Filed Pursuant to Rule 424(b)(3)

Registration No. 333-132911

 

$75,000,000 Accelerated Return Notes    Pricing Date    September 26, 2007
Linked to the PHLX Gold & Silver SectorSM Index Due December 3, 2008    Settlement Date    October 3, 2007

Term Sheet No. 2861

   Maturity Date    December 3, 2008
   CUSIP No. 59022W547

 

Merrill Lynch & Co., Inc.
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•        3-to-1 upside exposure, subject to a cap of 32.10%

 

•        1-to-1 downside exposure, with no downside limit

 

•        A maturity of 14 months

 

•        Approved for listing on AMEX under the symbol “GGW”

 

•        No periodic interest payments

 

The Notes will have the terms specified in this preliminary term sheet as supplemented by the documents indicated herein under “Additional Note Terms” (together the “Note Prospectus”). Investing in the Notes involves a number of risks. See “Risk Factors” on page TS-5 of this term sheet and beginning on page PS-4 of product supplement ARN-1.

Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of these securities or determined if this Note Prospectus is truthful or complete. Any representation to the contrary is a criminal offense.

 

     Per Unit    Total
Public offering price (1)    $10.00    $75,000,000
Underwriting discount (1)    $.20    $1,500,000
Proceeds, before expenses, to Merrill Lynch & Co., Inc.    $9.80    $73,500,000

 

  (1) The public offering price and underwriting discount for any purchase of 500,000 units or more in any single transaction by an individual investor will be $9.95 per unit and $.15 per unit, respectively,

“Accelerated Return NotesSM” is a service mark of Merrill Lynch & Co., Inc.

“PHLX Gold & Silver SectorSM” and “XAUSM” are service marks of the Philadelphia Stock Exchange, Inc. and have been licensed for use by Merrill Lynch, Pierce, Fenner & Smith Incorporated. Merrill Lynch & Co. is an authorized sublicensee.

Merrill Lynch & Co.

September 26, 2007


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Summary

The Accelerated Return NotesSM Linked to the PHLX Gold and Silver SectorSM Index due December 3, 2008 (the “Notes”) are senior, unsecured debt securities of Merrill Lynch & Co., Inc. that provide a leveraged return for investors, subject to a cap, if the level of the PHLX Gold and Silver Sector Index (Bloomberg Symbol “XAU <Index>“) (the “Index”) increases moderately from the Starting Value of the Index, determined on the Pricing Date, to the Ending Value of the Index, determined on valuation dates shortly prior to the maturity date of the Notes. Investors must be willing to forego interest payments on the Notes and willing to accept a return that is capped or a repayment that is less, and potentially significantly less, than the original public offering price of the Notes.

 

Terms of the Notes   Determining Payment at
Maturity for the Notes
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Accelerated Return Notes   TS-2


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Hypothetical Payout Profile

 

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This graph reflects the hypothetical returns on the Notes, including a Capped Value of 32.10%. The orange line reflects the hypothetical returns on the Notes, while the dotted blue line reflects the hypothetical return of an investment in the Index excluding dividends.

 

This graph has been prepared for purposes of illustration only. Your actual return will depend on the actual Ending Value and the term of your investment.

 

Hypothetical Payments at Maturity

Examples

Set forth below are three examples of payment at maturity calculations, including a Starting Value of 165.01, the level of the Index on the Pricing Date and a Capped Value of $13.21.

Example 1—The hypothetical Ending Value is 80% of the Starting Value:

Starting Value: 165.01

Hypothetical Ending Value: 132.01

 

$10 ×  

(

 

 

132.01

 

 

)

 

  =  $8.00     
   

 

165.01

     

Payment at maturity (per unit) = $8.00

Example 2—The hypothetical Ending Value is 103% of the Starting Value:

Starting Value: 165.01

Hypothetical Ending Value: 169.96

 

$10 +  

(

 

  $30 x  

(

 

 

169.96 - 165.01

 

 

)

 

 

)

 

  =  $10.90  
       

 

165.01

       

Payment at maturity (per unit) = $10.90

Example 3—The hypothetical Ending Value is 120% of the Starting Value:

Starting Value: 165.01

Hypothetical Ending Value: 198.01

 

$10 +  

(

 

  $30 x  

(

 

 

198.01 - 165.01

 

 

)

 

 

)

 

  =  $16.00  
       

 

165.01

       

Payment at maturity (per unit) = $13.21        (Payment at maturity cannot be greater than the Capped Value)

 

Accelerated Return Notes   TS-3


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The following table illustrates, for a Starting Value of 165.01 (the closing level of the Index as obtained from Bloomberg page XAU <Index> on the Pricing Date) and a range of hypothetical Ending Values of the Index:

 

  Ÿ  

the percentage change from the Starting Value to the hypothetical Ending Value;

  Ÿ  

the total amount payable on the maturity date per unit;

  Ÿ  

the total rate of return to holders of the Notes;

  Ÿ  

the pretax annualized rate of return to holders of the Notes; and

  Ÿ  

the pretax annualized rate of return of a hypothetical investment in the stocks included in the Index, which includes an assumed aggregate dividend yield of 1.102% per annum, as more fully described below.

The table below includes a Capped Value of $13.21.

 

Hypothetical

Ending Value

  

Percentage change
from the

Starting Value

to the hypothetical

Ending Value

  

Total amount

payable on the

maturity date

per unit

  

Total

rate of

return on

the Notes

  

Pretax

annualized

rate of

return on

the Notes (1)

  

Pretax

annualized rate

of return of the
stocks

included in the Index (1)(2)

  82.51    -50.00%      $5.00    -50.00%    -50.68%    -49.38%
  99.01    -40.00%      $6.00    -40.00%    -38.75%    -37.52%
115.51    -30.00%      $7.00    -30.00%    -27.92%    -26.74%
132.01    -20.00%      $8.00    -20.00%    -17.96%    -16.82%
148.51    -10.00%      $9.00    -10.00%      -8.69%      -7.58%
151.81      -8.00%      $9.20      -8.00%      -6.91%      -5.80%
155.11      -6.00%      $9.40      -6.00%      -5.15%      -4.05%
158.41      -4.00%      $9.60      -4.00%      -3.41%      -2.32%
161.71      -2.00%      $9.80      -2.00%      -1.70%      -0.60%
      165.01 (3)        0.00%    $10.00        0.00%        0.00%        1.09%
168.31        2.00%    $10.60        6.00%        4.97%        2.76%
171.61        4.00%    $11.20      12.00%        9.79%        4.42%
174.91        6.00%    $11.80      18.00%      14.45%        6.05%
178.21        8.00%    $12.40      24.00%      18.98%        7.67%
181.51      10.00%    $13.00      30.00%      23.39%        9.27%
198.01      20.00%          $13.21 (4)      32.10%      24.90%      17.04%
214.51      30.00%    $13.21      32.10%      24.90%      24.44%
231.01      40.00%    $13.21      32.10%      24.90%      31.52%
247.52      50.00%    $13.21      32.10%      24.90%      38.31%

 

(1) The annualized rates of return specified in this column are calculated on a semiannual bond equivalent basis and assume an investment term from October 3, 2007 to December 3, 2008, a term equal to that of the Notes.

