0001193125-12-144420.txt : 20120402 0001193125-12-144420.hdr.sgml : 20120402 20120330215457 ACCESSION NUMBER: 0001193125-12-144420 CONFORMED SUBMISSION TYPE: FWP PUBLIC DOCUMENT COUNT: 16 FILED AS OF DATE: 20120402 DATE AS OF CHANGE: 20120330 SUBJECT COMPANY: COMPANY DATA: COMPANY CONFORMED NAME: BANK OF AMERICA CORP /DE/ CENTRAL INDEX KEY: 0000070858 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 560906609 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP SEC ACT: 1934 Act SEC FILE NUMBER: 333-180488 FILM NUMBER: 12731016 BUSINESS ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 7043868486 MAIL ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: BANKAMERICA CORP/DE/ DATE OF NAME CHANGE: 19981022 FORMER COMPANY: FORMER CONFORMED NAME: NATIONSBANK CORP DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: NCNB CORP DATE OF NAME CHANGE: 19920107 FILED BY: COMPANY DATA: COMPANY CONFORMED NAME: BANK OF AMERICA CORP /DE/ CENTRAL INDEX KEY: 0000070858 STANDARD INDUSTRIAL CLASSIFICATION: NATIONAL COMMERCIAL BANKS [6021] IRS NUMBER: 560906609 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: FWP BUSINESS ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 BUSINESS PHONE: 7043868486 MAIL ADDRESS: STREET 1: BANK OF AMERICA CORPORATE CENTER STREET 2: 100 N TRYON ST CITY: CHARLOTTE STATE: NC ZIP: 28255 FORMER COMPANY: FORMER CONFORMED NAME: BANKAMERICA CORP/DE/ DATE OF NAME CHANGE: 19981022 FORMER COMPANY: FORMER CONFORMED NAME: NATIONSBANK CORP DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: NCNB CORP DATE OF NAME CHANGE: 19920107 FWP 1 d279029dfwp.htm PERFORMANCE SUMMARY Performance Summary
Table of Contents

Filed Pursuant to Rule 433

Registration No. 333-180488

 

LOGO

Dear Client,

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

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

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

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

 

 

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

Investment products:

 

 

 

    Are Not FDIC Insured    

       Are Not Bank Guaranteed            May Lose Value    


Table of Contents

 

LOGO


Table of Contents

LOGO

 

Table of Contents

 

 

Overview

   4
Important Considerations    5
Product Performance    6–27

LOGO   Accelerated Return Notes® (ARNs®)

   6

LOGO  Bear Accelerated Return Notes® (Bear ARNs®)

   12

LOGO   Leveraged Index Return Notes® (LIRNs®)

   14

LOGO   Capped Leveraged Index Return Notes® (CLIRNs®)

   15

LOGO   Strategic Accelerated Redemption Securities® (STARS®)

   18

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

   21

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

   22

LOGO STEP Income Securities® (STEPS®)

   26

Risk Factors

   28

 

3


Table of Contents

LOGO

 

OVERVIEW

THE PURPOSE OF THIS PERFORMANCE SUMMARY is to illustrate the performance of Market-Linked Investments (“MLIs”) when compared to the assets to which they are linked (“Linked Assets”). This performance summary includes 661 MLIs, issued by Bank of America Corporation, Merrill Lynch & Co., Inc., or a third party issuer, which have matured or have been automatically redeemed between September 20, 2002 and December 31, 2011.

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

 

 

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

    
   

¡    661 MLIs, issued by Bank of America Corporation, Merrill Lynch & Co., Inc., or a third party issuer, which have matured or were automatically redeemed  between September 20, 2002 and December 31, 2011, are included in this summary.

    

 

¡    MLIs are grouped by Product Type.

 

    

 

Product Types

   Linked Asset Types     

 

Eight different Product Types were selected: ARNs®, Bear ARNs®, LIRNs®, CLIRNs®, STARS®, Bear STARS®, MITTS® and STEPS®.

  

 

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

    
   

For each respective group:

       

 

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

    

 

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

    

 

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

    

 

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

    

 

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

    

 

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

    
   

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

 

 

    

 

4


Table of Contents

LOGO

 

Important Considerations

 

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

 

¡    MLIs that were redeemed or called early and would have matured according to their terms after December 31, 2011 were included in this summary. This factor may introduce upward or downward bias to the Average MLI Return.

 

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

 

¡    All MLI Returns are calculated pre-tax.

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

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

 

    

 

5


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

 

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

 

LOGO

PRODUCT PERFORMANCE

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 

Linked Asset 

Return 1,2

 

MLI

Return  1

  MLI Outperformance/
Underperformance
Equity   

Nasdaq-100 Index

 

January-2003

  2.20   19.17%   17.28%   -1.89%
Equity   

S&P 500 Index

 

March-2003

  1.20   20.28%   14.79%   -5.49%
Equity   

Nasdaq-100 Index

 

April-2003

  1.20   21.33%   18.83%   -2.50%
Equity   

AMEX Biotechnology Index

 

July-2003

  1.20   11.21%   14.79%   3.58%
Equity   

Nasdaq-100 Index

 

August-2003

  1.20   15.18%   15.03%   -0.15%
Equity   

Pfizer Inc

 

September-2003

  1.20   -11.88%   -11.88%   0.00%
Equity   

S&P 500 Index

 

October-2003

  1.50   7.76%   11.03%   3.27%
Equity   

Semiconductor HOLDRs

 

October-2003

  1.20   -17.23%   -17.23%   0.00%
Equity   

Citigroup Inc

 

October-2003

  1.20   1.56%   4.67%   3.11%
Equity   

Dow Jones Industrial Average

 

November-2003

  1.20   14.75%   26.83%   12.08%
Equity   

Nikkei 225 Index

 

February-2004

  1.30   3.11%   9.26%   6.14%
Equity   

Nikkei 225 Index

 

April-2004

  1.20   -2.84%   -2.84%   0.00%
Equity   

Global Equity Index Basket

 

May-2004

  1.20   10.14%   9.90%   -0.24%
Equity   

S&P 500 Index

 

May-2004

  1.70   8.01%   9.68%   1.66%
Equity   

Dow Jones Industrial Average

 

June-2004

  1.60   1.50%   4.44%   2.94%
Equity   

Nasdaq-100 Index

 

July-2004

  1.50   14.22%   12.92%   -1.30%
Equity   

Russell 2000 Index

 

August-2004

  1.20   13.08%   11.94%   -1.14%
           See page 29 for footnotes  

 

6


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 

Linked Asset

Return 1,2

 

MLI

Return  1

  MLI Outperformance/
Underperformance
Currency   

Currency Exchange Rate

 

September-2004

  1.20   -4.10%   -4.10%   0.00%
Equity   

Russell 2000 Index

 

December-2004

  1.50   3.67%   10.78%   7.12%
Equity   

Dow Jones Industrial Average

 

February-2005

  1.50   2.38%   7.08%   4.69%
Equity   

AMEX Biotechnology Index

 

March-2005

  1.50   21.49%   12.61%   -8.88%
Commodity   

Dow Jones-UBS Commodity Index

 

May-2005

  2.00   7.25%   14.02%   6.77%
Equity   

Nasdaq-100 Index

 

June-2005

  1.00   2.85%   8.60%   5.75%
Equity   

Global Equity Index Basket

 

August-2005

  1.20   16.40%   10.72%   -5.68%
Equity   

Nikkei 225 Index

 

August-2005

  1.20   26.31%   19.03%   -7.28%
Equity   

Asian Equity Index Basket

 

November-2005

  1.20   41.57%   14.79%   -26.78%
Equity   

Russell 2000 Index

 

December-2005

  1.20   16.09%   13.82%   -2.27%
Equity   

Nikkei 225 Index

 

December-2005

  1.20   8.61%   22.52%   13.91%
Equity   

Nasdaq-100 Index

 

January-2006

  1.50   9.94%   12.04%   2.11%
Equity   

S&P 500 Index

 

February-2006

  1.60   7.10%   9.57%   2.47%
Commodity   

Gold Spot Price

 

February-2006

  1.20   13.01%   16.41%   3.40%
Equity   

Dow Jones Eurostoxx 50 Index

 

March-2006

  1.20   12.89%   15.57%   2.68%
Equity   

International Equity Index Basket

 

March-2006

  1.20   14.85%   14.79%   -0.06%
Commodity   

Dow Jones-UBS Commodity Index

 

March-2006

  1.20   2.02%   6.04%   4.02%
Equity   

Asian Equity Index Basket

 

May-2006

  1.20   12.49%   17.82%   5.33%
Equity   

Nikkei 225 Index

 

June-2006

  1.20   9.45%   23.64%   14.18%
Equity   

Russell 2000 Index

 

June-2006

  1.20   11.51%   15.76%   4.25%
Equity   

Nasdaq-100 Index

 

August-2006

  1.20   32.67%   13.82%   -18.86%
Equity   

Philadelphia Gold and Silver Index

 

August-2006

  1.20   11.19%   28.26%   17.07%
Equity   

S&P 400 Midcap Index

 

August-2006

  1.00   15.69%   15.00%   -0.69%
Equity   

Dow Jones Industrial Average

 

August-2006

  1.20   12.68%   11.42%   -1.26%
Equity   

Russell 2000 Index

 

September-2006

  1.30   5.00%   14.80%   9.80%
Equity   

Global Equity Index Basket

 

October-2006

  1.20   1.89%   5.65%   3.76%
Equity   

Nikkei 225 Index

 

November-2006

  1.20   -5.34%   -5.34%   0.00%
Equity   

Dow Jones Industrial Average

 

November-2006

  1.30   1.70%   5.07%   3.37%
Equity   

MSCI EAFE Index

 

November-2006

  1.20   1.70%   5.08%   3.38%
Commodity   

Gold Spot Price

 

December-2006

  1.20   40.93%   11.54%   -29.39%
Equity   

Energy Select Sector Index

 

December-2006

  1.20   23.12%   18.57%   -4.55%
Commodity   

Rogers International Commodity Index - Excess Return

 

December-2006

  1.20   30.35%   15.60%   -14.75%
Equity   

International Equity Index Basket

 

January-2007

  1.20   31.06%   18.18%   -12.87%
Equity   

S&P 500 Index

 

January-2007

  1.20   -5.71%   -5.71%   0.00%
Equity   

Asian Equity Index Basket

 

February-2007

  1.20   1.09%   2.98%   1.89%
Equity   

Topix Small Cap Index

 

February-2007

  1.20   -26.29%   -26.29%   0.00%
Equity   

Russell 2000 Index

 

February-2007

  1.20   -7.77%   -7.77%   0.00%
Equity   

Nikkei 225 Index

 

March-2007

  1.20   -17.86%   -17.86%   0.00%
Commodity   

Merrill Lynch Commodity Index - Excess Return

 

March-2007

  1.20   36.06%   19.63%   -16.43%
Equity   

Global Equity Index Basket

 

March-2007

  1.20   -8.68%   -8.68%   0.00%
Equity   

S&P 500 Index

 

March-2007

  1.10   -5.15%   -5.15%   0.00%
Equity   

S&P 400 Midcap Index

 

March-2007

  1.00   -7.36%   -7.36%   0.00%
Equity   

MSCI EAFE Index

 

May-2007

  1.20   -11.13%   -11.13%   0.00%
           See page 29 for footnotes  

 

7


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 

Linked Asset 

Return 1,2

 

MLI

Return  1

  MLI Outperformance/
Underperformance
Equity   

Russell 2000 Index

 

May-2007

  1.30   -12.21%   -12.21%   0.00%
Equity   

Greater China Equity Index Basket

 

May-2007

  1.20   9.46%   20.12%   10.65%
Equity   

Dow Jones Eurostoxx 50 Index

 

