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 per Note is calculated as follows:

The Average Locked-In Performance will equal the simple average of the Locked-In Performances (which can be positive or negative) for each Calculation Date. The Locked-In Performance, on a particular Calculation Date is the return of the best performing Asset of the Assets remaining in the Portfolio at that Calculation Date, expressed as a percentage of its increase or decrease in value from the Issue Date to the relevant Calculation Date. If a particular Asset has been used to determine the Locked-In Performance for any Calculation Date, than that Asset is removed from the Portfolio and its performance will no longer factor into the calculation of Variable Return for any subsequent Calculation Date.

Basket Performance

Basket Assets	Weight	Initial Price 09/29/2006	Current Price 09/10/2010	Price Performance	Lock-in Date
Dow Jones EURO STOXX 50® Index	20.00%	$3,899.41	$2,782.43	-28.64%
Nikkei-225™ Index	20.00%	$16,127.58	$9,098.39	-43.58%
S&P Goldman Sachs Commodity Index (GSCI®) Excess Return	20.00%	$617.30	$716.64	16.09%	09/30/2008
S&P® 500 Index	20.00%	$1,335.85	$1,547.04	15.81%	10/01/2007
US Dollar/Japanese Yen Foreign Exchange Spot Rate	20.00%	$118.18	$90.09	-23.77%	09/30/2009
Overall Return				-12.82%
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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