 

(2) This rate of return assumes:

 

  (a) a percentage change in the aggregate price of the stocks included in the Index that equals the percentage change in the Index from the Starting Value to the relevant hypothetical Ending Value;

 

  (b) a constant dividend yield of 1.102% per annum, paid quarterly from the date of initial delivery of the Notes, applied to the level of the Index at the end of each quarter assuming this value increases or decreases linearly from the Starting Value to the applicable hypothetical Ending Value; and

 

  (c) no transaction fees or expenses.

 

(3) This is the Starting Value.

 

(4) The total amount payable on the maturity date per unit of the Notes cannot exceed the Capped Value.

The above figures are for purposes of illustration only. The actual amount received by you and the resulting total and pretax annualized rates of return will depend on the actual Ending Value and term of your investment.

 

Accelerated Return Notes   TS-4


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Risk Factors

An investment in the Notes involves significant risks. The following is a list of certain of the risks involved in investing in the Notes. You should carefully review the more detailed explanation of risks relating to the Notes in the “Risk Factors” sections included in the product supplement and MTN prospectus supplement identified below under “Additional Note Terms”. We also urge you to consult your investment, legal, tax, accounting and other advisers before you invest in the Notes.

 

  Ÿ  

Your investment may result in a loss.

 

  Ÿ  

Your yield may be lower than the yield on other debt securities of comparable maturity.

 

  Ÿ  

Your return is limited and may not reflect the return on a direct investment in the stocks included in the Index.

 

  Ÿ  

You must rely on your own evaluations regarding the merits of an investment linked to the Index.

 

  Ÿ  

Your return will not reflect dividends on the stocks included in the Index.

 

  Ÿ  

There may be an uncertain trading market for the Notes and the market price you may receive or be quoted for your Notes on a date prior to the stated maturity date will be affected by this and other important factors, including our costs of developing, hedging and distributing the Notes.

 

  Ÿ  

The publisher of the Index may adjust the Index in a way that affects its level, and such publisher has no obligation to consider your interests.

 

  Ÿ  

Many factors affect the trading value of the Notes; these factors interrelate in complex ways and the effect of any one factor may offset or magnify the effect of another factor.

 

  Ÿ  

Purchases and sales by us and our affiliates may affect your return.

 

  Ÿ  

Potential conflicts of interest could arise.

 

  Ÿ  

Tax consequences are uncertain.

Additional Risk Factors

The stocks included in the Index are concentrated in one industry. All of the stocks included in the Index are issued by companies in the gold and silver mining industry, or companies whose revenues consist of royalty income from gold and silver mining operations. As a result, the stocks that will determine the performance of the Notes are concentrated in one industry. Although an investment in the Notes will not give holders any ownership or other direct interests in the stocks underlying the Index, the return on an investment in the Notes will be subject to certain risks associated with direct equity investments in the gold and silver mining industry.

The Index is not necessarily representative of the gold and silver mining industry. While the stocks comprising the Index are common stocks of companies generally considered to be involved in various segments of the gold and silver mining industry, or companies whose revenues consist of royalty income from gold and silver mining operations, the stocks underlying the Index and the Index may not necessarily follow the price movements of the entire gold and silver mining industry generally. If the stocks underlying the Index decline in value, the Index will decline in value even if common stock prices in the gold and silver mining industry generally increase in value.

The performance of the stocks underlying the Index may be influenced by gold and silver prices. The performance of the stocks underlying the Index may be affected by the price of gold and silver in commodities markets. Gold and silver prices are subject to volatile price movements over short periods of time and are affected by numerous factors. These include economic factors, including, among other things, the structure of and confidence in the global monetary system, expectations of the future rate of inflation, the relative strength of, and confidence in, the U.S. dollar (the currency in which the prices of gold and silver are generally quoted), interest rates and gold and silver borrowing and lending rates, and global or regional economic, financial, political, regulatory, judicial or other events. Gold and silver prices may also be affected by industry factors such as industrial and jewelry demand, lending, levels of gold and silver production and production costs, and short-term changes in supply and demand because of trading activities in the gold and silver market. Gold prices may also be affected by sales and purchases of gold by the official sector, including central banks and other governmental agencies and multilateral institutions which hold gold. It is not possible to predict the aggregate effect of all or any combination of these factors.

Investor Considerations

 

You may wish to consider an investment in the Notes if:

 

Ÿ  

You anticipate that the Index will appreciate moderately from the Starting Value to the Ending Value.

 

Ÿ  

You accept that your investment may result in a loss, which could be significant, if the level of the Index decreases from the Starting Value to the Ending Value.

 

Ÿ  

You accept that the return on the Notes will not exceed the Capped Value.

 

Ÿ  

You are willing to forego interest payments on the Notes, such as fixed or floating rate interest paid on traditional interest bearing debt securities.

 

Ÿ  

You want exposure to the Index with no expectation of dividends or other benefits of owning the underlying securities.

 

Ÿ  

You are willing to accept that there is no assurance that the Notes will remain listed on AMEX for the entire term of the Notes and that any listing will not ensure that a trading market will develop for the Notes or that there will be liquidity in the trading market.

The Notes may not be appropriate investments for you if:

 

Ÿ  

You anticipate that the Index will depreciate from the Starting Value to the Ending Value or that the Index will not appreciate sufficiently over the term of the Notes to provide you with your desired return.

 

Ÿ  

You are seeking principal protection or preservation of capital.

 

Ÿ  

You seek a return on your investment that will not be capped at 32.10%.

 

Ÿ  

You seek interest payments or other current income on your investment.

