Disclosure Statement Supplement to the Disclosure Statement dated December 19, 2011 No. 73 Goldman Sachs Bank USA $12,366,000 Contingent Coupon

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1 Disclosure Statement Supplement to the Disclosure Statement dated December 19, 2011 No. 73 Goldman Sachs Bank USA $12,366,000 Contingent Coupon Index-Linked Certificates of Deposit due 2019 (Linked to the GS Momentum Builder Multi-Asset 2 ER Index) The CDs pay a contingent annual coupon based on the performance of the GS Momentum Builder Multi-Asset 2 ER Index as measured from the trade date (September 24, 2012) to each applicable coupon determination date (September 24, 2013, September 24, 2014, September 24, 2015, September 26, 2016, September 25, 2017, September 24, 2018 and September 24, 2019), divided by the number of coupon determination dates that have occurred. On the stated maturity date (September 27, 2019), in addition to any coupon that may be due, you will receive the face amount of your CDs. The index measures the extent to which the performance of the exchange traded funds included in the index outperform 3-month USD LIBOR. The index rebalances monthly (and sometimes daily) from among 18 ETFs that track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets. The index is rebalanced monthly to reflect the weighting of the ETFs that would have provided the highest historical return during the prior six months, subject to a maximum weight for each ETF (the ETFs and their maximum weights are listed on the next page) and a limit of 4% on the degree of variation in the daily closing prices of the aggregate of such ETFs during the prior six months (a measure known as realized volatility ). In addition, if on any index business day the 3-month realized volatility of the ETFs selected on the previous monthly rebalancing date exceeds 5% and has increased by more than 1% from the last rebalancing, the index will be rebalanced in order to reduce the 3-month realized volatility to 4% by ratably reallocating a portion of the exposure to the ETFs in the index to ETFs that hold short-term U.S. government fixed income assets. If the 3-month realized volatility subsequently declines on any index business day by more than 1% from the last rebalancing, any such reallocation will be ratably reversed. The index may include as few as two ETFs at any time and may not include some of the eligible ETFs during the entire term of your CDs. Because the index measures the performance of the selected ETFs less 3-month USD LIBOR, the ETFs must outperform 3-month USD LIBOR for the index level to increase. If the index return is zero or negative you will receive only the face amount of your CDs. To determine your annual coupon, we will calculate the index return, which is the percentage increase or decrease in the index level on the relevant coupon determination date from the initial index level of For each $1,000 of your notes, you will receive an amount equal to $1,000 times the index return divided by the number of coupon determination dates that have occurred up to and including the relevant coupon determination date. If the index return on the relevant coupon determination date is zero or negative, you will not receive a coupon payment on the relevant coupon payment date (the third business day after each coupon determination date). Because your coupon is based on the performance of the index from the trade date to each coupon determination date and then divided by the number of coupon determination dates having occurred, your payment may be higher or lower than the actual return on the index between annual coupon determination dates. The foregoing is only a brief summary of the terms of your CDs. You should read the additional disclosure regarding the terms of the CDs, risk factors and index component ETFs on pages S-2, S-16 and S-74 herein, so that you may better understand the terms and risks of your investment. The estimated value of your CDs at the time the terms of your CDs were set on the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co. and taking into account our credit spreads) was equal to approximately $966 per $1,000 face amount, which is less than the original issue price. The value of your CDs at any time will reflect many factors and cannot be predicted. Original issue date: September 27, 2012 Original issue price: 100% of the face amount Placement fee: 3.25% of the face amount Net proceeds to the issuer: 96.75% of the face amount The CDs evidence deposit liabilities of Goldman Sachs Bank USA and are not obligations of or guaranteed by The Goldman Sachs Group, Inc. or any other entity. The CDs are covered, with respect to the face amount only, by federal deposit insurance, up to a maximum limit of $250,000 per depositor or $250,000 per participant in the case of certain retirement accounts. These maximum limits are the total federal deposit insurance protection available for your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. In addition, the Federal Deposit Insurance Corporation has taken the position that any unaccrued coupon is not insured by the FDIC in most instances. FDIC insurance is subject to further important limitations set forth on the next page. Disclosure Statement Supplement dated September 24, 2012.

2 Goldman Sachs Bank USA may use this disclosure statement supplement in the initial sale of the CDs. In addition, Goldman, Sachs & Co. or any other affiliate of Goldman Sachs Bank USA may use this disclosure statement supplement in a market-making transaction in a CD after its initial sale. If the CDs are purchased from Goldman, Sachs & Co. or any other affiliate of Goldman Sachs Bank USA, this disclosure statement supplement is being used in a market-making transaction, unless the purchaser is informed otherwise in the confirmation of sale. We may decide to sell additional CDs after the date of this disclosure statement supplement, at issue prices and with placement fees and net proceeds that differ from the amounts set forth above. FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA s status as an insured depository institution is terminated or suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs and any coupon accrued prior to the date of such termination or suspension. Also, FDIC insurance does not cover any losses attributable to the sale of your CDs prior to maturity and any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. Thus, the amount of any CD that will be insured by the FDIC may be less than the full amount that would otherwise be payable on the CD at maturity. For more information about the limits of FDIC insurance that apply to the CDs and the ranking of the CDs relative to other obligations of Goldman Sachs Bank USA, see Status of Certificates of Deposit on page 5 of the accompanying disclosure statement and Additional Risk Factors Specific to Your Certificates of Deposit on page S-16 of this disclosure statement supplement. The CDs have not been nor will they be registered under the Securities Act of Neither the Securities and Exchange Commission nor any other regulatory body has approved or disapproved of the CDs or passed upon the accuracy or adequacy of this disclosure statement supplement or the accompanying disclosure statement, which have not been filed with the SEC. Any representation to the contrary is a criminal offense. The following is a list of the eligible ETFs for the index. The index is more fully described beginning on page S-52 herein. ASSET CLASS ELIGIBLE ETF NYSE TICKER MINIMUM WEIGHT Short-term U.S. Treasury Bills (together, the short-term U.S. treasury position ) SPDR Barclays Capital 1-3 Month T-Bill ETF BIL 0% 50% ishares Barclays Short Treasury Bond Fund SHV 0% 50% Developed Markets Equity ishares Russell 1000 Index Fund IWB 0% 30% ishares Russell 2000 Index Fund IWM 0% 30% ishares MSCI EAFE Index Fund EFA 0% 30% US Real Estate ishares Dow Jones U.S. Real Estate Index Fund IYR 0% 30% Emerging Markets Equity Vanguard MSCI Emerging Markets ETF VWO 0% 30% ishares S&P Latin America 40 Index Fund ILF 0% 30% US Government Bonds ishares Barclays 7-10 Year Treasury Bond Fund IEF 0% 50% ishares Barclays 20+ Year Treasury Bond Fund TLT 0% 50% ishares Barclays TIPS Bond Fund TIP 0% 30% US Corporate Bonds ishares iboxx $ High Yield Corporate Bond Fund HYG 0% 30% ishares Barclays Aggregate Bond Fund AGG 0% 30% International Bonds SPDR Barclays Capital International Treasury Bond ETF BWX 0% 30% ishares JP Morgan USD Emerging Markets Bond EMB 0% 30% Fund WisdomTree EM Local Debt Fund ELD 0% 30% Commodities ishares S&P GSCI Commodity-Indexed Trust GSG 0% 25%* PowerShares DB Gold Fund DGL 0% 25%* MAXIMUM WEIGHT * The sum of the weights of the ishares S&P GSCI Commodity-Indexed Trust and the PowerShares DB Gold Fund may not exceed 25%. See the accompanying disclosure statement available at

