FWP 1 d498357dfwp.htm FWP FWP
Table of Contents

Filed Pursuant to Rule 433

Registration No. 333-180488

 

 

LOGO

 

Dear Client:

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

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

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

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

 

 

 

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

Investment products:

 

    Are Not FDIC Insured    Are Not Bank Guaranteed    May Lose Value


Table of Contents

LOGO


Table of Contents

LOGO

Table of contents

 

Overview

     1   

Important Considerations

     2   

Product Performance

     3–35   

LOGO Accelerated Return Notes® (ARNs ®)

     3   

LOGO Bear Accelerated Return Notes® (Bear ARNs®)

     12   

LOGO Leveraged Index Return Notes® (LIRNs®)

     14   

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

     16   

LOGO Market-Linked Step Up Notes

     20   

LOGO Strategic Accelerated Redemption Securities® (STARS®)

     22   

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

     27   

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

     28   

LOGO STEP Income Securities® (STEPS ®)

     33   

Risk Factors

     36   


Table of Contents

LOGO

 

Overview

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

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

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

 

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

 

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MLIs are grouped by Product Type.

Product Types

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

Linked Asset Types

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

For each respective group:

 

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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.

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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.

 

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

 

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

 

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

 

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

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

 

 

1


Table of Contents

LOGO

 

Important Considerations

 

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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.

 

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

 

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

 

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All MLI Returns are calculated pre-tax.

 

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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.

 

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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.

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

 

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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.

 

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

 

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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.

 

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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.

 

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

 

 

2


Table of Contents

LOGO

 

LOGO ACCELERATED RETURN NOTES® (ARNS®)

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

 

LOGO

Product Performance

 

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

 

   3    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

 

   4    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

 

   5    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

 

   6    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

 

   7    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

 

   8    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

 

   9    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

 

   10    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Product Performance Summary

 

                              % OF DEALS WHERE:
     Number of  
Offerings
  Average Strategy  
Return
1,2
  Average MLI  
Return
1
  Average MLI Outperformance/   
Underperformance
1
       MLI Underperforms  
Strategy Return
  Performance is  
Equal
 

MLI Outperforms

Strategy Return

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

Equity

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

Commodity

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

Currency

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

 

   11    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO BEAR ACCELERATED RETURN NOTES® (BEAR ARNS®)

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

Product Performance

 

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

 

   12    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

 

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Product Performance Summary

 

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

Equity

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

Commodity

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

Currency

  0            

 

   13    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO  LEVERAGED INDEX RETURN NOTES® (LIRNS®)

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

 

LOGO

Product Performance

 

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

 

   14    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Commodity

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

Commodity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Commodity

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

 

 

Product Performance Summary

 

                   

% OF DEALS WHERE:

      Number of 
Offerings
   Average Strategy 
Return1,2
   Average MLI 
Return1
   Average MLI Outperformance/ 
Underperformance1
   MLI Underperforms 
Strategy Return
   Performance is 
Equal
   MLI Outperforms 
Strategy Return
All Linked Asset Classes   24   -1.84%   1.50%   3.34%   0.00%   0.00%   100.00%

Equity

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

Commodity

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

Currency

  0            

 

   15    See page 37 for footnotes.


Table of Contents

LOGO

 

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

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

 

 

LOGO

Product Performance

 

  Linked Asset  

Class

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

  MLI Outperformance/  
Underperformance

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

 

   16    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  

Class

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

  MLI Outperformance/  
Underperformance

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

 

   17    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Equity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Commodity

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

Commodity

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

Commodity

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

Equity

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

Equity

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

Equity

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

Commodity

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

 

   18    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Commodity

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

Commodity

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

 

Product Performance Summary

 

     

% OF DeALs WheRe:

      Number of  
Offerings
   Average Strategy  
Return
1,2
   Average MLI  
Return
1
   Average MLI Outperformance/  
Underperformance
1
   MLI  Underperforms  
Strategy Return
   Performance  
is Equal
   MLI Outperforms  
Strategy Return
All Linked Asset Classes    105    7.89%    10.20%    2.31%    23.81%    0.00%    76.19%
Equity    80    7.61%    9.90%    2.29%    22.50%    0.00%    77.50%
Commodity    25    8.79%    11.14%    2.35%    28.00%    0.00%    72.00%
Currency    0                  

 

   19    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO MARKET-LINKED STEP UP NOTES

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

 

 

LOGO

Product Performance

 

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

 

   20    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Equity

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

Product Performance Summary

 

     % OF DEALS WHERE:
     Number of   
Offerings
  Average Strategy   
Return
1,2
  Average MLI 
Return
1
 

Average

MLI Outperformance/ 
Underperformance
1

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

Equity

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

Commodity

  0            

Currency

  0            

 

   21    See page 37 for footnotes.


Table of Contents

LOGO

 

LOGO STRATEGIC ACCELERATED REDEMPTION SECURITIES® (STARS®)

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

 

 

LOGO

Product Performance

 

  Linked Asset  
Class
   Linked Asset        Pricing Date      

Term

  (years)4  

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

 

   22    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

 