 

Ÿ  

You want to receive dividends or other distributions paid on the stocks included in the Index.

 

Ÿ  

You want assurances that there will be a liquid market if and when you want to sell the Notes prior to maturity.


 

Accelerated Return Notes   TS-5


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Other Provisions

We may deliver the Notes against payment therefor in New York, New York on a date that is greater than three business days following the Pricing Date. Under Rule 15c6-1 of the Securities Exchange Act of 1934, trades in the secondary market generally are required to settle in three business days, unless the parties to any such trade expressly agree otherwise. Accordingly, if the initial settlement on the Notes occurs more than three business days from the Pricing Date, purchasers who wish to trade Notes more than three business days prior to the original issue date will be required to specify alternative settlement arrangements to prevent a failed settlement.

 

Accelerated Return Notes   TS-6


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The Index

PHLX Gold and Silver SectorSM Index

All disclosure contained in this term sheet regarding the Index, including, without limitation, its make-up, method of calculation and changes in its components has been derived from publicly available information prepared by the Philadelphia Stock Exchange (the “PHLX”). ML&Co. and MLPF&S have not independently verified and make no representation as to the accuracy or completeness of such information. None of ML&Co., the calculation agent and MLPF&S accepts any responsibility for the calculation, maintenance or publication of the PHLX Gold and Silver Sector Index or any successor index.

The Index is designed to measure the performance of sixteen companies involved in the gold and silver mining industry, or companies whose revenues consist of royalty income from gold and silver mining operations (the “Underlying Stocks”). The Index (index symbol “XAU”) is published by the PHLX and was set to 100 in January 1979. Options commenced trading on the Index on December 19, 1983. The Index is a capitalization-weighted index. The following is a list of companies included in the Index and their trading symbols: Agnico-Eagle Mines Limited (AEM); AngloGold Ashanti Limited (AU); Barrick Gold Corporation (ABX); Coeur d’ Alene Mines Corporation (CDE); Freeport-McMoran Copper & Gold Inc. (FCX); Gold Fields Limited (GFI); Goldcorp Inc. (GG); Harmony Gold Mining Company Limited (HMY); Kinross Gold Corporation (KGC); Meridian Gold Inc (MDG); Newmont Mining Corporation (NEM); Pan American Silver Corp. (PAAS); Randgold Resources Limited (GOLD); Royal Gold, Inc. (RGLD), Silver Standard Resources Inc. (SSRI) and Yamana Gold Inc. (AUY). We have provided a brief description of each of the companies included in the Index and their corresponding historical price information in Annex A of this term sheet.

The PHLX is under no obligation to continue the calculation and dissemination of the Index. The Notes are not sponsored, endorsed, sold or promoted by the PHLX. No inference should be drawn from the information contained in this term sheet that the PHLX makes any representation or warranty, implied or express, to ML&Co., the holder of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes in particular or the ability of the Notes to track general stock market performance. The PHLX has no obligation to take the needs of ML&Co. or the holder of the Notes into consideration in determining, composing or calculating the Index. The PHLX is not responsible for, and has not participated in the determination of the timing of, prices for, or quantities of, the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be settled in cash. The PHLX has no obligation or liability in connection with the administration or marketing of the Notes. PHLX disclaims all responsibility for any errors or omissions in the calculation and dissemination of the Index or the manner in which the Index is applied in determining any Starting Value or Ending Value or any Redemption Amount payable to you on the maturity date of the Notes.

The level of the Index is reported on Bloomberg under the symbol “XAU”.

Historical data on the Index

The following graph sets forth the historical performance of the Index (as obtained from Bloomberg) in the period from January 2002 through August 2007. This historical data on the Index is not necessarily indicative of the future performance of the Index or what the value of the Notes may be. Any historical upward or downward trend in the value of the Index during any period set forth below is not an indication that the Index is more or less likely to increase or decrease at any time over the term of the Notes. On the Pricing Date, the closing level of the Index was 165.01.

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Accelerated Return Notes   TS-7


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Certain U.S. Federal Income Taxation Considerations

Set forth below is a summary of certain U.S. federal income tax considerations relating to an investment in the Notes. The following summary is not complete and is qualified in its entirety by the discussion under the section entitled “United States Federal Income Taxation” in the accompanying product supplement ARN-1 and MTN prospectus supplement, which you should carefully review prior to investing in the Notes.

General. There are no statutory provisions, regulations, published rulings or judicial decisions addressing or involving the characterization and treatment, for United States federal income tax purposes, of the Notes or securities with terms substantially the same as the Notes. Accordingly, the proper United States federal income tax characterization and treatment of the Notes is uncertain. Pursuant to the terms of the Notes, ML&Co. and every holder of a Note agree (in the absence of an administrative determination, judicial ruling or other authoritative guidance to the contrary) to characterize and treat a Note for all tax purposes as a pre-paid cash-settled forward contract linked to the level of the Index. Due to the absence of authorities that directly address instruments that are similar to the Notes, significant aspects of the United States federal income tax consequences of an investment in the Notes are not certain, and no assurance can be given that the Internal Revenue Service (the “IRS”) or the courts will agree with the characterization and tax treatment described above. Accordingly, prospective purchasers are urged to consult their own tax advisors regarding the United States federal income tax consequences of an investment in the Notes (including alternative characterizations and tax treatments of the Notes) and with respect to any tax consequences arising under the laws of any state, local or foreign taxing jurisdiction.

Payment on the Maturity Date. Assuming that the Notes are properly characterized and treated as pre-paid cash-settled forward contracts linked to the level of the Index, upon the receipt of cash on the maturity date of the Notes, a U.S. Holder (as defined in the accompanying product supplement ARN-1) will recognize gain or loss. The amount of such gain or loss will be the extent to which the amount of the cash received differs from the U.S. Holder’s tax basis in the Note. A U.S. Holder’s tax basis in a Note generally will equal the amount paid by the U.S. Holder to purchase the Note. It is uncertain whether any such gain or loss would be treated as ordinary income or loss or capital gain or loss. Absent a future clarification in current law (by an administrative determination, judicial ruling or otherwise), where required, ML&Co. intends to report any such gain or loss to the IRS in a manner consistent with the treatment of such gain or loss as capital gain or loss. If such gain or loss is treated as capital gain or loss, then any such gain or loss will be long-term capital gain or loss if the U.S. Holder has held the Note for more than one year as of the maturity date.