3 SUMMARY INFORMATION We refer to the certificates of deposit we are offering by this disclosure statement supplement as the offered CDs or the CDs. Each of the offered CDs, including your CDs, has the terms described below. Please note that in this disclosure statement supplement, references to Goldman Sachs Bank USA, we, our and us refer only to Goldman Sachs Bank USA. You should read this disclosure statement supplement together with the disclosure statement dated December 19, 2011, of Goldman Sachs Bank USA, which we refer to herein as the accompanying disclosure statement. The accompanying disclosure statement is available at or may be obtained from us or your broker. Issuer: Goldman Sachs Bank USA Key Terms Index: GS Momentum Builder Multi-Asset 2 ER Index (Bloomberg symbol, GSMBMA2 Index ), as published by Structured Solutions, AG ( the index calculation agent ); see The Index on page S-51. Additional information about the index is available at the following website: We are not incorporating by reference the website or any material it includes in this disclosure statement supplement. Face amount: $12,366,000 in the aggregate for all the offered CDs, issued in minimum denominations of $1,000 and integral multiples of $1,000 in excess thereof Payment amount: on the stated maturity date, we will pay you (in addition to the final coupon, if any), for each $1,000 face amount of your CDs, an amount in cash equal to $1,000 Coupon: on each coupon payment date, for each $1,000 face amount of your CDs we will pay you an amount in cash equal to: if the index return is positive (the closing level of the index on the applicable coupon determination date is greater than the initial index level), the product of (i) $1,000 times the index return divided by (ii) the number of coupon determination dates that have occurred up to and including such coupon determination date; or if the index return is zero or negative (the closing level of the index on the applicable coupon determination date is equal to or less than the initial index level), $0. Coupon payment dates: the third business day after each coupon determination date to and including the stated maturity date, subject to adjustment as described under Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon Coupon and Coupon Payment Dates on page S-43 Coupon determination dates: September 24, 2013, September 24, 2014, September 24, 2015, September 26, 2016, September 25, 2017, September 24, 2018 and September 24, 2019, subject to adjustment as described under Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon Coupon Determination Dates on page S-43 Regular record dates: for a coupon due on a coupon payment date, the business day immediately preceding the day on which payment is to be made (as such payment date may be adjusted) Initial index level: Closing level of the index: as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Closing Level of the Index on page S-44 Level of the index: as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Level of the Index on page S-46 S-2

4 Index return: the quotient of (i) the closing level of the index on the relevant coupon determination date minus the initial index level divided by (ii) the initial index level, expressed as a percentage Trade date: September 24, 2012 Original issue date (settlement date): September 27, 2012 Stated maturity date: September 27, 2019, subject to adjustment as described under Specific Terms of Your Certificates of Deposit Payment on Stated Maturity Date Stated Maturity Date on page S-42 Mandatory redemption: if our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by law and regulation, we will redeem your CDs then outstanding on the applicable mandatory redemption date, unless they mature prior to such date, as described under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43; your CDs are not otherwise subject to redemption at our option Mandatory redemption date: as described under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43 Mandatory redemption amount: as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Mandatory Redemption Amount on page S-45 Optional redemption in the event of death or adjudication of incompetence: as described under Specific Terms of Your Certificates of Deposit Optional Redemption in the Event of Death or Adjudication of Incompetence on page S-44; your CDs are not otherwise subject to repayment at your option. If you sell your CDs in a secondary market transaction prior to maturity, you may receive significantly less than the face amount, as described under Q&A What Will I Receive If I Sell the CDs Prior to the Stated Maturity Date? below Calculation agent: Goldman, Sachs & Co. Business day: as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Business Day on page S-44 Trading day: as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Trading Day on page S-44 No listing: the offered CDs will not be listed on any securities exchange or interdealer market quotation system CUSIP no.: 38143AC45 ISIN: US38143AC455 Legal ownership and payment: the CDs will be issued in master certificate form and payment will be made in accordance with the applicable procedures of the depositary, as discussed under Legal Ownership and Payment on page 38 of the accompanying disclosure statement ERISA: as described under Employee Retirement Income Security Act on page 55 of the accompanying disclosure statement S-3

5 Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index The below is only a brief summary of the terms of your CDs. You should read the detailed description thereof in Summary Information on page S-2 (including the annual percentage yield information set forth therein) and in Specific Terms of Your Certificates of Deposit on page S-42, as well as the accompanying disclosure statement available at INVESTMENT THESIS For investors who: are willing to forgo the guaranteed yields of a traditional CD for the opportunity to achieve a higher return based on varying exposure to U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets and to have their principal returned after seven years. Amounts payable on the CDs are FDIC insured in the amounts described on page S-11, up to the applicable FDIC insurance limits, and thereafter exposed to the credit risk of the issuer. believe the index will increase over the next seven years, and will increase sufficiently to offset the impact on your notes of dividing the index return by the number of coupon determination dates that have occurred. are willing to forego any coupon payment if the index return is less than or equal to zero. PAYOUT DESCRIPTION On each annual coupon payment date for each $1,000 face amount, you will be paid a coupon based on the index return, so long as the index return is positive. If the index return is zero or negative, you will not receive a coupon. The index return is calculated on any day by subtracting the initial index level of from the closing level of the index on the relevant coupon determination date and then dividing the resulting number by the initial index level and expressing it as a positive or negative percentage. The coupon on each coupon determination date will equal: if the index return is positive (the closing level of the index on the applicable coupon determination date is greater than the initial index level), the product of (i) $1,000 times the index return divided by (ii) the number of coupon determination dates that have occurred up to and including such coupon determination date; or if the index return is zero or negative (the closing level of the index on the applicable coupon determination date is equal to or less than the initial index level), $0. S-4

6 Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index THE INDEX The GS Momentum Builder Multi-Asset 2 ER Index (the index ) measures the extent to which the performance of the exchange traded funds included in the index outperform 3-month USD LIBOR. The index rebalances monthly (and sometimes daily) from among 18 ETFs that track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets. Features of the index include: monthly rebalancing based on the six-month historical return of the ETFs, subject to a realized volatility target of 4% and a maximum weight for each ETF; and the potential for daily rebalancing into and out of the short-term U.S. treasury position based on the 3-month realized volatility of the ETFs selected on the previous monthly rebalancing date. INDICATIVE TERMS Issuer Goldman Sachs Bank USA Index GS Momentum Builder Multi-Asset 2 ER Index Trade Date September 24, 2012 Settlement Date September 27, 2012 Stated Maturity Date September 27, 2019 Initial Index Level Closing Level of the Index the official closing level of the index or any successor index published by the index sponsor on such trading day Index Return the quotient of (i) the closing level of the index on the relevant coupon determination date minus the initial index level divided by (ii) the initial index level, expressed as a percentage Payment Amount on the stated maturity date, we will pay you (in addition to the final coupon, if any), for each $1,000 face amount of your CDs, an amount in cash equal to $1,000 Coupon on each coupon payment date, for each $1,000 face amount of your CDs we will pay you an amount in cash equal to: if the index return is positive (the closing level of the index on the applicable coupon determination date is greater than the initial index level), the product of (i) $1,000 times the index return divided by (ii) the number of coupon determination dates that have occurred up to and including such coupon determination date; or if the index return is zero or negative (the closing level of the index on the applicable coupon determination date is equal to or less than the initial index level), $0. Coupon Payment Dates 3 business days after each coupon determination date, including the stated maturity date Coupon Determination Dates September 24, 2013, September 24, 2014, September 24, 2015, September 26, 2016, September 25, 2017, September 24, 2018 and September 24, 2019 CUSIP 38143AC45 S-5

7 HYPOTHETICAL EXAMPLES Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index The following examples are provided for purposes of illustration only. These examples should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact that various hypothetical closing levels of the index on seven of the annual coupon determination dates could have on the related coupon payment dates assuming all other variables remain constant. These examples assume a $1,000 face amount of a CD and an initial index level of 110. The actual performance of the index over the life of your CDs, particularly on each of the coupon determination dates, as well as the amount payable on each coupon payment date may bear little relation to the hypothetical examples shown below or on page S-48 or to the historical levels of the index shown elsewhere in this disclosure statement supplement. You should also refer to the historical performance information found on page S-63 of this disclosure statement supplement. Scenario 1 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % 2.00% $20.00 Second % 2.00% $20.00 Third % 2.00% $20.00 Fourth % 2.00% $20.00 Fifth % 2.00% $20.00 Sixth % 2.00% $20.00 Seventh % 2.00% $20.00 Scenario 2 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Total Hypothetical Coupons $ Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % -2.00% $0.00 Second % -2.00% $0.00 Third % -2.00% $0.00 Fourth % -2.00% $0.00 Fifth % -2.00% $0.00 Sixth % -2.00% $0.00 Seventh % -2.00% $0.00 Scenario 3 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Total Hypothetical Coupons $0.00 Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % 1.00% $10.00 Second % 0.75% $7.50 Third % 2.00% $20.00 Fourth % 1.75% $17.50 Fifth % 0.20% $2.00 Sixth % 0.00% $0.00 Seventh % 2.00% $20.00 Total Hypothetical Coupons $77.00 S-6

8 REBALANCING Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index Monthly Rebalancing Daily Rebalancing Calculate the 6-month historical returns for each eligible ETF combination Calculate the 6-month realized volatility for each eligible ETF combination Calculate the 3-month realized volatility of the ETFs selected on the previous monthly rebalancing date Determine the weightings of the index component ETFs by selecting weights that both (i) are within the maximum weight and aggregate realized volatility constraints and (ii) would have provided the highest 6-month historical return Has the 3-month realized volatility both exceeded 5% and increased by more than 1% from the last rebalancing? Yes The weightings of the index component ETFs will be rebalanced in order to reduce the 3-month realized volatility to 4% by ratably reallocating a portion of the exposure to ETFs to the short-term U.S. treasury position No The index will not be rebalanced on such index business day Run the daily rebalancing test to determine if any further changes from this position are required Has the 3-month realized volatility subsequently declined on any index business day by more than 1% from the last rebalancing? Yes Any such reallocation will be ratably reversed S-7