   23    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)
4  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   S&P 500 Index   August-2010   0.5   17.85%   4.60%   -13.25%
Equity   S&P 500 Index   August-2010   0.5   27.26%   11.20%   -16.06%
Equity   S&P 500 Index   August-2010   0.5   24.65%   6.35%   -18.30%
Equity   iShares MSCI Brazil Index Fund   August-2010   0.5   10.38%   9.83%   -0.55%
Equity   S&P 500 Index   September-2010   0.5   13.72%   9.18%   -4.54%
Equity   S&P 500 Index   September-2010   0.5   15.02%   4.88%   -10.14%
Equity   International Equity Basket   September-2010   0.5   8.28%   5.02%   -3.26%
Equity   S&P 500 Index   October-2010   0.5   13.96%   4.98%   -8.98%
Equity   S&P 500 Index   October-2010   0.5   11.48%   8.23%   -3.25%
Equity   S&P 500 Index   October-2010   0.5   12.80%   3.90%   -8.90%
Equity   S&P 500 Index   November-2010   0.5   11.18%   3.73%   -7.45%
Equity   S&P 500 Index   November-2010   0.5   12.92%   8.41%   -4.51%
Equity   International Equity Basket   November-2010   0.5   4.64%   5.37%   0.73%
Equity   S&P 500 Index   November-2010   0.5   11.48%   5.41%   -6.07%
Equity   Financial Select Sector Index   November-2010   0.5   6.31%   6.77%   0.46%
Commodity   Front Month RBOB Gasoline Contract   November-2010   1.0   8.11%   19.75%   11.64%
Equity   S&P 500 Index   December-2010   0.5   5.24%   4.90%   -0.34%
Equity   S&P 500 Index   December-2010   0.5   3.26%   4.47%   1.21%
Equity   S&P 500 Index   January-2011   0.5   4.18%   4.43%   0.25%
Commodity   Palladium Spot Price   January-2011   0.4   -3.56%   0.00%   3.56%
Equity   S&P 500 Index   January-2011   0.5   1.28%   6.05%   4.77%
Equity   S&P 500 Index   January-2011   0.5   2.92%   4.01%   1.09%
Equity   International Equity Basket   January-2011   0.5   0.45%   5.49%   5.04%
Commodity   Front Month Corn Futures Contract   February-2011   0.8   -14.15%   0.00%   14.15%
Commodity   Front Month Corn Futures Contract   February-2011   0.8   -13.67%   0.00%   13.67%
Equity   S&P 500 Index   February-2011   1.0   2.26%   7.50%   5.24%
Equity   S&P 500 Index   February-2011   0.5   -13.98%   -13.98%   0.00%
Equity   International Equity Basket   February-2011   1.0   -5.87%   -0.87%   5.00%
Equity   Russell 2000 Index   February-2011   1.0   2.80%   13.33%   10.53%
Equity   S&P 500 Index   February-2011   1.0   4.71%   8.64%   3.93%
Equity   iShares MSCI Brazil Index Fund   February-2011   1.0   -6.70%   -1.70%   5.00%
Equity   General Electric Company   March-2011   1.0   -3.21%   0.00%   3.21%
Equity   S&P 500 Index   March-2011   0.5   -7.15%   -7.15%   0.00%
Equity   SPDR S&P 500 ETF Trust and iShares Barclays 20+ Year Treasury Bond Fund   March-2011   1.0   -14.93%   -14.93%   0.00%
Equity   S&P 500 Index   March-2011   1.0   7.85%   9.12%   1.27%
Equity   Russell 2000 Index   March-2011   1.0   2.80%   13.63%   10.83%
Equity   International Equity Basket   March-2011   1.0   -7.74%   -2.74%   5.00%
Commodity   Front Month Corn Futures Contract   April-2011   0.7   -23.66%   -8.66%   15.00%
Equity   Microsoft Corporation   April-2011   0.5   3.57%   6.13%   2.56%
Equity   Apple Inc   April-2011   0.5   19.00%   8.32%   -10.68%
Commodity   Front Month Corn Futures Contract   April-2011   0.6   -22.59%   -7.59%   15.00%
Equity   S&P 500 Index   April-2011   1.0   3.96%   8.80%   4.84%

 