Sale or Exchange of the Notes. Assuming that the Notes are properly characterized and treated as pre-paid cash-settled forward contracts linked to the level of the Index, upon a sale or exchange of a Note prior to the maturity date of the Notes, a U.S. Holder will generally recognize capital gain or loss in an amount equal to the difference between the amount realized on such sale or exchange and such U.S. Holder’s tax basis in the Note so sold or exchanged. Any such capital gain or loss will be long-term capital gain or loss if the U.S. Holder has held the Note for more than one year as of the date of such sale or exchange.

Prospective purchasers of the Notes should consult their own tax advisors concerning the tax consequences, in light of their particular circumstances, under the laws of the United States and any other taxing jurisdiction, of the purchase, ownership and disposition of the Notes. See the discussion under the section entitled “United States Federal Income Taxation” in the accompanying product supplement ARN-1.

Experts

The consolidated financial statements, the related financial statement schedule, and management’s report on the effectiveness of internal control over financial reporting incorporated in this term sheet by reference from Merrill Lynch & Co., Inc.’s Annual Report on Form 10-K for the year ended December 29, 2006 have been audited by Deloitte & Touche LLP, an independent registered public accounting firm, as stated in their reports, which are incorporated herein by reference (which reports (1) express an unqualified opinion on the consolidated financial statements and the related financial statement schedule and include an explanatory paragraph regarding the change in accounting method in 2006 for share-based payments to conform to Statement of Financial Accounting Standard No. 123 (revised 2004), Share-Based Payment, (2) express an unqualified opinion on management’s assessment regarding the effectiveness of internal control over financial reporting, and (3) express an unqualified opinion on the effectiveness of internal control over financial reporting), and have been so incorporated in reliance upon the reports of such firm given upon their authority as experts in accounting and auditing.

With respect to the unaudited condensed consolidated interim financial information for the three-month periods ended March 30, 2007 and March 31, 2006, and the three-month and six-month periods ended June 29, 2007 and June 30, 2006 which are incorporated herein by reference, Deloitte & Touche LLP, an independent registered public accounting firm, have applied limited procedures in accordance with the standards of the Public Company Accounting Oversight Board (United States) for a review of such information. However, as stated in their reports included in ML&Co.’s Quarterly Reports on Form 10-Q for the quarters ended March 30, 2007 and June 29, 2007 (which reports include an explanatory paragraph regarding the adoption of Statement of Financial Accounting Standards No. 157, “Fair Value Measurement”, Statement of Financial Accounting Standards No. 159, “The Fair Value Option for Financial Assets and Financial Liabilities—Including an amendment of FASB Statement No. 115,” and FASB Interpretation No. 48, “Accounting for Uncertainty in Income Taxes, an Interpretation of FASB Statement No. 109.) and incorporated by reference herein, they did not audit and they do not express an opinion on that interim financial information. Accordingly, the degree of reliance on their reports on such information should be restricted in light of the limited nature of the review procedures applied. Deloitte & Touche LLP are not subject to the liability provisions of Section 11 of the Securities Act of 1933 for their reports on the unaudited condensed consolidated interim financial information because those reports are not “reports” or a “part” of the registration statement prepared or certified by an accountant within the meaning of Sections 7 and 11 of the Act.

 

Accelerated Return Notes   TS-8


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Additional Note Terms

You should read this term sheet, together with the documents listed below (collectively, the “Note Prospectus”), which together contain the terms of the Notes and supersede all prior or contemporaneous oral statements as well as any other written materials. You should carefully consider, among other things, the matters set forth under “Risk Factors” in the sections indicated on the cover of this term sheet. 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.

You may access the following documents on the SEC Website at www.sec.gov as follows (or if such address has changed, by reviewing our filings for the relevant date on the SEC Website):

 

  Ÿ  

Product supplement ARN-1 dated June 6, 2007:

http://www.sec.gov/Archives/edgar/data/65100/000119312507130792/d424b2.htm

 

  Ÿ  

Index supplement I-1 dated June 6, 2007:

http://www.sec.gov/Archives/edgar/data/65100/000119312507130785/d424b2.htm

 

  Ÿ  

MTN prospectus supplement, dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070946/d424b5.htm

 

  Ÿ  

General prospectus supplement dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070973/d424b5.htm

 

  Ÿ  

Prospectus dated March 31, 2006:

http://www.sec.gov/Archives/edgar/data/65100/000119312506070817/ds3asr.htm

Our Central Index Key, or CIK, on the SEC Website is 65100. References in this term sheet to “ML&Co.”, “we”, “us” and “our” are to Merrill Lynch & Co., Inc., and references to “MLPF&S” are to Merrill Lynch, Pierce, Fenner & Smith Incorporated.

ML&Co. has filed a registration statement (including a prospectus) with the Securities and Exchange Commission (the “SEC”) for the offering to which this term sheet relates. Before you invest, you should read the prospectus in that registration statement, and the other documents relating to this offering that ML&Co. has filed with the SEC for more complete information about ML&Co. and this offering. You may get these documents without cost by visiting EDGAR on the SEC Website at www.sec.gov. Alternatively, ML&Co., any agent or any dealer participating in this offering, will arrange to send you the Note Prospectus if you so request by calling toll-free 1-866-500-5408.

 

Accelerated Return Notes   TS-9


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ANNEX A

This annex contains tables which provide a brief synopsis of the business of each of the stocks that comprise the Index as well as the split-adjusted month-end closing market prices for each stock in each month from January 2002 through August 2007 (or from the first month-end for which that data is available). The historical prices of the Underlying Stocks are not indicative of the future performance of the Underlying Stocks or the Index. The following information, with respect to the business of each company issuing a common stock underlying the Index, has been derived from publicly available documents published by that company. We make no representation or warranty as to the accuracy or completeness of the following information. Because the common stock of each of those companies is registered under the Securities Exchange Act of 1934, those companies are required to file periodically financial and other information specified by the Securities and Exchange Commission (the “SEC”). For more information about those companies, information provided to or filed with the SEC by those companies can be inspected at the SEC’s public reference facilities or accessed through the SEC’s website at http://www.sec.gov.

AGNICO-EAGLE MINES LIMITED

Agnico-Eagle Mines Limited is a Canadian gold producer with mining operations located in northwestern Quebec and exploration and development activities in Canada, Finland, the western United States and Northern Mexico. Agnico-Eagle Mines Limited’s operating history includes over three decades of continuous gold production primarily from underground operations.