May-2007

  1.20   -21.64%   -21.64%   0.00%
Commodity   

Gold Spot Price

 

May-2007

  1.20   30.89%   11.54%   -19.36%
Equity   

International Equity Index Basket

 

May-2007

  1.20   -13.82%   -13.82%   0.00%
Commodity   

Dow Jones-UBS Commodity Index

 

May-2007

  1.20   15.04%   24.44%   9.40%
Equity   

Dow Jones Eurostoxx 50 Index

 

May-2007

  1.20   -22.31%   -22.31%   0.00%
Equity   

Nikkei 225 Index

 

May-2007

  1.20   -21.98%   -21.98%   0.00%
Equity   

MSCI EAFE Index

 

June-2007

  1.20   -17.01%   -17.01%   0.00%
Equity   

Dow Jones Eurostoxx 50 Index

 

June-2007

  1.20   -21.24%   -21.24%   0.00%
Equity   

Topix Small Cap Index

 

June-2007

  1.20   -27.73%   -27.73%   0.00%
Equity   

Asian Equity Index Basket

 

July-2007

  1.20   -26.46%   -26.46%   0.00%
Equity   

Nasdaq-100 Index

 

August-2007

  1.00   -1.46%   -1.46%   0.00%
Equity   

S&P 400 Midcap Index

 

August-2007

  1.00   -5.58%   -5.58%   0.00%
Equity   

Nikkei 225 Index

 

August-2007

  1.20   -30.17%   -30.17%   0.00%
Equity   

Philadelphia Defense Sector Index

 

August-2007

  1.20   -18.45%   -18.45%   0.00%
Equity   

S&P 500 Index

 

August-2007

  1.20   -38.69%   -38.69%   0.00%
Equity   

Russell 2000 Index

 

August-2007

  1.20   -28.61%   -28.61%   0.00%
Equity   

Dow Jones STOXX 600 Index

 

August-2007

  1.20   -35.94%   -35.94%   0.00%
Commodity   

Dow Jones-UBS Commodity Index

 

August-2007

  1.20   -17.02%   -17.02%   0.00%
Equity   

Philadelphia Gold and Silver Index

 

September-2007

  1.20   -36.23%   -36.23%   0.00%
Equity   

Nasdaq-100 Index

 

September-2007

  1.20   -39.08%   -39.08%   0.00%
Equity   

Russell 1000 Growth Index

 

September-2007

  1.20   -37.52%   -37.52%   0.00%
Equity   

S&P 500 Index

 

September-2007

  1.20   -38.06%   -38.06%   0.00%
Equity   

MSCI EAFE Index

 

September-2007

  1.20   -44.10%   -44.10%   0.00%
Equity   

Dow Jones BRIC 50 Index

 

September-2007

  1.20   -50.02%   -50.02%   0.00%
Equity   

Nasdaq-100 Index

 

October-2007

  1.20   -38.85%   -38.85%   0.00%
Equity   

Philadelphia Gold and Silver Index

 

October-2007

  1.20   -32.89%   -32.89%   0.00%
Commodity   

Rogers International Commodity Index - Excess Return

 

October-2007

  1.20   -37.79%   -37.79%   0.00%
Equity   

S&P 100 Index

 

November-2007

  1.20   -36.40%   -36.40%   0.00%
Equity   

Philadelphia Semiconductor Index

 

November-2007

  1.20   -47.76%   -47.76%   0.00%
Equity   

S&P 400 Midcap Index

 

November-2007

  1.20   -36.42%   -36.42%   0.00%
Equity   

Dow Jones Industrial Average

 

November-2007

  1.20   -33.62%   -33.62%   0.00%
Equity   

MSCI EAFE Index

 

November-2007

  1.20   -44.89%   -44.89%   0.00%
Equity   

Global Equity Index Basket

 

January-2008

  1.20   -37.55%   -37.55%   0.00%
Equity   

Nikkei 225 Index

 

January-2008

  1.20   -34.34%   -34.34%   0.00%
Equity   

Russell 2000 Index

 

January-2008

  1.20   -33.37%   -33.37%   0.00%
Equity   

S&P 500 Index

 

January-2008

  1.20   -34.96%   -34.96%   0.00%
Equity   

MSCI Emerging Markets Index

 

January-2008

  1.20   -40.55%   -40.55%   0.00%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

January-2008

  1.20   -33.02%   -33.02%   0.00%
Equity   

S&P Asia 50 Index

 

January-2008

  1.20   -33.77%   -33.77%   0.00%
Equity   

MSCI EAFE Index

 

February-2008

  1.20   -38.96%   -38.96%   0.00%
Equity   

Dow Jones Industrial Average

 

February-2008

  1.20   -31.08%   -31.08%   0.00%
           See page 29 for footnotes  

 

8


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance/
Underperformance
Equity   

Russell 1000 Growth Index

 

February-2008

  1.20   -28.11%   -28.11%   0.00%
Commodity   

Rogers International Commodity Index - Excess Return

 

February-2008

  1.20   -45.42%   -45.42%   0.00%
Equity   

MSCI Brazil Index

 

February-2008

  1.20   -43.25%   -43.25%   0.00%
Equity   

S&P 500 Index

 

March-2008

  1.20   -26.87%   -26.87%   0.00%
Equity   

S&P 400 Midcap Index

 

March-2008

  1.20   -23.22%   -23.22%   0.00%
Equity   

Philadelphia Gold and Silver Index

 

March-2008

  1.20   -15.15%   -15.15%   0.00%
Equity   

Health Care Select Sector Index

 

March-2008

  1.20   -16.65%   -16.65%   0.00%
Equity   

Asian Equity Index Basket

 

March-2008

  1.20   -17.92%   -17.92%   0.00%
Equity   

WilderHill New Energy Global Innovation Index

 

March-2008

  1.20   -34.72%   -34.72%   0.00%
Equity   

International Equity Index Basket

 

April-2008

  1.20   -34.23%   -34.23%   0.00%
Equity   

S&P 500 Index

 

May-2008

  1.20   -31.84%   -31.84%   0.00%
Commodity   

Merrill Lynch Commodity Index - Excess Return

 

May-2008

  1.20   -37.88%   -37.88%   0.00%
Equity   

Nikkei 225 Index

 

May-2008

  1.20   -25.04%   -25.04%   0.00%
Equity   

Global Equity Index Basket

 

June-2008

  1.20   -23.78%   -23.78%   0.00%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

June-2008

  1.20   -29.43%   -29.43%   0.00%
Equity   

S&P 500 Index

 

June-2008

  1.20   -21.95%   -21.95%   0.00%
Equity   

MSCI EAFE Index

 

June-2008

  1.20   -24.19%   -24.19%   0.00%
Equity   

Technology Select Sector Index

 

June-2008

  1.20   -14.04%   -14.04%   0.00%
Equity   

S&P 500 Index

 

June-2008

  1.20   -19.65%   -19.65%   0.00%
Equity   

S&P 100 Index

 

June-2008

  1.20   -18.25%   -18.25%   0.00%
Commodity   

Gold Spot Price

 

July-2008

  1.20   8.35%   24.44%   16.09%
Equity   

S&P 500 Index

 

July-2008

  1.20   -15.05%   -15.05%   0.00%
Commodity   

Dow Jones-UBS Commodity Index

 

July-2008

  1.20   -34.20%   -34.20%   0.00%
Equity   

Russell 2000 Index

 

August-2008

  1.20   -11.57%   -11.57%   0.00%
Equity   

MSCI EAFE Index

 

August-2008

  1.20   -14.58%   -14.58%   0.00%
Equity   

Dow Jones Eurostoxx 50 Index

 

August-2008

  1.20   -12.85%   -12.85%   0.00%
Equity   

S&P 400 Midcap Index

 

August-2008

  1.20   -11.80%   -11.80%   0.00%
Equity   

Nasdaq-100 Index

 

August-2008

  1.20   -6.73%   -6.73%   0.00%
Equity   

MSCI EAFE Index

 

August-2008

  1.20   -9.84%   -9.84%   0.00%
Equity   

S&P 500 Index

 

September-2008

  1.20   -7.36%   -7.36%   0.00%
Commodity   

Dow Jones-UBS Commodity Index

 

September-2008

  1.20   -20.64%   -20.64%   0.00%
Equity   

Select Sectors Index Basket

 

October-2008

  1.20   13.01%   23.48%   10.47%
Equity   

S&P 500 Index

 

October-2008

  1.20   16.22%   33.11%   16.89%
Equity   

S&P 500 Index

 

October-2008

  1.20   16.22%   26.49%   10.27%
Equity   

Russell 2000 Index

 

October-2008

  1.20   20.24%   30.63%   10.39%
Equity   

Nikkei 225 Index

 

October-2008

  1.20   21.74%   33.00%   11.26%
Equity   

S&P 500 Index

 

November-2008

  1.20   23.73%   36.29%   12.56%
Equity   

Consumer Staples Select Sector Index

 

November-2008

  1.20   10.86%   27.66%   16.80%
Equity   

MSCI EAFE Index

 

November-2008

  1.20   30.34%   33.47%   3.13%
Equity   

S&P 500 Index

 

January-2009

  1.20   22.83%   24.96%   2.14%
Commodity   

Gold Spot Price

 

January-2009

  1.20   19.69%   38.72%   19.03%
Equity   

S&P 500 Index

 

January-2009

  1.20   31.07%   28.61%   -2.46%
Equity   

S&P 500 Index

 

February-2009

  1.20   48.05%   25.42%   -22.63%
           See page 29 for footnotes  

 

9


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return  1

  MLI Outperformance/
Underperformance
Equity   

Russell 2000 Index

 

March-2009

  1.20   44.87%   34.53%   -10.34%
Equity   

S&P 500 Index

 

March-2009

  1.20   30.55%   27.40%   -3.15%
Commodity   

Gold Spot Price

 

March-2009

  1.20   25.03%   35.61%   10.58%
Equity   

Russell 3000 Index

 

April-2009

  1.60   27.03%   14.91%   -12.13%
Equity   

S&P 500 Index

 

May-2009

  1.20   17.11%   22.59%   5.49%
Commodity   

Dow Jones-UBS Commodity Index

 

May-2009

  1.20   4.94%   14.69%   9.75%
Equity   

MSCI EAFE Index

 

May-2009

  1.20   11.52%   19.51%   8.00%
Commodity   

MLCX Brent Index

 

May-2009

  1.60   15.19%   27.82%   12.64%
Equity   

S&P 500 Index

 

May-2009

  1.20   18.87%   14.30%   -4.57%
Equity   

S&P 400 Midcap Index

 

May-2009

  1.20   28.53%   24.44%   -4.10%
Commodity   

Rogers International Commodity Index - Excess Return

 

May-2009

  1.20   4.53%   13.48%   8.95%
Equity   

Russell 2000 Index

 

June-2009

  1.20   18.96%   25.51%   6.55%
Equity   

S&P 500 Index

 

June-2009

  1.20   15.60%   19.75%   4.15%
Commodity   

Rogers International Commodity Index - Excess Return

 

June-2009

  1.20   2.67%   7.97%   5.30%
Equity   

S&P 400 Midcap Index

 

July-2009

  1.30   18.72%   17.63%   -1.09%
Commodity   

Basket of Commodity Indices

 

July-2009

  2.00   19.08%   23.49%   4.41%
Equity   

Technology Select Sector Index

 

July-2009

  1.20   12.44%   19.39%   6.95%
Equity   

S&P 500 Index

 

July-2009

  1.20   13.20%   18.06%   4.87%
Commodity   

Gold Spot Price

 

July-2009

  1.20   29.78%   22.64%   -7.14%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

