CALCULATION OF REGISTRATION FEE
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Title of Each Class of Securities Offered
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Maximum Aggregate Offering Price
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Amount of Registration
Fee(1)
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Medium-Term Notes, Series A
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$25,000,000
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$982.50
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(1)
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Calculated in accordance with Rule 457(r) of the Securities Act of 1933.
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Pricing Supplement
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Filed Pursuant to Rule 424(b)(2)
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(To the Prospectus dated August 31, 2007,
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Registration No. 333-145845
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the Prospectus Supplement dated September 4, 2007
and the Information Supplement dated December 12, 2007)
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July 28, 2008
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B
ARCLAYS
B
ANK
PLC
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Barclays Reverse Convertible Notes
SM
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All Asset Classes and Structures Under One Roof
SM
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Terms used in this pricing supplement are described or defined in the prospectus supplement. The reverse
convertible notes (the Notes) offered will have the terms described in the prospectus supplement and the prospectus, as supplemented by this pricing supplement.
THE NOTES DO NOT GUARANTEE ANY RETURN OF PRINCIPAL AT MATURITY.
Each reference asset below is in the form of a linked share and represents a separate Note offering. The purchaser of a Note will acquire a security
linked to a single linked share (not a basket or index of linked shares). The following terms relate to each separate Note offering:
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Issuer
: Barclays Bank PLC (Rated AA/Aa1)
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Issue date
: July 30, 2008
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Initial valuation date
: July 28, 2008
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Final valuation date
: October 27, 2008
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Maturity date
: October 30, 2008
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Final price
: Closing price of the linked share on the final valuation date.
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Protection price
: The protection level multiplied by the initial price.
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Interest payment dates
: Paid monthly in arrears on the same day of the month as the issue date and calculated on a 30/360 basis, commencing on the month
following the issue date.
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Initial public offering price
: 100%
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Tax allocation of coupon rate:
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Deposit income*
: 2.85%
Put premium
: The coupon rate minus the deposit income.
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The Notes are expected to carry the same rating as the Medium-Term Notes Program, Series A, which is rated AA by
Standard & Poors, a division of the McGraw-Hill Companies, Inc., and will be rated Aa1 by Moodys Investor Services, Inc. The rating is subject to downward revision, suspension or withdrawal at any time by the assigning rating
organization. The rating (1) does not take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which
the Notes are linked) and (2) is not a recommendation to buy, sell or hold securities.
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The following terms relate to the
specific Note offering for each respective linked share:
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Linked Share
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Initial
Share
Price
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Page
Number
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Ticker
Symbol
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Principal
Amount
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Coupon
Rate*
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Protection
Level
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Percentage
Proceeds
to Issuer
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Aggregate
Proceeds
to Issuer
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Percentage
Discount or
Commission
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Aggregate
Discount or
Commission
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Note
Issuance#
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CUSIP/ISIN
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Alcoa Inc.
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$
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32.66
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PS-7
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AA
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$
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1,500,000
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16.000
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%
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80.0
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%
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98.625
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%
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$
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1,479,375
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1.375
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%
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$
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20,625
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E-2346
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06738QAE8/
US06738QAE89
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Apple Inc.
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$
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154.40
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PS-9
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AAPL
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$
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3,500,000
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15.000
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%
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80.0
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%
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98.625
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%
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$
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3,451,875
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1.375
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%
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$
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48,125
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E-2347
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06738QAF5/
US06738QAF54
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Chesapeake Energy Corporation
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$
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48.93
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PS-11
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CHK
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$
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1,000,000
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14.000
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%
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75.0
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%
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98.625
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%
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$
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986,250
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1.375
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%
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$
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13,750
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E-2348
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06738QAG3/
US06738QAG38
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General Motors Corporation
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$
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11.00
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PS-13
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GM
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$
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4,000,000
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20.000
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%
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45.0
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%
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98.625
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%
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$
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3,945,000
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1.375
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%
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$
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55,000
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E-2349
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06738QAH1/
US06738QAH11
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JPMorgan Chase & Co.
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$
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37.66
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PS-15
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JPM
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$
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5,000,000
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16.500
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%
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80.0
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%
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98.625
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%
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$
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4,931,250
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1.375
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%
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$
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68,750
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E-2350
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06738QAJ7/
US06738QAJ76
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Southern Copper Corporation
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$
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27.29
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PS-17
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PCU
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$
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1,000,000
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16.000
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%
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75.0
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%
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98.625
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%
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$
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986,250
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1.375
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%
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$
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13,750
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E-2351
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06738QAK4/
US06738QAK40
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Tesoro Corporation
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$
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15.30
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PS-19
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TSO
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$
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3,500,000
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17.000
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%
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60.0
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%
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98.625
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%
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$
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3,451,875
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1.375
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%
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$
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48,125
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E-2353
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06738QAM0/
US06738QAM06
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Wells Fargo & Company
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$
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27.93
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PS-21
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WFC
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$
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4,000,000
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14.500
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%
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75.0
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%
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98.625
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%
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$
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3,945,000
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1.375
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%
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$
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55,000
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E-2354
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06738QAN8/
US06738QAN88
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United States Steel Corporation
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$
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145.33
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PS-23
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X
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$
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1,500,000
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20.000
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%
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80.0
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%
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98.625
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%
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$
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1,479,375
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1.375
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%
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$
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20,625
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E-2355
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06738QAP3/
US06738QAP37
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See
Risk
Factors
in this pricing supplement and beginning on page S-3 of the prospectus supplement for a description of risks relating to an investment in the Notes.
The Notes will not be listed on any U.S. securities exchange or quotation system. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities
or determined that this pricing supplement is truthful or complete. Any representation to the contrary is a criminal offense.
We may use this
pricing supplement in the initial sale of Notes. In addition, Barclays Capital Inc. or another of our affiliates may use this pricing supplement in market resale transactions in any Notes after their initial sale.
Unless we or our agent
informs you otherwise in the confirmation of sale, this pricing supplement is being used in a market resale transaction.
The Notes constitute our direct, unconditional, unsecured and unsubordinated obligations and are not deposit liabilities
of Barclays Bank PLC and are not insured by the United States Federal Deposit Insurance Corporation or any other governmental agency of the United States, the United Kingdom or any other jurisdiction.
GENERAL TERMS FOR EACH NOTES OFFERING
This pricing supplement relates to separate Note offerings, each linked to a different linked share. The purchaser of a Note will acquire a security linked to a
single linked share (not to a basket or index of linked shares) identified on the cover page.
Although each Note offering relates only to the individual linked share identified on the cover page, you should not construe that fact as a
recommendation as to the merits of acquiring an investment linked to any of those linked shares or as to the suitability of an investment in the Notes.
You should read this document together with the prospectus, prospectus supplement and the information supplement. You should carefully consider, among other things, the matters set forth in Risk Factors in the prospectus
supplement, as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes. The prospectus, prospectus supplement and the
information supplement may be accessed on the SEC website at
www.sec.gov
as follows:
Prospectus supplement dated September 4, 2007 and prospectus dated August
31, 2007:
http://www.sec.gov/Archives/edgar/data/312070/000119312507194615/d424b3.htm
Information Supplement dated December 12, 2007:
http://www.sec.gov/Archives/edgar/data/312070/000119312507263911/d424b3.htm
PROGRAM CREDIT RATING
The Notes are issued under the Medium-Term Notes Program, Series A (the Program). The Notes are expected to carry the rating of the Program,
which is rated AA by Standard & Poors, a division of the McGraw-Hill Companies, Inc. (S&P), and Aa1 by Moodys Investor Services, Inc. (Moodys). An AA rating from S&P generally indicates that
the issuers capacity to meet its financial commitment on the obligations arising from the Program is very strong. An Aa1 rating by Moodys indicates that the Program is currently judged by Moodys to be an obligation of high quality
and is subject to very low credit risk. The credit rating is a statement of opinion and not a statement of fact and is subject to downward revisions, suspension or withdrawal at any time by the assigning rating agency. The rating (1) does not
take into account market risk or the performance-related risks of the investment (including, without limitation, the risks associated with the potential negative performance of any reference asset to which the Notes are linked) and (2) is not a
recommendation to buy, sell or hold securities.
RISK FACTORS
We urge you to read the section Risk Factors beginning on page S-3 of the prospectus supplement as the following highlights some, but not all, of the risk
considerations relevant to investing in the Notes. In particular we urge you to read the risk factors discussed under the following headings:
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Risk FactorsRisks Relating to All Notes;
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Risk FactorsAdditional Risks Relating to Notes with Reference Assets That Are Equity Securities or Shares or Other Interests in Exchange-Traded Funds,
That Contain Equity Securities or Shares or Other Interests in Exchange-Traded Funds or That Are Based in Part on Equity Securities or Shares or Other Interests in Exchange-Traded Funds;
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Risk FactorsAdditional Risks Relating to Notes Which Are Not Fully Principal Protected or Are Contingently Protected; and
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Risk FactorsAdditional Risks Relating to Notes with a Barrier Percentage or a Barrier Level.
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Suitability of Notes for InvestmentYou should reach a decision to invest in the Notes after carefully considering, with your advisors, the suitability of the Notes
in light of your investment objectives and the specific information set out in this pricing supplement, the information supplement, the prospectus supplement and the prospectus. Neither the Issuer nor any dealer participating in the offering makes
any recommendation as to the suitability of the Notes for investment.