 

2002

 

Closing
Price

 

2003

 

Closing
Price

 

2004

 

Closing
Price

 

2005

 

Closing
Price

 

2006

 

Closing
Price

 

2007

 

Closing
Price

January

  11.49   January   14.57   January   12.75   January   12.74   January   24.52   January   40.25

February

  12.12   February   13.78   February   13.64   February   14.47   February   25.64   February   39.33

March

  13.35   March   13.11   March   14.93   March   14.55   March   30.45   March   35.42

April

  13.89   April   10.02   April   12.12   April   13.15   April   36.86   April   35.28

May

  16.75   May   11.14   May   13.91   May   11.85   May   33.36   May   36.31

June

  14.57   June   11.60   June   13.21   June   12.60   June   33.08   June   36.50

July

  11.54   July   12.01   July   13.23   July   12.22   July   35.79   July   42.54

August

  14.88   August   14.41   August   13.61   August   13.08   August   37.75   August   44.45

September

  16.01   September   12.36   September   14.28   September   14.81   September   31.13    

October

  12.09   October   10.87   October   15.45   October   13.66   October   36.97    

November

  11.00   November   11.85   November   15.72   November   14.63   November   43.93    

December

  14.86   December   12.07   December   13.75   December   19.76   December   41.24    

ANGLOGOLD ASHANTI LIMITED

AngloGold Ashanti Limited, headquartered in Johannesburg, South Africa, is a global gold company with a portfolio of long-life, relatively low-cost assets and differing orebody types in key gold producing regions. AngloGold Ashanti Limited’s 21 operations comprising open-pit and underground mines and surface metallurgical plants are located in ten countries (Argentina, Australia, Brazil, Ghana, Guinea, Mali, Namibia, South Africa, Tanzania and the United States of America), and are supported by extensive exploration activities.

 

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January

  20.64   January   35.32   January   40.33   January   32.77   January   61.18   January   47.00

February

  23.50   February   32.52   February   42.95   February   35.97   February   50.92   February   44.06

March

  25.18   March   30.18   March   42.27   March   34.45   March   54.12   March   44.59

April

  26.80   April   28.22   April   31.42   April   31.78   April   54.68   April   44.57

May

  32.06   May   29.12   May   35.02   May   34.34   May   46.23   May   41.72

June

  26.08   June   31.90   June   32.16   June   35.73   June   48.12   June   37.82

July

  21.00   July   33.03   July   32.79   July   34.38   July   48.59   July   42.16

August

  23.22   August   37.57   August   35.50   August   35.49   August   46.13   August   39.03

September

  26.65   September   37.70   September   38.90   September   42.44   September   37.74    

October

  25.17   October   38.64   October   37.08   October   39.10   October   42.57    

November

  26.61   November   47.97   November   39.91   November   42.11   November   48.22    

December

  34.26   December   46.70   December   36.35   December   49.33   December   47.09    

 

Accelerated Return Notes   TS-10


LOGO

 

BARRICK GOLD CORPORATION

Barrick Gold Corporation describes itself as the preeminent gold mining company in terms of market capitalization, annual gold production and gold reserves. In early 2006, it completed the acquisition of Placer Dome Inc., which resulted in a significant increase in the scale of its mining operations. The acquisition of Placer Dome also added significant copper reserves at two mines, Zaldívar in Chile and Osborne in Australia. Barrick Gold Corporation generates revenue and cash flow from the production and sale of gold and copper. It sells its production in the world market through three primary distribution channels: gold bullion is sold in the gold spot market; gold and copper concentrate is sold to independent smelting companies; and gold bullion and copper cathode is sold under gold and copper cathode sales contracts between Barrick Gold Corporation and various third parties.

 

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January

  17.19   January   16.45   January   19.70   January   21.86   January   31.46   January   29.62

February

  18.05   February   16.12   February   20.45   February   24.90   February   27.37   February   29.91

March

  18.56   March   15.56   March   23.78   March   23.96   March   27.24   March   28.55

April

  20.07   April   14.95   April   19.23   April   22.32   April   30.48   April   28.11

May

  21.80   May   17.48   May   20.67   May   22.99   May   30.61   May   29.13

June

  18.99   June   17.90   June   19.75   June   25.03   June   29.60   June   29.07

July

  15.32   July   17.12   July   19.12   July   24.50   July   30.80   July   32.90

August

  16.07   August   20.21   August   20.00   August   26.22   August   33.48   August   32.52

September

  15.55   September   18.83   September   21.04   September   29.05   September   30.72    

October

  15.07   October   19.47   October   22.51   October   25.25   October   31.00    

November

  14.67   November   22.39   November   24.59   November   26.61   November   31.44    

December

  15.41   December   22.71   December   24.22   December   27.87   December   30.70    

COEUR D’ALENE MINES CORPORATION

Coeur d’Alene Mines Corporation is a large primary silver producer located in North America and is engaged, through its subsidiaries, in the operation and/or ownership, development and exploration of silver and gold mining properties and companies located primarily within the United States (Nevada and Alaska) South America (Chile, Argentina and Bolivia), Australia (New South Wales) and Africa (Tanzania).

 

2002

 

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2003

 

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January

  0.88   January   1.80   January   5.45   January   3.53   January   5.18   January   4.38

February

  1.25   February   1.54   February   7.08   February   4.01   February   5.54   February   4.52

March

  1.46   March   1.41   March   7.00   March   3.67   March   6.56   March   4.11

April

  1.29   April   1.33   April   4.63   April   3.09   April   6.98   April   4.09

May

  1.85   May   1.32   May   4.69   May   3.33   May   4.78   May   3.61

June

  1.69   June   1.39   June   4.08   June   3.63   June   4.81   June   3.59

July

  1.47   July   1.99   July   3.46   July   3.55   July   4.78   July   3.91

August

  1.98   August   3.15   August   3.60   August   3.65   August   5.43   August   3.42

September

  1.56   September   3.11   September   4.74   September   4.23   September   4.71    

October

  1.39   October   3.49   October   4.95   October   3.77   October   4.90    

November

  1.49   November   5.18   November   4.59   November   4.31   November   5.45    

December

  1.92   December   5.78   December   3.93   December   4.00   December   4.95    

 

Accelerated Return Notes   TS-11


LOGO

 

FREEPORT-MCMORAN COPPER & GOLD INC.