July-2009

  1.20   19.08%   15.61%   -3.48%
Equity   

Dow Jones Eurostoxx 50 Index

 

August-2009

  2.00   -8.46%   -8.46%   0.00%
Equity   

Energy Select Sector Index

 

August-2009

  2.00   14.01%   22.58%   8.56%
Equity   

S&P 500 Index

 

August-2009

  2.00   7.66%   17.96%   10.30%
Commodity   

Merrill Lynch Commodity Index Extra Agriculture X1 Index

 

August-2009

  2.00   25.34%   18.64%   -6.70%
Equity   

S&P 500 Index

 

August-2009

  1.20   12.37%   20.21%   7.84%
Commodity   

Rogers International Commodity Index - Excess Return

 

August-2009

  1.20   15.61%   23.84%   8.22%
Equity   

S&P 100 Index

 

September-2009

  1.20   7.65%   14.79%   7.14%
Commodity   

Gold Spot Price

 

September-2009

  1.20   29.54%   24.92%   -4.62%
Equity   

MSCI EAFE Index

 

September-2009

  1.20   3.20%   9.53%   6.34%
Equity   

Nasdaq-100 Index

 

October-2009

  1.20   28.83%   16.61%   -12.22%
Equity   

Energy Select Sector Index

 

October-2009

  1.20   18.34%   24.17%   5.84%
Equity   

S&P Midcap 400 Index

 

October-2009

  1.20   30.69%   21.10%   -9.59%
Equity   

S&P 500 Index

 

October-2009

  1.20   18.26%   16.37%   -1.89%
Equity   

MSCI EAFE

 

October-2009

  1.20   5.02%   14.92%   9.90%
Equity   

Energy Select Sector Index

 

November-2009

  1.20   18.26%   21.48%   3.22%
Equity   

S&P 500 Index

 

November-2009

  1.20   13.38%   15.62%   2.23%
Commodity   

Rogers International Commodity Index - Excess Return

 

November-2009

  1.20   18.24%   20.36%   2.12%
Commodity   

Crude Oil

 

December-2009

  1.20   14.20%   14.79%   0.59%
Equity   

MSCI EAFE Index

 

December-2009

  1.20   10.07%   15.15%   5.08%
Equity   

Dow Jones U.S. Real Estate Index

 

January-2010

  1.20   23.74%   27.62%   3.88%
Equity   

Russell 2000 Index

 

January-2010

  1.20   23.52%   18.31%   -5.21%
Equity   

S&P 500 Index

 

January-2010

  1.20   13.71%   14.23%   0.52%
Equity   

Financial Select Sector Index

 

January-2010

  1.20   10.53%   19.63%   9.11%
           See page 29 for footnotes

 

10


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT  PERFORMANCE  (CONTINUED)

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance/  
Underperformance
Equity   

MSCI EAFE Index

 

January-2010

  1.20   6.18%   14.91%   8.73%
Commodity   

Gold Spot Price

 

January-2010

  1.20   25.29%   18.43%   -6.86%
Equity   

Energy Select Sector Index

 

February-2010

  1.20   32.89%   18.06%   -14.82%
Equity   

S&P 500 Index

 

February-2010

  1.20   16.87%   13.28%   -3.59%
Equity   

S&P Midcap 400 Index

 

February-2010

  1.20   27.95%   15.45%   -12.51%
Equity   

Russell 2000 Index

 

February-2010

  1.20   27.15%   17.48%   -9.67%
Equity   

MSCI EAFE Index

 

February-2010

  1.20   14.09%   15.03%   0.94%
Commodity   

Silver Spot Price

 

February-2010

  1.20   139.83%   27.83%   -112.00%
Commodity   

Rogers International Commodity Index - Excess Return

 

February-2010

  1.20   32.37%   16.00%   -16.37%
Commodity   

Silver Spot Price

 

March-2010

  1.30   68.57%   26.25%   -42.32%
Equity   

PHLX Oil Service Sector Index

 

March-2010

  1.20   24.23%   20.03%   -4.19%
Equity   

S&P 500 Index

 

March-2010

  1.20   11.47%   11.91%   0.44%
Equity   

Industrial Select Sector Index

 

March-2010

  1.20   16.17%   13.72%   -2.45%
Commodity   

Platinum Spot Price

 

March-2010

  1.20   8.30%   24.54%   16.24%
Equity   

MSCI EAFE Index

 

March-2010

  1.20   6.55%   14.42%   7.87%
Commodity   

Gold Spot Price

 

March-2010

  1.20   32.08%   15.15%   -16.93%
Equity   

MSCI Emerging Markets Index

 

March-2010

  1.20   9.97%   14.06%   4.09%
Commodity   

Merrill Lynch Commodity Index Extra A01 Index

 

March-2010

  1.20   23.65%   12.35%   -11.30%
Equity   

S&P 500 Index

 

April-2010

  1.20   4.74%   12.99%   8.25%
Equity   

Financial Select Sector Index

 

April-2010

  1.20   -8.56%   -8.56%   0.00%
Equity   

Philadelphia Oil Service Sector Index

 

April-2010

  1.20   12.70%   22.48%   9.78%
Equity   

Russell 2000 Index

 

April-2010

  1.20   5.59%   16.60%   11.01%
Commodity   

Rogers International Commodity Index - Excess Return

 

April-2010

  1.20   17.57%   15.15%   -2.41%
Commodity   

Silver Spot Price

 

April-2010

  1.20   68.76%   20.68%   -48.08%
Equity   

PHLX Housing Sector Index

 

May-2010

  1.20   0.65%   1.96%   1.30%
Equity   

Russell 2000 Index

 

May-2010

  1.20   24.30%   23.24%   -1.06%
Equity   

S&P 500 Index

 

May-2010

  1.20   20.58%   17.70%   -2.88%
Commodity   

Gold Spot Price

 

May-2010

  1.20   26.97%   15.29%   -11.67%
Equity   

MSCI EAFE Index

 

May-2010

  1.20   20.74%   18.91%   -1.83%
Equity   

Brazil and China Index Basket

 

May-2010

  1.20   10.15%   24.28%   14.13%
Equity   

Apple Inc./Technology Select Sector

 

May-2010

  1.20   29.57%   12.39%   -17.18%
Commodity   

Copper Spot Price

 

June-2010

  1.10   41.36%   25.07%   -16.29%
Equity   

S&P 500 Index

 

June-2010

  1.20   5.80%   15.57%   9.77%
Equity   

S&P 400 Midcap Index

 

June-2010

  1.20   8.12%   18.43%   10.31%
Equity   

Nasdaq-100 Index

 

June-2010

  1.20   11.12%   15.57%   4.45%
Equity   

Energy Select Sector Index

 

July-2010

  1.20   10.50%   20.48%   9.97%
Equity   

S&P Midcap 400 Index

 

July-2010

  1.20   4.76%   14.15%   9.39%
Equity   

Russell 2000 Index

 

July-2010

  1.20   1.34%   4.02%   2.67%
Equity   

S&P 500 Index

 

July-2010

  1.20   3.97%   11.82%   7.85%
Equity   

MSCI EAFE Index

 

July-2010

  1.20   -6.87%   -6.87%   0.00%
Commodity   

Rogers International Commodity Index - Excess Return

 

July-2010

  1.20   10.52%   13.54%   3.02%
Commodity   

Gold Spot Price

 

July-2010

  1.20   34.50%   15.78%   -18.72%
Commodity   

Silver Spot Price

 

July-2010

  1.20   70.98%   24.7%   -46.21%
           See page 29 for footnotes  

 

11


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance/  
Underperformance
Equity   

S&P 500 Index

 

August-2010

  1.20   13.56%   17.65%   4.09%
Equity   

Financial Select Sector Index

 

August-2010

  1.20   -3.36%   -3.36%   0.00%
Commodity   

Rogers International Commodity Index - Excess Return

 

August-2010

  1.20   16.61%   13.31%   -3.30%
Equity   

S&P 500 Index

 

September-2010

  1.20   7.29%   15.01%   7.72%
Equity   

PHLX Oil Service Sector Index

 

September-2010

  1.20   18.01%   22.04%   4.03%
Equity   

Russell 2000 Index

 

September-2010

  1.20   8.21%   21.10%   12.90%
Equity   

MSCI Emerging Markets Index

 

September-2010

  1.20   -9.17%   -9.17%   0.00%
Commodity   

Gold Spot Price

 

September-2010

  1.20   25.74%   16.56%   -9.17%
Commodity   

Rogers International Commodity Index - Excess Return

 

September-2010

  1.20   9.19%   11.67%   2.48%
Equity   

S&P 500 Index

 

October-2010

  1.20   2.46%   7.34%   4.88%
Equity   

Energy Select Sector Index

 

October-2010

  1.20   9.56%   17.60%   8.04%
Equity   

S&P Midcap 400 Index

 

October-2010

  1.20   2.39%   7.14%   4.75%
Commodity   

Rogers International Commodity Index - Excess Return

 

October-2010

  1.20   -1.09%   -1.09%   0.00%

PRODUCT  PERFORMANCE  SUMMARY

                      % OFFERINGS WHERE:
    

Number of

Offerings

  Average Linked
Asset Return
1,2
  Average MLI  
Return 
1
  Average MLI  Outperformance/
Underperformance
  MLI Underperforms
Linked Asset
 

Performance

is Equal

  MLI Outperforms
Linked Asset
All Linked Asset                             
Classes   

245

 

2.98%

  2.73%   -0.24%   25.31%   35.92%   38.78%
Equity   

195

 

-0.46%

  0.88%   1.34%   20.51%   40.00%   39.49%
Commodity   

49

 

16.79%

  10.25%   -6.54%   44.90%   18.37%   36.73%
Currency   

1

 

-4.10%

  -4.10%   0.00%   0.00%   100.00%   0.00%

LOGO BEAR ACCELERATED RETURN NOTES® (Bear ARNs®)

 

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

PRODUCT    PERFORMANCE

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
  Strategy
Return 
1,2,3
 

MLI

Return 1

  MLI
Outperformance/  
Underperformance  
Equity   

Philadelphia Housing Index

 

June-2005

  2.00   3.84%   11.11%   7.28%
Equity   

Philadelphia Housing Index

 

December-2005

  1.20   11.60%   26.83%   15.23%
Equity   

S&P 500 Index

 

June-2006

  0.80   -11.78%   -11.78%   0.00%
Commodity   

Crude Oil

 

September-2006

  1.10   -13.43%   -9.13%   4.30%
Equity   

Philadelphia Housing Index

 

September-2006

  0.80   -7.70%   -7.70%   0.00%
Equity   

Nasdaq-100 Index

 

November-2006

  0.80   -8.51%   0.00%   8.51%
Equity   

Philadelphia Housing Index

 

March-2007

  1.10   32.13%   26.94%   -5.19%
Equity   

Cohen & Steers Realty Majors Portfolio Index

 

March-2007

  1.20   10.71%   27.78%   17.07%
Equity   

S&P 500 Index

 

May-2007

  1.20   12.53%   19.63%   7.11%
           See page 29 for footnotes  

 

12


Table of Contents

LOGO

 

LOGO BEAR ACCELERATED RETURN NOTES® (Bear ARNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
  Strategy
Return 
1,2,3
 

MLI

Return 1

 

MLI

Outperformance/
Underperformance

Equity   

Philadelphia Housing Index

 

May-2007

  1.20   41.05%   27.78%   -13.27%
Equity   

S&P 500 Index

 

June-2007

  0.80   14.83%   42.15%   27.32%
Equity   

Dow Jones Industrial Average

 

June-2007

  1.20   11.60%   18.02%   6.43%
Equity   

Philadelphia Housing Index

 

June-2007

  1.20   32.96%   26.11%   -6.85%
Equity   

Russell 2000 Index

 