No Principal ProtectionThe principal amount of your investment is not
protected and you may receive less, and possibly significantly less, than the amount you invest.
Return Limited to CouponYour return is limited to
the coupon payments. You will not participate in any appreciation in the value of the linked share.
No Secondary MarketUpon issuance, the Notes will
not have an established trading market.
PS-3
Market Disruption Events and AdjustmentsThe calculation agent may adjust any variable described in this pricing
supplement, including but not limited to the final valuation date, the initial price, the final price, the protection level, the protection price, the physical delivery amount and any combination thereof as described in the following sections of the
accompanying prospectus supplement.
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For a description of what constitutes a market disruption event and the consequences thereof, see Reference AssetsEquity SecuritiesMarket
Disruption Events Relating to Notes with an Equity Security as the Reference Asset with respect to linked shares that are equity securities and Reference AssetsExchange-Traded FundsMarket Disruption Events for Notes with the
Reference Asset Comprised of Shares or Other Interests in an Exchange-Traded Fund or Exchange-Traded Funds with respect to linked shares that are exchange-traded funds; and
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For a description of further adjustments that may affect the linked share, see Reference AssetsEquity SecuritiesShare Adjustments Relating to
Notes with an Equity Security as the Reference Asset with respect to linked shares that are equity securities and Reference AssetsExchange-Traded FundsAdjustments Relating to Notes with the Reference Asset Comprised of an
Exchange-Traded Fund or Exchange-Traded Funds with respect to linked shares that are exchange-traded funds.
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TaxesWe intend
to treat each Note as a put option written by you in respect of the reference asset and a deposit with us of cash in an amount equal to the principal amount of the Note to secure your potential obligation under the put option. Pursuant to the terms
of the Notes, you agree to treat the Notes in accordance with this characterization for all U.S. federal income tax purposes. However, because there are no regulations, published rulings or judicial decisions addressing the characterization for U.S.
federal income tax purposes of securities with terms that are substantially the same as those of the Notes, other characterizations and treatments are possible. See Certain U.S. Federal Income Tax Considerations below.
SUMMARY
Principal Payment at
Maturity
A $1,000 investment in the Notes will pay $1,000 at maturity unless: (a) the final price of the linked shares is lower than the initial
price of the linked shares; and (b) between the initial valuation date and the final valuation date, inclusive, the closing price of the linked shares on any day is below the protection price.
If the conditions described in (a) and (b) are both true, at maturity you will receive, at our election, instead of the full principal amount of your Notes,
either (i) the physical delivery amount (fractional shares to be paid in cash in an amount equal to the fractional shares multiplied by the final price), or (ii) a cash amount equal to the principal amount you invested reduced by the
percentage decrease in the price of the linked shares.
If you receive shares of the linked shares in lieu of the principal amount of your Notes at
maturity, the value of your investment will approximately equal the market value of the shares of the linked shares you receive, which could be substantially less than the value of your original investment.
You may lose some or all of your
principal if you invest in the Notes
.
Interest
The Notes will bear interest, if any, from the issue date specified on the front cover at the coupon rate specified on the front cover of this pricing supplement. The interest paid, if any, will include interest
accrued from the issue date or the prior interest payment date, as the case may be, to, but excluding, the relevant interest payment date or repayment date. No interest will accrue and be payable on your Notes after the maturity date specified on
the front cover if such maturity date is extended or if the final valuation date is extended. A business day is any day that is a Monday, Tuesday, Wednesday, Thursday or Friday that is not a day on which the principal securities market
for the linked share or banking institutions in New York City, generally, are authorized or obligated by law, regulation or executive order to close. See generally Interest Mechanics in the prospectus supplement.
Physical Delivery Amount
The physical delivery
amount will be calculated by the calculation agent by dividing the principal amount of your Notes by the initial price of the linked shares. The physical delivery amount, the initial price of the linked shares and other amounts may change due to
stock splits or other corporate actions. See Reference AssetsEquity SecuritiesShare Adjustments Relating to Notes with an Equity Security as the Reference Asset in the accompanying prospectus supplement.
PS-4
CERTAIN U.S. FEDERAL INCOME TAX CONSIDERATIONS
You should carefully consider, among other things, the matters set forth in Certain U.S. Federal Income Tax Considerations in the prospectus supplement. The
following discussion summarizes certain of the material U.S. federal income tax consequences of the purchase, beneficial ownership, and disposition of Notes.
There are no statutory provisions, regulations, published rulings or judicial decisions addressing the characterization for U.S. federal income tax purposes of securities with terms that are substantially the same as those of the Notes.
Under one reasonable approach, each Note should be treated as a put option written by you (the Put Option) that permits us to (1) sell the reference asset to you at maturity for an amount equal to the Deposit (as defined below),
plus any accrued and unpaid interest, acquisition discount and/or original issue discount on the Deposit, or (2) cash settle the Put Option (
i.e.
, require you to pay to us at maturity the difference between the Deposit (plus
any accrued and unpaid interest, acquisition discount, and/or original issue discount on the Deposit) and the value of the reference asset at such time), and a deposit with us of cash in an amount equal to the issue price or purchase
price of your Note (the Deposit) to secure your potential obligation under the Put Option. We intend to treat the Notes consistent with this approach. However, other reasonable approaches are possible. Pursuant to the terms of the Notes,
you agree to treat the Notes as cash deposits and put options with respect to the reference asset for all U.S. federal income tax purposes. Because the term of the Notes is less than one year, we intend to treat the Deposits as short-term debt
instruments for U.S. federal income tax purposes. Please see the discussion under the heading Certain U.S. Federal Income Tax ConsiderationsU.S. Federal Income Tax Treatment of the Notes as Indebtedness for U.S. Federal Income Tax
PurposesShort-Term Obligations in the accompanying prospectus supplement for certain U.S. federal income tax considerations applicable to short-term obligations.
On the cover page we have determined the yield on the Deposit and the Put Premium, as described in the section of the accompanying prospectus supplement called Certain U.S. Federal Income Tax
ConsiderationsCertain Notes Treated as Deposits and Put Options. If the Internal Revenue Service (the IRS) were successful in asserting an alternative characterization for the Notes, the timing and character of income on the
Notes might differ. We do not plan to request a ruling from the IRS regarding the tax treatment of the Notes, and the IRS or a court may not agree with the tax treatment described in this pricing supplement.
LINKED SHARE ISSUER AND LINKED SHARE INFORMATION
We
urge you to read the following sections in the accompanying prospectus supplement: Reference AssetsEquity SecuritiesReference Asset Issuer and Reference Asset Information with respect to linked shares that are equity
securities and Reference AssetsExchange-Traded FundsReference Asset Investment Company and Reference Asset Information with respect to linked shares that are exchange-traded funds. Companies with securities registered under
the Securities Exchange Act of 1934, as amended, which is commonly referred to as the Exchange Act, and the Investment Company Act of 1940, as amended, which is commonly referred to as the 40 Act, are required to
periodically file certain financial and other information specified by the SEC. Information provided to or filed with the SEC electronically can be accessed through a website maintained by the SEC. The address of the SECs website is
http://www.sec.gov
. Information provided to or filed with the SEC pursuant to the Exchange Act or the 40 Act by a company issuing a linked share can be located by
reference to the relevant linked share SEC file number specified below.
The summary information below regarding the companies issuing the linked shares
comes from the issuers respective SEC filings and has not been independently verified by us. We do not make any representations as to the accuracy or completeness of such information or of any filings made by the issuers of the linked shares
with the SEC. You are urged to refer to the SEC filings made by the relevant issuer and to other publicly available information (such as the issuers annual report) to obtain an understanding of the issuers business and financial
prospects. The summary information contained below is not designed to be, and should not be interpreted as, an effort to present information regarding the financial prospects of any issuer or any trends, events or other factors that may have a
positive or negative influence on those prospects or as an endorsement of any particular issuer.
PS-5
Description of Hypothetical Examples
Each linked share described below contains a Table of Hypothetical Values at Maturity, based on the assumptions outlined for each linked share, which demonstrates the return that you would have earned from (i) an
investment in the Notes compared to (ii) a direct investment in the linked shares, based on certain percentage changes between the initial price and final price of the linked shares (prior to the deduction of any applicable brokerage fees or
charges).
In each Table of Hypothetical Values at Maturity some amounts are rounded and actual returns may be different. The following is a general
description of how the hypothetical values in each table were determined.
On the final valuation date, the final price of the linked shares is determined.
If the final price of the linked shares is at or above its initial price, you will receive a payment at maturity of $1,000, regardless of whether the
protection price was ever reached or breached during the term of the Notes.
If the final price of the linked shares is below its initial price but the
closing price of the linked shares never fell below the protection price during the term of the Notes, you will receive a payment at maturity of $1,000.
If the final price of the linked shares is below its initial price and the closing price of the linked shares fell below the protection price during the term of the Notes, you will receive, at our election, either (a) a number of
shares equal to the physical delivery amount, plus a cash amount equal to the fractional shares multiplied by the final price or (b) the cash amount equal to the principal amount that you invested reduced by the percentage decrease in the price
of the linked shares.