9 Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index Historical Performance The following chart and table provide a historical comparison between the index and certain asset classes (represented by benchmark ETFs) from July 2004 to September The data below reflects both historical data and the use of proxies. The historical data from June 1, 2011 to May 25, 2012 (the index launch date) is based on the historical levels of the benchmark ETFs and of the eligible ETFs (and, for purposes of the index, using the same methodology that is used to calculate the index). Index data for the period from July 1, 2004 through May 30, 2011 was calculated using the same methodology that is used to calculate the index, provided that a proxy was used for each eligible ETF that was not in existence on every day during the historical data period, regardless of whether that eligible ETF existed during a portion of such period. Benchmark ETF data for such period reflects the use of proxies for each benchmark ETF for the entirety of such period. You should not take the historical data as an indication of the future performance of the index or of the benchmark ETFs. Please note that the benchmark ETFs that are used to represent asset classes for purposes of the following table and chart may not be eligible ETFs for purposes of the index and in some cases differ from the eligible ETFs that are used to represent asset classes with the same or similar titles for purposes of the index GS MULTI ASSET 2 PERFORMANCE vs. INDIVIDUAL ASSET CLASS SPECIFIC ETFS SINCE JULY 2004* GS Multi Asset 2 US Bonds (AGG) Global Equities (ACWI) Commodities (GSG) Currencies (UDN) US Real Estate (IYR) Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 As of 9/24/2012 GS Multi Asset 2 (GSMBMA2) US Bonds (AGG) Global Equities (ACWI) Commodities (GSG) Currencies (UDN) US Real Estate (IYR) Effective Performance (1M) 0.50% 0.38% 3.64% -1.74% 2.60% 1.07% Effective Performance (6M) 4.90% 3.40% 2.54% -6.09% 0.11% 8.22% Annualized * Performance (since June 2011) 5.46% 5.89% 1.02% -4.64% -3.39% 9.60% Annualized * Performance (since July 2004) 4.38% 5.65% 5.61% -0.60% 1.56% 7.96% Annualized * Realized Volatility (since July 2004)** 4.47% 3.87% 20.05% 26.46% 8.74% 39.96% Return over Risk (since July 2004)*** Maximum Peak-to-Trough Drawdown**** 11.80% 5.08% 58.38% 71.40% 19.95% 74.23% * Calculated on a per annum percentage basis. ** Calculated on the same basis as realized volatility used in calculating the index. *** Calculated by dividing the annualized performance by the annualized realized volatility since July **** The largest percentage decline experienced in the relevant measure from a previously occurring maximum level. S-8

10 Transaction Summary Contingent Coupon Index-Linked Certificates of Deposit due 2019 Linked to the GS Momentum Builder Multi-Asset 2 ER Index The following chart sets forth the monthly historical allocation between each asset class from July 2004 to September 2012 with each bar representing a month. This data reflects both historical data and the use of proxies, as described under The Index Historical Quarterly High, Low and Closing Levels of the Index on page S-63 of this disclosure statement supplement. You should not take the historical data as an indication of the future performance of the index. 100% 90% 80% 70% 60% 50% 40% 30% 20% Commodities International Bonds US Bonds Emerging Markets Equity US Real Estate Developed Markets Equity Deleverage Position 10% 0% Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 RISKS Please read the section entitled Additional Risk Factors Specific to Your Certificates of Deposit of this disclosure statement supplement as well as the risks described under Risk Factors in the accompanying disclosure statement dated December 19, S-9

11 Q&A How do the CDs Work? On each coupon payment date, we will pay you for each $1,000 face amount of your CDs an amount in cash, if any, based, in part, on the performance of the GS Momentum Builder Multi-Asset 2 ER Index, as measured from the trade date (September 24, 2012) to each applicable coupon determination date (September 24, 2013, September 24, 2014, September 24, 2015, September 26, 2016, September 25, 2017, September 24, 2018 and September 24, 2019, subject to adjustment). At maturity, we will pay you $1,000 for each $1,000 face amount of your CDs plus the final coupon, if any. Payments on the CDs will be based, in part, on the index return, which is calculated on any day by subtracting the initial index level of from the closing level of the index on the relevant coupon determination date and then dividing the resulting number by the initial index level and expressing it as a positive or negative percentage. The index return measures the change in the level of the index from the trade date to the relevant coupon determination date. If, as measured on any of the annual coupon determination dates, the index return is positive, on the related coupon payment date (the third business day following the related coupon determination date to and including the stated maturity date) you will receive a coupon for each $1,000 face amount of your CDs equal to the index return on the applicable coupon determination date times $1,000 divided by the number of coupon determination dates that have occurred up to and including such date. On the stated maturity date, you will also receive, in addition to any coupon then due, an amount in cash equal to $1,000 for each $1,000 face amount of your CDs. If the index return is zero or negative on any coupon determination date, you will not receive a coupon on the relevant coupon payment date. Your coupon is based on the performance of the index from the trade date to each coupon determination date and then divided by the number of coupon determination dates that have occurred up to and including such date. Accordingly, even if the index return is higher from one coupon determination date to the next, the coupon paid on the CDs may not increase in the same proportion and may even decrease. What Does the Index Measure and Who Publishes It? The GS Momentum Builder Multi-Asset 2 ER Index (the index ) measures the extent to which the performance of the exchange-traded funds ( ETFs ) included in the index outperform 3-month USD LIBOR. The index rebalances monthly (and sometimes daily) from among 18 eligible ETFs that track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets. The index is rebalanced monthly to reflect the weighting of the ETFs that would have provided the highest historical return during the prior six months, subject to a maximum weight for each ETF and a limit of 4% on the degree of variation in the daily closing prices of such ETFs during the prior six months (a measure known as realized volatility ). In addition, if on any index business day the 3-month realized volatility of the ETFs selected on the previous monthly rebalancing date exceeds 5% and has increased by more than 1% from the last rebalancing, the index will be rebalanced in order to reduce the 3-month realized volatility to 4% by ratably reallocating a portion of the exposure to ETFs to the short-term U.S. treasury position. The short-term U.S. treasury position means a hypothetical investment with 50% of the position invested in the SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) and 50% in the ishares Barclays Short Treasury Bond Fund (SHV), each of which holds short-term U.S. government fixed income assets. If the 3-month realized volatility subsequently declines on any index business day by more than 1% from the last rebalancing, any such reallocation will be ratably reversed. The index reflects the return of the ETFs included in the index plus dividends paid on such ETFs less 3-month USD LIBOR (as described in The Index General Overview ) below. An index committee (as defined in The Index Who calculates and oversees the index? below) is responsible for overseeing the index and its methodology, while the index calculation agent calculates the value of the index and S-10

12 implements the methodology determined by the index committee. The index committee may exercise discretion in the case of any changes to the ETFs, delayed rebalancing and index market disruption event or any potential adjustment event (as defined in The Index Could market disruptions or corporate events impact the calculation of the index or the implementation of monthly or daily rebalancing by the index calculation agent? below) that occurs in relation to one or more eligible ETFs. The index is determined, comprised and calculated by the index calculation agent without regard to the offered CDs. For further information, please see The Index on page S-51. For the purpose of this disclosure statement supplement, an eligible ETF is one of the ETFs that is eligible for inclusion in the index on a monthly rebalancing date. An index component ETF is an eligible ETF with a non-zero weighting on any index business day. Are the CDs Insured by the Federal Deposit Insurance Corporation ( FDIC ) and How Will the CDs Rank Against Other Obligations of Goldman Sachs Bank USA? The CDs evidence deposit liabilities of Goldman Sachs Bank USA, which are covered, with respect to the face amount and any accrued and unpaid coupon only, by FDIC insurance, up to the maximum limits set by the Federal Deposit Insurance Act and the corresponding regulations and interpretations of the FDIC. In general, deposits are subject to a maximum FDIC insurance limit of $250,000 per depositor, or $250,000 per participant in the case of certain retirement accounts. These maximum limits are the total federal deposit insurance protection available for funds in your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. In addition, the FDIC has taken the position that any unaccrued coupon as of the date the FDIC is appointed receiver or conservator is not insured by the FDIC. Also, FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA s status as an insured depository institution is terminated or suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs and any coupon accrued prior to the date of such termination or suspension. In addition, the FDIC has taken the position that any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. In the event of a liquidation or other resolution of Goldman Sachs Bank USA, the claims of holders of the CDs, although subordinated in rights to the claims of a receiver of Goldman Sachs Bank USA for administrative expenses, are entitled to priority over the claims of general unsecured non-depositor creditors of Goldman Sachs Bank USA. In addition, the CDs will rank pari passu with all other deposit liabilities of Goldman Sachs Bank USA, except deposits which are required by law to be secured and subject to any statutory preference. However, the ultimate determination of the insurability and priority of the CDs would be made by the FDIC in response to claims of depositors. In addition, the availability of FDIC insurance to an owner of a beneficial interest in a CD represented by a master certificate may be dependent upon, among other things, whether such interest and any intermediary interests are accurately and adequately disclosed on the records of the depositary, participants and persons that hold interests through participants. Accordingly, no assurance can be given as to the availability of FDIC insurance to owners of a beneficial interest in CDs represented by a master certificate. For more information, see Status of Certificates of Deposit on page 5 of the accompanying disclosure statement and Additional Risk Factors Specific to Your Certificates of Deposit on page S-16. Who Should or Should Not Consider an Investment in the CDs? The CDs are intended for investors who seek the potential to earn an annual variable contingent coupon based on the performance of the GS Momentum Builder Multi-Asset 2 ER Index. In order to evaluate whether to invest in the CDs, you should carefully consider and understand the features of the CDs and how they would perform in various situations. The CDs have a different payout structure from, and do not compound interest as is common in, more traditional certificates of deposit. Your coupon, if any, is based, in part, on the index return for the relevant period. As the index return is based on the period from S-11