July-2007

  1.20   11.24%   26.11%   14.87%
Equity   

Utilities Select Sector Index

 

July-2007

  1.20   10.45%   16.97%   6.53%
Equity   

Mortgage Finance Basket

 

August-2007

  1.20   47.81%   16.00%   -31.80%
Equity   

Russell 3000 Index

 

August-2007

  1.20   28.01%   21.63%   -6.38%
Equity   

Russell 3000 Index

 

November-2007

  1.20   34.71%   21.68%   -13.03%
Equity   

Russell 2000 Index

 

November-2007

  1.20   33.08%   23.96%   -9.12%
Equity   

Consumer Discretionary Select Sector Index

 

January-2008

  1.20   29.55%   16.00%   -13.55%
Equity   

Energy Select Sector Index

 

February-2008

  1.20   32.90%   16.41%   -16.49%
Equity   

S&P 500 Index

 

February-2008

  1.20   30.25%   10.39%   -19.85%
Equity   

Energy Select Sector Index

 

May-2008

  1.20   32.60%   16.41%   -16.19%
Commodity   

Crude Oil

 

June-2008

  1.00   47.95%   25.05%   -22.90%
Equity   

Russell 3000 Index

 

July-2008

  1.20   14.36%   14.38%   0.02%
Equity   

S&P 500 Index

 

August-2008

  1.20   13.15%   15.60%   2.45%
Equity   

Russell 2000 Index

 

October-2008

  1.10   0.12%   0.58%   0.47%
Equity   

S&P 500 Index

 

October-2008

  1.20   -16.77%   -8.21%   8.56%
Equity   

S&P 500 Index

 

November-2008

  1.20   -24.93%   -16.21%   8.73%
Equity   

Retail Select Industry Index

 

January-2009

  1.00   -74.33%   -64.33%   10.00%
Equity   

S&P 500 Index

 

January-2009

  0.80   -24.27%   -14.27%   10.00%
Equity   

S&P 500 Index

 

February-2009

  1.00   -47.72%   -37.72%   10.00%
Equity   

S&P 500 Index

 

March-2009

  1.20   -32.58%   -23.68%   8.90%
Equity   

S&P 500 Index

 

May-2009

  1.20   -16.31%   -7.76%   8.55%
Equity   

S&P 500 Index

 

October-2009

  1.10   -13.95%   -13.95%   0.00%
Equity   

S&P 500 Index

 

November-2009

  0.50   1.92%   9.61%   7.69%
Equity   

S&P 500 Index

 

January-2010

  0.50   -0.13%   -0.13%   0.00%
Equity   

S&P 500 Index

 

February-2010

  0.50   2.08%   6.23%   4.15%
Equity   

S&P 500 Index

 

February-2010

  0.50   2.99%   8.65%   5.66%
Equity   

S&P 500 Index

 

March-2010

  0.50   2.44%   7.33%   4.89%
Equity   

Russell 2000 Index

 

May-2010

  0.50   -12.50%   -12.50%   0.00%
Equity   

S&P 500 Index

 

July-2010

  0.50   -20.19%   -20.19%   0.00%
Equity   

S&P 500 Index

 

July-2010

  0.50   -16.70%   -16.70%   0.00%
Equity   

S&P 500 Index

 

August-2010

  0.50   -26.28%   -26.28%   0.00%
Equity   

S&P 500 Index

 

September-2010

  0.30   -12.08%   -12.08%   0.00%
Equity   

S&P 500 Index

 

September-2010

  0.50   -12.05%   -12.05%   0.00%
Equity   

S&P 500 Index

 

October-2010

  0.60   -14.37%   -14.37%   0.00%
Equity   

Russell 2000 Index

 

November-2010

  0.50   -14.51%   -14.51%   0.00%
Equity   

S&P 500 Index

 

January-2011

  0.60   -4.94%   -4.94%   0.00%
Equity   

S&P 500 Index

 

January-2011

  0.50   -2.87%   -2.87%   0.00%
Equity   

Russell 2000 Index

 

February-2011

  0.50   10.54%   12.06%   1.52%
Equity   

Russell 2000 Index

 

June-2011

  0.50   10.47%   12.99%   2.52%
           See page 29 for footnotes  

 

13


Table of Contents

LOGO

 

LOGO BEAR ACCELERATED RETURN NOTES® (Bear ARNs®)

PRODUCT PERFORMANCE SUMMARY

                        % OFFERINGS WHERE:
    

Number of    

Offerings    

  

Average Strategy

Return 1,2

  Average MLI  
Return
1
  Average MLI Outperformance/  
Underperformance
   MLI Underperforms
Strategy Return
  Performance
is Equal
  MLI Outperforms  
Strategy Return
All Linked Asset     Classes    52    2.67%   3.33%   0.66%    23.08%   26.92%   50.00%
Equity    50    2.09%   3.14%   1.05%    22.00%   28.00%   50.00%
Commodity    2    17.26%   7.96%   -9.30%    50.00%   0.00%   50.00%
Currency    0    —     —     —      —     —     —  

LOGO LEVERAGED INDEX RETURN NOTES® (LIRNs®)

 

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

 

LOGO

PRODUCT  PERFORMANCE

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 

Linked Asset

Return 1,2

 

MLI

Return  1

 

MLI

Outperformance/
Underperformance

Equity   

Nikkei 225 Index

 

August-2004

  4.50   -8.63%   -3.98%   4.65%
Equity   

Dow Jones Industrial Average

 

September-2004

  5.00   -0.63%   0.00%   0.63%
Commodity   

Dow Jones-UBS Commodity Index

 

December-2004

  5.10   -1.61%   0.00%   1.61%
Equity   

Global Equity Index Basket

 

December-2004

  5.00   -1.01%   0.00%   1.01%
Commodity   

Dow Jones-UBS Commodity Index

 

February-2005

  5.00   -2.10%   0.00%   2.10%
Equity   

Emerging Market Equity Basket

 

March-2006

  3.50   2.56%   2.70%   0.14%
Commodity   

Rogers International Commodity Index - Excess Return

 

November-2006

  3.50   -6.63%   -0.48%   6.15%
Equity   

MSCI Emerging Markets Index

 

March-2007

  3.50   3.04%   3.34%   0.31%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

March-2007

  3.00   -7.08%   0.00%   7.08%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

August-2007

  2.50   -9.01%   -0.41%   8.60%
           See page 29 for footnotes  

 

14


Table of Contents

LOGO

 

LOGO LEVERAGED INDEX RETURN NOTES® (LIRNs®)

PRODUCT  PERFORMANCE (CONTINUED )

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 

Linked Asset 

Return 1,2

 

MLI

Return  1

 

MLI

Outperformance/
Underperformance

Equity   

Global Equity Index Basket

 

August-2007

  2.00   -18.50%   -12.58%   5.92%
Equity   

Global Equity Index Basket

 

November-2007

  2.40   -12.52%   -7.68%   4.84%
Commodity   

MLCX Biofuels-Excess Return Index

 

November-2007

  2.30   -2.94%   0.00%   2.94%
Equity   

Global Equity Index Basket

 

March-2008

  3.00   -5.28%   -1.70%   3.58%
Commodity   

Rogers International Commodity Index - Excess Return

 

March-2008

  3.30   -8.27%   -4.73%   3.54%
Commodity   

Rogers International Commodity Index - Excess Return

 

May-2008

  3.50   -8.19%   -4.81%   3.38%
Commodity   

Rogers International Commodity Index - Agriculture Excess Return

 

June-2008

  3.00   -6.06%   -2.24%   3.83%

PRODUCT  PERFORMANCE SUMMARY

                      % OFFERINGS WHERE:
    

Number of  

Offerings  

  Average Linked  
Asset Return 
1,2
  Average MLI  
Return
1
  Average MLI Outperformance/  
Underperformance
  MLI Underperforms  
Linked Asset
 

Performance

is Equal

  MLI Outperforms
Linked Asset
All Linked Asset     Classes   

17

 

-5.46%

  -1.92%   3.55%   0.00%   0.00%   100.00%
Equity   

8

 

-5.12%

  -2.49%   2.64%   0.00%   0.00%   100.00%
Commodity   

9

 

-5.77%

  -1.41%   4.36%   0.00%   0.00%   100.00%
Currency   

0

 

—  

  —     —     —     —     —  

LOGO CAPPED LEVERAGED INDEX RETURN NOTES® (CLIRNs®)

 

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

 

LOGO

 

           See page 29 for footnotes  

 

15


Table of Contents

LOGO

 

LOGO CAPPED LEVERAGED INDEX RETURN NOTES® (CLIRNs®)

PRODUCT  PERFORMANCE

 

Linked Asset

Class

   Linked Asset   Pricing Date  

Term

(years)

  Linked Asset
Return
 1,2
 

MLI

Return  1

  MLI Outperformance/  
Underperformance
Equity   

Russell 2000 Index

 

May-2008

  1.50   -12.24%   -5.26%   6.98%
Commodity   

Natural Gas

 

June-2008

  2.30   -34.26%   -24.05%   10.21%
Equity   

International Small Cap Basket

 

June-2008

  1.50   -14.12%   -7.06%   7.05%
Equity   

Russell 2000 Index

 

June-2008

  1.60   -6.54%   -0.16%   6.38%
Equity   

MSCI Brazil Index

 

June-2008

  1.60   -7.74%   -1.32%   6.43%
Equity   

MSCI China Index

 

July-2008

  1.50   -3.72%   0.00%   3.72%
Equity   

Russell 2000 Index

 

May-2008

  1.50   -12.24%   -5.26%   6.98%
Commodity   

Natural Gas

 

June-2008

  2.30   -34.26%   -24.05%   10.21%
Equity   

International Small Cap Basket

 

June-2008

  1.50   -14.12%   -7.06%   7.05%
Equity   

Russell 2000 Index

 

June-2008

  1.60   -6.54%   -0.16%   6.38%
Equity   

MSCI Brazil Index

 

June-2008

  1.60   -7.74%   -1.32%   6.43%
Equity   

MSCI China Index

 

July-2008

  1.50   -3.72%   0.00%   3.72%
Equity   

MSCI EAFE Index

 

July-2008

  1.50   -12.66%   -2.26%   10.40%
Equity   

MSCI Emerging Markets Index

 

July-2008

  1.50   -4.79%   0.00%   4.79%
Equity   

S&P 500 Index

 

August-2008

  1.50   -9.49%   -2.61%   6.88%
Equity   

S&P BRIC 40 Index

 

August-2008

  1.50   -3.89%   0.00%   3.89%
Equity   

Stowe Global Coal Index

 

August-2008

  1.50   -15.79%   -5.22%   10.57%
Equity   

S&P 500 Index

 

September-2008

  1.50   -4.45%   0.00%   4.45%
Equity   

S&P 500 Index

 

September-2008

  1.50   -2.21%   0.00%   2.21%
Equity   

S&P 500 Index

 

September-2008

  1.50   -2.21%   0.00%   2.21%
Commodity   

Rogers International Commodity Index - Excess Return

 

September-2008

  1.50   -19.83%   -12.55%   7.28%
Commodity   

Gold Spot Price

 

September-2008

  1.50   13.90%   27.16%   13.26%
Equity   

Nikkei 225 Index

 

October-2008

  1.50   12.25%   20.33%   8.09%
Equity   

S&P 500 Index

 

October-2008

  2.00   12.13%   21.41%   9.28%
Equity   

S&P 500 Index

 

October-2008

  2.00   12.13%   24.13%   12.00%
Commodity   

Dow Jones-UBS Commodity Index

 

October-2008

  1.50   1.07%   2.13%   1.06%
Equity   

S&P 500 Index

 

October-2008

  1.50   16.88%   26.34%   9.46%
Equity   

S&P 500 Index

 