In any case, you would also have received the applicable interest payments during the term of the Notes. Since the reinvestment rate
for each coupon payment is assumed to be 0.00%, assuming no change in the closing price of the linked shares from the initial valuation date to the final valuation date, if the coupon yield on the Notes exceeds the dividend yield on the linked
shares, the total return on the Notes would be higher relative to the total return of an investment in the linked shares.
If you had invested directly in
the linked shares for the same period, you would have received total cash payments representing the number of shares of the linked shares you could have purchased with your $1,000 investment on the initial valuation date (assuming you could invest
in fractional shares) multiplied by the final price of the linked shares. In addition, investors will realize a payment in respect of dividends which will equal the dividend yield multiplied by the $1,000 investment. Investors should realize that
for purposes of these calculations the dividend yield is calculated as of the initial date and is held constant regardless of the final level of the linked shares.
Since the reinvestment rate for any dividend payment is assumed to be 0.00%, assuming no change in the closing price of the linked shares from the initial valuation date to the final valuation date, if the coupon rate on the Notes was less
than the dividend yield on the linked shares, the total return on the Notes would be lower relative to the total return of an investment in the linked shares.
In each instance, the percentage gain or loss from an investment in the Notes and a direct investment in the linked shares is set forth below in the Table of Hypothetical Values at Maturity.
PS-6
Alcoa Inc.
According
to publicly available information, Alcoa Inc. (the Company) is a producer of primary aluminum, fabricated aluminum, and alumina, and is active in technology, mining, refining, smelting, fabricating, and recycling. Aluminum and alumina
represent approximately three-fourths of the Companys revenues. Non-aluminum products include precision castings, industrial fasteners, consumer products, food service and flexible packaging products, plastic closures, and electrical
distribution systems for cars and trucks. The Companys products are used worldwide in aircraft, automobiles, commercial transportation, packaging, consumer products, building and construction, and industrial applications.
The Company is global, operating in 44 countries. North America is the largest market with 57% of the Companys revenues. Europe is also a significant market with
25% of the companys revenues. The Companys operations consist of six worldwide segments: Alumina, Primary Metals, Flat-Rolled Products, Extruded and End Products, Engineered Solutions, and Packaging and Consumer.
The linked shares SEC file number is 1-3610.
Historical
Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the
periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
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Quarter/Period Ending
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Quarterly
High
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Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
33.80
|
|
$
|
18.35
|
|
$
|
19.30
|
December 31, 2002
|
|
$
|
26.37
|
|
$
|
17.62
|
|
$
|
22.78
|
March 31, 2003
|
|
$
|
24.75
|
|
$
|
18.45
|
|
$
|
19.38
|
June 30, 2003
|
|
$
|
27.19
|
|
$
|
18.86
|
|
$
|
25.50
|
September 30, 2003
|
|
$
|
29.50
|
|
$
|
24.00
|
|
$
|
26.16
|
December 31, 2003
|
|
$
|
38.92
|
|
$
|
26.29
|
|
$
|
38.00
|
March 31, 2004
|
|
$
|
39.20
|
|
$
|
32.63
|
|
$
|
34.69
|
June 30, 2004
|
|
$
|
36.56
|
|
$
|
28.53
|
|
$
|
33.03
|
September 30, 2004
|
|
$
|
33.68
|
|
$
|
29.51
|
|
$
|
33.59
|
December 31, 2004
|
|
$
|
34.98
|
|
$
|
30.65
|
|
$
|
31.42
|
March 31, 2005
|
|
$
|
32.29
|
|
$
|
28.30
|
|
$
|
30.39
|
June 30, 2005
|
|
$
|
31.79
|
|
$
|
25.92
|
|
$
|
26.13
|
September 30, 2005
|
|
$
|
29.98
|
|
$
|
23.99
|
|
$
|
24.42
|
December 30, 2005
|
|
$
|
29.84
|
|
$
|
22.29
|
|
$
|
29.57
|
March 31, 2006
|
|
$
|
32.19
|
|
$
|
28.39
|
|
$
|
30.56
|
June 30, 2006
|
|
$
|
36.96
|
|
$
|
28.55
|
|
$
|
32.36
|
September 29, 2006
|
|
$
|
34.00
|
|
$
|
26.60
|
|
$
|
28.04
|
December 29, 2006
|
|
$
|
31.30
|
|
$
|
26.39
|
|
$
|
30.01
|
March 30, 2007
|
|
$
|
36.05
|
|
$
|
28.09
|
|
$
|
33.90
|
June 29, 2007
|
|
$
|
42.90
|
|
$
|
33.63
|
|
$
|
40.53
|
September 30, 2007
|
|
$
|
48.77
|
|
$
|
30.25
|
|
$
|
39.12
|
December 31, 2007
|
|
$
|
40.70
|
|
$
|
33.22
|
|
$
|
36.55
|
March 31, 2008
|
|
$
|
39.67
|
|
$
|
26.69
|
|
$
|
36.06
|
June 30, 2008
|
|
$
|
44.76
|
|
$
|
33.65
|
|
$
|
35.62
|
July 28, 2008*
|
|
$
|
35.66
|
|
$
|
31.02
|
|
$
|
32.66
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: AA
Initial price: $32.66
Protection level: 80.00%
Protection price: $26.13
Physical delivery amount: 30 ($1,000/Initial price)
Fractional shares:
0.618494
Coupon: 16.00% per annum
Maturity:
October 30, 2008
Dividend yield: 2.08% per annum
Coupon amount per monthly: $13.33
PS-7
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
4.00%
|
|
100.52%
|
+ 90%
|
|
4.00%
|
|
90.52%
|
+ 80%
|
|
4.00%
|
|
80.52%
|
+ 70%
|
|
4.00%
|
|
70.52%
|
+ 60%
|
|
4.00%
|
|
60.52%
|
+ 50%
|
|
4.00%
|
|
50.52%
|
+ 40%
|
|
4.00%
|
|
40.52%
|
+ 30%
|
|
4.00%
|
|
30.52%
|
+ 20%
|
|
4.00%
|
|
20.52%
|
+ 10%
|
|
4.00%
|
|
10.52%
|
+ 5%
|
|
4.00%
|
|
5.52%
|
|
|
|
|
|
0%
|
|
4.000%
|
|
0.52%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
4.00%
|
|
-1.00%
|
|
-4.48%
|
- 10%
|
|
4.00%
|
|
-6.00%
|
|
-9.48%
|
- 20%
|
|
4.00%
|
|
-16.00%
|
|
-19.48%
|
- 30%
|
|
N/A
|
|
-26.00%
|
|
-29.48%
|
- 40%
|
|
N/A
|
|
-36.00%
|
|
-39.48%
|
- 50%
|
|
N/A
|
|
-46.00%
|
|
-49.48%
|
- 60%
|
|
N/A
|
|
-56.00%
|
|
-59.48%
|
- 70%
|
|
N/A
|
|
-66.00%
|
|
-69.48%
|
- 80%
|
|
N/A
|
|
-76.00%
|
|
-79.48%
|
- 90%
|
|
N/A
|
|
-86.00%
|
|
-89.48%
|
- 100%
|
|
N/A
|
|
-96.00%
|
|
-99.48%
|
PS-8
Apple Inc.
According
to publicly available information, Apple Inc. (the Company) was incorporated under the laws of the State of California on January 3, 1977. The Company designs, manufactures, and markets personal computers and related software,
services, peripherals, and networking solutions. The Company also designs, develops, and markets a line of portable digital music players along with related accessories and services, including the online sale of third-party audio and video products.
The Companys products and services include the Macintosh® line of desktop and portable computers, the Mac OS® X operating system, the iPod® line of portable digital music players, the iTunes Store®, a portfolio of peripherals
that support and enhance the Macintosh and iPod product lines, a portfolio of consumer and professional software applications, a variety of other service and support offerings, and the Xserve® and Xserve RAID server and storage products. The
Company sells its products worldwide through its online stores, its retail stores, its direct sales force, and third-party wholesalers, resellers, and value-added resellers. In addition, the Company sells a variety of third-party Macintosh and iPod
compatible products including application software, printers, storage devices, speakers, headphones, and various other accessories and supplies through its online and retail stores. The Company sells to education, consumer, creative professional,
business, and government customers.
At the end of fiscal 2007, the Company had opened a total of 197 of its own retail stores, including 174 stores in the
U.S. and a total of 23 stores in Canada, Japan, U.K. and Italy.
The linked shares SEC file number is 000-10030.