13 the trade date to the relevant coupon determination date, the index return may be either higher or lower than the index return during the period from the prior coupon determination date, if any, to the relevant coupon determination date. In addition, the performance of the index during the period from the trade date to the final coupon determination date may be either higher or lower than the return reflected in the sum of the coupons, if any, paid on your CDs. The effect of the index return on each coupon determination date lessens over time. As a result, an earlier increase in the index will result in a higher coupon than a single increase in the index later in the term, unless the later increase is sufficient to offset the negative effect of dividing the index return by the number of coupon determination dates that have occurred. The CDs are designed for those investors who are seeking FDIC-insured instruments and who believe that the index return (as reduced by dividing such index return by the number of coupon determination dates that have occurred) on each coupon determination date is likely to be higher than the prevailing per annum fixed interest rate on a similar fixed income investment, and are willing to forgo receiving a coupon if the index return is zero or negative. Because the coupon is variable and contingent, your overall return may be less than you would have earned by investing in a bank deposit or debt security that bears a coupon at a prevailing market rate. Therefore, the CDs may not be a suitable investment for you if you prefer the lower risk of fixed income investments with comparable maturities issued by financial institutions with comparable credit that pay interest at prevailing market rates. In addition, the CDs are designed for investors who are willing to hold them to maturity and should not be purchased if you plan to sell them in the secondary market. What Will I Receive If I Sell the CDs Prior to the Stated Maturity Date? If you sell your CDs prior to the stated maturity date, you will receive the market price for your CDs. The market price for your CDs may be influenced by many factors, such as the level of the index, the volatility of the index, interest rates, the time remaining until maturity and dealer discount. For more information on the estimated value of your CDs, see Additional Risk Factors Specific to Your Certificates of Deposit The Estimated Value of Your CDs At the Time the Terms of Your CDs Were Set On the Trade Date (as Determined By Reference to Pricing Models Used By Goldman, Sachs & Co.) Was Less Than the Original Issue Price Of Your CDs on page S-16 of this disclosure statement supplement. You may also be charged a commission in connection with a secondary market transaction. Depending on the impact of these factors, you may receive significantly less than the face amount of your CDs in any sale of your CDs before the stated maturity date. As a result, you should not purchase the CDs unless you plan to hold them to maturity. What About Taxes? Some of the U.S. federal income tax consequences of an investment in your CDs are summarized below, but we urge you to read the more detailed discussion in Supplemental Discussion of United States Federal Income Tax Consequences on page S-185. The tax treatment of your CDs is uncertain. However, it would be reasonable to treat your CDs as variable rate debt instruments for U.S. federal income tax purposes and we intend to so treat the CDs. Under this characterization, you should include the coupons on the CDs in ordinary income at the time you receive or accrue such payments, in accordance with your regular method of accounting for tax purposes, and any gain or loss you recognize upon the sale or maturity of your CDs should be capital gain or loss (except to the extent of any amount attributable to accrued but unpaid coupons). If you are a secondary purchaser of the CDs or if you purchase the CDs for an amount that is different from the issue price of the CDs (as defined under United States Taxation United States Holders Original Issue Discount General in the accompanying disclosure statement), the tax consequences to you may be different. For further discussion, see Supplemental Discussion of United States Federal Income Tax Consequences below for a more detailed discussion. Please also consult your own tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your CDs in your particular circumstances. S-12

14 Ratings On June 21, 2012, Moody s Investors Service downgraded Goldman Sachs Bank USA s long-term deposit rating two notches from Aa3 to A2; outlook stable. Goldman Sachs Bank USA s short-term bank deposit rating of P-1 was affirmed. S-13

15 TRUTH IN SAVINGS DISCLOSURES For the Initial Issuance and Sale of the Certificates of Deposit Minimum Balance to Acquire a CD Each CD is issued in a minimum denomination of $1,000 and integral multiples of $1,000 in excess thereof. If you acquire the CDs as part of the initial offering of CDs or directly from Goldman Sachs Bank USA, you will be required to pay 100% of the face amount of such CDs. If you acquire the CDs on the secondary market through a third party (including without limitation through Goldman, Sachs & Co.), you may be required to pay a secondary market premium in addition to 100% of the face amount of the CDs, plus any applicable service charges imposed by the third party. Maturity Date The CDs are scheduled to mature on September 27, 2019 (the stated maturity date ), subject to adjustment if such day is not a business day or the final coupon determination date is postponed as described under Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon Stated Maturity Date and Coupon Determination Dates on page S-43 and Specific Terms of Your Certificates of Deposit Special Calculation Provisions Business Day on page S-44. No Renewal and No Interest The CDs will not renew on the stated maturity date. No interest will be paid on the CDs, whether before or after the stated maturity date. Unless we redeem your CDs as described under Mandatory Redemption or under Optional Redemption in the Event of Death or Adjudication of Incompetence below, the amount we will pay on the stated maturity date for your CDs is an amount in cash equal to the face amount of the CDs plus the coupon corresponding to the final coupon period, if any, as described in more detail in this disclosure statement supplement. Payment will be made to the holders of the CDs in accordance with the applicable procedures of the depositary. See also Legal Ownership and Payment on page 38 of the accompanying disclosure statement. Variable Contingent Coupon You may receive a coupon, if any, on each coupon payment date, as described in this disclosure statement supplement. The coupon payment dates will be three business days following each coupon determination date, subject to adjustment as described in this disclosure statement supplement. Please see Summary Information Key Terms on page S-2 for important information about how the coupons, if any, will be determined, including (for example) information about the index return, coupon determination dates and coupon payment dates. Please also see Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon, on page S-42 and Coupon and Coupon Payment Dates and Coupon Determination Dates on page S-43. Mandatory Redemption If our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions or if regulatory or statutory changes in the future render the CDs ineligible for FDIC insurance, to the extent permitted by applicable law and regulation, we will redeem your CDs then outstanding on the applicable mandatory redemption date as described under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed our receiver or conservator. The mandatory redemption amount for your CDs then outstanding on the applicable mandatory redemption date will not be less than the face amount of your CDs then outstanding. However, there will be no mandatory redemption if the mandatory redemption date occurs on or after the stated maturity date. The mandatory redemption amount for your CDs then outstanding on the applicable mandatory redemption date will be determined as described under Specific Terms of Your Certificates of Deposit Special Calculation Provisions Mandatory Redemption Amount on page S-45, but in any event will not be less than the face amount of your CDs then outstanding. S-14

