the prospect of higher interest payments and/or an additional payout may equate to a higher return potential than you may be able to find through other fixed-income securities. Enhanced Income Market-Linked Investments generally do not include market downside protection. The degree to which your principal is repaid at maturity is generally determined by the performance of the linked asset. Although enhanced income streams may help offset potential declines in the asset, you can still lose part or all of your original investment.

LOGO

Market Access notes may offer exposure to certain market sectors, asset classes and/or strategies that may not even be available through the other three categories of Market-Linked Investments. Subject to certain fees, the returns on Market Access Market-Linked Investments will generally correspond on a one-to-one basis with any increases or decreases in the value of the linked asset, similar to a direct investment. In some instances, they may also provide interim coupon payments. These investments do not include the market downside protection feature and, therefore, your principal remains at risk.

LOGO

These short- to medium-term investments offer you a way to enhance exposure to a particular market view without taking on a similarly enhanced level of market-downside risk. They can be especially effective in a flat to moderately positive market (or, in the case of bearish investments, a flat to moderately negative market). In exchange for the potential to receive better-than market returns on the linked asset, you must generally accept a degree of market downside risk and capped upside potential. As these investments are not market downside protected, and do not assure full repayment of principal at maturity, you need to be prepared for the possibility that you may lose all or part of your investment.

 

 

Variable Coupon Notes

 

 

TS-18