Historical Performance of the Linked Share
The following table sets
forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
9.40
|
|
$
|
6.90
|
|
$
|
7.25
|
December 31, 2002
|
|
$
|
8.69
|
|
$
|
6.68
|
|
$
|
7.17
|
March 31, 2003
|
|
$
|
7.69
|
|
$
|
6.78
|
|
$
|
7.07
|
June 30, 2003
|
|
$
|
9.85
|
|
$
|
6.36
|
|
$
|
9.56
|
September 30, 2003
|
|
$
|
11.66
|
|
$
|
9.26
|
|
$
|
10.32
|
December 31, 2003
|
|
$
|
12.50
|
|
$
|
9.63
|
|
$
|
10.69
|
March 31, 2004
|
|
$
|
14.07
|
|
$
|
10.59
|
|
$
|
13.53
|
June 30, 2004
|
|
$
|
17.10
|
|
$
|
12.75
|
|
$
|
16.27
|
September 30, 2004
|
|
$
|
19.64
|
|
$
|
14.37
|
|
$
|
19.38
|
December 31, 2004
|
|
$
|
34.79
|
|
$
|
18.83
|
|
$
|
32.20
|
March 31, 2005
|
|
$
|
45.44
|
|
$
|
31.30
|
|
$
|
41.67
|
June 30, 2005
|
|
$
|
44.44
|
|
$
|
33.11
|
|
$
|
36.81
|
September 30, 2005
|
|
$
|
54.56
|
|
$
|
36.29
|
|
$
|
53.61
|
December 30, 2005
|
|
$
|
75.46
|
|
$
|
47.87
|
|
$
|
71.89
|
March 31, 2006
|
|
$
|
87.05
|
|
$
|
57.67
|
|
$
|
62.72
|
June 30, 2006
|
|
$
|
73.38
|
|
$
|
55.41
|
|
$
|
57.12
|
September 29, 2006
|
|
$
|
77.78
|
|
$
|
50.35
|
|
$
|
77.03
|
December 29, 2006
|
|
$
|
93.15
|
|
$
|
72.60
|
|
$
|
84.84
|
March 30, 2007
|
|
$
|
97.80
|
|
$
|
81.90
|
|
$
|
92.91
|
June 29, 2007
|
|
$
|
127.60
|
|
$
|
89.60
|
|
$
|
122.04
|
September 30, 2007
|
|
$
|
155.00
|
|
$
|
111.62
|
|
$
|
153.54
|
December 31, 2007
|
|
$
|
202.96
|
|
$
|
150.64
|
|
$
|
198.08
|
March 31, 2008
|
|
$
|
200.20
|
|
$
|
115.44
|
|
$
|
143.50
|
June 30, 2008
|
|
$
|
192.24
|
|
$
|
144.54
|
|
$
|
167.44
|
July 28, 2008*
|
|
$
|
180.91
|
|
$
|
146.55
|
|
$
|
154.40
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: AAPL
Initial price: $154.40
Protection level: 80.00%
Protection price: $123.52
Physical delivery amount: 6 ($1,000/Initial price)
Fractional shares:
0.476684
Coupon: 15.00% per annum
Maturity:
October 30, 2008
Dividend yield: 0.00% per annum
Coupon
amount per monthly: $12.50
PS-9
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
3.75%
|
|
100.00%
|
+ 90%
|
|
3.75%
|
|
90.00%
|
+ 80%
|
|
3.75%
|
|
80.00%
|
+ 70%
|
|
3.75%
|
|
70.00%
|
+ 60%
|
|
3.75%
|
|
60.00%
|
+ 50%
|
|
3.75%
|
|
50.00%
|
+ 40%
|
|
3.75%
|
|
40.00%
|
+ 30%
|
|
3.75%
|
|
30.00%
|
+ 20%
|
|
3.75%
|
|
20.00%
|
+ 10%
|
|
3.75%
|
|
10.00%
|
+ 5%
|
|
3.75%
|
|
5.00%
|
|
|
|
|
|
0%
|
|
3.75%
|
|
0.00%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
3.75%
|
|
-1.25%
|
|
-5.00%
|
- 10%
|
|
3.75%
|
|
-6.25%
|
|
-10.00%
|
- 20%
|
|
3.75%
|
|
-16.25%
|
|
-20.00%
|
- 30%
|
|
N/A
|
|
-26.25%
|
|
-30.00%
|
- 40%
|
|
N/A
|
|
-36.25%
|
|
-40.00%
|
- 50%
|
|
N/A
|
|
-46.25%
|
|
-50.00%
|
- 60%
|
|
N/A
|
|
-56.25%
|
|
-60.00%
|
- 70%
|
|
N/A
|
|
-66.25%
|
|
-70.00%
|
- 80%
|
|
N/A
|
|
-76.25%
|
|
-80.00%
|
- 90%
|
|
N/A
|
|
-86.25%
|
|
-90.00%
|
- 100%
|
|
N/A
|
|
-96.25%
|
|
-100.00%
|
PS-10
Chesapeake Energy Corporation
According to publicly available information, Chesapeake Energy Corporation (the Company) is the third largest independent producer of natural gas in the United States, and the Company owns interests in approximately 38,500
producing oil and natural gas wells that are currently producing approximately 2.2 billion cubic feet equivalent, or bcfe, per day, 92% of which is natural gas. The Company is focused on discovering, acquiring and developing conventional and
unconventional natural gas reserves onshore in the U.S., east of the Rocky Mountains. The Companys most important operating area has historically been the Mid-Continent region of Oklahoma, Arkansas, southwestern Kansas and the Texas Panhandle.
At December 31, 2007, 47% of its estimated proved oil and natural gas reserves were located in the Mid-Continent region. During the past five years, the Company has also built significant positions in various conventional and unconventional
plays in the Fort Worth Basin in north-central Texas; the Appalachian Basin, principally in West Virginia, eastern Kentucky, eastern Ohio, Pennsylvania and southern New York; the Permian and Delaware Basins of West Texas and eastern New Mexico; the
Ark-La-Tex area of East Texas and northern Louisiana; and the South Texas and Texas Gulf Coast regions.
The linked shares SEC file number is
1-13726.
Historical Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P.,
without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
7.25
|
|
$
|
4.58
|
|
$
|
6.60
|
December 31, 2002
|
|
$
|
8.06
|
|
$
|
5.89
|
|
$
|
7.74
|
March 31, 2003
|
|
$
|
8.63
|
|
$
|
7.27
|
|
$
|
7.86
|
June 30, 2003
|
|
$
|
11.45
|
|
$
|
7.46
|
|
$
|
10.10
|
September 30, 2003
|
|
$
|
10.97
|
|
$
|
9.17
|
|
$
|
10.78
|
December 31, 2003
|
|
$
|
13.99
|
|
$
|
10.67
|
|
$
|
13.58
|
March 31, 2004
|
|
$
|
13.98
|
|
$
|
11.71
|
|
$
|
13.40
|
June 30, 2004
|
|
$
|
15.05
|
|
$
|
12.69
|
|
$
|
14.72
|
September 30, 2004
|
|
$
|
16.24
|
|
$
|
13.69
|
|
$
|
15.83
|
December 31, 2004
|
|
$
|
18.31
|
|
$
|
15.18
|
|
$
|
16.50
|
March 31, 2005
|
|
$
|
23.64
|
|
$
|
15.06
|
|
$
|
21.94
|
June 30, 2005
|
|
$
|
23.98
|
|
$
|
17.85
|
|
$
|
22.80
|
September 30, 2005
|
|
$
|
38.98
|
|
$
|
22.90
|
|
$
|
38.25
|
December 30, 2005
|
|
$
|
40.01
|
|
$
|
26.62
|
|
$
|
31.73
|
March 31, 2006
|
|
$
|
35.57
|
|
$
|
27.80
|
|
$
|
31.41
|
June 30, 2006
|
|
$
|
33.75
|
|
$
|
26.81
|
|
$
|
30.25
|
September 29, 2006
|
|
$
|
33.76
|
|
$
|
28.07
|
|
$
|
28.98
|
December 29, 2006
|
|
$
|
34.27
|
|
$
|
27.92
|
|
$
|
29.05
|
March 30, 2007
|
|
$
|
31.83
|
|
$
|
27.27
|
|
$
|
30.88
|
June 29, 2007
|
|
$
|
37.75
|
|
$
|
30.88
|
|
$
|
34.60
|
September 30, 2007
|
|
$
|
37.15
|
|
$
|
31.38
|
|
$
|
35.26
|
December 31, 2007
|
|
$
|
41.19
|
|
$
|
35.25
|
|
$
|
39.20
|
March 31, 2008
|
|
$
|
49.83
|
|
$
|
34.44
|
|
$
|
46.15
|
June 30, 2008
|
|
$
|
68.10
|
|
$
|
45.26
|
|
$
|
65.96
|
July 28, 2008*
|
|
$
|
73.89
|
|
$
|
45.00
|
|
$
|
48.93
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: CHK
Initial price: $48.93
Protection level: 75.00%
Protection price: $36.70
Physical delivery amount: 20 ($1,000/Initial price)
Fractional shares:
0.437359
Coupon: 14.00% per annum
Maturity:
October 30, 2008
Dividend yield: 0.57% per annum
Coupon amount per monthly: $11.67
PS-11
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
3.50%
|
|
100.14%
|
+ 90%
|
|
3.50%
|
|
90.14%
|
+ 80%
|
|
3.50%
|
|
80.14%
|
+ 70%
|
|
3.50%
|
|
70.14%
|
+ 60%
|
|
3.50%
|
|
60.14%
|
+ 50%
|
|
3.50%
|
|
50.14%
|
+ 40%
|
|
3.50%
|
|
40.14%
|
+ 30%
|
|
3.50%
|
|
30.14%
|
+ 20%
|
|
3.50%
|
|
20.14%
|
+ 10%
|
|
3.50%
|
|
10.14%
|
+ 5%
|
|
3.50%
|
|
5.14%
|
|
|
|
|
|
0%
|
|
3.50%
|
|
0.14%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
3.50%
|
|
-1.50%
|
|
-4.86%
|
- 10%
|
|
3.50%
|
|
-6.50%
|
|
-9.86%
|
- 20%
|
|
3.50%
|
|
-16.50%
|
|
-19.86%
|
- 30%
|
|
N/A
|
|
-26.50%
|
|
-29.86%
|
- 40%
|
|
N/A
|
|
-36.50%
|
|
-39.86%
|
- 50%
|
|
N/A
|
|
-46.50%
|
|
-49.86%
|
- 60%
|
|
N/A
|
|
-56.50%
|
|
-59.86%
|
- 70%
|
|
N/A
|
|
-66.50%
|
|
-69.86%
|
- 80%
|
|
N/A
|
|
-76.50%
|
|
-79.86%
|
- 90%
|
|
N/A
|
|
-86.50%
|
|
-89.86%
|
- 100%
|
|
N/A
|
|
-96.50%
|
|
-99.86%
|
PS-12
General Motors Corporation
According to publicly available information, General Motors Corporation (the Company) is incorporated in 1916 under the laws of the State of Delaware. The Company is primarily engaged in the worldwide development, production,
and marketing of cars, trucks, and parts. The Company develops, manufactures, and markets its vehicles worldwide through its four automotive regions: GM North America, GM Europe, GM Latin America/Africa/Mid-East, and GM Asia Pacific. The
Companys total worldwide car and truck deliveries were 9.4 million, 9.1 million, and 9.2 million, in 2007, 2006, and 2005, respectively. Substantially all of the Company's cars, trucks, and parts are marketed through retail
dealers in North America, and through distributors and dealers outside of North America, the substantial majority of which are independently owned.