October-2008

  1.50   16.88%   18.53%   1.65%
Equity   

Technology Select Sector Index

 

November-2008

  1.50   29.51%   25.98%   -3.54%
Equity   

S&P 500 Index

 

November-2008

  1.50   16.95%   28.40%   11.45%
Equity   

Global Equity Index Basket

 

December-2008

  1.60   21.77%   23.02%   1.25%
Equity   

S&P 500 Index

 

December-2008

  2.00   24.00%   16.04%   -7.96%
Equity   

Russell 2000 Index

 

January-2009

  1.50   15.74%   25.15%   9.40%
Equity   

S&P 500 Index

 

January-2009

  1.50   12.17%   17.64%   5.47%
Equity   

Nasdaq-100 Index

 

January-2009

  1.50   29.60%   18.04%   -11.56%
Equity   

MSCI EAFE Index

 

January-2009

  1.50   8.07%   15.11%   7.04%
Commodity   

Dow Jones-UBS Commodity Index

 

January-2009

  1.50   5.64%   11.14%   5.50%
Commodity   

Dow Jones-UBS Commodity Index

 

January-2009

  1.50   10.52%   14.65%   4.13%
Equity   

S&P 500 Index

 

January-2009

  1.50   19.13%   17.40%   -1.74%
           See page 29 for footnotes  

 

16


Table of Contents

LOGO

 

LOGO CAPPED LEVERAGED INDEX RETURN NOTES® (CLIRNs®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return  1

  MLI Outperformance/  
Underperformance
Equity   

MSCI EAFE Index

 

January-2009

  1.50   19.28%   15.23%   -4.05%
Commodity   

MLCX Brent Index

 

February-2009

  1.60   25.74%   24.23%   -1.51%
Commodity   

Gold Spot Price

 

February-2009

  1.50   19.41%   31.12%   11.71%
Commodity   

Dow Jones-UBS Commodity Index

 

February-2009

  1.50   13.70%   14.49%   0.80%
Equity   

S&P 500 Index

 

February-2009

  1.50   26.58%   21.01%   -5.57%
Equity   

Global Equity Index Basket

 

March-2009

  1.50   42.98%   17.95%   -25.03%
Equity   

Global Equity Index Basket

 

March-2009

  1.50   16.36%   17.40%   1.04%
Equity   

S&P 500 Index

 

May-2009

  1.60   18.36%   16.92%   -1.44%
Equity   

MSCI Emerging Markets Index

 

May-2009

  2.10   23.15%   16.58%   -6.57%
Commodity   

Merrill Lynch Commodity Index eXtra Brent 4-Series Index - Excess Return

 

May-2009

  2.00   28.05%   18.36%   -9.68%
Commodity   

Gold Spot Price

 

June-2009

  2.00   28.38%   17.07%   -11.31%
Equity   

FTSE/Xinhua China 25 Index

 

June-2009

  2.00   5.73%   11.17%   5.44%
Equity   

MSCI Emerging Markets Index

 

July-2009

  2.00   17.34%   19.84%   2.51%
Equity   

Russell 2000 Index

 

August-2009

  2.00   7.15%   13.85%   6.70%
Equity   

S&P 500 Index

 

August-2009

  2.00   5.71%   11.12%   5.42%
Equity   

Financial Select Sector Index

 

August-2009

  2.00   -7.88%   -0.07%   7.81%
Equity   

Global Equity Index Basket

 

August-2009

  2.00   5.15%   10.06%   4.91%
Equity   

S&P 500 Index

 

September-2009

  2.00   4.31%   8.44%   4.14%
Commodity   

Rogers International Commodity Index - Excess Return

 

September-2009

  2.00   12.70%   16.93%   4.22%
Equity   

MSCI Emerging Markets Index

 

October-2009

  2.00   0.64%   1.27%   0.63%
Commodity   

Rogers International Commodity Index - Excess Return

 

October-2009

  2.00   7.98%   15.42%   7.43%
Commodity   

Gold Spot Price

 

October-2009

  2.00   26.16%   14.72%   -11.44%
Equity   

Dow Jones U.S. Real Estate Index

 

November-2009

  2.00   11.28%   18.34%   7.06%
Equity   

Basket of FTSE/Xinhua China 25 Index and the Bovespa Index

 

November-2009

  2.00   -9.35%   -4.00%   5.36%
Commodity   

Palladium Spot Price

 

May-2010

  1.50   27.49%   26.10%   -1.39%
Commodity   

Front Month Corn Futures Contract

 

February-2011

  0.80   -17.55%   -7.55%   10.00%

PRODUCT PERFORMANCE SUMMARY

 

                      % OFFERINGS WHERE:
    

Number of

Offerings

  Average Linked  
Asset Return
1,2  
  Average MLI
Return
1
  Average MLI Outperformance/  
Underperformance
  MLI Underperforms
Linked Asset
 

Performance

is Equal

  MLI Outperforms
Linked Asset
All Linked Asset Classes   

59

 

8.19%

  11.15%   2.96%   23.73%   0.00%   76.27%
Equity   

43

 

7.77%

  10.90%   3.13%   20.93%   0.00%   79.07%
Commodity   

16

 

9.32%

  11.84%   2.52%   31.25%   0.00%   68.75%
Currency   

0

 

—  

  —     —     —     —     —  
             See page 29 for footnotes  

 

17


Table of Contents

LOGO

 

LOGO STRATEGIC ACCELERATED REDEMPTION SECURITIES® (STARS®)

 

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

 

LOGO

PRODUCT  PERFORMANCE

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 4
 

Linked Asset 

Return  1,2

 

MLI

Return  1

  MLI Outperformance/
Underperformance
Equity   

Dow Jones Eurostoxx 50 Index

 

November-2007

  2.00   -20.89%   -14.81%   6.09%
Equity   

S&P 500 Index

 

November-2007

  2.00   -12.93%   -7.37%   5.56%
Commodity   

Dow Jones-UBS Commodity Index

 

November-2007

  2.00   -12.73%   -7.16%   5.57%
Equity   

Nasdaq-100 Index

 

January-2008

  2.00   -1.33%   0.00%   1.33%
Equity   

Nikkei 225 Index

 

January-2008

  2.00   -13.35%   -7.76%   5.59%
Equity   

S&P 500 Index

 

February-2008

  2.00   -10.08%   -4.69%   5.40%
Equity   

S&P 500 Index

 

March-2008

  2.00   -4.42%   0.00%   4.42%
Equity   

Russell 2000 Index

 

March-2008

  2.00   -1.66%   0.00%   1.66%
Equity   

Dow Jones Industrial Average

 

March-2008

  2.00   -6.54%   -1.34%   5.21%
Equity   

S&P 500 Index

 

May-2008

  2.00   -8.35%   -3.05%   5.30%
Equity   

S&P 500 Index

 

June-2008

  2.00   -9.30%   -3.95%   5.35%
Equity   

Dow Jones Industrial Average

 

June-2008

  2.00   -8.59%   -3.27%   5.32%
Equity   

S&P 500 Index

 

July-2008

  2.00   -6.87%   -1.65%   5.22%
Equity   

Dow Jones Industrial Average

 

August-2008

  2.00   -6.57%   -1.36%   5.21%
Commodity   

Dow Jones-UBS Commodity Index

 

August-2008

  2.00   -17.68%   -11.81%   5.87%
Equity   

S&P 500 Index

 

September-2008

  2.00   -2.58%   0.00%   2.58%
           See page 29 for footnotes  

 

18


Table of Contents

LOGO

 

LOGO STRATEGIC ACCELERATED REDEMPTION SECURITIES® (STARS®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 4
  Linked Asset
Return 1,2
 

MLI

Return  1

  MLI Outperformance/  
Underperformance
Equity   

iShares MSCI EAFE Index

 

September-2008

  2.00   -3.33%   0.00%   3.33%
Equity   

S&P 500 Index

 

October-2008

  1.00   13.96%   24.10%   10.14%
Equity   

iShares MSCI EAFE Index

 

October-2008

  1.00   25.79%   27.80%   2.01%
Equity   

S&P 500 Index

 

November-2008

  1.00   27.79%   25.35%   -2.44%
Equity   

S&P 500 Index

 

January-2009

  1.00   28.88%   18.35%   -10.53%
Equity   

Russell Midcap Growth Index

 

January-2009

  1.00   44.32%   20.00%   -24.32%
Equity   

S&P 500 Index

 

February-2009

  1.00   48.20%   19.10%   -29.10%
Equity   

S&P 500 Index

 

March-2009

  1.00   44.75%   18.15%   -26.60%
Commodity   

SPDR Gold Trust

 

April-2009

  1.00   26.97%   14.21%   -12.76%
Equity   

S&P 500 Index

 

May-2009

  1.00   27.55%   12.50%   -15.05%
Equity   

MSCI Brazil Index

 

May-2009

  1.00   17.14%   15.00%   -2.14%
Equity   

S&P 500 Index

 

May-2009

  1.00   19.89%   14.00%   -5.89%
Equity   

iShares FTSE/Xinhua 25 Index

 

May-2009

  1.00   6.77%   21.45%   14.68%
Equity   

S&P 500 Index

 

June-2009

  1.00   19.27%   14.27%   -5.00%
Equity   

iShares MSCI EAFE Index

 

June-2009

  1.00   2.20%   15.80%   13.60%
Equity   

S&P 500 Index

 

July-2009

  1.00   15.46%   12.41%   -3.05%
Equity   

iShares MSCI Brazil Index

 

July-2009

  1.00   24.99%   21.01%   -3.98%
Equity   

S&P 500 Index

 

September-2009

  1.00   7.66%   11.25%   3.59%
Equity   

Russell 2000 Index

 

September-2009

  1.00   8.95%   13.90%   4.95%
Equity   

S&P 500 Index

 

October-2009

  1.00   17.57%   9.80%   -7.77%
Equity   

Financial Select Sector SPDR

 

December-2009

  1.00   12.97%   14.30%   1.33%
Equity   

S&P 500 Index

 

January-2010

  0.50   1.49%   8.35%   6.86%
Equity   

S&P 500 Index

 

January-2010

  1.00   19.44%   7.90%   -11.54%
Equity   

S&P 500 Index

 

February-2010

  1.00   17.87%   7.73%   -10.14%
Equity   

S&P 500 Index

 

February-2010

  0.50   -4.83%   -4.83%   0.00%
Equity   

S&P 500 Index

 

March-2010

  1.00   13.34%   7.00%   -6.34%
Equity   

S&P 500 Index

 

March-2010

  0.50   -3.61%   -3.61%   0.00%
Equity   

S&P 500 Index

 

April-2010

  0.50   -2.53%   -2.53%   0.00%
Equity   

S&P 500 Index

 

April-2010

  1.00   12.80%   8.80%   -4.00%
Commodity   

Front Month RBOB Gasoline Contract

 

May-2010

  0.50   8.35%   17.70%   9.35%
Equity   

S&P 500 Index

 

May-2010

  0.50   10.56%   7.64%   -2.92%
Equity   

S&P 500 Index

 

May-2010

  0.50   12.34%   10.96%   -1.38%
Equity   

S&P 500 Index

 

June-2010

  0.50   12.50%   5.62%   -6.87%
Equity   

S&P 500 Index

 

June-2010

  0.50   15.85%   9.79%   -6.06%
Equity   

S&P 500 Index

 

July-2010

  0.50   16.51%   8.83%   -7.68%
Equity   

SPDR Euro STOXX 50 ETF

 

July-2010

  0.50   12.40%   6.65%   -5.75%
Equity   

S&P 500 Index

 

July-2010

  0.50   17.22%   5.88%   -11.34%
Equity   

S&P 500 Index

 

