General Factors Affecting the Value of a Note during its Term*

The value of a Note at maturity will be equal to the principal amount of the Note plus any interest that is payable. The amount of interest payable on a Note at maturity is solely dependent on the performance of the linked fund or funds (measured in accordance with the formula for calculating interest for the Note). However, prior to maturity, the value of a Note will be dependent on several factors, including volatility of the funds, interest rates, commission/cost amortization (i.e., advisor commission) and fund performance. Although the effect of volatility, interest rates and commission/cost amortization on the value of a Note will decline over time, and will not affect the calculation of interest payable on the Note at maturity, these factors may play a greater role in determining the value of a Note than fund performance during the first few years of the Note.

To date, the average of the “locked-in” total returns of the funds is 23.89%. As of the last averaging date, the average of the total returns of the funds (including reinvested distributions) from the issue date was 37.95%. If the performance of the funds was to remain flat from the last averaging date to maturity, the amount of interest payable on the Note at maturity would be $32.59. If the funds generated a linear return equal to one percent (1%) per quarter, the amount of interest payable on the Note at maturity would be $38.82. If the funds generated a linear return equal to two percent (2%) per quarter, the amount of interest payable on the Note at maturity would be $45.56. So long as the funds generate a linear return of not less than -7.14% per quarter, at least some amount of interest will be payable at maturity.