Variable Return

The Variable Return calculation is the formula used to determine the Variable Return on the Notes at the Maturity Date. The Variable Return, if any, on a Note is linked to the performance of the Portfolio and is calculated as follows:

‘‘NAVFINAL’’ means, at any time (expressed pro rata per Note), the notional proceeds from the liquidation of the Fund Account plus the maturity value of the Bond Account as calculated by the Calculation Agent, minus repayment of any accrued and unpaid Program Fees. An Investor cannot elect to receive the Variable Return, if any, prior to the Maturity Date and the Notes cannot be redeemed or retracted prior to the Maturity Date. There is a possibility that an Investor may not receive any Variable Return.

Fund Account Exposure

Fund exposure was 100% on the issue date (July 31, 2007) and has changed as noted below:

Performance Commentary

As of October 14, 2011 the Variable Return of the Notes is no longer linked to the portfolio of Shares notionally held in the Fund Account of the Notes. The Distance declined to 4.09% at the close of business on October 14, 2011 (a Rebalancing Valuation Date). In accordance with the term of the Notes, this resulted in a Protection Event whereby the remanining notional Units in the Fund Account were redeemed at the prevailing net asset value per Unit in effect on the next following Month End Valuation Date, october 31, 2011, and the proceeds were notionally invested in the Bond Account, following payment of any accrued and unpaid Program Fees. Investors will receive their $100 of Principal per Note and a Variable Return of $6.76 for total proceeds of $106.76 per Note at the Maturity Date, which is June 29, 2015.

Fund Performance

Note: An investment in principal protected notes may not be suitable for all investors. Important information about these investments is contained in the Information Statement of each note. Investors should obtain and carefully read a copy prior to investing, paying particular attention to the associated risks. Past performance is not indicative of future returns. Commissions, trailing commissions, management fees and expenses all may be associated with these investments. Principal is guaranteed at maturity only for products purchased at their issue price and held to maturity. The investment return on the notes, if any, is uncertain in that an investor may not receive more than return of the principal amount at maturity. A person should reach a decision to invest in the notes only after carefully considering with his or her advisor, the suitability of this investment in light of his or her investment objectives and the information set out in the respective Information Statement.

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