August-2010

  0.50   17.85%   4.60%   -13.25%
Equity   

S&P 500 Index

 

August-2010

  0.50   27.26%   11.20%   -16.06%
Equity   

S&P 500 Index

 

August-2010

  0.50   24.65%   6.35%   -18.30%
Equity   

MSCI Brazil Index Fund

 

August-2010

  0.50   10.38%   9.83%   -0.55%
Equity   

S&P 500 Index

 

September-2010

  0.50   13.72%   9.18%   -4.54%
           See page 29 for footnotes  

 

19


Table of Contents

LOGO

 

LOGO STRATEGIC ACCELERATED REDEMPTION SECURITIES® (STARS®)

PRODUCT  PERFORMANCE (CONTINUED)

 

Linked Asset

Class

   Linked Asset   Pricing Date   Term
(years)
 4
  Linked Asset
Return
 1,2
 

MLI

Return  1

  MLI Outperformance/
Underperformance
Equity   

S&P 500 Index

 

September-2010

  0.50   15.02%   4.88%   -10.14%
Equity   

International Equity Basket

 

September-2010

  0.50   8.28%   5.02%   -3.25%
Equity   

S&P 500 Index

 

October-2010

  0.50   13.96%   4.98%   -8.98%
Equity   

S&P 500 Index

 

October-2010

  0.50   11.48%   8.23%   -3.25%
Equity   

S&P 500 Index

 

October-2010

  0.50   12.80%   3.90%   -8.90%
Equity   

S&P 500 Index

 

November-2010

  0.50   11.18%   3.73%   -7.45%
Equity   

S&P 500 Index

 

November-2010

  0.50   12.92%   8.41%   -4.51%
Equity   

International Equity Basket

 

November-2010

  0.50   4.64%   5.37%   0.73%
Equity   

S&P 500 Index

 

November-2010

  0.50   11.48%   5.41%   -6.07%
Equity   

Financial Select Sector Index

 

November-2010

  0.50   6.31%   6.77%   0.45%
Commodity   

Front Month RBOB Gasoline Contract

 

November-2010

  1.00   8.11%   19.75%   11.64%
Equity   

S&P 500 Index

 

December-2010

  0.50   5.24%   4.90%   -0.34%
Equity   

S&P 500 Index

 

December-2010

  0.50   3.26%   4.47%   1.20%
Equity   

S&P 500 Index

 

January-2011

  0.50   4.18%   4.43%   0.24%
Commodity   

Palladium Spot Price

 

January-2011

  0.40   -3.56%   0.00%   3.56%
Equity   

S&P 500 Index

 

January-2011

  0.50   1.28%   6.05%   4.77%
Equity   

S&P 500 Index

 

January-2011

  0.50   2.92%   4.01%   1.09%
Equity   

International Equity Basket

 

January-2011

  0.50   0.45%   5.49%   5.04%
Commodity   

Front Month Corn Futures Contract

 

February-2011

  0.80   -14.15%   0.00%   14.15%
Commodity   

Front Month Corn Futures Contract

 

February-2011

  0.80   -13.67%   0.00%   13.67%
Equity   

S&P 500 Index

 

February-2011

  0.50   -13.98%   -13.98%   0.00%
Equity   

S&P 500 Index

 

March-2011

  0.50   -7.15%   -7.15%   0.00%
Commodity   

Front Month Corn Futures Contract

 

April-2011

  0.70   -23.66%   -8.66%   15.00%
Equity   

Microsoft Corp

 

April-2011

  0.50   3.57%   6.13%   2.56%
Equity   

Apple Inc

 

April-2011

  0.50   19.00%   8.32%   -10.68%
Commodity   

Front Month Corn Futures Contract

 

April-2011

  0.60   -22.59%   -7.59%   15.00%
Commodity   

Relative Value of SPDR Gold Trust versus PowerShares DB U.S. Dollar Index Bullish Fund

 

April-2011

  0.50   7.91%   6.00%   -1.91%
Equity   

S&P 500 Index

 

April-2011

  0.50   -8.98%   -8.98%   0.00%
Equity   

Cisco Systems, Inc

 

May-2011

  0.50   10.63%   6.80%   -3.83%
Equity   

S&P 500 Index

 

June-2011

  0.50   -3.62%   -3.62%   0.00%
Commodity   

Palladium Spot Price

 

June-2011

  0.40   -14.42%   -14.42%   0.00%

PRODUCT PERFORMANCE SUMMARY

 

                      % OFFERINGS WHERE:
    

Number of

Offerings

  Average Linked
Asset Return
1,2
  Average MLI
Return
1
  Average MLI  Outperformance/
Underperformance
  MLI Underperforms
Linked Asset
 

Performance

is Equal

  MLI Outperforms
Linked Asset
All Linked Asset Classes   

89

 

6.70%

  5.46%   -1.24%   46.07%   8.99%   44.94%
Equity   

77

 

8.67%

  6.21%   -2.46%   50.65%   9.09%   40.26%
Commodity   

12

 

-5.93%

  0.67%   6.60%   16.67%   8.33%   75.00%
Currency   

0

 

—  

  —       —     —     —  
             See page 29 for footnotes  

 

20


Table of Contents

LOGO

 

LOGO BEAR STRATEGIC ACCELERATED REDEMPTION SECURITIES® (Bear STARS®)

 

Pay a “Call Premium” in the event that the linked asset is at or below its starting value on any of the applicable call dates. Negative returns on the Bear STARS are on a one-to-one basis based on any increase of the linked asset.

PRODUCT  PERFORMANCE

 

Linked Asset

Class

   Linked Asset   Pricing Date  

Term

(years)  4

 

Strategy

Return  1,2,3

 

MLI

Return  1

 

MLI Outperformance/

Underperformance

Equity   

Philadelphia Housing Index

 

May-2008

  0.50   43.03%   6.70%   -36.33%
Equity   

Consumer Discretionary Select Sector Index

 

June-2008

  0.50   31.52%   7.90%   -23.62%
Equity   

S&P 600 Regional Banks Index

 

July-2008

  0.50   26.59%   9.10%   -17.49%
Equity   

Dow Jones U.S. Real Estate Index

 

August-2008

  0.50   58.45%   7.40%   -51.05%
Equity   

SPDR S&P Retail ETF

 

October-2008

  1.50   -85.36%   -59.68%   25.68%
Equity   

iShares Dow Jones U.S. Real Estate Index

 

November-2008

  1.50   -35.10%   -27.06%   8.05%
Equity   

iShares Dow Jones U.S. Real Estate Index

 

January-2009

  1.50   -41.90%   -33.44%   8.46%
Equity   

S&P 600 Regional Banks Index

 

February-2009

  1.50   -2.08%   0.00%   2.08%
Equity   

Consumer Discretionary Select Sector Index

 

March-2009

  1.50   -54.18%   -44.81%   9.37%
Equity   

S&P 500 Index

 

March-2009

  1.50   -27.45%   -19.82%   7.63%
Equity   

iShares Dow Jones U.S. Real Estate Index

 

March-2009

  1.50   -100.00%   -79.92%   20.08%
Equity   

Dow Jones Eurostoxx 50 Index

 

April-2009

  1.50   -18.49%   -11.26%   7.23%
Equity   

iShares Dow Jones U.S. Real Estate Index

 

May-2009

  1.50   -52.82%   -43.56%   9.26%
Equity   

S&P 500 Index

 

May-2009

  1.50   -23.43%   -15.99%   7.44%
Equity   

S&P 500 Index

 

September-2009

  1.60   -16.02%   -16.02%   0.00%
Equity   

S&P 500 Index

 

June-2010

  0.50   -16.15%   -16.15%   0.00%
Equity   

S&P 500 Index

 

April-2011

  0.50   8.98%   5.86%   -3.12%

PRODUCT  PERFORMANCE  SUMMARY

 

                        % OFFERINGS WHERE:
     Number of    
Offerings    
  

Average Strategy

Return 1,2

 

Average MLI

Return 1

 

Average MLI Outperformance/  

Underperformance

  

MLI Underperforms

Strategy Return

 

Performance

is Equal

 

MLI Outperforms  

Strategy Return

All Linked Asset Classes    17    -17.91%   -19.46%   -1.55%    29.41%   11.76%   58.82%
Equity    17    -17.91%   -19.46%   -1.55%    29.41%   11.76%   58.82%
Commodity    0    —     —     —      —     —     —  
Currency    0    —     —     —      —     —     —  
               See page 29 for footnotes

 

21


Table of Contents

LOGO

 

LOGO MARKET INDEX TARGET–TERM SECURITIES® (MITTS®)

 

Provide upside exposure to a linked asset while protecting against all, or in some cases, most, of the linked asset’s declines. Generally, but not always, upside exposure to the linked asset is subject to a cap.

 

LOGO

PRODUCT  PERFORMANCE

 

Linked Asset

Class

   Linked Asset   Pricing Date  

Term

(years)

 

Linked Asset

Return 1,2

 

MLI

Return 1

 

MLI Outperformance /

Underperformance

Equity   

Top Ten Yield Index

 

August-1996

  10.00   6.43%   6.43%   0.00%
Equity   

S&P 500 Index and CPI

 

September-1997

  10.00   3.24%   5.30%   2.06%
Equity   

Nikkei 225 Index

 

December-1998

  6.80   -1.40%   0.00%   1.40%
Equity   

Energy Select Sector SPDR

 

February-1999

  7.00   12.77%   11.83%   -0.94%
Equity   

S&P 500 Index

 

March-1999

  7.00   0.47%   0.00%   -0.47%
Equity   

Consumer Staples Select Sector SPDR Fund

 

April-1999

  7.00   -2.28%   0.00%   2.28%
Equity   

Major 11 International Index

 

May-1999

  7.00   0.47%   0.00%   -0.47%
Equity   

Select Sector SPDR Fund Growth Portfolio Index

 

May-1999

  7.00   0.98%   0.00%   -0.98%
Equity   

Dow Jones Industrial Average

 

June-1999

  7.00   0.37%   0.00%   -0.37%
Equity   

Russell 2000 Index

 

July-1999

  7.00   5.68%   3.23%   -2.45%
Equity   

Nikkei 225 Index

 

July-1999

  7.00   -2.23%   0.00%   2.23%
Equity   

S&P 500 Index

 

July-1999

  7.00   -0.76%   0.00%   0.76%
Equity   

Nikkei 225 Index

 

September-1999

  3.00   -19.19%   0.00%   19.19%
Equity   

Energy Select Sector SPDR

 

September-1999

  7.00   8.61%   7.27%   -1.35%
Equity   

Global Equity Index Basket

 

December-1999

  5.00   -6.92%   0.00%   6.92%
Equity   

Internet HOLDRs

 

February-2000

  7.00   -13.43%   0.00%   13.43%
Equity   

Nikkei 225 Index

 

March-2000

  7.00   -2.24%   0.00%   2.24%
           See page 29 for footnotes

 

22


Table of Contents

LOGO

 

LOGO MARKET INDEX TARGET–TERM SECURITIES® (MITTS®)

PRODUCT  PERFORMANCE (CONTINUED )

 

Linked Asset

Class

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

MLI

Return  1

  MLI Outperformance /
Underperformance
Equity   

S&P 500 Index

 

June-2000

  7.00   0.49%   0.00%   -0.49%
Equity   

Biotech HOLDRs

 

August-2000

  7.00   0.86%   0.86%   0.00%
Equity   

Nasdaq-100 Index

 

August-2000

  7.00   -7.95%   0.00%   7.95%
Equity   

Broadband HOLDRs

 

September-2000

  7.00   -21.74%   0.00%   21.74%
Equity   

Semiconductor HOLDRs

 

October-2000

  7.00   -7.88%   0.00%   7.88%
Equity   

S&P 500 Index

 