   24    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)
4  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   Market Vectors Russia ETF   April-2011   1.0   -24.08%   -19.08%   5.00%
Equity   S&P 500 Index   April-2011   1.0   2.75%   7.45%   4.70%
Commodity   SPDR Gold Trust vs. PowerShares DB U.S. Dollar Index Bullish Fund   April-2011   0.5   7.91%   6.00%   -1.91%
Equity   S&P 500 Index   April-2011   0.5   -8.98%   -8.98%   0.00%
Equity   SPDR S&P 500 ETF Trust and iShares Barclays 20+ Year Treasury Bond Fund   April-2011   1.0   -22.60%   -22.60%   0.00%
Equity   JPMorgan Chase & Co   April-2011   1.0   -5.90%   -0.90%   5.00%
Equity   International Equity Basket   April-2011   1.0   -15.39%   -10.39%   5.00%
Equity   S&P 500 Index   May-2011   0.8   0.23%   6.46%   6.23%
Equity   The Boeing Company   May-2011   1.0   -7.53%   -2.53%   5.00%
Equity   Cisco Systems, Inc   May-2011   0.5   10.63%   6.80%   -3.83%
Commodity   Front Month Corn Futures Contract   May-2011   0.8   -14.05%   0.00%   14.05%
Equity   S&P 500 Index   May-2011   0.7   2.75%   6.26%   3.51%
Equity   International Equity Basket   May-2011   1.0   -19.23%   -14.23%   5.00%
Equity   SPDR S&P 500 ETF Trust and iShares Barclays 20+ Year Treasury Bond Fund   May-2011   1.0   -26.95%   -26.95%   0.00%
Equity   iShares MSCI Brazil Index Fund   May-2011   1.0   -27.65%   -22.65%   5.00%
Equity   S&P 500 Index   June-2011   0.5   -3.62%   -3.62%   0.00%
Commodity   Palladium Spot Price   June-2011   0.4   -14.42%   -14.42%   0.00%
Equity   S&P 500 Index   June-2011   0.8   10.05%   7.31%   -2.74%
Equity   Ford Motor Company   June-2011   1.0   -24.74%   -24.74%   0.00%
Equity   S&P 500 Index   July-2011   0.5   1.13%   7.41%   6.28%
Equity   S&P 500 Index   July-2011   0.5   1.07%   4.80%   3.73%
Equity   S&P Latin America 40 Index Fund   July-2011   1.0   -14.04%   -9.05%   4.99%
Equity   International Equity Basket   July-2011   1.0   -15.16%   -10.16%   5.00%
Equity   S&P 500 Index   August-2011   0.5   14.50%   6.10%   -8.40%
Equity   International Equity Basket   August-2011   0.5   9.13%   9.50%   0.37%
Equity   S&P 500 Index   August-2011   0.5   17.42%   5.90%   -11.52%
Equity   iShares MSCI Brazil Index Fund   August-2011   0.5   13.28%   10.90%   -2.38%
Equity   S&P 500 Index   August-2011   0.5   12.31%   6.75%   -5.56%
Equity   Russell 2000 Index   August-2011   0.5   13.07%   8.94%   -4.13%
Equity   Energy Select Sector Index   September-2011   0.5   13.30%   12.80%   -0.5%
Equity   S&P 500 Index   September-2011   0.5   21.01%   12.51%   -8.50%
Equity   S&P 500 Index   September-2011   0.5   21.73%   8.93%   -12.80%
Equity   S&P 500 Index   October-2011   0.5   14.53%   9.73%   -4.80%
Equity   S&P 500 Index   October-2011   0.5   6.80%   5.00%   -1.80%
Equity   Apple Inc   November-2011   0.5   42.99%   10.01%   -32.98%
Equity   S&P 500 Index   November-2011   0.5   10.82%   9.93%   -0.89%
Equity   S&P 500 Index   January-2012   0.6   4.78%   6.65%   1.87%
Equity   International Equity Basket   January-2012   0.8   5.52%   10.69%   5.17%
Equity   S&P 500 Index   January-2012   0.5   5.07%   5.00%   -0.07%
Equity   S&P 500 Index   February-2012   0.5   3.36%   5.01%   1.65%
Equity   Freeport-McMoRan Copper & Gold Inc   March-2012   0.5   2.72%   10.6%   7.88%
Equity   S&P 500 Index   March-2012   0.5   3.39%   4.30%   0.91%

 

   25    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

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

Equity

  Russell 2000 Index   March-2012     0.5   0.83%   6.18%   5.35%

Equity

  S&P 500 Index   March-2012   0.5   2.73%   3.83%   1.10%

Equity

  Honeywell International Inc   March-2012   0.7   6.09%   10.85%   4.76%

Equity

  International Equity Basket   March-2012   0.7   2.75%   9.75%   7.00%

Equity

  S&P 500 Index   April-2012   0.5   0.94%   4.38%   3.44%

Equity

  Apple Inc   May-2012   0.6   2.14%   11.63%   9.49%

Equity

  iShares MSCI EAFE Index Fund   May-2012   0.5   8.73%   11.25%   2.52%

Equity

  S&P 500 Index   May-2012   0.5   4.76%   7.53%   2.77%

Equity

  S&P 500 Index   May-2012   0.5   5.93%   5.90%   -0.03%

Equity

  BP plc   May-2012   0.5   8.19%   9.61%   1.42%

Equity

  Apple Inc   May-2012   0.5   2.89%   11.91%   9.02%

Equity

  Market Vectors Gold Miners ETF   June-2012   0.6   -5.04%   -5.04%   0.00%

Equity

  S&P 500 Index   June-2012   0.5   7.84%   5.00%   -2.84%

Equity

  General Electric Company   June-2012   0.5   10.66%   8.88%   -1.78%

Equity

  S&P 500 Index   June-2012   0.5   8.86%   5.15%   -3.71%

Product Performance Summary

 

                   

% OF DEALS WHERE:

      Number of 
Offerings
   Average Linked
Asset Return1,2
   Average MLI 
Return1
   Average MLI Outperformance/ 
Underperformance1
   MLI Underperforms 
Linked Asset
   Performance is 
Equal
   MLI Outperforms 
Linked Asset
All Linked Asset Classes   152   4.52%   4.40%   -0.12%   38.82%   8.55%   52.63%
Equity   139   5.55%   4.76%   -0.79%   41.01%   8.63%   50.36%
Commodity   13   -6.55%   0.62%   7.17%   15.38%   7.69%   76.92%
Currency   0            

 

   26    See page 37 for footnotes.


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
Return1   
   MLI Outperformance/ 
Underperformance

Equity

   Philadelphia Housing Index    May-2008    0.5    43.03%    6.70%    -36.33%

Equity

   Consumer Discretionary Select Sector Index    June-2008    0.5    31.52%    7.90%    -23.62%

Equity

   S&P 600 Regional Banks Index    July-2008    0.5    26.59%    9.10%    -17.49%

Equity

   Dow Jones U.S. Real Estate Index    August-2008    0.5    58.45%    7.40%    -51.05%

Equity

   SPDR S&P Retail ETF    October-2008    1.5    -85.36%    -59.68%    25.68%

Equity

   iShares Dow Jones U.S. Real Estate Index    November-2008    1.5    -35.10%    -27.06%    8.04%

Equity

   iShares Dow Jones U.S. Real Estate Index    January-2009    1.5    -41.90%    -33.44%    8.46%