16 Optional Redemption in the Event of Death or Adjudication of Incompetence In the event of your death or adjudication of incompetence, your authorized representative will have the option to redeem your CDs before (not on or after) the stated maturity date as described under Description of Certificates of Deposit We May Offer Redemption Redemption Upon Death or Adjudication of Incompetence in the accompanying disclosure statement. If your authorized representative chooses to redeem your CDs, on the redemption date, your authorized representative will receive only the face amount of your CDs, unless the request for redemption is received and accepted 30 calendar days or less before the next coupon determination date, in which case the authorized representative will also receive the coupon, if any, associated with such coupon determination date. Depending on market conditions, the value of the CDs in the secondary market may be greater than the amount your authorized representative would receive on the date of such early redemption. Accordingly, your authorized representative should contact your broker to determine the secondary market price of the CDs, and the amount of fees or commissions that would be payable in a secondary market transaction, and should carefully consider whether to sell the CDs to your broker or another market participant rather than redeem the CDs pursuant to a request for redemption. Transaction Limitations You cannot change (increase or decrease) the face amount of a CD. If you want to increase the total amount of CDs you own, you must acquire new CDs. There is no assurance that we will sell any additional CDs subsequent to the date of this disclosure statement supplement. You may not withdraw or redeem any portion of the face amount of your CDs before the stated maturity date. Unless the CDs are mandatorily redeemed by us as described under Mandatory Redemption above or the CDs are redeemed by your authorized representative in the event of your death or adjudication of incompetence as described under Optional Redemption in the Event of Death or Adjudication of Incompetence above, Goldman Sachs Bank USA is not required (and does not intend) to make any payment other than the coupons, if any, on the CDs before the stated maturity date. Except as specifically described in the preceding sentence, the CDs will not be subject to redemption at our option or repayment at your option before the stated maturity date. Selling the CDs Before the Stated Maturity Date If you want to receive funds before the stated maturity date for CDs that you have acquired, you may be required to sell the CDs in the secondary market, if any exists. Goldman Sachs Bank USA is not required (and does not intend) to repurchase any CD before the stated maturity date, and is not required to assist you in finding a third party willing to purchase the CDs from you before the stated maturity date. If you are able to sell your CDs before the stated maturity date, you will receive the market price at that time for the CDs. The market price for your CDs could be significantly less than the face amount of the CDs, and could be significantly less than what you paid to acquire your CDs. Furthermore, if you sell your CDs, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. Additional Information Please see the other sections of this disclosure statement supplement and the accompanying disclosure statement for important additional information about the CDs. For more information relating to these truth in savings disclosures, please contact Goldman Sachs Bank USA at S-15

17 ADDITIONAL RISK FACTORS SPECIFIC TO YOUR CERTIFICATES OF DEPOSIT An investment in your CDs is subject to the risks described below, as well as the risks described under Risk Factors in the accompanying disclosure statement dated December 19, Your CDs are a riskier investment than many other bank deposit obligations. Also, your CDs are not equivalent to investing directly in any eligible ETF or the assets held by any eligible ETF or 3-month USD LIBOR. You should carefully consider whether the offered CDs are suited to your particular circumstances. Although we have classified the risks described below into three categories (general risks, risks related to the index and risks related to the eligible ETFs), the order in which these categories are presented is not intended to signify any decreasing (or increasing) significance of these risks. You should read all of the risks described below and in the accompanying disclosure statement. General Risks The Estimated Value of Your CDs At the Time the Terms of Your CDs Were Set On the Trade Date (as Determined By Reference to Pricing Models Used By Goldman, Sachs & Co.) Was Less Than the Original Issue Price Of Your CDs The original issue price for your CDs exceeds the estimated value of your CDs as of the time the terms of your CDs were set on the trade date, as determined by reference to Goldman, Sachs & Co. s pricing models and taking into account our credit spreads. Such estimated value on the trade date is set forth on the cover of this disclosure statement supplement; after the trade date, the estimated value as determined by reference to these models will be affected by changes in market conditions, our creditworthiness and other relevant factors. The price at which Goldman, Sachs & Co. would initially buy or sell your CDs (if Goldman, Sachs & Co. makes a market, which it is not obligated to do), and the value that Goldman, Sachs & Co. will initially use for account statements and otherwise, also exceeds the estimated value of your CDs as determined by reference to these models. The amount of the excess will decline on a straight line basis over the period from the date hereof through the applicable date set forth on the cover. Thereafter, if Goldman, Sachs & Co. buys or sells your CDs it will do so at prices that reflect the estimated value determined by reference to such pricing models at that time. The price at which Goldman, Sachs & Co. will buy or sell your CDs at any time also will reflect its customary bid and ask spread for similar sized trades of structured CDs. In estimating the value of your CDs as of the time the terms of your CDs were set on the trade date, as disclosed on the front cover of this disclosure statement supplement, Goldman, Sachs & Co. s pricing models consider certain variables, including principally our credit spreads, interest rates (forecasted, current and historical rates), volatility, price-sensitivity analysis and the time to maturity of the CDs. These pricing models are proprietary and rely in part on certain assumptions about future events, which may prove to be incorrect. As a result, the actual value you would receive if you sold your CDs in the secondary market, if any, to others may differ, perhaps materially, from the estimated value of your CDs determined by reference to our models due to, among other things, any differences in pricing models or assumptions used by others. See The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways below. The difference between the estimated value of your CDs as of the time the terms of your CDs were set on the trade date and the original issue price is a result of certain factors, including principally the placement fee and commissions, the expenses incurred in creating, documenting and marketing the CDs, and an estimate of the difference between the amounts we pay to Goldman, Sachs & Co. and the amounts Goldman, Sachs & Co. pays to us in connection with your CDs. We pay to Goldman, Sachs & Co. amounts based on what we would pay to holders of a non-structured CD with a similar maturity. In return for such payment, Goldman, Sachs & Co. pays to us the amounts we owe under your CDs. In addition to the factors discussed above, the value and quoted price of your CDs at any time will reflect many factors and cannot be predicted. If Goldman, Sachs & Co. makes a market in the CDs, the price quoted by Goldman, Sachs & Co. would reflect any changes in market conditions and other relevant S-16

18 factors, including any deterioration in our creditworthiness or perceived creditworthiness. These changes may adversely affect the value of your CDs, including the price you may receive for your CDs in any market making transaction. To the extent that Goldman, Sachs & Co. makes a market in the CDs, the quoted price will reflect the estimated value determined by reference to Goldman, Sachs & Co. s pricing models at that time, plus or minus its customary bid and ask spread for similar sized trades of structured CDs (and subject to the declining excess amount described above). Furthermore, if you sell your CDs, you will likely be charged a commission for secondary market transactions, or the price will likely reflect a dealer discount. This commission or discount will further reduce the proceeds you would receive for your CDs in a secondary market sale. In addition, in the event that Goldman, Sachs & Co. or any other affiliate of ours purchases your CDs in the secondary market within six days after the date of initial issuance of those CDs, downward adjustments will be made to the purchase price to be paid to you to account for early withdrawal penalties we are required to impose pursuant to Regulation D of the Federal Reserve Board. Thus, if you sell your CDs to Goldman, Sachs & Co. or any of our affiliates within six days after you purchase and pay for them, you are likely to receive a reduced price for your CDs. There is no assurance that Goldman, Sachs & Co. or any other party will be willing to purchase your CDs at any price and, in this regard, Goldman, Sachs & Co. is not obligated to make a market in the CDs. See Your CDs May Not Have an Active Trading Market below. The CDs Differ from Conventional Bank Deposits The CDs combine features of equity and debt. The terms of the CDs differ from those of conventional CDs and other bank deposits in that the coupon, if any, is based, in part, on the performance of the index. Therefore, the return on your investment in the CDs may be less than the amount that would be paid on a conventional CD or other bank deposit. The payment at maturity of the face amount of your CDs together with the coupons you received on each coupon payment date, if any, may not compensate you for any loss in value due to inflation and other factors relating to the value of money over time. You May Not Receive a Coupon on Each Coupon Payment Date If the index return is zero or negative on a coupon determination date, no coupon will be paid on your CDs on the corresponding coupon payment date. If this occurs on every coupon determination date, the overall return you earn on your CDs will be zero and will be less than you would have earned by investing in a CD that bears interest at the prevailing market rate. The Formula for Calculating the Coupon Amount Due Reduces the Index Return Although the index return measures the performance of the index from the trade date to the applicable coupon determination date, the formula for calculating the coupon amount due reduces the index return by dividing the number of coupon determination dates that have occurred up to and including such date. Accordingly, even if the index return is higher from one coupon determination date to the next, the coupon paid on the CDs may not increase in the same proportion and may even decrease. In addition, the return from the coupons, if any, that you may receive over the life of the CDs may be less than the performance of the index over the life of the CDs. An Earlier Increase in the Index Will Result in a Higher Coupon than a Later Increase in the Index Due to the formula for calculating the coupon amount due, the effect of the index return on each coupon determination date lessens over time. As a result, an earlier increase in the index will result in a higher coupon than a single increase in the index later in the term, unless the later increase is sufficient to offset the negative effect of dividing the index return by the number of coupon determination dates that have occurred. S-17