The
linked shares SEC file number is 001-00043.
Historical Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical
trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
54.08
|
|
$
|
38.15
|
|
$
|
38.90
|
December 31, 2002
|
|
$
|
41.50
|
|
$
|
30.83
|
|
$
|
36.86
|
March 31, 2003
|
|
$
|
41.12
|
|
$
|
29.75
|
|
$
|
33.62
|
June 30, 2003
|
|
$
|
39.35
|
|
$
|
32.84
|
|
$
|
36.00
|
September 30, 2003
|
|
$
|
43.23
|
|
$
|
35.00
|
|
$
|
40.93
|
December 31, 2003
|
|
$
|
54.37
|
|
$
|
40.04
|
|
$
|
53.40
|
March 31, 2004
|
|
$
|
55.55
|
|
$
|
44.72
|
|
$
|
47.10
|
June 30, 2004
|
|
$
|
50.04
|
|
$
|
42.88
|
|
$
|
46.59
|
September 30, 2004
|
|
$
|
46.93
|
|
$
|
40.53
|
|
$
|
42.48
|
December 31, 2004
|
|
$
|
43.29
|
|
$
|
36.90
|
|
$
|
40.06
|
March 31, 2005
|
|
$
|
40.77
|
|
$
|
28.00
|
|
$
|
29.39
|
June 30, 2005
|
|
$
|
36.64
|
|
$
|
24.68
|
|
$
|
34.00
|
September 30, 2005
|
|
$
|
37.69
|
|
$
|
30.21
|
|
$
|
30.61
|
December 30, 2005
|
|
$
|
31.50
|
|
$
|
18.34
|
|
$
|
19.42
|
March 31, 2006
|
|
$
|
24.59
|
|
$
|
18.47
|
|
$
|
21.27
|
June 30, 2006
|
|
$
|
30.42
|
|
$
|
19.00
|
|
$
|
29.79
|
September 29, 2006
|
|
$
|
33.62
|
|
$
|
27.12
|
|
$
|
33.26
|
December 29, 2006
|
|
$
|
36.54
|
|
$
|
28.49
|
|
$
|
30.72
|
March 30, 2007
|
|
$
|
37.24
|
|
$
|
28.81
|
|
$
|
30.64
|
June 29, 2007
|
|
$
|
38.66
|
|
$
|
28.86
|
|
$
|
37.80
|
September 30, 2007
|
|
$
|
38.27
|
|
$
|
29.10
|
|
$
|
36.70
|
December 31, 2007
|
|
$
|
43.02
|
|
$
|
24.50
|
|
$
|
24.89
|
March 31, 2008
|
|
$
|
29.28
|
|
$
|
17.47
|
|
$
|
19.05
|
June 30, 2008
|
|
$
|
24.23
|
|
$
|
10.57
|
|
$
|
11.50
|
July 28, 2008*
|
|
$
|
16.33
|
|
$
|
8.82
|
|
$
|
11.00
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: GM
Initial price: $11.00
Protection level: 45.00%
Protection price: $4.95
Physical delivery amount: 90 ($1,000/Initial price)
Fractional shares:
0.909091
Coupon: 20.00% per annum
Maturity:
October 30, 2008
Dividend yield: 9.09% per annum
Coupon amount per monthly: $16.67
PS-13
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
5.00%
|
|
102.27%
|
+ 90%
|
|
5.00%
|
|
92.27%
|
+ 80%
|
|
5.00%
|
|
82.27%
|
+ 70%
|
|
5.00%
|
|
72.27%
|
+ 60%
|
|
5.00%
|
|
62.27%
|
+ 50%
|
|
5.00%
|
|
52.27%
|
+ 40%
|
|
5.00%
|
|
42.27%
|
+ 30%
|
|
5.00%
|
|
32.27%
|
+ 20%
|
|
5.00%
|
|
22.27%
|
+ 10%
|
|
5.00%
|
|
12.27%
|
+ 5%
|
|
5.00%
|
|
7.27%
|
|
|
|
|
|
0%
|
|
5.00%
|
|
2.27%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
5.00%
|
|
0.00%
|
|
-2.73%
|
- 10%
|
|
5.00%
|
|
-5.00%
|
|
-7.73%
|
- 20%
|
|
5.00%
|
|
-15.00%
|
|
-17.73%
|
- 30%
|
|
5.00%
|
|
-25.00%
|
|
-27.73%
|
- 40%
|
|
5.00%
|
|
-35.00%
|
|
-37.73%
|
- 50%
|
|
5.00%
|
|
-45.00%
|
|
-47.73%
|
- 60%
|
|
N/A
|
|
-55.00%
|
|
-57.73%
|
- 70%
|
|
N/A
|
|
-65.00%
|
|
-67.73%
|
- 80%
|
|
N/A
|
|
-75.00%
|
|
-77.73%
|
- 90%
|
|
N/A
|
|
-85.00%
|
|
-87.73%
|
- 100%
|
|
N/A
|
|
-95.00%
|
|
-97.73%
|
PS-14
JPMorgan Chase & Co.
According to publicly available information, JPMorgan Chase & Co. (the Company) is a financial holding company incorporated under Delaware law in 1968. The Company is one of the largest banking institutions in the
United States, with $1.6 trillion in assets, $123 billion in stockholders equity and operations worldwide.
The Companys principal bank
subsidiaries are JPMorgan Chase Bank, National Association, a national banking association with branches in 17 states, and Chase Bank USA, National Association, a national banking association that is the Companys credit card-issuing bank. The
Companys principal non-bank subsidiary is J.P. Morgan Securities Inc., its U.S. investment banking firm. The bank and non-bank subsidiaries of the Company operate nationally as well as through overseas branches and subsidiaries, representative
offices and subsidiary foreign banks.
The Companys website is
www.jpmorganchase.com
.