Equity

   S&P 600 Regional Banks Index    February-2009    1.5    -2.08%    0.00%    2.08%

Equity

   Consumer Discretionary Select Sector Index    March-2009    1.5    -54.18%    -44.81%    9.37%

Equity

   S&P 500 Index    March-2009    1.5    -27.45%    -19.82%    7.63%

Equity

   iShares Dow Jones U.S. Real Estate Index    March-2009    1.5    -100.00%    -79.92%    20.08%

Equity

   Dow Jones Eurostoxx 50 Index    April-2009    1.5    -18.49%    -11.26%    7.23%

Equity

   iShares Dow Jones U.S. Real Estate Index    May-2009    1.5    -52.82%    -43.56%    9.26%

Equity

   S&P 500 Index    May-2009    1.5    -23.43%    -15.99%    7.44%

Equity

   S&P 500 Index    September-2009     1.6    -16.02%    -16.02%    0.00%

Equity

   S&P 500 Index    June-2010    0.5    -16.15%    -16.15%    0.00%

Equity

   S&P 500 Index    April-2011    0.5    8.98%    5.86%    -3.12%

Equity

   Russell 2000 Index    February-2012    0.5    1.21%    11.69%    10.48%

Equity

   Russell 2000 Index    March-2012    0.5    -3.90%    -3.90%    0.00%

Equity

   Russell 2000 Index    March-2012    0.5    -2.80%    -2.80%    0.00%

Equity

   Russell 2000 Index    April-2012    0.5    -1.53%    -1.53%    0.00%

Equity

   Russell 2000 Index    April-2012    0.5    -0.33%    -0.33%    0.00%

Equity

   Russell 2000 Index    June-2012    0.5    -9.28%    -9.28%    0.00%

Product Performance Summary

 

                   

% OF DEALS WHERE:

      Number of 
Offerings
   Average Strategy 
Return1,2,3
   Average MLI 
Return1
   Average MLI Outperformance/ 
Underperformance1
   MLI Underperforms 
Strategy Return
   Performance is 
Equal
   MLI Outperforms 
Strategy Return
All Linked Asset Classes   23   -13.96%   -14.65%   -0.69%   21.74%   30.43%   47.83%

Equity

  23   -13.96%   -14.65%   -0.69%   21.74%   30.43%   47.83%

Commodity

  0            

Currency

  0            

 

   27    See page 37 for footnotes.


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   10.0   6.43%   6.43%   0.00%
Equity   S&P 500 Index and CPI   September-1997   10.0   3.24%   5.30%   2.06%
Equity   Nikkei 225 Index   December-1998   6.8   -1.40%   0.00%   1.40%
Equity   Energy Select Sector SPDR   February-1999   7.0   12.77%   11.83%   -0.94%
Equity   S&P 500 Index   March-1999   7.0   0.47%   0.00%   -0.47%
Equity   Consumer Staples Select Sector SPDR Fund   April-1999   7.0   -2.28%   0.00%   2.28%
Equity   Major 11 International Index   May-1999   7.0   0.47%   0.00%   -0.47%
Equity   Select Sector SPDR Fund Growth Portfolio Index   May-1999   7.0   0.98%   0.00%   -0.98%
Equity   Dow Jones Industrial Average   June-1999   7.0   0.37%   0.00%   -0.37%
Equity   Russell 2000 Index   July-1999   7.0   5.68%   3.23%   -2.45%
Equity   Nikkei 225 Index   July-1999   7.0   -2.23%   0.00%   2.23%
Equity   S&P 500 Index   July-1999   7.0   -0.76%   0.00%   0.76%
Equity   Nikkei 225 Index   September-1999   3.0   -19.19%   0.00%   19.19%

 