19 The Coupon Does Not Reflect the Actual Performance of the Index from Coupon Determination Date to Coupon Determination Date The coupon for each annual coupon payment date is determined by multiplying the index return on the applicable coupon determination date by $1,000 and then dividing the resulting number by the number of coupon determination dates that have occurred up to and including such date. This formulation is intended to account for the amount of time that the CDs have been outstanding. This is different from, and may be less than, a coupon determined based on the percentage difference of the index closing levels between the trade date and any coupon determination date or between two coupon determination dates, in each case without the reduction feature set forth in the CDs. Accordingly, the coupons, if any, on the CDs may be less than the return you could earn on another instrument linked to the index that pays annual interest based on the performance of the index from the trade date to any coupon determination date or from coupon determination date to coupon determination date, in either case without the reduction feature. Your CDs May Not Have an Active Trading Market Your CDs will not be listed or displayed on any securities exchange or included in any interdealer market quotation system, and as a result there may be little or no secondary market for your CDs. Even if a secondary market for your CDs develops, it may not provide significant liquidity and we expect that transaction costs in any secondary market would be high. As a result, the difference between bid and asked prices for your CDs in any secondary market could be substantial. You should not purchase our CDs unless you plan to hold them to maturity. If You Sell Your CDs in a Secondary Market Transaction, You May Experience a Loss If you sell your CDs prior to the stated maturity date, you will receive the market price for your CDs. The market price for your CDs may be influenced by many factors, such as the volatility and general performance of the index, interest rates, the time remaining until maturity, dealer discount and other factors described below. You may also be charged a commission in connection with a secondary market transaction. Depending on the impact of these factors, you may receive significantly less than the face amount of your CDs in any sale of your CDs before the stated maturity date. The Market Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways The following factors, among others, many of which are beyond our control, may influence the market value of your CDs: the volatility i.e., the frequency and magnitude of changes in the level of the index (even though the index attempts to limit volatility with monthly and potentially daily rebalancing), the eligible ETFs and the assets that comprise the eligible ETFs; the level of the index, including the initial index level; the market prices of the eligible ETFs; 3-month USD LIBOR; economic, financial, regulatory, political, military and other events that affect markets generally and the assets held by the eligible ETFs, and which may affect the closing levels of the index; interest rates and yield rates in the market; the time remaining until your CDs mature; and our creditworthiness, whether actual or perceived, and including actual or anticipated upgrades or downgrades in our credit ratings or changes in other credit measures. S-18

20 These factors may influence the market value of your CDs if you sell your CDs before maturity, including the price you may receive for your CDs in any market making transaction. If you sell your CDs prior to maturity, you may receive less than the face amount of your CDs. You cannot predict the future performance of the index based on its historical performance. The actual performance of the index over the life of the CDs, as well as the amount payable on the stated maturity date, may bear little or no relation to the historical levels of the index or to the hypothetical return examples shown elsewhere in this disclosure statement supplement. The Calculation Agent Will Have the Authority to Make Determinations That Could Affect the Market Value of Your CDs, When Your CDs Mature and the Amount You Receive, If Any, on Each Coupon Payment Date As of the date of this disclosure statement supplement, we have appointed Goldman, Sachs & Co. as the calculation agent for your CDs. As calculation agent for your CDs, Goldman, Sachs & Co. will make all determinations regarding the initial index level; the coupon payable on a coupon payment date; the closing level of the index on the coupon determination dates; the index return; the coupon determination dates; successor indices; the stated maturity date; the mandatory redemption date, if applicable; business days; trading days; the mandatory redemption amount, if applicable; and any other determination as applicable or specified herein. The calculation agent also has discretion in making certain adjustments relating to a discontinuation or modification of the index. The exercise of this discretion by the calculation agent could adversely affect the value of your CDs. We may change the calculation agent at any time without notice, and Goldman, Sachs & Co. may resign as calculation agent at any time upon 60 days written notice to Goldman Sachs Bank USA. The Calculation Agent Can Postpone Any Coupon Determination Date If a Non-Trading Day Occurs If the calculation agent determines that, on a day that would otherwise be a coupon determination date, such date is not a trading day for the index, the applicable coupon determination date will be postponed until the first following trading day, subject to limitation on postponement described under Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon Coupon Determination Dates on page S-42. If any coupon determination date is postponed to the last possible day and such day is not a trading day, such day will nevertheless be the applicable coupon determination date. Because each coupon payment date (other than the final coupon payment date) will be the third business day following the applicable coupon determination date, if a coupon determination date is postponed or a non-business day occurs between a coupon determination date and the applicable coupon payment date, the applicable coupon payment date may be later than originally expected. If the final coupon determination date is postponed as a result of any of the foregoing, the stated maturity date for your CDs will also be postponed, as described under Specific Terms of Your Certificates of Deposit Payment of Variable Contingent Coupon Stated Maturity Date on page S-42. In such a case, you may not receive the final coupon and the cash payment that we are obligated to deliver on the stated maturity date until several days after the originally scheduled stated maturity date. If the closing level of the index is not available on any coupon determination date because of a non-trading day or for any other reason (except as described under Specific Terms of Your Certificates of Deposit Discontinuance or Modification of the Index on page S-44), in certain circumstances the calculation agent will determine the closing level of the index, based on its assessment, made in its sole discretion, of the level of the index on such day, as described under Specific Terms of Your Certificates of Deposit Consequences of a Non-Trading Day on page S-42. The Full Face Amount of and Coupons Due on Your CDs May Not Be Protected by FDIC Insurance The CDs evidence deposit liabilities of Goldman Sachs Bank USA, which are covered, with respect to the face amount and any accrued and unpaid coupon only, by FDIC insurance. In general, the FDIC insures all deposits maintained by a depositor in the same ownership capacity at the same depository S-19

21 institution, and per participant for certain retirement accounts, up to a maximum limit of $250,000. These maximum limits are the total protection available for your CDs, together with any other deposit accounts you may hold at Goldman Sachs Bank USA in the same right and capacity. As a result, the full face amount of your CDs and any return thereon, including accrued but unpaid coupons, may not be protected by FDIC insurance. Although FDIC insurance coverage includes both the face amount of your CDs and any accrued and unpaid coupon to the date of default of Goldman Sachs Bank USA, if the FDIC was appointed conservator or receiver of Goldman Sachs Bank USA prior to the coupon determination date of the CDs, the FDIC has taken the position that any coupon that has not yet accrued on the date the FDIC was appointed receiver or conservator is not insured because the amount of such unaccrued coupon is not finally determined until the coupon determination date and would not be reflected as an accrued coupon on the books of Goldman Sachs Bank USA at the time of such appointment. Thus, the amount insured by the FDIC with respect to the CDs may be substantially less than the amount that would otherwise be payable on the CDs at maturity (and could be less than the applicable FDIC insurance limits). In addition, the FDIC takes the position that any secondary market premium paid by you above the face amount of the CDs is not insured by the FDIC. Also, FDIC insurance may not cover the CDs if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage. Further, if Goldman Sachs Bank USA s status as an insured depository institution is terminated or suspended by the FDIC (including as a result of our actions) or is terminated by us, during the period of temporary insurance following the termination or suspension the FDIC insurance may not cover any amounts in excess of the face amount of the CDs and any coupon accrued prior to the date of such termination or suspension. If you sell your CDs prior to maturity, FDIC insurance will not cover any resulting losses. The FDIC may temporarily suspend the deposit insurance on deposits received by us if it has initiated involuntary FDIC insurance termination proceedings against us and certain other circumstances apply. If our FDIC insurance status were suspended, FDIC deposit insurance would continue to apply to deposits existing at the time of such suspension, but only for the benefit of the owners of deposits at the time of such suspension. Accordingly, any purchaser of a CD following such suspension would not have the benefit of FDIC deposit insurance, which would negatively affect the secondary market, if any, for the CDs. To the Extent Payments under the CDs Are Not Insured by the FDIC, You Can Depend Only on Our Creditworthiness for Payment on the CDs The CDs will be our obligations only. Except to the extent FDIC insurance is available from the FDIC, no entity other than Goldman Sachs Bank USA (or its receiver or conservator, if applicable, to the extent of any available remaining assets of Goldman Sachs Bank USA) will have any obligation, contingent or otherwise, to make any payments in respect of the CDs. Accordingly, we will be dependent on our assets and earnings to generate the funds necessary to meet our obligations with respect to the CDs. If our assets and earnings are not adequate, we may be unable to make payments in respect of the CDs and you could lose that part of your deposit, if any, that is not covered by FDIC insurance. In the event of a liquidation or other resolution of Goldman Sachs Bank USA and the FDIC makes payment on the CDs under FDIC insurance, the FDIC will be subrogated to all rights of holders of the CDs against Goldman Sachs Bank USA, to the extent of such payment. The CDs are obligations solely of Goldman Sachs Bank USA, and are not obligations of The Goldman Sachs Group, Inc. or any other affiliate of Goldman Sachs Bank USA. In addition, the CDs are not guaranteed by The Goldman Sachs Group, Inc. or any other affiliate of Goldman Sachs Bank USA. Status as Uninsured Deposits Could Reduce Your Recovery of Principal Deposited and/or Adversely Affect Your Return If the FDIC were appointed as conservator or receiver of Goldman Sachs Bank USA, the amount actually paid by the FDIC in this capacity on the claims of holders of the CDs in excess of the amount insured by the FDIC and paid under FDIC insurance would depend upon, among other factors, the amount of conservatorship or receivership assets available for the payment of claims of deposit liabilities. S-20