The linked shares SEC file number is: 1-5805
Historical Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well
as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
33.68
|
|
$
|
17.90
|
|
$
|
18.99
|
December 31, 2002
|
|
$
|
26.14
|
|
$
|
15.30
|
|
$
|
24.00
|
March 31, 2003
|
|
$
|
28.29
|
|
$
|
20.13
|
|
$
|
23.71
|
June 30, 2003
|
|
$
|
36.25
|
|
$
|
23.75
|
|
$
|
34.18
|
September 30, 2003
|
|
$
|
37.90
|
|
$
|
32.40
|
|
$
|
34.33
|
December 31, 2003
|
|
$
|
36.99
|
|
$
|
34.48
|
|
$
|
36.73
|
March 31, 2004
|
|
$
|
43.84
|
|
$
|
36.31
|
|
$
|
41.95
|
June 30, 2004
|
|
$
|
42.56
|
|
$
|
34.62
|
|
$
|
38.77
|
September 30, 2004
|
|
$
|
40.25
|
|
$
|
35.50
|
|
$
|
39.73
|
December 31, 2004
|
|
$
|
40.45
|
|
$
|
36.35
|
|
$
|
39.01
|
March 31, 2005
|
|
$
|
39.65
|
|
$
|
34.35
|
|
$
|
34.60
|
June 30, 2005
|
|
$
|
36.49
|
|
$
|
33.36
|
|
$
|
35.32
|
September 30, 2005
|
|
$
|
35.95
|
|
$
|
33.32
|
|
$
|
33.93
|
December 30, 2005
|
|
$
|
40.56
|
|
$
|
32.98
|
|
$
|
39.69
|
March 31, 2006
|
|
$
|
42.42
|
|
$
|
37.88
|
|
$
|
41.64
|
June 30, 2006
|
|
$
|
46.80
|
|
$
|
39.34
|
|
$
|
42.00
|
September 29, 2006
|
|
$
|
47.49
|
|
$
|
40.40
|
|
$
|
46.96
|
December 29, 2006
|
|
$
|
49.00
|
|
$
|
45.51
|
|
$
|
48.30
|
March 30, 2007
|
|
$
|
51.95
|
|
$
|
45.91
|
|
$
|
48.38
|
June 29, 2007
|
|
$
|
53.25
|
|
$
|
47.70
|
|
$
|
48.45
|
September 30, 2007
|
|
$
|
50.48
|
|
$
|
42.18
|
|
$
|
45.82
|
December 31, 2007
|
|
$
|
48.02
|
|
$
|
40.15
|
|
$
|
43.65
|
March 31, 2008
|
|
$
|
49.28
|
|
$
|
36.02
|
|
$
|
42.95
|
June 30, 2008
|
|
$
|
49.75
|
|
$
|
33.96
|
|
$
|
34.31
|
July 28, 2008*
|
|
$
|
43.00
|
|
$
|
29.25
|
|
$
|
37.66
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: JPM
Initial price: $37.66
Protection level: 80.00%
Protection price: $30.13
Physical delivery amount: 26 ($1,000/Initial price)
Fractional shares:
0.553372
Coupon: 16.50% per annum
Maturity:
October 30, 2008
Dividend yield: 4.04% per annum
Coupon amount per monthly: $13.75
PS-15
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
4.125%
|
|
101.01%
|
+ 90%
|
|
4.125%
|
|
91.01%
|
+ 80%
|
|
4.125%
|
|
81.01%
|
+ 70%
|
|
4.125%
|
|
71.01%
|
+ 60%
|
|
4.125%
|
|
61.01%
|
+ 50%
|
|
4.125%
|
|
51.01%
|
+ 40%
|
|
4.125%
|
|
41.01%
|
+ 30%
|
|
4.125%
|
|
31.01%
|
+ 20%
|
|
4.125%
|
|
21.01%
|
+ 10%
|
|
4.125%
|
|
11.01%
|
+ 5%
|
|
4.125%
|
|
6.01%
|
|
|
|
|
|
0%
|
|
4.125%
|
|
1.01%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
4.125%
|
|
-0.875%
|
|
-3.99%
|
- 10%
|
|
4.125%
|
|
-5.875%
|
|
-8.99%
|
- 20%
|
|
4.125%
|
|
-15.875%
|
|
-18.99%
|
- 30%
|
|
N/A
|
|
-25.875%
|
|
-28.99%
|
- 40%
|
|
N/A
|
|
-35.875%
|
|
-38.99%
|
- 50%
|
|
N/A
|
|
-45.875%
|
|
-48.99%
|
- 60%
|
|
N/A
|
|
-55.875%
|
|
-58.99%
|
- 70%
|
|
N/A
|
|
-65.875%
|
|
-68.99%
|
- 80%
|
|
N/A
|
|
-75.875%
|
|
-78.99%
|
- 90%
|
|
N/A
|
|
-85.875%
|
|
-88.99%
|
- 100%
|
|
N/A
|
|
-95.875%
|
|
-98.99%
|
PS-16
Southern Copper Corporation
According to publicly available information, Southern Copper Corporation (the Company) is an integrated producer of copper, molybdenum, zinc and silver. All of its mining, smelting and refining facilities are located in
Peru and in Mexico and the Company conducts exploration activities in those countries and Chile. The Company was incorporated in Delaware in 1952 and has conducted copper mining operations since 1960. Since 1996, its common stock has been
listed on both the New York Stock Exchange and the Lima Stock Exchange.
The linked shares SEC file number is 001-14066.
Historical Performance of the Linked Share
The following table sets
forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
2.54
|
|
$
|
2.13
|
|
$
|
2.29
|
December 31, 2002
|
|
$
|
2.47
|
|
$
|
2.17
|
|
$
|
2.40
|
March 31, 2003
|
|
$
|
2.77
|
|
$
|
2.42
|
|
$
|
2.43
|
June 30, 2003
|
|
$
|
2.85
|
|
$
|
2.39
|
|
$
|
2.55
|
September 30, 2003
|
|
$
|
3.98
|
|
$
|
2.57
|
|
$
|
3.69
|
December 31, 2003
|
|
$
|
8.27
|
|
$
|
3.63
|
|
$
|
7.86
|
March 31, 2004
|
|
$
|
8.61
|
|
$
|
5.91
|
|
$
|
6.74
|
June 30, 2004
|
|
$
|
7.02
|
|
$
|
4.35
|
|
$
|
6.89
|
September 30, 2004
|
|
$
|
8.75
|
|
$
|
5.99
|
|
$
|
8.61
|
December 31, 2004
|
|
$
|
9.30
|
|
$
|
6.93
|
|
$
|
7.87
|
March 31, 2005
|
|
$
|
11.08
|
|
$
|
7.08
|
|
$
|
9.24
|
June 30, 2005
|
|
$
|
10.08
|
|
$
|
6.90
|
|
$
|
7.14
|
September 30, 2005
|
|
$
|
9.45
|
|
$
|
7.01
|
|
$
|
9.33
|
December 30, 2005
|
|
$
|
11.85
|
|
$
|
8.27
|
|
$
|
11.16
|
March 31, 2006
|
|
$
|
15.27
|
|
$
|
11.05
|
|
$
|
14.08
|
June 30, 2006
|
|
$
|
18.32
|
|
$
|
11.61
|
|
$
|
14.86
|
September 29, 2006
|
|
$
|
16.56
|
|
$
|
13.83
|
|
$
|
15.42
|
December 29, 2006
|
|
$
|
19.46
|
|
$
|
14.36
|
|
$
|
17.96
|
March 30, 2007
|
|
$
|
25.50
|
|
$
|
16.42
|
|
$
|
23.89
|
June 29, 2007
|
|
$
|
32.21
|
|
$
|
23.92
|
|
$
|
31.42
|
September 30, 2007
|
|
$
|
42.24
|
|
$
|
25.08
|
|
$
|
41.28
|
December 31, 2007
|
|
$
|
47.75
|
|
$
|
32.33
|
|
$
|
35.04
|
March 31, 2008
|
|
$
|
39.90
|
|
$
|
24.50
|
|
$
|
34.61
|
June 30, 2008
|
|
$
|
41.92
|
|
$
|
33.37
|
|
$
|
35.54
|
July 28, 2008*
|
|
$
|
36.18
|
|
$
|
27.11
|
|
$
|
27.29
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: PCU
Initial price: $27.29
Protection level: 75.00%
Protection price: $20.47
Physical delivery amount: 36 ($1,000/Initial price)
Fractional shares:
0.643459
Coupon: 16.00% per annum
Maturity:
October 30, 2008
Dividend yield: 8.18% per annum
Coupon amount per monthly: $13.33
PS-17
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
4.00%
|
|
102.05%
|
+ 90%
|
|
4.00%
|
|
92.05%
|
+ 80%
|
|
4.00%
|
|
82.05%
|
+ 70%
|
|
4.00%
|
|
72.05%
|
+ 60%
|
|
4.00%
|
|
62.05%
|
+ 50%
|
|
4.00%
|
|
52.05%
|
+ 40%
|
|
4.00%
|
|
42.05%
|
+ 30%
|
|
4.00%
|
|
32.05%
|
+ 20%
|
|
4.00%
|
|
22.05%
|
+ 10%
|
|
4.00%
|
|
12.05%
|
+ 5%
|
|
4.00%
|
|
7.05%
|
|
|
|
|
|
0%
|
|
4.000%
|
|
2.05%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
4.00%
|
|
-1.00%
|
|
-2.95%
|
- 10%
|
|
4.00%
|
|
-6.00%
|
|
-7.95%
|
- 20%
|
|
4.00%
|
|
-16.00%
|
|
-17.95%
|
- 30%
|
|
N/A
|
|
-26.00%
|
|
-27.95%
|
- 40%
|
|
N/A
|
|
-36.00%
|
|
-37.95%
|
- 50%
|
|
N/A
|
|
-46.00%
|
|
-47.95%
|
- 60%
|
|
N/A
|
|
-56.00%
|
|
-57.95%
|
- 70%
|
|
N/A
|
|
-66.00%
|
|
-67.95%
|
- 80%
|
|
N/A
|
|
-76.00%
|
|
-77.95%
|
- 90%
|
|
N/A
|
|
-86.00%
|
|
-87.95%
|
- 100%
|
|
N/A
|
|
-96.00%
|
|
-97.95%
|
PS-18
Tesoro Corporation
According to publicly available information, Tesoro Corporation (the Company) is based in San Antonio,
Texas. The Company was incorporated in Delaware in 1968 under the name Tesoro Petroleum Corporation, which was subsequently changed in 2004 to Tesoro Corporation. The Company is an independent petroleum refiner and marketer in the United States with
two operating segments(1) refining crude oil and other feedstocks at its seven refineries in the western and mid-continental United States and selling refined products in bulk and wholesale markets and (2) selling motor fuels and
convenience products in the retail market through its 911 branded retail stations in 17 states. The Companys refining segment produces refined products, primarily gasoline and gasoline blendstocks, jet fuel, diesel fuel and heavy fuel oils for
sale to a wide variety of commercial customers in the western and mid-continental United States. Its retail segment distributes motor fuels through a network of retail stations, primarily under the Tesoro
®
, Mirastar
®
, Shell
®
and USA Gasoline
TM
brands.