   28    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

    Linked  Asset    
Class
  Linked Asset        Pricing Date       Term
  (years)  
     Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   Energy Select Sector SPDR   September-1999   7.0   8.61%   7.27%   -1.34%
Equity   Global Equity Index Basket   December-1999   5.0   -6.92%   0.00%   6.92%
Equity   Internet HOLDRs   February-2000   7.0   -13.43%   0.00%   13.43%
Equity   Nikkei 225 Index   March-2000   7.0   -2.24%   0.00%   2.24%
Equity   S&P 500 Index   June-2000   7.0   0.49%   0.00%   -0.49%
Equity   Biotech HOLDRs   August-2000   7.0   0.86%   0.86%   0.00%
Equity   Nasdaq-100 Index   August-2000   7.0   -7.95%   0.00%   7.95%
Equity   Broadband HOLDRs   September-2000   7.0   -21.74%   0.00%   21.74%
Equity   Semiconductor HOLDRs   October-2000   7.0   -7.88%   0.00%   7.88%
Equity   S&P 500 Index   November-2000   7.0   0.77%   0.00%   -0.77%
Equity   Nikkei 225 Index   April-2001   6.2   4.63%   4.63%   0.00%
Equity   S&P 500 Index   August-2001   7.0   1.36%   0.00%   -1.36%
Equity   Dow Jones Industrial Average   September-2001   7.0   3.5%   1.2%   -2.3%
Equity   Dow Jones Industrial Average   January-2002   7.0   -2.22%   0.00%   2.22%
Equity   Russell 2000 Index   March-2002   7.0   -2.43%   0.00%   2.43%
Equity   Nikkei 225 Index   March-2002   7.0   -4.40%   0.00%   4.40%
Equity   S&P 500 Index   April-2002   7.0   -3.15%   0.00%   3.15%
Equity   AMEX Biotechnology Index   April-2002   3.5   9.28%   6.83%   -2.45%
Equity   AMEX Defense Index   May-2002   3.4   11.65%   6.78%   -4.87%
Equity   S&P 500 Index   June-2002   7.0   -1.06%   0.00%   1.06%
Equity   Dow Jones Industrial Average   August-2002   7.0   1.13%   0.00%   -1.13%
Equity   S&P 500 Index   August-2002   7.0   1.54%   0.00%   -1.54%
Currency   Currency Exchange Rate   September-2002   3.0   8.32%   6.27%   -2.05%
Currency   Currency Basket   April-2003   1.0   5.06%   11.2%   6.14%
Currency   Currency Basket   May-2003   2.0   8.02%   9.73%   1.71%
Equity   S&P 500 Index   May-2003   7.0   1.88%   0.00%   -1.88%
Currency   Currency Basket   July-2003   1.0   0.72%   -0.80%   -1.52%
Equity   S&P 500 Index   August-2003   5.0   5.17%   2.42%   -2.75%
Currency   Currency Basket   September-2003   2.0   2.88%   1.29%   -1.59%
Equity   Nikkei 225 Index   September-2003   7.0   -1.35%   0.00%   1.35%
Currency   Currency Basket   October-2003   1.0   1.2%   -0.5%   -1.70%
Equity   S&P 500 Index   December-2003   7.0   1.75%   0.00%   -1.75%
Equity   Nikkei 225 Index   December-2003   7.3   0.24%   0.26%   0.02%
Currency   Currency Exchange Rate   December-2003   1.5   3.27%   2.12%   -1.15%
Equity   Dow Jones Industrial Average   December-2003   7.0   1.55%   0.71%   -0.84%
Currency   Currency Exchange Rate   February-2004   1.5   -3.59%   -2.68%   0.91%
Equity   Dow Jones Industrial Average   February-2004   7.1   1.71%   1.40%   -0.31%
Commodity   Brent Crude   March-2004   3.0   22.54%   33.85%   11.31%
Currency   Currency Basket   April-2004   1.0   1.17%   -0.80%   -1.97%
Equity   Global Equity Basket   May-2004   7.8   -0.01%   -0.39%   -0.38%
Currency   Currency Basket   May-2004   1.0   7.90%   5.70%   -2.20%
Currency   Currency Exchange Rate   June-2004   3.0   3.78%   4.03%   0.25%

 

   29    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  
Class
   Linked Asset    Pricing Date    Term  
(years)  
   Linked Asset  
Return 1,2
  MLI
  Return1  
  MLI Outperformance/   
Underperformance
Currency    Currency Exchange Rate    June-2004    2.0    1.6%   0.29%   -1.31%
Commodity    Gold Spot Price    July-2004    4.0    24.25%   19.03%   -5.22%
Currency    Currency Basket    July-2004    1.0    4.54%   2.90%   -1.64%
Equity    S&P 500 Index    August-2004    7.0    0.70%   0.00%   -0.70%
Currency    Currency Basket    October-2004    2.3    3.55%   3.55%   0.00%
Currency    Currency Basket    October-2004    1.2    0.15%   -1.92%   -2.07%
Currency    Currency Exchange Rate    November-2004    1.2    -6.29%   -2.51%   3.78%
Equity    Nikkei 225 Index    November-2004    5.2    -0.04%   -0.58%   -0.54%
Currency    Currency Basket    December-2004    3.1    2.99%   2.99%   0.00%
Currency    Currency Basket    January-2005    1.5    5.12%   3.16%   -1.96%
Currency    Currency Basket    February-2005    2.0    -1.15%   -1.51%   -0.36%
Currency    Currency Basket    March-2005    1.0    -1.72%   0.00%   1.72%
Equity    Philadelphia Housing Index    March-2005    4.2    12.53%   12.79%   0.26%
Currency    Currency Basket    May-2005    1.5    0.07%   0.07%   0.00%
Equity    S&P 500 Index    May-2005    5.0    -1.84%   0.00%   1.84%
Currency    Currency Basket    June-2005    1.0    0.51%   -2.06%   -2.57%
Currency    Currency Basket    June-2005    1.0    -9.86%   -3.0%   6.86%
Currency    Currency Basket    November-2005    1.5    3.79%   3.94%   0.15%
Equity    Nikkei 225 Index    December-2005    3.5    -12.3%   0.00%   12.3%
Currency    Currency Exchange Rate    December-2005    1.2    3.42%   8.96%   5.54%
Commodity    Dow Jones-UBS ExEnergy Sub-Index    December-2005    2.5    17.32%   18.37%   1.05%
Currency    Currency Exchange Rate    February-2006    1.0    6.73%   9.00%   2.27%
Commodity    Crude Oil    February-2006    5.0    5.58%   6.88%   1.30%
Commodity    Dow Jones-UBS Agriculture Sub-Index    February-2006    2.5    12.64%   12.87%   0.23%
Currency    Currency Exchange Rate    February-2006    1.0    -4.53%   0.00%   4.53%
Currency    Currency Basket    March-2006    1.0    6.23%   6.50%   0.27%
Currency    Currency Basket    March-2006    2.0    6.99%   12.34%   5.35%
Commodity    Dow Jones-UBS Commodity Index    May-2006    3.5    -7.77%   0.00%   7.77%
Equity    Asian Equity Index Basket    June-2006    3.5    -1.88%   0.00%   1.88%
Currency    Currency Exchange Rate    June-2006    2.0    7.01%   7.01%   0.00%
Currency    Currency Exchange Rate    June-2006    2.0    -8.16%   -1.51%   6.65%
Equity    Global Equity Index Basket    August-2006    3.5    -6.98%   0.00%   6.98%
Currency    Currency Exchange Rate    August-2006    0.5    -4.73%   0.00%   4.73%
Currency    Currency Basket    August-2006    2.0    4.59%   4.59%   0.00%
Currency    Currency Exchange Rate    August-2006    0.5    -3.44%   0.00%   3.44%
Equity    Nikkei 225 Index    September-2006    3.5    -10.19%   0.00%   10.19%
Currency    Currency Basket    November-2006    1.0    7.11%   9.77%   2.66%
Currency    Currency Basket    December-2006    1.1    7.06%   1.98%   -5.08%
Equity    Dow Jones Eurostoxx 50 Index    December-2006        3.5    -10.98%   0.00%   10.98%
Currency    Currency Basket    January-2007    1.0    10.81%   12.54%   1.73%
Currency    Currency Basket    March-2007    1.5    3.60%   7.69%   4.09%
Currency    Currency Exchange Rate    March-2007    1.0    10.14%   16.93%   6.79%