Through its majority-owned subsidiary, PT Freeport Indonesia, Freeport-McMoran Copper & Gold Inc. has one of the world’s largest copper and gold mining and production operations in terms of reserves and production. It is also a copper producer. Its principal asset is the Grasberg minerals district.

 

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January

  15.55   January   18.77   January   36.86   January   36.81   January   64.25   January   57.51

February

  14.65   February   17.02   February   42.65   February   41.82   February   50.63   February   57.41

March

  17.62   March   17.05   March   39.09   March   39.61   March   59.77   March   66.19

April

  17.76   April   17.31   April   30.50   April   34.66   April   64.58   April   67.16

May

  19.75   May   21.95   May   33.63   May   35.30   May   55.99   May   78.70

June

  17.85   June   24.50   June   33.15   June   37.44   June   55.41   June   82.82

July

  15.27   July   26.79   July   34.85   July   40.28   July   54.56   July   93.98

August

  16.39   August   30.00   August   37.63   August   42.17   August   58.21   August   87.42

September

  13.46   September   33.10   September   40.50   September   48.59   September   53.26    

October

  12.20   October   38.75   October   36.22   October   49.42   October   60.48    

November

  15.50   November   43.53   November   39.13   November   52.11   November   62.87    

December

  16.78   December   42.13   December   38.23   December   53.80   December   55.73    

GOLD FIELDS LIMITED

Gold Fields is a significant producer of gold and major holder of gold reserves in South Africa, Ghana and Australia. Gold Fields is primarily involved in underground and surface gold mining and related activities, including exploration, extraction, processing and smelting, and also has strategic interests in platinum group metals exploration. Gold Fields is currently the second largest gold producer in South Africa and one of the largest gold producers in the world, on the basis of annual production.

 

2002

 

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2003

 

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January

  6.42   January   13.13   January   12.87   January   11.32   January   23.58   January   16.89

February

  8.73   February   12.69   February   12.49   February   12.08   February   22.23   February   17.63

March

  10.42   March   10.50   March   13.15   March   11.49   March   21.98   March   18.48

April

  12.10   April   10.15   April   10.17   April   9.95   April   25.41   April   17.97

May

  13.93   May   11.38   May   11.63   May   10.99   May   21.91   May   17.32

June

  11.22   June   12.18   June   10.51   June   11.35   June   22.90   June   15.70

July

  9.98   July   11.98   July   10.26   July   10.79   July   20.85   July   16.52

August

  11.77   August   13.42   August   12.14   August   11.46   August   19.88   August   15.16

September

  12.80   September   14.17   September   13.65   September   14.53   September   17.84    

October

  11.00   October   14.32   October   14.42   October   13.20   October   16.76    

November

  10.73   November   13.69   November   14.12   November   14.95   November   19.13    

December

  13.96   December   13.94   December   12.48   December   17.63   December   18.88    

 

Accelerated Return Notes   TS-12


LOGO

 

GOLDCORP INC.

Goldcorp Inc. is a leading gold producer engaged in gold mining and related activities including exploration, extraction, processing and reclamation. Goldcorp Inc.’s assets are comprised of the Red Lake, Porcupine (51% interest) and Musselwhite (68% interest) gold mines in Canada, the Alumbrera gold/copper mine (37.5% interest) in Argentina, the El Sauzal gold mine and Luismin gold/silver mines in Mexico, the Marlin gold/silver mine in Guatemala, the San Martin gold mine in Honduras, the Amapari gold mine in Brazil, the La Coipa gold/silver mine (50% interest) in Chile, the Peak gold mine in Australia and the Marigold gold mine (67% interest) and Wharf gold mine in the United States. Significant development projects include the expansion of the existing Red Lake mine, the Peñasquito gold/silver/zinc project and Los Filos gold project in Mexico, the Éléonore gold project in Canada, the Cerro Blanco gold project in Guatemala and the Pueblo Viejo gold project (40% interest) in the Dominican Republic. Goldcorp Inc. also owns a 49% interest in Silver Wheaton Corp., a publicly traded silver mining company, and 77% interest in Terrane Metals Corp., a publicly traded exploration company.

 

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January

    7.11   January   12.20   January   13.36   January   13.99   January   27.36   January   27.71

February

    8.20   February   11.44   February   13.35   February   13.67   February   25.45   February   26.81

March

    8.73   March   10.61   March   14.81   March   14.21   March   29.25   March   24.02

April

    8.91   April   10.43   April   11.09   April   12.94   April   35.12   April   24.34

May

  11.75   May   11.73   May   12.11   May   13.59   May   30.66   May   24.09

June

    9.95   June   12.00   June   11.67   June   15.78   June   30.22   June   23.69

July

    8.48   July   12.12   July   11.51   July   16.26   July   29.27   July   25.41

August

  10.46   August   13.02   August   12.86   August   18.06   August   27.66   August   23.57

September

  11.03   September   13.96   September   13.86   September   20.04   September   23.60    

October

    9.60   October   15.69   October   13.84   October   19.96   October   26.28    

November

    9.95   November   17.90   November   15.21   November   20.32   November   31.17    

December

  12.72   December   15.95   December   15.04   December   22.28   December   28.44    

HARMONY GOLD MINING COMPANY LIMITED

Harmony Gold Mining Company Limited, a South African company, conducts underground and surface gold mining and related activities, including exploration, processing, smelting, refining and beneficiation. It is the third largest producer of gold in South Africa, producing 30% of the country’s annual gold output, and the fifth largest gold producer in the world with operations and projects in South Africa, Australia and Papua New Guinea. Harmony Gold Mining Company Limited also has exploration and evaluation programs focused on parts of Australia, Papua New Guinea, Africa and Europe.