The Companys principal executive offices are located at 300 Concord Plaza Drive, San Antonio,
Texas 78216-6999.
The linked shares SEC file number is 001-03473.
Historical Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well
as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
3.87
|
|
$
|
1.20
|
|
$
|
1.40
|
December 31, 2002
|
|
$
|
2.60
|
|
$
|
0.63
|
|
$
|
2.26
|
March 31, 2003
|
|
$
|
3.72
|
|
$
|
1.70
|
|
$
|
3.70
|
June 30, 2003
|
|
$
|
4.28
|
|
$
|
3.23
|
|
$
|
3.44
|
September 30, 2003
|
|
$
|
4.71
|
|
$
|
3.33
|
|
$
|
4.23
|
December 31, 2003
|
|
$
|
7.56
|
|
$
|
4.28
|
|
$
|
7.29
|
March 31, 2004
|
|
$
|
9.67
|
|
$
|
7.00
|
|
$
|
9.40
|
June 30, 2004
|
|
$
|
13.88
|
|
$
|
8.88
|
|
$
|
13.80
|
September 30, 2004
|
|
$
|
15.85
|
|
$
|
10.90
|
|
$
|
14.77
|
December 31, 2004
|
|
$
|
17.33
|
|
$
|
13.88
|
|
$
|
15.93
|
March 31, 2005
|
|
$
|
19.09
|
|
$
|
14.13
|
|
$
|
18.51
|
June 30, 2005
|
|
$
|
24.93
|
|
$
|
17.03
|
|
$
|
23.26
|
September 30, 2005
|
|
$
|
35.90
|
|
$
|
23.06
|
|
$
|
33.62
|
December 30, 2005
|
|
$
|
34.64
|
|
$
|
26.17
|
|
$
|
30.78
|
March 31, 2006
|
|
$
|
36.99
|
|
$
|
28.85
|
|
$
|
34.17
|
June 30, 2006
|
|
$
|
37.86
|
|
$
|
30.16
|
|
$
|
37.18
|
September 29, 2006
|
|
$
|
38.40
|
|
$
|
26.48
|
|
$
|
28.99
|
December 29, 2006
|
|
$
|
36.55
|
|
$
|
27.33
|
|
$
|
32.89
|
March 30, 2007
|
|
$
|
51.40
|
|
$
|
31.47
|
|
$
|
50.22
|
June 29, 2007
|
|
$
|
64.65
|
|
$
|
50.06
|
|
$
|
57.15
|
September 30, 2007
|
|
$
|
62.00
|
|
$
|
42.64
|
|
$
|
46.02
|
December 31, 2007
|
|
$
|
65.50
|
|
$
|
44.53
|
|
$
|
47.70
|
March 31, 2008
|
|
$
|
48.35
|
|
$
|
26.55
|
|
$
|
30.00
|
June 30, 2008
|
|
$
|
33.40
|
|
$
|
18.60
|
|
$
|
19.77
|
July 28, 2008*
|
|
$
|
19.99
|
|
$
|
14.79
|
|
$
|
15.30
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: TSO
Initial price: $15.30
Protection level: 60.00%
Protection price: $9.18
Physical delivery amount: 65 ($1,000/Initial price)
Fractional shares:
0.359477
Coupon: 17.00% per annum
Maturity:
October 30, 2008
Dividend yield: 2.61% per annum
Coupon amount per monthly: $14.17
PS-19
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
4.25%
|
|
100.65%
|
+ 90%
|
|
4.25%
|
|
90.65%
|
+ 80%
|
|
4.25%
|
|
80.65%
|
+ 70%
|
|
4.25%
|
|
70.65%
|
+ 60%
|
|
4.25%
|
|
60.65%
|
+ 50%
|
|
4.25%
|
|
50.65%
|
+ 40%
|
|
4.25%
|
|
40.65%
|
+ 30%
|
|
4.25%
|
|
30.65%
|
+ 20%
|
|
4.25%
|
|
20.65%
|
+ 10%
|
|
4.25%
|
|
10.65%
|
+ 5%
|
|
4.25%
|
|
5.65%
|
|
|
|
|
|
0%
|
|
4.25%
|
|
0.65%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
4.25%
|
|
-0.75%
|
|
-4.35%
|
- 10%
|
|
4.25%
|
|
-5.75%
|
|
-9.35%
|
- 20%
|
|
4.25%
|
|
-15.75%
|
|
-19.35%
|
- 30%
|
|
4.25%
|
|
-25.75%
|
|
-29.35%
|
- 40%
|
|
4.25%
|
|
-35.75%
|
|
-39.35%
|
- 50%
|
|
N/A
|
|
-45.75%
|
|
-49.35%
|
- 60%
|
|
N/A
|
|
-55.75%
|
|
-59.35%
|
- 70%
|
|
N/A
|
|
-65.75%
|
|
-69.35%
|
- 80%
|
|
N/A
|
|
-75.75%
|
|
-79.35%
|
- 90%
|
|
N/A
|
|
-85.75%
|
|
-89.35%
|
- 100%
|
|
N/A
|
|
-95.75%
|
|
-99.35%
|
PS-20
Wells Fargo & Company
According to publicly available information, Wells Fargo & Company (the Company) is a corporation organized under the laws of Delaware and a financial holding company and a bank holding company
registered under the Bank Holding Company Act of 1956, as amended (BHC Act). Its principal business is to act as a holding company for its subsidiaries.
The Company provides retail, commercial and corporate banking services through banking stores located in 23 states. It also provides other financial services through subsidiaries engaged in various businesses, principally: wholesale
banking, mortgage banking, consumer finance, equipment leasing, agricultural finance, commercial finance, securities brokerage and investment banking, insurance agency and brokerage services, computer and data processing services, trust services,
investment advisory services, mortgage-backed securities servicing and venture capital investment.
The Company has three operating segments for management
purposes: Community Banking, Wholesale Banking and Wells Fargo Financial.
The linked shares SEC file number is: 001-2979.
Historical Performance of the Linked Share
The following table sets
forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
26.50
|
|
$
|
20.75
|
|
$
|
24.08
|
December 31, 2002
|
|
$
|
25.80
|
|
$
|
21.65
|
|
$
|
23.44
|
March 31, 2003
|
|
$
|
24.57
|
|
$
|
21.65
|
|
$
|
22.50
|
June 30, 2003
|
|
$
|
26.02
|
|
$
|
22.51
|
|
$
|
25.20
|
September 30, 2003
|
|
$
|
26.86
|
|
$
|
24.45
|
|
$
|
25.75
|
December 31, 2003
|
|
$
|
29.59
|
|
$
|
25.84
|
|
$
|
29.45
|
March 31, 2004
|
|
$
|
29.49
|
|
$
|
27.99
|
|
$
|
28.34
|
June 30, 2004
|
|
$
|
29.86
|
|
$
|
27.16
|
|
$
|
28.62
|
September 30, 2004
|
|
$
|
29.93
|
|
$
|
28.06
|
|
$
|
29.82
|
December 31, 2004
|
|
$
|
31.69
|
|
$
|
28.78
|
|
$
|
31.08
|
March 31, 2005
|
|
$
|
31.38
|
|
$
|
29.13
|
|
$
|
29.90
|
June 30, 2005
|
|
$
|
31.08
|
|
$
|
28.89
|
|
$
|
30.79
|
September 30, 2005
|
|
$
|
31.44
|
|
$
|
29.00
|
|
$
|
29.29
|
December 30, 2005
|
|
$
|
32.35
|
|
$
|
28.82
|
|
$
|
31.42
|
March 31, 2006
|
|
$
|
32.75
|
|
$
|
30.31
|
|
$
|
31.94
|
June 30, 2006
|
|
$
|
34.86
|
|
$
|
31.90
|
|
$
|
33.54
|
September 29, 2006
|
|
$
|
36.89
|
|
$
|
33.36
|
|
$
|
36.18
|
December 29, 2006
|
|
$
|
36.99
|
|
$
|
34.90
|
|
$
|
35.56
|
March 30, 2007
|
|
$
|
36.64
|
|
$
|
33.01
|
|
$
|
34.43
|
June 29, 2007
|
|
$
|
36.49
|
|
$
|
33.93
|
|
$
|
35.17
|
September 30, 2007
|
|
$
|
37.99
|
|
$
|
32.67
|
|
$
|
35.62
|
December 31, 2007
|
|
$
|
37.78
|
|
$
|
29.29
|
|
$
|
30.19
|
March 31, 2008
|
|
$
|
34.56
|
|
$
|
24.42
|
|
$
|
29.10
|
June 30, 2008
|
|
$
|
32.34
|
|
$
|
23.46
|
|
$
|
23.75
|
July 28, 2008*
|
|
$
|
31.97
|
|
$
|
20.46
|
|
$
|
27.93
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: WFC
Initial price: $27.93
Protection level: 75.00%
Protection price: $20.95
Physical delivery amount: 35 ($1,000/Initial price)
Fractional shares:
0.803795
Coupon: 14.50% per annum
Maturity:
October 30, 2008
Dividend yield: 4.44% per annum
Coupon amount per monthly: $12.08
PS-21
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
3.625%
|
|
101.11%
|
+ 90%
|
|
3.625%
|
|
91.11%
|
+ 80%
|
|
3.625%
|
|
81.11%
|
+ 70%
|
|
3.625%
|
|
71.11%
|
+ 60%
|
|
3.625%
|
|
61.11%
|
+ 50%
|
|
3.625%
|
|
51.11%
|
+ 40%
|
|
3.625%
|
|
41.11%
|
+ 30%
|
|
3.625%
|
|
31.11%
|
+ 20%
|
|
3.625%
|
|
21.11%
|
+ 10%
|
|
3.625%
|
|
11.11%
|
+ 5%
|
|
3.625%
|
|
6.11%
|
|
|
|
|
|
0%
|
|
3.625%
|
|
1.11%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
3.625%
|
|
-1.375%
|
|
-3.89%
|
- 10%
|
|
3.625%
|
|
-6.375%
|
|
-8.89%
|
- 20%
|
|
3.625%
|
|
-16.375%
|
|
-18.89%
|
- 30%
|
|
N/A
|
|
-26.375%
|
|
-28.89%
|
- 40%
|
|
N/A
|
|
-36.375%
|
|
-38.89%
|
- 50%
|
|
N/A
|
|
-46.375%
|
|
-48.89%
|
- 60%
|
|
N/A
|
|
-56.375%
|
|
-58.89%
|
- 70%
|
|
N/A
|
|
-66.375%
|
|
-68.89%
|
- 80%
|
|
N/A
|
|
-76.375%
|
|
-78.89%
|
- 90%
|
|
N/A
|
|
-86.375%
|
|
-88.89%
|
- 100%
|
|
N/A
|
|
-96.375%
|
|
-98.89%
|
PS-22
United States Steel Corporation
According to publicly available information, United States Steel Corporation (the Company) is an integrated steel producer with major production operations in North America and Central Europe. An
integrated producer uses iron ore and coke as primary raw materials for steel production. The Company has annual raw steel production capability of 31.7 million net tons and is the fifth largest steel producer in the world. . The Company is
also engaged in several other business activities, most of which are related to steel manufacturing. These include the production of coke in both the North America and Central Europe; and the production of iron ore pellets from taconite,
transportation services (railroad and barge operations), real estate operations, and engineering and consulting services in North America.