 

   30    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  
Class
   Linked Asset    Pricing Date    Term
  (years)  
   Linked Asset  
Return 1,2
  MLI
Return1  
  MLI Outperformance/   
Underperformance
Equity    Global Equity Index Basket    March-2007    3.4    -12.65%   0.00%   12.65%
Currency    Currency Exchange Rate    March-2007    1.2    1.16%   6.11%   4.95%
Currency    Currency Basket    May-2007    1.1    9.08%   22.53%   13.45%
Equity    Greater China Equity Index Basket    May-2007    5.0    0.57%   0.59%   0.02%
Equity    Global Equity Index Basket    May-2007    3.5    -10.96%   0.00%   10.96%
Currency    Currency Exchange Rate    May-2007    1.3    -0.34%   0.00%   0.34%
Equity    Nikkei 225 Index    June-2007    3.5    -14.55%   0.00%   14.55%
Commodity    Dow Jones-UBS Commodity Index    June-2007    3.5    -1.37%   0.00%   1.37%
Currency    Currency Basket    August-2007    1.5    -8.01%   0.00%   8.01%
Equity    Global Equity Index Basket    August-2007    3.9    -8.36%   0.00%   8.36%
Currency    Currency Basket    August-2007    1.0    6.33%   8.03%   1.70%
Equity    Global Equity Index Basket    August-2007    3.9    -12.58%   0.00%   12.58%
Currency    Currency Basket    September-2007    2.0    -3.22%   0.00%   3.22%
Currency    Currency Basket    October-2007    2.0    -3.84%   0.00%   3.84%
Currency    Currency Basket    October-2007    1.5    -12.60%   0.00%   12.60%
Currency    Currency Basket    November-2007    2.3    0.61%   0.64%   0.03%
Currency    Currency Basket    January-2008    1.1    -17.47%   0.00%   17.47%
Currency    Currency Basket    February-2008    1.3    -11.06%   0.00%   11.06%
Currency    Currency Basket    February-2008    1.5    -10.60%   0.00%   10.60%
Currency    Currency Exchange Rate    March-2008    1.5    -9.31%   0.00%   9.31%
Equity    S&P 500 Index    April-2008    1.0    -38.30%   0.00%   38.30%
Currency    Currency Basket    April-2008    2.0    5.10%   10.05%   4.95%
Currency    Currency Exchange Rate    April-2008    1.5    -12.55%   0.00%   12.55%
Currency    Currency Exchange Rate    June-2008    2.6    6.71%   9.63%   2.92%
Currency    Currency Basket    June-2008    1.6    -6.66%   0.00%   6.66%
Equity    S&P 500 Index    June-2008    1.0    -30.18%   0.00%   30.18%
Currency    Currency Basket    June-2008    1.6    -8.86%   0.00%   8.86%
Equity    Global Equity Index Basket    June-2008    4.2    -4.27%   0.00%   4.27%
Currency    Currency Basket    June-2008    1.6    -5.15%   0.00%   5.15%
Currency    Currency Basket    July-2008    1.5    -8.04%   0.00%   8.04%
Equity    S&P 500 Index    July-2008    1.0    -20.67%   0.00%   20.67%
Currency    Currency Exchange Rate    July-2008    1.5    6.47%   8.36%   1.89%
Currency    Currency Exchange Rate    July-2008    1.0    -25.59%   -5.0%   20.59%
Currency    Currency Exchange Rate    August-2008    1.5    -7.94%   0.00%   7.94%
Currency    Currency Basket    August-2008    2.0    3.09%   4.38%   1.29%
Currency    Currency Basket    August-2008    1.5    -3.46%   0.00%   3.46%
Equity    Global Equity Index Basket    September-2008    2.0    -8.46%   0.00%   8.46%
Equity    S&P 500 Index    September-2008        1.0    -12.29%   0.00%   12.29%
Currency    Currency Basket    September-2008    2.1    0.15%   12.47%   12.32%
Currency    Currency Exchange Rate    October-2008    2.0    -4.58%   0.00%   4.58%
Currency    Currency Basket    October-2008    2.0    3.24%   12.36%   9.12%
N/A    Equity, Fixed Income, & Commodity Baskets    October-2008    3.5    7.27%   7.27%   0.00%

 