 

2002

 

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2003

 

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2007

 

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January

    7.99   January   15.57   January   15.27   January     8.13   January   18.63   January   13.39

February

  10.56   February   14.21   February   15.05   February     8.54   February   13.99   February   13.83

March

  11.30   March   12.23   March   15.43   March     7.80   March   15.88   March   13.90

April

  13.06   April   10.50   April   11.04   April     6.27   April   16.80   April   15.88

May

  16.19   May   13.10   May   11.98   May     7.65   May   14.34   May   14.93

June

  13.53   June   13.47   June   10.59   June     8.56   June   16.29   June   14.27

July

  11.10   July   12.49   July   10.96   July     8.20   July   14.30   July   13.84

August

  14.25   August   14.30   August   12.48   August     7.57   August   13.75   August     8.95

September

  15.65   September   14.49   September   13.62   September   10.94   September   12.93    

October

  13.08   October   15.12   October   11.80   October   10.45   October   15.54    

November

  12.84   November   15.83   November   10.48   November   12.07   November   16.96    

December

  16.81   December   16.23   December     9.27   December   13.05   December   15.75    

 

Accelerated Return Notes   TS-13


LOGO

 

KINROSS GOLD CORPORATION

Kinross Gold Corporation is principally engaged in the mining and processing of gold and, as a by-product, silver ore and the exploration for, and the acquisition of, gold bearing properties in the Americas, Russia and worldwide. The principal products of Kinross Gold Corporation are gold and silver produced in the form of doré that is shipped to refineries for final processing. Kinross Gold Corporation’s strategy is to increase shareholder value through increases in precious metal reserves, production and long-term cash flow and earnings per share. Kinross Gold Corporation’s strategy also consists of optimizing the performance and, therefore, the value of existing operations, investing in quality exploration and development projects and acquiring new potentially accretive properties and projects.

 

2002

 

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2003

 

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2006

 

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2007

 

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January

  2.88   January   7.14   January   6.99   January   6.58   January   11.54   January   13.30

February

  3.30   February   7.07   February   6.77   February   6.64   February     9.20   February   14.08

March

  3.81   March   6.16   March   7.33   March   6.00   March   10.93   March   13.79

April

  5.04   April   6.12   April   5.52   April   5.35   April   12.25   April   13.33

May

  7.71   May   6.97   May   6.15   May   5.33   May   10.99   May   13.34

June

  6.84   June   6.75   June   5.56   June   6.10   June   10.89   June   11.68

July

  5.01   July   6.49   July   5.31   July   5.56   July   11.57   July   12.98

August

  5.97   August   7.50   August   6.14   August   6.32   August   14.02   August   12.22

September

  6.57   September   7.46   September   6.78   September   7.68   September   12.52    

October

  4.95   October   8.22   October   7.44   October   6.98   October   13.20    

November

  5.13   November   8.88   November   7.93   November   7.54   November   12.53    

December

  7.35   December   7.99   December   7.04   December   9.22   December   11.88    

MERIDIAN GOLD INC.

Meridian Gold Inc. has been engaged in mining and the exploration of gold and other precious metals since 1981. During the past three completed fiscal years ended December 31, 2006 Meridian’s revenue producing properties were its El Peñón mine and Minera Florida mine in Chile. Meridian Gold Inc. has advanced stage exploration programs in Chile, Mexico and the United States. Early stage exploration programs are being conducted primarily in Chile, Mexico, Nicaragua, Peru and the United States.

 

2002

 

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2007

 

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January

  12.10   January   16.35   January   13.00   January   18.49   January   27.18   January   29.22

February

  13.13   February   13.04   February   12.79   February   19.35   February   25.34   February   27.44

March

  14.51   March     9.45   March   12.20   March   16.84   March   29.65   March   25.53

April

  15.22   April   10.18   April     9.92   April   15.24   April   32.50   April   25.25

May

  19.02   May   11.75   May   13.00   May   16.52   May   31.25   May   25.65

June

  16.05   June   11.49   June   12.97   June   18.00   June   31.68   June   27.58

July

  14.13   July   12.61   July   13.26   July   17.84   July   27.02   July   28.23

August

  19.15   August   13.06   August   13.12   August   18.89   August   29.74   August   27.77

September

  18.30   September   11.73   September   16.72   September   21.91   September   24.86    

October

  16.34   October   12.74   October   16.90   October   18.78   October   25.31    

November

  14.25   November   14.74   November   19.57   November   19.24   November   30.80    

December

  17.63   December   14.61   December   18.97   December   21.87   December   27.79    

 

Accelerated Return Notes   TS-14


LOGO

 

NEWMONT MINING CORPORATION

Newmont Mining Corporation is primarily a gold producer with significant assets or operations in the United States, Australia, Peru, Indonesia, Ghana, Canada, Bolivia, New Zealand and Mexico. Newmont is also engaged in the production of copper, principally through its Batu Hijau operation in Indonesia. Newmont Mining Corporation’s original predecessor corporation was incorporated in 1921 under the laws of Delaware.

 

2002

 

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2003

 

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2007

 

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January

  21.84   January   28.95   January   41.66   January   41.59   January   61.80   January   45.10

February

  24.12   February   27.33   February   43.45   February   45.02   February   52.92   February   45.07

March

  27.69   March   26.15   March   46.63   March   42.25   March   51.89   March   41.99

April

  28.51   April   27.02   April   37.40   April   37.97   April   58.36   April   41.70

May

  31.21   May   29.66   May   39.71   May   37.24   May   52.15   May   40.68

June

  26.33   June   32.46   June   38.76   June   39.03   June   52.93   June   39.06

July

  24.40   July   36.10   July   40.47   July   37.55   July   51.23   July   41.75

August

  28.49   August   39.26   August   44.39   August   39.58   August   51.25   August   42.26

September

  27.51   September   39.09   September   45.53   September   47.17   September   42.75    

October

  24.72   October   43.78   October   47.52   October   42.60   October   45.27    

November

  23.41   November   48.14   November   47.35   November   46.12   November   46.91    

December

  29.03   December   48.61   December   44.41   December   53.40   December   45.15    

PAN AMERICAN SILVER CORP.

Pan American Silver Corp. is principally engaged in the exploration for, and the acquisition, development and operation of, silver producing properties and assets. Pan American Silver Corp.’s principal product is silver, although copper, zinc, lead and gold are also produced and sold. At present, Pan American Silver Corp. carries on mining operations and is developing mining projects in Mexico, Peru, Argentina and Bolivia, and has control over non-producing silver resources in the United States and Argentina. Exploration work is carried out in all of the aforementioned countries, as well as elsewhere throughout the world.