22 If appointed as conservator or receiver of Goldman Sachs Bank USA, the FDIC also would be authorized to disaffirm or repudiate any contract to which Goldman Sachs Bank USA is a party, the performance of which was determined to be burdensome, and the disaffirmance or repudiation of which was determined to promote the orderly administration of Goldman Sachs Bank USA s affairs. It is likely that for this purpose deposit obligations, such as the CDs, would be considered contracts within the meaning of the foregoing and that the CDs could be repudiated by the FDIC as conservator or receiver of Goldman Sachs Bank USA. Such repudiation should result in a claim by a depositor against the conservator or receiver for the face amount of the CDs. No claim would be available, however, for any secondary market premium paid by a depositor above the face amount of a CD and no claims would likely be available for any coupons that have not accrued. The FDIC as conservator or receiver may also transfer to another insured depository institution any of the insolvent institution s assets and liabilities, including deposit liabilities such as the CDs (or only the insured portion thereof), without the approval or consent of the beneficial owners of the CDs. The transferee depository institution would be permitted to offer beneficial owners of the CDs (or the insured portion thereof so transferred) the choice of (i) repayment of the principal amount so transferred or (ii) substitute terms which may be less favorable. If a CD is paid off prior to its stated maturity date, either by a transferee depository institution or the FDIC, its beneficial owner may not be able to reinvest the funds at the same rate of return as the rate on the original CD. As with all deposits, if it becomes necessary for FDIC insurance payments to be made on the CDs, there is no specific time period during which the FDIC must make insurance payments available. Accordingly, in such an event, you should be prepared for the possibility of an indeterminate delay in obtaining insurance payments. Except to the extent insured by the FDIC as described in this disclosure statement supplement and the accompanying disclosure statement, the CDs are not otherwise insured by any governmental agency or instrumentality or any other person. You Will Not Have the Right to Withdraw the Face Amount of Your CDs Prior to the Stated Maturity Date When you purchase the CDs, you agree with Goldman Sachs Bank USA to keep your funds on deposit for the term of the CDs. You will not have the right to withdraw any portion of the face amount of your CDs prior to the stated maturity date. Therefore, you should not rely on the possibility of early withdrawal for gaining access to your funds prior to the stated maturity date. Your CDs Are Subject to Mandatory Redemption In the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions or if regulatory or statutory changes in the future render the CDs ineligible for FDIC insurance coverage, to the extent permitted by applicable law and regulation we will redeem your CDs in full, unless they mature prior to the redemption date, as described under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43. The payment amount you receive upon such redemption due to the termination of FDIC insurance may be less than the amount you would have otherwise received on your CDs. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed receiver or conservator of the bank. If Your CDs Are Mandatorily Redeemed You May Not Receive the Mandatory Redemption Amount for Up to Almost Two Years and You Will Not Receive Any Interest Payments on Such Amounts. In Addition, the Full Mandatory Redemption Amount May Not Be Protected by FDIC Insurance In the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by applicable law and regulation, we will redeem your CDs in full, unless they mature prior to the redemption date, as described under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43. As described therein, in the event our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, the mandatory redemption S-21

23 amount will be determined by the tenth business day after our status as an insured depository institution is terminated by the FDIC, but the mandatory redemption amount will not be paid until the last business day on which any of our outstanding deposit obligations would be insured by the FDIC, which may not occur for a period of six months to up to almost two years after the mandatory redemption amount is determined (depending on the period of temporary deposit insurance provided by the FDIC following the termination of our status as an insured depository institution). During this time period, no coupons will accrue, the mandatory redemption amount will not bear interest and the CDs will not otherwise be exposed to market movements. Thus, the overall return you earn on your CDs in the event of a mandatory redemption may be less than you would have earned if our status as an insured depository institution had not been terminated. In addition, the temporary deposit insurance that would be provided by the FDIC following termination of our status as an insured depository institution will cover only those amounts accrued with respect to your CDs on the date of such termination. As a result, the mandatory redemption amount, to the extent it exceeds the face amount, may not be covered by FDIC insurance. Therefore, you may be fully exposed to our credit risk to the extent the mandatory redemption amount exceeds the face amount of your CDs. If Regulatory Changes Render the CDs Ineligible for FDIC Insurance Coverage, Your CDs May Not Be Covered by FDIC Insurance and Will Be Subject to Mandatory Redemption If the FDIC or another regulatory body determines that the CDs are not eligible for FDIC insurance coverage, to the extent permitted by law, we will redeem your CDs in full, unless they mature prior to the redemption date, as described, and subject to the limits set forth, under Specific Terms of Your Certificates of Deposit Mandatory Redemption on page S-43. Until the date of such redemption, which will occur ten business days after the effective date of any such regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, you will be fully exposed to our credit risk and you would not be entitled to FDIC insurance if Goldman Sachs Bank USA becomes insolvent and the FDIC is appointed its conservator or receiver. Other Investors in the CDs May Not Have the Same Interests as You Other investors in the CDs are not required to take into account the interests of any other investor in exercising remedies or other rights in their capacity as holders or in making requests or recommendations to Goldman Sachs as to the establishment of other transaction terms. The interests of other investors may, in some circumstances, be adverse to your interests. For example, certain investors may take short positions (directly or indirectly through derivative transactions) on assets that are the same or similar to your CDs, index, eligible ETFs or other similar securities, which may adversely impact the market for or value of your CDs. The Tax Treatment of Your CDs is Uncertain, However, it Would be Reasonable To Treat Your CDs as Variable Rate Debt Instruments for U.S. Federal Income Tax Purposes The tax treatment of your CDs is uncertain. However, it would be reasonable to treat your CDs as variable rate debt instruments for U.S. federal income tax purposes and we intend to so treat the CDs. Under those rules, you generally will be required to account for the coupons on the CDs in the manner described under Supplemental Discussion of United States Federal Income Tax Consequences below. If you are a secondary purchaser of the CDs or if you purchase the CDs for an amount that is different from the issue price of the CDs (as defined under United States Taxation United States Holders Original Issue Discount General in the accompanying disclosure statement), the tax consequences to you may be different. Please see Supplemental Discussion of United States Federal Income Tax Consequences below for a more detailed discussion. Please also consult your own tax advisor concerning the U.S. federal income tax and any other applicable tax consequences to you of owning your CDs in your particular circumstances. Certain Considerations for Insurance Companies and Employee Benefit Plans Any insurance company or fiduciary of a pension plan or other employee benefit plan that is subject to the prohibited transaction rules of the Employee Retirement Income Security Act of 1974, as amended, S-22

24 which we call ERISA, or the Internal Revenue Code of 1986, as amended, including an IRA or a Keogh plan (or a governmental plan to which similar prohibitions apply), and that is considering purchasing the CDs with the assets of the insurance company or the assets of such a plan, should consult with its counsel regarding whether the purchase or holding of the CDs could become a prohibited transaction under ERISA, the Internal Revenue Code or any substantially similar prohibition in light of the representations a purchaser or holder in any of the above categories is deemed to make by purchasing and holding the CDs. This is discussed in more detail under Employee Retirement Income Security Act on page 55 of the accompanying disclosure statement. Risks Related to the Index The Index Measures the Performance of the Index Component ETFs less the Performance of 3-Month USD LIBOR Your CDs are linked to the index, which measures the performance of the index component ETFs (with gross dividends reinvested) less the performance of 3-month USD LIBOR. Increases in the level of 3-Month USD LIBOR may offset in whole or in part increases in the levels of the index component ETFs. As a result, the coupon may be reduced or eliminated, which will have the effect of reducing the amount payable in respect of your CDs. The index component ETFs must produce positive returns at least as great as 3-month USD LIBOR before the index will have a positive return. Historically, a significant portion of the index exposure has been to the U.S. short-term treasury position, the return of which has been below 3-month USD LIBOR. Your Investment in the CDs May Be Subject to Concentration Risks The assets underlying an eligible ETF may represent a particular market or commodity sector, a particular geographic region or some other sector or asset class. As a result, your investment in the CDs may be concentrated in a single sector or asset class. This concentration could occur because of concentration in the investment goals of one or more eligible ETFs. The index at any time may include exposure to as few as 2 eligible ETFs. Although your investment in the CDs will not result in the ownership or other direct interest in the assets held by the eligible ETFs, the return on your investment in the CDs will be subject to certain risks similar to those associated with direct investments in the market or commodity sector, geographic region, other sector or class represented by the relevant assets. In addition, during a monthly rebalancing, the index may rebalance to include only index component ETFs that represent a limited number of markets or commodity sectors, geographic regions, other sectors or asset classes. If this were to occur, you will be subject to risks similar to those associated with direct investments in these markets or commodity sectors, geographic regions, other sectors or asset classes. These markets, geographic regions, sectors or asset classes may not be diversified. You May Not Have Exposure to One or More of the Eligible ETFs During the Term of the CDs In any given month, we expect that you will have exposure to only a limited subset of the 18 eligible ETFs (which could be as few as 2) and you may not have any exposure to some of the 18 eligible ETFs during the entire term of the CDs. As a result, you should not expect the index to provide a balanced exposure to all of the eligible ETFs. Further, if the 3-month realized volatility of the index component ETFs exceeds 5% on any day, subject to the satisfaction of the daily rebalancing materiality constraint of 1%, the index will ratably rebalance a portion of the exposure to the index into the U.S. short-term treasury position (i.e., eligible ETFs holding short-term U.S. Treasury Bills) to reduce the 3-month realized volatility level. This may limit your exposure to the index component ETFs during the term of the CDs. If the Level of the Index Changes, the Market Value of Your CDs May Not Change in the Same Manner Your CDs may trade quite differently from the performance of the index. Changes in the level of the index may not result in a comparable change in the market value of your CDs. Even if the level of the index increases above the initial index level during the life of the CDs, the market value of your CDs may not increase by the same amount. We discuss some of the reasons for this disparity under The Market S-23