November-2000

  7.00   0.77%   0.00%   -0.77%
Equity   

Nikkei 225 Index

 

April-2001

  6.20   4.63%   4.63%   0.00%
Equity   

S&P 500 Index

 

August-2001

  7.00   1.36%   0.00%   -1.36%
Equity   

Dow Jones Industrial Average

 

September-2001

  7.00   3.50%   1.20%   -2.31%
Equity   

Dow Jones Industrial Average

 

January-2002

  7.00   -2.22%   0.00%   2.22%
Equity   

Russell 2000 Index

 

March-2002

  7.00   -2.43%   0.00%   2.43%
Equity   

Nikkei 225 Index

 

March-2002

  7.00   -4.40%   0.00%   4.40%
Equity   

S&P 500 Index

 

April-2002

  7.00   -3.15%   0.00%   3.15%
Equity   

AMEX Biotechnology Index

 

April-2002

  3.50   9.28%   6.83%   -2.45%
Equity   

AMEX Defense Index

 

May-2002

  3.40   11.65%   6.78%   -4.87%
Equity   

S&P 500 Index

 

June-2002

  7.00   -1.06%   0.00%   1.06%
Equity   

Dow Jones Industrial Average

 

August-2002

  7.00   1.13%   0.00%   -1.13%
Equity   

S&P 500 Index

 

August-2002

  7.00   1.54%   0.00%   -1.54%
Currency   

Currency Exchange Rate

 

September-2002

  3.00   8.32%   6.27%   -2.06%
Currency   

Currency Basket

 

April-2003

  1.00   5.06%   11.20%   6.14%
Currency   

Currency Basket

 

May-2003

  2.00   8.02%   9.73%   1.70%
Equity   

S&P 500 Index

 

May-2003

  7.00   1.88%   0.00%   -1.88%
Currency   

Currency Basket

 

July-2003

  1.00   0.72%   -0.80%   -1.52%
Equity   

S&P 500 Index

 

August-2003

  5.00   5.17%   2.42%   -2.75%
Currency   

Currency Basket

 

September-2003

  2.00   2.88%   1.29%   -1.59%
Equity   

Nikkei 225 Index

 

September-2003

  7.00   -1.35%   0.00%   1.35%
Currency   

Currency Basket

 

October-2003

  1.00   1.20%   -0.50%   -1.70%
Equity   

S&P 500 Index

 

December-2003

  7.00   1.75%   0.00%   -1.75%
Equity   

Nikkei 225 Index

 

December-2003

  7.30   0.24%   0.26%   0.01%
Currency   

Currency Exchange Rate

 

December-2003

  1.50   3.27%   2.12%   -1.15%
Equity   

Dow Jones Industrial Average

 

December-2003

  7.00   1.55%   0.71%   -0.84%
Currency   

Currency Exchange Rate

 

February-2004

  1.50   -3.59%   -2.68%   0.91%
Equity   

Dow Jones Industrial Average

 

February-2004

  7.10   1.71%   1.40%   -0.30%
Commodity   

Brent Crude

 

March-2004

  3.00   22.54%   33.85%   11.31%
Currency   

Currency Basket

 

April-2004

  1.00   1.17%   -0.80%   -1.97%
Currency   

Currency Basket

 

May-2004

  1.00   7.90%   5.70%   -2.20%
Currency   

Currency Exchange Rate

 

June-2004

  3.00   3.78%   4.03%   0.25%
Currency   

Currency Exchange Rate

 

June-2004

  2.00   1.60%   0.29%   -1.32%
Commodity   

Gold Spot Price

 

July-2004

  4.00   24.25%   19.03%   -5.22%
Currency   

Currency Basket

 

July-2004

  1.00   4.54%   2.90%   -1.64%
Equity   

S&P 500 Index

 

August-2004

  7.00   0.70%   0.00%   -0.70%
Currency   

Currency Basket

 

October-2004

  2.30   3.55%   3.55%   0.00%
Currency   

Currency Basket

 

October-2004

  1.20   0.15%   -1.92%   -2.07%
           See page 29 for footnotes  

 

23


Table of Contents

LOGO

 

LOGO MARKET INDEX TARGET–TERM SECURITIES® (MITTS®)

PRODUCT  PERFORMANCE  (CONTINUED)

 

Linked Asset

Class

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

MLI

Return  1

  MLI Outperformance /
Underperformance
Currency   

Currency Exchange Rate

 

November-2004

  1.20   -6.29%   -2.51%   3.78%
Equity   

Nikkei 225 Index

 

November-2004

  5.20   -0.04%   -0.58%   -0.54%
Currency   

Currency Basket

 

December-2004

  3.10   2.99%   2.99%   0.00%
Currency   

Currency Basket

 

January-2005

  1.50   5.12%   3.16%   -1.96%
Currency   

Currency Basket

 

February-2005

  2.00   -1.15%   -1.51%   -0.36%
Currency   

Currency Basket

 

March-2005

  1.00   -1.72%   0.00%   1.72%
Equity   

Philadelphia Housing Index

 

March-2005

  4.20   12.53%   12.79%   0.26%
Currency   

Currency Basket

 

May-2005

  1.50   0.07%   0.07%   0.00%
Equity   

S&P 500 Index

 

May-2005

  5.00   -1.84%   0.00%   1.84%
Currency   

Currency Basket

 

June-2005

  1.00   0.51%   -2.06%   -2.57%
Currency   

Currency Basket

 

June-2005

  1.00   -9.86%   -3.00%   6.86%
Currency   

Currency Basket

 

November-2005

  1.50   3.79%   3.94%   0.15%
Equity   

Nikkei 225 Index

 

December-2005

  3.50   -12.30%   0.00%   12.30%
Currency   

Currency Exchange Rate

 

December-2005

  1.20   3.42%   8.96%   5.54%
Commodity   

Dow Jones-UBS ExEnergy Sub-Index

 

December-2005

  2.50   17.32%   18.37%   1.05%
Currency   

Currency Exchange Rate

 

February-2006

  1.00   6.73%   9.00%   2.27%
Commodity   

Crude Oil

 

February-2006

  5.00   5.58%   6.88%   1.29%
Commodity   

Dow Jones-UBS Agriculture Sub-Index

 

February-2006

  2.50   12.64%   12.87%   0.23%
Currency   

Currency Exchange Rate

 

February-2006

  1.00   -4.53%   0.00%   4.53%
Currency   

Currency Basket

 

March-2006

  1.00   6.23%   6.50%   0.27%
Currency   

Currency Basket

 

March-2006

  2.00   6.99%   12.34%   5.34%
Commodity   

Dow Jones-UBS Commodity Index

 

May-2006

  3.50   -7.77%   0.00%   7.77%
Equity   

Asian Equity Index Basket

 

June-2006

  3.50   -1.88%   0.00%   1.88%
Currency   

Currency Exchange Rate

 

June-2006

  2.00   7.01%   7.01%   0.00%
Currency   

Currency Exchange Rate

 

June-2006

  2.00   -8.16%   -1.51%   6.64%
Equity   

Global Equity Index Basket

 

August-2006

  3.50   -6.98%   0.00%   6.98%
Currency   

Currency Exchange Rate

 

August-2006

  0.50   -4.73%   0.00%   4.73%
Currency   

Currency Basket

 

August-2006

  2.00   4.59%   4.59%   0.00%
Currency   

Currency Exchange Rate

 

August-2006

  0.50   -3.44%   0.00%   3.44%
Equity   

Nikkei 225 Index

 

September-2006

  3.50   -10.19%   0.00%   10.19%
Currency   

Currency Basket

 

November-2006

  1.00   7.11%   9.77%   2.66%
Currency   

Currency Basket

 

December-2006

  1.10   7.06%   1.98%   -5.08%
Equity   

Dow Jones Eurostoxx 50 Index

 

December-2006

  3.50   -10.98%   0.00%   10.98%
Currency   

Currency Basket

 

January-2007

  1.00   10.81%   12.54%   1.74%
Currency   

Currency Basket

 

March-2007

  1.50   3.60%   7.69%   4.09%
Currency   

Currency Exchange Rate

 

March-2007

  1.00   10.14%   16.93%   6.79%
Equity   

Global Equity Index Basket

 

March-2007

  3.40   -12.65%   0.00%   12.65%
Currency   

Currency Exchange Rate

 

March-2007

  1.20   1.16%   6.11%   4.95%
Currency   

Currency Basket

 

May-2007

  1.10   9.08%   22.53%   13.45%
Equity   

Global Equity Index Basket

 

May-2007

  3.50   -10.96%   0.00%   10.96%
Currency   

Currency Exchange Rate

 

May-2007

  1.30   -0.34%   0.00%   0.34%
Equity   

Nikkei 225 Index

 

June-2007

  3.50   -14.55%   0.00%   14.55%
Commodity   

Dow Jones-UBS Commodity Index

 

June-2007

  3.50   -1.37%   0.00%   1.37%
           See page 29 for footnotes  

 

24


Table of Contents

LOGO

 

LOGO MARKET INDEX TARGET–TERM SECURITIES® (MITTS®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance /
Underperformance
Currency   

Currency Basket

 

August-2007

  1.50   -8.01%   0.00%   8.01%
Equity   

Global Equity Index Basket

 

August-2007

  3.90   -8.36%   0.00%   8.36%
Currency   

Currency Basket

 

August-2007

  1.00   6.33%   8.03%   1.71%
Equity   

Global Equity Index Basket

 

August-2007

  3.90   -12.58%   0.00%   12.58%
Currency   

Currency Basket

 

September-2007

  2.00   -3.22%   0.00%   3.22%
Currency   

Currency Basket

 

October-2007

  2.00   -3.84%   0.00%   3.84%
Currency   

Currency Basket

 

October-2007

  1.50   -12.60%   0.00%   12.60%
Currency   

Currency Basket

 

November-2007

  2.30   0.61%   0.64%   0.03%
Currency   

Currency Basket

 

January-2008

  1.10   -17.47%   0.00%   17.47%
Currency   

Currency Basket

 

February-2008

  1.30   -11.06%   0.00%   11.06%
Currency   

Currency Basket

 

February-2008

  1.50   -10.60%   0.00%   10.60%
Currency   

Currency Exchange Rate

 

March-2008

  1.50   -9.31%   0.00%   9.31%
Equity   

S&P 500 Index

 

April-2008

  1.00   -38.30%   0.00%   38.30%
Currency   

Currency Basket

 

April-2008

  2.00   5.10%   10.05%   4.94%
Currency   

Currency Exchange Rate

 

April-2008

  1.50   -12.55%   0.00%   12.55%
Currency   

Currency Exchange Rate

 

June-2008

  2.60   6.71%   9.63%   2.92%
Currency   

Currency Basket

 

June-2008

  1.60   -6.66%   0.00%   6.66%
Equity   

S&P 500 Index

 

June-2008

  1.00   -30.18%   0.00%   30.18%
Currency   

Currency Basket

 

June-2008

  1.60   -8.86%   0.00%   8.86%
Currency   

Currency Basket

 

June-2008

  1.60   -5.15%   0.00%   5.15%
Currency   

Currency Basket

 

July-2008

  1.50   -8.04%   0.00%   8.04%
Equity   

S&P 500 Index

 

July-2008

  1.00   -20.67%   0.00%   20.67%
Currency   

Currency Exchange Rate

 

July-2008

  1.50   6.47%   8.36%   1.90%
Currency   

Currency Exchange Rate

 

July-2008

  1.00   -25.59%   -5.00%   20.59%
Currency   

Currency Exchange Rate

 

August-2008

  1.50   -7.94%   0.00%   7.94%
Currency   

Currency Basket

 