 

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January

  4.42   January     7.76   January   14.46   January   15.03   January   24.19   January   28.38

February

  4.98   February     6.46   February   17.67   February   16.90   February   22.15   February   30.02

March

  5.60   March     6.10   March   17.82   March   15.86   March   25.40   March   29.59

April

  5.63   April     6.28   April   13.20   April   13.72   April   24.80   April   28.25

May

  8.66   May     6.61   May   13.49   May   14.29   May   19.24   May   28.03

June

  7.47   June     7.05   June   13.15   June   14.79   June   17.99   June   26.33

July

  6.10   July     8.90   July   13.79   July   15.85   July   18.96   July   27.77

August

  7.09   August   10.53   August   14.82   August   15.59   August   22.68   August   24.93

September

  6.15   September     9.63   September   17.03   September   17.66   September   19.54    

October

  5.53   October   10.53   October   16.82   October   15.89   October   22.16    

November

  5.40   November   13.29   November   18.06   November   18.99   November   25.94    

December

  7.84   December   14.30   December   15.98   December   18.83   December   25.17    

 

Accelerated Return Notes   TS-15


LOGO

 

RANDGOLD RESOURCES LIMITED

Randgold Resources Limited engages in gold mining, exploration and related activities. Its activities are focused on West and East Africa.

 

2002

 

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2003

 

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January

    January     7.31   January   11.00   January   11.61   January   17.94   January   23.51

February

    February     6.36   February     9.94   February   13.69   February   17.10   February   22.90

March

    March     6.53   March     9.84   March   12.36   March   18.17   March   23.91

April

    April     7.51   April     8.36   April   11.89   April   24.34   April   23.95

May

    May     8.74   May     9.10   May   12.49   May   19.61   May   23.44

June

    June     8.50   June     8.82   June   14.06   June   21.00   June   22.19

July

  3.20   July     9.85   July     8.21   July   13.30   July   22.23   July   22.90

August

  3.81   August   12.12   August     9.52   August   13.32   August   22.44   August   23.95

September

  4.52   September   11.50   September     9.87   September   15.72   September   20.36    

October

  4.20   October   11.02   October   10.88   October   13.62   October   22.67    

November

  4.25   November   13.65   November   12.68   November   15.73   November   22.94    

December

  7.34   December   13.68   December   11.42   December   16.13   December   23.46    

ROYAL GOLD, INC.

Royal Gold, Inc. is engaged in the business of acquiring and managing precious metals royalties. Royalties are passive (non-operating) interests in mining projects that provide the right to revenue from the project after deducting specified costs, if any. Substantially all of Royal Gold, Inc.’s revenues are expected to be derived from royalty interests.

 

2002

 

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2003

 

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2004

 

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2005

 

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2006

 

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2007

 

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January

    5.72   January   27.29   January   17.13   January   16.19   January   39.09   January   32.21

February

    7.13   February   19.45   February   17.04   February   17.63   February   31.43   February   33.10

March

    8.90   March   14.59   March   17.71   March   18.33   March   36.19   March   30.10

April

    8.96   April   15.96   April   12.28   April   18.84   April   34.27   April   29.33

May

  14.80   May   20.28   May   13.93   May   17.55   May   28.28   May   26.94

June

  13.66   June   21.49   June   14.17   June   20.12   June   27.82   June   23.77

July

  11.54   July   22.42   July   14.05   July   19.19   July   29.63   July   24.68

August

  14.86   August   24.47   August   15.42   August   23.88   August   29.79   August   27.76

September

  19.07   September   18.30   September   17.08   September   26.87   September   27.13    

October

  17.70   October   20.73   October   16.01   October   23.02   October   29.44    

November

  17.03   November   21.31   November   17.72   November   26.02   November   31.86    

December

  24.92   December   20.93   December   18.24   December   34.73   December   35.98    

 

Accelerated Return Notes   TS-16


LOGO

 

SILVER STANDARD RESOURCES INC.

Silver Standard Resources Inc. is engaged in the exploration of silver properties in Argentina, Australia, Canada, Chile, Mexico, Peru and the United States and the acquisition of silver properties, if warranted, throughout the world. Silver Standard Resources Inc. is an exploration stage company and none of their properties are currently beyond the advanced exploration stage.

 

2002

 

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2003

 

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2004

 

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2005

 

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2006

 

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2007

 

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January

  2.37   January     5.53   January   11.15   January   11.83   January   11.83   January   33.76

February

  2.76   February     4.97   February   15.18   February   13.61   February   13.61   February   33.81

March

  2.92   March     4.69   March   16.06   March   11.58   March   11.58   March   34.86

April

  2.94   April     4.68   April   10.57   April   10.58   April   10.58   April   36.43

May

  6.19   May     4.78   May   11.86   May   12.01   May   12.01   May   37.77

June

  5.83   June     4.91   June   12.33   June   11.69   June   11.69   June   34.37

July

  4.30   July     7.40   July   12.45   July   11.73   July   11.73   July   34.57

August

  4.80   August     7.68   August   14.44   August   11.61   August   11.61   August   29.21

September

  4.05   September     6.75   September   16.52   September   13.70   September   13.70    

October

  3.81   October     7.08   October   13.82   October   12.95   October   12.95    

November

  3.89   November   10.66   November   14.05   November   15.03   November   15.03    

December

  5.35   December   11.16   December   12.09   December   15.31   December   15.31    

YAMANA GOLD INC.

Yamana Gold Inc. is a Canadian gold producer with significant gold production, gold development stage properties, exploration properties, and land positions in Brazil, Argentina and Central America. Yamana Gold Inc. is producing gold at intermediate company production levels in addition to significant copper production. Yamana plans to continue to build on this base through the advancement of its exploration properties and by targeting other gold consolidation opportunities in the Americas.

 

2002

 

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2003

 

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2004

 

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2005

 

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2006

 

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2007

 

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January

  1.67   January   2.00   January   2.26   January   3.10   January   8.05   January   13.48

February

  1.95   February   2.65   February   2.43   February   3.32   February   8.96   February   14.65

March

  1.95   March   1.95   March   3.39   March   3.31   March   9.26   March   14.36

April

  2.62   April   2.23   April   2.10   April   2.88   April   11.02   April   13.97

May

  3.34   May   1.95   May   2.40   May   3.27   May   10.22   May   13.45

June

  3.06   June   1.39   June   2.12   June   3.69   June   9.86   June   11.12

July

  2.23   July   1.11   July   2.11   July   3.71   July   10.18   July   11.07

August

  1.95   August   1.59   August   2.36   August   3.86   August   10.25   August   11.06

September

  1.53   September   1.41   September   2.65   September   4.32   September   9.25    

October

  1.11   October   1.80   October   2.84   October   3.82   October   9.91    

November

  1.39   November   2.90   November   3.07   November   4.78   November   12.84    

December

  2.58   December   2.42   December   3.02   December   6.61   December   13.18    

 

Accelerated Return Notes   TS-17