Variable Return
The Notes will not bear any interest during the term of the Notes, but will have a Variable Return, if any, per Note at maturity. The Variable Return, if any, on each Deposit Note at Maturity will be calculated as follows:
| (i) |
If the Reference Commodity Basket Performance is greater than or equal to 0.00% and less than or equal to 60.00% on the Valuation Date, then the Variable Return will be equal to $60.00; |
| (ii) |
If the Reference Commodity Basket Performance is greater than 60.00% on the Valuation Date, then the Variable Return will be equal to the Principal Amount multiplied by the Reference Commodity Basket performance; and |
| (iii) |
If the Reference Commodity Basket Performance is less than 0.00% on the Valuation Date, then the Variable Return will be equal to zero. |
The Reference Commodity Basket Performance will equal the sum of the Weighted Commodity Changes of each Reference Commodity in the Reference Commodity Basket rounded to two decimal places. If the sum of the Weighted Commodity Changes is less than zero, then the Reference Commodity Basket Performance will be deemed to be zero.
For each Reference Commodity in the Reference Commodity Basket, the Weighted Commodity Change is the percentage equal to:
Reference Commodity Weight x (Settlement Price – Base Price)/Base Price
|
| Where: |
|
|
| |
|
|
| Settlement Price |
= |
The Settlement Price for each Reference Commodity is, subject to delay or acceleration due to Extraordinary Events, the U.S. dollar price of the Reference Commodity at a specified time on the Valuation Date. |
| Base Price |
= |
The Base Price for each Reference Commodity is, subject to delay due to Extraordinary Events, the U.S. dollar price of the Reference Commodity at a specified time on the Pricing Date. |
Basket Performance
| Basket Assets |
Weight |
Initial Price
07/05/2007 |
Current Price
02/09/2012 |
Price Performance |
| Aluminum |
25.00% |
$2,728.00 |
$2,232.50
|
-18.16% |
| Copper |
30.00% |
$7,895.00 |
$8,520.50
|
7.92% |
| Crude Oil |
10.00% |
$71.81 |
$99.84
|
39.03% |
| Nickel |
25.00% |
$36,200.00 |
$21,350.00
|
-41.02% |
| Zinc |
10.00% |
$3,435.50 |
$2,108.00
|
-38.64% |
| Overall Return |
|
|
|
-12.38% |
| Indicative Variable Return * |
|
|
|
$0.00 |
*This value assumes all current prices remain unchanged
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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