   31    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

Linked Asset  

Class

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

Currency

  Currency Exchange Rate   November-2008   1.0   -15.72%   0.00%   15.72%

Currency

  Currency Exchange Rate   February-2009   3.5   -6.68%   0.00%   6.68%

Currency

  Currency Basket   May-2009   2.0   6.76%   10.23%   3.47%

Currency

  Currency Basket   June-2009   2.0   7.37%   9.17%   1.80%

Currency

  Currency Basket   June-2009   3.0   -1.61%   0.00%   1.61%

Currency

  Currency Basket   July-2009   2.0   6.52%   7.70%   1.18%

Currency

  Currency Basket   August-2009   2.0   4.92%   7.94%   3.02%

Currency

  Currency Basket   September-2009   2.0   9.60%   17.14%   7.54%

Currency

  Currency Basket   September -2009   2.0   0.31%   6.65%   6.34%

Currency

  Currency Basket   October-2009   2.0   0.19%   5.48%   5.29%

Currency

  Currency Basket   October-2009   2.0   -1.18%   -1.18%   0.00%

Currency

  Currency Basket   November-2009   2.0   -3.07%   -2.53%   0.54%

Currency

  Currency Basket   December-2009   2.0   -1.02%   -1.02%   0.00%

Currency

  Currency Exchange Rate   January-2010   2.0   3.55%   4.42%   0.87%

Currency

  Currency Basket   January-2010   2.1   0.84%   1.35%   0.51%

Currency

  Currency Basket   February-2010   2.0   0.69%   1.03%   0.34%

Currency

  Emerging Market Currency Basket vs. the Euro   March-2010   2.0   -0.59%   -0.59%   0.00%

Currency

  Emerging Market Currency Basket vs. the Euro   April-2010   2.0   -1.57%   -1.57%   0.00%

Currency

  Currency Exchange Rate   May-2010   2.1   -5.96%   -2.41%   3.55%

Currency

  Currency Exchange Rate   May-2010   2.0   -7.26%   -5.13%   2.13%

Currency

  Currency Basket   June-2010   2.0   -3.4%   -3.4%   0.00%

Currency

  Emerging Market Currency Basket vs. the Euro   July-2010   2.0   -0.96%   -0.96%   0.00%

Currency

  Currency Basket   August-2010   2.0   -3.09%   -3.09%   0.00%

Currency

  Currency Basket   September-2010   2.0   -1.88%   -1.88%   0.00%

Currency

  Currency Exchange Rate   October-2010   2.0   -5.24%   -5.13%   0.11%

 

Product Performance Summary

 

     

% OF DEALS WHERE:

     Number of  
Offerings
   Average Linked  
Asset Return1,2
   Average MLI  
Return1
  Average MLI Outperformance/  
Underperformance1
   MLI Underperforms  
Linked Asset
   Performance  
is Equal
   MLI Outperforms  
Linked Asset

All Linked Asset Classes

   164    -1.09%    2.68%   3.77%    23.17%    10.37%    66.46%

Equity

   64    -3.40%    1.12%   4.52%    35.94%    4.69%    59.38%

Commodity

   7    10.46%    13.00%   2.54%    14.29%    0.00%    85.71%

Currency

   92    -0.44%    2.92%   3.36%    15.22%    14.13%    70.65%

 

   32    See page 37 for footnotes.


Table of Contents

LOGO

 

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   1.0   -6.74%   8.10%   14.84%
Equity   Apple Inc   June-2008   1.0   -25.42%   -3.32%   22.10%
Equity   Freeport-McMoRan Copper & Gold Inc   June-2008   1.0   -61.48%   -39.62%   21.86%
Equity   Monsanto Company   July-2008   1.0   -30.92%   -8.71%   22.21%
Equity   Google Inc   May-2009   1.0   17.94%   15.15%   -2.79%
Equity   Qualcomm Inc   June-2009   1.0   -29.95%   -19.95%   10.00%
Equity   JPMorgan Chase & Co   August-2009   1.0   -12.12%   2.87%   14.99%
Equity   Apple Inc   August-2009   1.0   50.63%   19.08%   -31.55%
Equity   Goldman Sachs Group, Inc   September-2009   1.0   -18.36%   -8.36%   10.00%
Equity   Intel Corp   September-2009   1.0   -1.48%   8.52%   10.00%
Equity   Deere & Company   October-2009   1.0   65.91%   15.20%   -50.71%

 

   33    See page 37 for footnotes.


Table of Contents

LOGO

 

Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset     Pricing Date       Term
  (years)  
    Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   Microsoft Corporation   November-2009   1.0   -15.33%   -7.33%   8.00%
Equity   Caterpillar Inc   November-2009   1.0   51.25%   15.42%   -35.83%
Equity   Union Pacific Corp   December-2009   1.0   42.50%   14.20%   -28.30%
Equity   Boeing Inc   January-2010   1.0   16.31%   14.45%   -1.86%
Equity   Apple Inc   February-2010   1.0   72.36%   14.81%   -57.55%
Equity   Goldman Sachs Group, Inc   February-2010   1.0   5.93%   8.50%   2.57%
Equity   Ford Motor Company   February-2010   1.0   31.67%   11.20%   -20.47%
Equity   Freeport-McMoRan Copper & Gold Inc   March-2010   1.0   32.52%   12.71%   -19.81%
Equity   Ford Motor Company   March-2010   1.0   8.60%   9.00%   0.40%
Equity   Schlumberger Limited   April-2010   1.0   30.20%   13.15%   -17.05%
Equity   Research In Motion Limited   April-2010   1.0   -35.57%   -25.57%   10.00%
Equity   JPMorgan Chase & Co   April-2010   1.0   4.88%   8.00%   3.12%
Equity   United States Steel Corporation   May-2010   1.0   -20.94%   -3.43%   17.51%
Equity   Caterpillar Inc   May-2010   1.0   64.18%   17.81%   -46.37%
Equity   Lennar Corporation   June-2010   1.0   14.79%   20.75%   5.96%
Equity   Citigroup Inc   June-2010   1.0   9.29%   11.00%   1.71%
Equity   General Electric Company   June-2010   1.0   24.00%   11.40%   -12.60%
Equity   Corning Incorporated   July-2010   1.0   -2.63%   6.37%   9.00%
Equity   Dell Inc   July-2010   1.0   13.83%   12.34%   -1.49%
Equity   Apple Inc   September-2010   1.0   47.98%   12.12%   -35.86%
Equity   International Paper Company   September-2010   1.0   10.87%   13.88%   3.01%
Equity   Boeing Inc   October-2010   1.0   -10.81%   2.19%   13.00%
Equity   Cisco Systems, Inc   October-2010   1.0   -19.13%   -11.13%   8.00%
Equity   Amazon.com, Inc   November-2010   1.0   15.12%   11.87%   -3.25%
Equity   Microsoft Corporation   December-2010   1.0   -5.68%   1.82%   7.50%
Equity   Macy’s, Inc   December-2010   1.1   22.81%   9.86%   -12.95%
Equity   American Depositary Receipts of Petróleo Brasileiro, S.A.   January-2011   1.0   -21.09%   -9.59%   11.50%
Equity   First Solar, Inc   January-2011   1.0   -72.73%   -59.73%   13.00%
Equity   Adobe Systems, Inc   February-2011   1.0   -2.11%   5.39%   7.50%
Equity   Apple Inc   February-2011   1.0   59.44%   15.78%   -43.66%
Equity   International Paper Company   February-2011   1.0   29.57%   14.33%   -15.24%
Equity   Ford Motor Company   March-2011   1.0   -11.40%   -1.65%   9.75%
Equity   Corning, Inc   March-2011   1.0   -33.58%   -25.08%   8.50%
Equity   Ford Motor Company   April-2011   1.0   -22.85%   -13.60%   9.25%
Equity   Seagate Technology PLC   April-2011   1.0   72.21%   18.53%   -53.68%
Equity   Schlumberger Limited   May-2011   1.0   -22.87%   -14.37%   8.50%
Equity   NVIDIA Corporation   May-2011   1.0   -32.68%   -19.68%   13.00%
Equity   Haliburton Company   May-2011   1.0   -41.30%   -28.80%   12.50%
Equity   Goodyear Tire & Rubber Company   June-2011   1.0   -32.30%   -17.78%   14.52%
Equity   Caterpillar Inc   June-2011   1.0   -11.81%   -3.31%   8.50%
Equity   Valero Energy Corporation   June-2011   1.0   -0.66%   8.00%   8.66%
Equity   Goodyear Tire & Rubber Company   July-2011   1.0   -42.28%   -27.26%   15.02%

 

   34    See page 37 for footnotes.


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Product Performance (continued)

 

  Linked Asset  
Class
  Linked Asset     Pricing Date     Term
  (years)  
    Linked Asset  
Return
1,2
  MLI
  Return
1  
    MLI Outperformance/  
Underperformance
Equity   General Electric Company   July-2011   1.0   6.71%   7.00%   0.29%
Equity   MGM Resorts International   July-2011   1.0   -33.74%   -17.23%   16.51%
Equity   Citigroup Inc   August-2011   1.0   -19.32%   -10.32%   9.00%
Equity   Goodyear Tire & Rubber Company   August-2011   1.0   -0.98%   9.00%   9.98%
Equity   Caterpillar Inc   August-2011   1.0   -1.77%   8.00%   9.77%
Equity   Apple Inc   August-2011   1.0   77.78%   17.02%   -60.76%
Equity   General Electric Company   September-2011   1.0   40.64%   16.50%   -24.14%
Equity   Delta Air Lines, Inc   September-2011   1.0   8.05%   14.00%   5.95%
Equity   Deere & Company   September-2011   1.0   5.88%   9.00%   3.12%
Equity   Apple Inc   September-2011   1.0   62.05%   18.49%   -43.56%
Equity   International Paper Company   September-2011   1.0   51.49%   18.47%   -33.02%
Equity   Nike Inc   October-2011   1.0   1.25%   9.00%   7.75%
Equity   Freeport-McMoRan Copper & Gold Inc   October-2011   1.0   -7.71%   10.00%   17.71%
Equity   Ford Motor Company   November-2011   1.0   -0.64%   11.00%   11.64%
Equity   Honeywell International Inc   November-2011   1.0   20.27%   16.62%   -3.65%
Equity   Amazon.com, Inc   December-2011   1.0   41.1%   17.65%   -23.45%

 

Product Performance Summary

 

                         % OF DEALS WHERE:
     Number of  
Offerings
  Average Linked  
Asset Return1,2
  Average MLI  
Return1
  Average MLI
Outperformance/
Underperformance1  
  MLI Underperforms  
Linked Asset
  Performance  
is Equal
  MLI Outperforms
Linked Asset
All Linked Asset Classes   69   6.11%   2.75%   -3.36%   36.23%   0.00%   63.77%

Equity

  69   6.11%   2.75%   -3.36%   36.23%   0.00%   63.77%

Commodity

  0            

Currency

  0            

 

   35    See page 37 for footnotes.


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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.

 

 

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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 Web site 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 references indices that are sponsored and calculated by third parties. None of such third parties have any responsibility or liability in connection with MLIs. Any trademarks or servicemarks contained herein relating to those indices are the property of their respective owners.

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.

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 either decrease any outperformance or increase any underperformance. 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.

© 2013 Bank of America Corporation. All rights reserved. | AR78C74C

 

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