August-2008

  2.00   3.09%   4.38%   1.29%
Currency   

Currency Basket

 

August-2008

  1.50   -3.46%   0.00%   3.46%
Equity   

Global Equity Index Basket

 

September-2008

  2.00   -8.46%   0.00%   8.46%
Equity   

S&P 500 Index

 

September-2008

  1.00   -12.29%   0.00%   12.29%
Currency   

Currency Basket

 

September-2008

  2.10   0.15%   12.47%   12.33%
Currency   

Currency Exchange Rate

 

October-2008

  2.00   -4.58%   0.00%   4.58%
Currency   

Currency Basket

 

October-2008

  2.00   3.24%   12.36%   9.12%
Currency   

Currency Exchange Rate

 

November-2008

  1.00   -15.72%   0.00%   15.72%
Currency   

Currency Basket

 

May-2009

  2.00   6.76%   10.23%   3.47%
Currency   

Currency Basket

 

June-2009

  2.00   7.37%   9.17%   1.79%
Currency   

Currency Basket

 

July-2009

  2.00   6.52%   7.70%   1.18%
Currency   

Currency Basket

 

August-2009

  2.00   4.92%   7.94%   3.01%
Currency   

Currency Basket

 

September-2009

  2.00   9.60%   17.14%   7.54%
Currency   

Currency Basket

 

September-2009

  2.00   0.31%   6.65%   6.35%
Currency   

Currency Basket

 

October-2009

  2.00   0.19%   5.48%   5.28%
Currency   

Currency Basket

 

October-2009

  2.00   -1.18%   -1.18%   0.00%
Currency   

Currency Basket

 

November-2009

  2.00   -3.07%   -2.53%   0.53%
Currency   

Currency Basket

 

December-2009

  2.00   -1.02%   -1.02%   0.00%
           See page 29 for footnotes  

 

25


Table of Contents

LOGO

 

LOGO MARKET INDEX TARGET–TERM SECURITIES® (MITTS®)

PRODUCT PERFORMANCE SUMMARY

 

                           % OFFERINGS WHERE:
      Number of  
Offerings  
   Average Linked  
Asset Return
1,2
  Average MLI  
Return
1
  Average MLI  Outperformance/
Underperformance
   MLI Underperforms
Linked Asset
  Performance
is Equal
  MLIs Outperforms
Linked Asset
All Linked Asset     Classes    146    -1.02%   3.07%   4.09%    25.34%   6.85%   67.81%
Equity    61    -3.51%   1.17%   4.68%    36.07%   4.92%   59.02%
Commodity    7    10.46%   13.00%   2.54%    14.29%   0.00%   85.71%
Currency    78    -0.10%   3.67%   3.77%    17.95%   8.97%   73.08%

LOGO STEP INCOME SECURITIES® (STEPS®)

 

Pay quarterly interest payments plus an additional “STEP Payment” if the linked asset exceeds a predetermined “STEP Level”. Downside exposure to the linked asset is on a one-to-one basis, but may be reduced by an additional buffer against a certain percentage of the losses.

 

LOGO

PRODUCT PERFORMANCE

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance/
Underperformance
Equity   

Qualcomm Inc

 

May-2008

  1.00   -6.74%   8.10%   14.84%
Equity   

Apple Inc

 

June-2008

  1.00   -25.42%   -3.32%   22.10%
Equity   

Freeport-McMoRan Copper & Gold Inc

 

June-2008

  1.00   -61.48%   -39.62%   21.86%
Equity   

Monsanto Company

 

July-2008

  1.00   -30.92%   -8.71%   22.21%
Equity   

Google Inc

 

May-2009

  1.00   17.94%   15.15%   -2.79%
Equity   

Qualcomm Inc

 

June-2009

  1.00   -29.95%   -19.95%   10.00%
Equity   

JPMorgan Chase & Co

 

August-2009

  1.00   -12.12%   2.87%   14.99%
           See page 29 for footnotes  

 

26


Table of Contents

LOGO

 

LOGO STEP INCOME SECURITIES® (STEPS®)

PRODUCT PERFORMANCE (CONTINUED)

 

Linked Asset

Class

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

MLI

Return 1

  MLI Outperformance/
Underperformance
Equity   

Apple Inc

 

August-2009

  1.00   50.63%   19.08%   -31.55%
Equity   

Goldman Sachs Group, Inc

 

September-2009

  1.00   -18.36%   -8.36%   10.00%
Equity   

Intel Corp

 

September-2009

  1.00   -1.48%   8.52%   10.00%
Equity   

Deere & Company

 

October-2009

  1.00   65.91%   15.20%   -50.71%
Equity   

Microsoft Corp

 

November-2009

  1.00   -15.33%   -7.33%   8.00%
Equity   

Caterpillar Inc

 

November-2009

  1.00   51.25%   15.42%   -35.83%
Equity   

Union Pacific Corp

 

December-2009

  1.00   42.50%   14.20%   -28.30%
Equity   

Boeing Inc

 

January-2010

  1.00   16.31%   14.45%   -1.86%
Equity   

Apple Inc

 

February-2010

  1.00   72.36%   14.81%   -57.55%
Equity   

Goldman Sachs Group, Inc

 

February-2010

  1.00   5.93%   8.50%   2.57%
Equity   

Ford Motor Company

 

February-2010

  1.00   31.67%   11.20%   -20.47%
Equity   

Freeport-McMoRan Copper & Gold Inc

 

March-2010

  1.00   32.52%   12.71%   -19.81%
Equity   

Ford Motor Company

 

March-2010

  1.00   8.60%   9.00%   0.40%
Equity   

Schlumberger Limited

 

April-2010

  1.00   30.20%   13.15%   -17.05%
Equity   

Research In Motion Limited

 

April-2010

  1.00   -35.57%   -25.57%   10.00%
Equity   

JPMorgan Chase & Co

 

April-2010

  1.00   4.88%   8.00%   3.12%
Equity   

United States Steel Corporation

 

May-2010

  1.00   -20.94%   -3.43%   17.51%
Equity   

Caterpillar Inc

 

May-2010

  1.00   64.18%   17.81%   -46.37%
Equity   

Lennar Corporation

 

June-2010

  1.00   14.79%   20.75%   5.96%
Equity   

Citigroup Inc

 

June-2010

  1.00   9.29%   11.00%   1.71%
Equity   

General Electric Company

 

June-2010

  1.00   24.00%   11.40%   -12.60%
Equity   

Corning Incorporated

 

July-2010

  1.00   -2.63%   6.37%   9.00%
Equity   

Dell Inc

 

July-2010

  1.00   13.83%   12.34%   -1.49%
Equity   

Apple Inc

 

September-2010

  1.00   47.98%   12.12%   -35.86%
Equity   

International Paper Company

 

September-2010

  1.00   10.87%   13.88%   3.01%
Equity   

Boeing Inc

 

October-2010

  1.00   -10.81%   2.19%   13.00%
Equity   

Cisco Systems, Inc

 

October-2010

  1.00   -19.13%   -11.13%   8.00%
Equity   

Amazon.com, Inc

 

November-2010

  1.00   15.12%   11.87%   -3.25%
Equity   

Microsoft Corp

 

December-2010

  1.00   -5.68%   1.82%   7.50%

PRODUCT PERFORMANCE SUMMARY

 

     Number of   Offerings     Average Linked  
Asset Return 
1,2
    Average MLI    
Return
1
  Average MLI
Outperformance/
Underperformance  
    MLI Underperforms  
Linked Asset
 

  Performance  

is Equal

    MLI Outperforms  
Linked Asset
All Linked Asset       Classes   

36

 

9.28%

  5.12%   -4.16%   41.67%   0.00%   58.33%
Equity   

36

 

9.28%

  5.12%   -4.16%   41.67%   0.00%   58.33%
Commodity   

0

 

 

 

 

 

 

Currency   

0

 

 

 

 

 

 

 

           See page 29 for footnotes  

 

27


Table of Contents

LOGO

 

Risk Factors

The actual performance of any MLI that you may purchase is likely to vary, perhaps significantly, from the historical results illustrated in this document. This is due to a variety of factors, including:

 

  ¡  

Historical performance of the Linked Assets for MLIs that Merrill Lynch has previously offered is not indicative of the future performance.

 

  ¡  

MLIs that you purchase may have different economic terms, terms to maturity and other differing features.

 

  ¡  

As a holder of the MLIs, you will be subject to the credit risk of the applicable issuer, and may receive little or no payment on your MLIs if the issuer becomes insolvent during the term of the MLI.

 

  ¡  

As a holder of the MLIs, you will be subject to applicable tax laws, which may change in the future, and which may reduce your returns. You should evaluate the credit risk of the issuer of the applicable MLI.

Investors in MLIs are subject to a variety of risks relating to the terms of the relevant investment. You should review the applicable offering documents for a more complete description of these risks. These risks include, among others:

 

  ¡  

Investors may not earn a return on their investment, and any return may be less than the return on an investment in the relevant Linked Asset.

 

  ¡  

Depending on the terms of your MLI, the amount owed to you at maturity may be less than the principal amount.

 

  ¡  

The return on your MLI may be lower than that of other debt securities issued by the same issuer with a comparable maturity, and may not be sufficient to compensate you for other factors, such as inflation, that affect the time value of money.

 

  ¡  

The return on your MLI may be limited by a cap, and will not reflect the return on a direct investment in the asset or the components included in the Linked Asset.

 

  ¡  

A trading market for MLIs is not expected to develop, and the secondary market price investors may receive or be quoted for their MLIs prior to the maturity date will be affected by this and other important factors. The price paid for the MLIs in secondary market transactions may be lower than the original offering price.

 

  ¡  

Many factors will affect the trading value of the MLIs; these factors interrelate in complex ways and the effect of one factor may offset or magnify the effect of another factor.

 

  ¡  

Purchases or sales of the Linked Asset or its components by the issuer, Merrill Lynch and their respective affiliates may affect the return.

 

  ¡  

Potential conflicts of interest between the issuer, Merrill Lynch and their respective affiliates, on the one hand, and investors in the MLIs, on the other hand, could arise.

 

28


Table of Contents

LOGO

 

 

 

 

 

 

 

IMPORTANT NOTICE: Bank of America Corporation (“BAC”) has filed a registration statement (including product supplements, a prospectus supplement and a prospectus) with the Securities and Exchange Commission (the “SEC”) for the potential offerings to which this communication relates. Before investing, you should carefully read these and other documents that BAC has filed with the SEC for more complete information about BAC and these offerings. You may obtain these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, BAC, any agent or any dealer participating in the offerings will arrange to send you any applicable product supplement, the prospectus supplement, the prospectus, and other documents relating to any of these offerings if you so request by calling Merrill Lynch, Pierce, Fenner & Smith Incorporated toll-free at 1-866-500-5408.

 

 

This Performance Summary is intended for informational purposes only and is not intended to provide the basis for evaluating, and should not be considered a recommendation with respect to, any transaction or other matter. This Performance Summary should not be considered an indication of likely or possible future returns on MLIs.

Footnotes:

 

(1) Returns are calculated on an annualized basis where the term is greater than one year, and returns are not annualized when the term is one year or less.
(2) The Linked Asset Returns do not include dividends paid on the Linked Asset. Such dividends would increase the return on the Linked Asset, and decrease any outperformance. In some cases, the inclusion of dividends in the return on a Linked Asset would cause it to outperform the MLI, and not to underperform the MLI.
(3) In instances where the MLI reflects a bearish strategy, the Strategy Return is assumed to reflect a bearish position in the Linked Asset.
(4) Where the note was automatically redeemed prior to maturity, the term set forth in this column gives effect to the redemption.

ARA335N1

©2012 Bank of America Corporation. All rights reserved.

 

29


Table of Contents

 

LOGO

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