The linked
shares SEC file number is 1-16811.
Historical Performance of the Linked Share
The following table sets forth the high and low intraday prices, as well as end-of-quarter closing prices, during the periods indicated below. We obtained the historical trading price information set forth below from
Bloomberg, L.P., without independent verification.
|
|
|
|
|
|
|
|
|
|
Quarter/Period Ending
|
|
Quarterly
High
|
|
Quarterly
Low
|
|
Quarterly
Close
|
September 30, 2002
|
|
$
|
19.98
|
|
$
|
10.66
|
|
$
|
11.61
|
December 31, 2002
|
|
$
|
14.90
|
|
$
|
10.87
|
|
$
|
13.12
|
March 31, 2003
|
|
$
|
17.68
|
|
$
|
9.61
|
|
$
|
9.83
|
June 30, 2003
|
|
$
|
17.88
|
|
$
|
9.72
|
|
$
|
16.37
|
September 30, 2003
|
|
$
|
20.05
|
|
$
|
15.11
|
|
$
|
18.38
|
December 31, 2003
|
|
$
|
37.00
|
|
$
|
18.54
|
|
$
|
35.02
|
March 31, 2004
|
|
$
|
40.15
|
|
$
|
31.40
|
|
$
|
37.27
|
June 30, 2004
|
|
$
|
39.98
|
|
$
|
25.23
|
|
$
|
35.12
|
September 30, 2004
|
|
$
|
39.98
|
|
$
|
32.95
|
|
$
|
37.62
|
December 31, 2004
|
|
$
|
54.06
|
|
$
|
32.15
|
|
$
|
51.25
|
March 31, 2005
|
|
$
|
63.90
|
|
$
|
45.20
|
|
$
|
50.85
|
June 30, 2005
|
|
$
|
52.12
|
|
$
|
34.05
|
|
$
|
34.37
|
September 30, 2005
|
|
$
|
45.95
|
|
$
|
34.09
|
|
$
|
42.35
|
December 30, 2005
|
|
$
|
51.45
|
|
$
|
33.59
|
|
$
|
48.07
|
March 31, 2006
|
|
$
|
64.47
|
|
$
|
48.05
|
|
$
|
60.68
|
June 30, 2006
|
|
$
|
77.52
|
|
$
|
56.15
|
|
$
|
70.12
|
September 29, 2006
|
|
$
|
70.66
|
|
$
|
53.63
|
|
$
|
57.68
|
December 29, 2006
|
|
$
|
79.01
|
|
$
|
54.18
|
|
$
|
73.14
|
March 30, 2007
|
|
$
|
101.60
|
|
$
|
68.83
|
|
$
|
99.17
|
June 29, 2007
|
|
$
|
127.26
|
|
$
|
99.07
|
|
$
|
108.75
|
September 30, 2007
|
|
$
|
116.37
|
|
$
|
74.47
|
|
$
|
105.94
|
December 31, 2007
|
|
$
|
121.11
|
|
$
|
85.05
|
|
$
|
120.91
|
March 31, 2008
|
|
$
|
128.30
|
|
$
|
91.11
|
|
$
|
126.87
|
June 30, 2008
|
|
$
|
196.00
|
|
$
|
122.00
|
|
$
|
184.78
|
July 28, 2008*
|
|
$
|
180.57
|
|
$
|
133.72
|
|
$
|
145.33
|
*
|
High, low and closing prices are for the period starting July 1, 2008 and ending July 28, 2008.
|
Hypothetical Examples
The following Table of Hypothetical Values at
Maturity demonstrates the hypothetical amount payable at maturity based on the assumptions outlined below. Some amounts are rounded and actual returns may be different. See section Description of Hypothetical Examples above.
Assumptions:
|
|
Investor purchases $1,000 principal amount of Notes on the initial valuation date at the initial public offering price and holds the Notes to maturity.
|
|
|
No market disruption events, antidilution adjustments, reorganization events or events of default occur during the term of the Notes.
|
Linked share: X
Initial price: $145.33
Protection level: 80.00%
Protection price: $116.26
Physical delivery amount: 6 ($1,000/Initial price)
Fractional shares:
0.880892
Coupon: 20.00% per annum
Maturity:
October 30, 2008
Dividend yield: 0.62% per annum
Coupon amount per monthly: $16.67
PS-23
Table of Hypothetical Values at Maturity
|
|
|
|
|
|
|
|
|
3-Month Total Return
|
Final Level
(% Change)
|
|
Investment in the
Notes
|
|
Direct Investment in
the Linked Shares
|
+ 100%
|
|
5.00%
|
|
100.16%
|
+ 90%
|
|
5.00%
|
|
90.16%
|
+ 80%
|
|
5.00%
|
|
80.16%
|
+ 70%
|
|
5.00%
|
|
70.16%
|
+ 60%
|
|
5.00%
|
|
60.16%
|
+ 50%
|
|
5.00%
|
|
50.16%
|
+ 40%
|
|
5.00%
|
|
40.16%
|
+ 30%
|
|
5.00%
|
|
30.16%
|
+ 20%
|
|
5.00%
|
|
20.16%
|
+ 10%
|
|
5.00%
|
|
10.16%
|
+ 5%
|
|
5.00%
|
|
5.16%
|
|
|
|
|
|
0%
|
|
5.00%
|
|
0.16%
|
|
|
|
|
|
|
|
|
|
|
Protection Price Ever
Breached?
|
|
|
|
|
NO
|
|
YES
|
|
|
- 5%
|
|
5.00%
|
|
0.00%
|
|
-4.84%
|
- 10%
|
|
5.00%
|
|
-5.00%
|
|
-9.84%
|
- 20%
|
|
5.00%
|
|
-15.00%
|
|
-19.84%
|
- 30%
|
|
N/A
|
|
-25.00%
|
|
-29.84%
|
- 40%
|
|
N/A
|
|
-35.00%
|
|
-39.84%
|
- 50%
|
|
N/A
|
|
-45.00%
|
|
-49.84%
|
- 60%
|
|
N/A
|
|
-55.00%
|
|
-59.84%
|
- 70%
|
|
N/A
|
|
-65.00%
|
|
-69.84%
|
- 80%
|
|
N/A
|
|
-75.00%
|
|
-79.84%
|
- 90%
|
|
N/A
|
|
-85.00%
|
|
-89.84%
|
- 100%
|
|
N/A
|
|
-95.00%
|
|
-99.84%
|
PS-24
Ipath Goldman Sachs Barclays Bank Plc Ipath Exchange Traded Notes Linked TO The Cboe S&P 500 Buywrite Index (delisted) (AMEX:BWV)
Historical Stock Chart
From Jun 2024 to Jul 2024
Ipath Goldman Sachs Barclays Bank Plc Ipath Exchange Traded Notes Linked TO The Cboe S&P 500 Buywrite Index (delisted) (AMEX:BWV)
Historical Stock Chart
From Jul 2023 to Jul 2024