25 Value of Your CDs May Be Influenced by Many Factors That Are Unpredictable and Interrelated in Complex Ways above. The Amount Payable on Your CDs Is Not Linked to the Level of the Index at Any Time Other Than the Coupon Determination Dates Each coupon will be based on the closing level of the index on the applicable coupon determination date, relative to the initial index level. Therefore, if the closing level of the index dropped on the applicable coupon determination date, the coupon for your CDs will be less than it would have been had the coupon been linked to the closing level of the index prior to such drop in the closing level of the index. Additionally, the coupon for your CDs may be less than it would have been had the performance of the index been measured based on levels other than the initial index level compared to the closing level on the applicable coupon determination date. For example, an increase from one coupon determination date to the next coupon determination date has no bearing on the coupon payment. Although the actual closing level of the index on a coupon payment date or at other times during the life of your CDs may be higher than the closing level on the applicable coupon determination date, you will not benefit from the closing level of the index at any time other than on the applicable coupon determination date. Past Index Performance is No Guide to Future Performance The actual performance of the index over the life of the CDs, as well as the amount payable on any coupon payment date, may bear little relation to the historical closing levels of the index or to the hypothetical return examples set forth elsewhere in this disclosure statement supplement. We cannot predict the future performance of the index. The Lower Performance of One Index Component ETF May Offset an Increase in the Other Index Component ETFs Your CDs are linked to the index, which rebalances monthly among 18 eligible ETFs. Declines in the level of one index component ETF may offset increases in the levels of the other index component ETFs. As a result, the coupon may be reduced or eliminated, which will have the effect of reducing the amount payable in respect of your CDs. Our Affiliate is the Index Sponsor and the Policies of the Index Sponsor and Index Calculation Agent, and Changes that Affect the Index or Eligible ETFs, Could Affect the Amount Payable on Your CDs and Their Market Value Our affiliate is the index sponsor. The policies of the index sponsor and the index calculation agent concerning the calculation of the level of the index, additions, deletions or substitutions of eligible ETFs and the manner in which changes affecting the eligible ETFs or their sponsors, such as stock dividends, reorganizations or mergers, are reflected in the level of the index, could affect the level of the index and, therefore, the amount payable, if any, on your CDs on the coupon payment dates and the market value of your CDs before the stated maturity date. As further described under The Index in this disclosure statement supplement, a comparable ETF may be selected by the index committee, if available, to replace an index component ETF and/or eligible ETF. The replacement of any index component ETF may have an adverse impact on the value of the index. The amount payable on your CDs and their market value could also be affected if the index sponsor or index calculation agent changes these policies, for example, by changing the manner in which the level of the index is calculated, or if the index sponsor or index calculation agent discontinues or suspends calculation or publication of the level of the index, in which case it may become difficult to determine the market value of your CDs. Our affiliate in its capacity as the index sponsor has no obligation to take your interests into consideration for any reason. If events such as these occur on a coupon determination date, the calculation agent may determine the closing level for the index on such coupon determination date and thus any coupon payable on the applicable coupon payment date in a manner it considers appropriate, in its sole discretion. We describe the discretion that the calculation agent will have in determining the level of the index and any coupon payable on your CDs more fully under Specific Terms of Your Certificates of Deposit Discontinuance or Modification of the Index on page S-44 and Specific Terms of Your Certificates of Deposit Role of Calculation Agent on page S-44. S-24

26 As Index Sponsor, Goldman Sachs & Co. Can Replace the Index Calculation Agent at Any Time The index sponsor has retained Structured Solutions AG to serve as index calculation agent. The index calculation agent calculates the value of the index and implements the methodology determined by the index committee. The index sponsor can replace the index calculation agent at any time. In the event the index sponsor appoints a replacement index calculation agent, a public announcement will be made via press release. Any replacement of the index calculation agent may result in reporting delays and other disruptions. The Index Calculation Agent Can Resign Upon Notification to the Index Sponsor As index calculation agent, Structured Solutions AG can resign upon 60 days written notice to the index sponsor. In the event the index sponsor appoints a replacement index calculation agent, a public announcement will be made via press release. Any resignation by the index calculation agent may result in reporting delays and other disruptions. The Index May Not Successfully Capture Price Momentum and May Not Achieve its Target Volatility The index attempts to track the positive price momentum in the eligible ETFs. As such, on each monthly rebalancing date the index weights the eligible ETFs based in part on the returns of the eligible ETFs from the immediately preceding six months. However, there is no guarantee that trends existing in the preceding six months will continue in the future. The trend of an eligible ETF may change at the end of the six-month period and such change may not be reflected in the return of the eligible ETF calculated over the six-month period. In addition, the volatility controls and maximum weightings may limit the index s ability to track price momentum. The index is different from an investment that seeks long-term exposure to a constant set of ETFs. The index may fail to realize gains that could occur as a result of holding assets that have experienced price declines, but after which experience a sudden price spike. As a result, if market conditions do not represent a continuation of prior observed trends, the level of the index, which is rebalanced based on prior trends, may decline. No assurance can be given that the investment methodology used to construct the index will outperform any alternative index that might be constructed from the eligible ETFs. No assurance can be given that the investment methodology on which the index is based will be successful or that the index will outperform any alternative methodology that might be employed in respect of the eligible ETFs. Furthermore, no assurance can be given that the index will achieve its target volatility of 4%. The actual realized volatility of the index may be greater or less than 4%. The Index Weightings May Be Ratably Rebalanced into the Short-Term U.S. Treasury Position on Any or All Days During the Term of the CDs The index has a daily volatility control feature which can result in a rebalancing between the index component ETFs and the short-term U.S. treasury position. This has the effect of reducing the exposure of the index to the performance of the index component ETFs by rebalancing a portion of the index into the short-term U.S. treasury position if the historical 3-month realized volatility of the index component ETFs (observed and calculated by the index calculation agent on a daily basis) would otherwise exceed the daily volatility control level of 5% on any index business day, subject to the daily rebalancing materiality constraint of 1%. There is no guarantee that the index will not be rebalanced into the short-term U.S. treasury position for the entire life of the CDs, which will limit your return on the CDs. In addition, there is no guarantee that the daily volatility control level will successfully reduce the volatility of the index or avoid any volatile movements of any index component ETF. If there is a rapid and S-25

27 severe decline in the market price of the index component ETFs, the index may not rebalance into the short-term U.S. treasury position until the index has declined by a substantial amount. Each Index Component ETF s Weight Is Limited By Its Maximum Weight and the Monthly Volatility Target Each month, the index sets the weights for the eligible ETFs to those weights that would have provided the highest historical return during the prior six months, subject to investment constraints on the maximum weights of each eligible ETF and the monthly volatility target of 4%. These constraints could lower your return versus an investment that was not limited as to the maximum weighting allotted to any one index component ETF or was not subject to the monthly volatility target. The index s monthly volatility target may result in a significant portion of the index s exposure being allocated to the short-term U.S. treasury position. The volatility target represents an intended trade-off, in which some potential upside is given up in exchange for attempting to limit downside exposure in volatile markets. However, because the CDs provide for the repayment of principal at maturity, the incremental benefit to holders of the CDs from the attempted reduced downside exposure offered by the index s volatility target may be limited. The Index May Perform Poorly During Periods Characterized by Short-Term Volatility The index s methodology is based on momentum investing. Momentum investing strategies are effective at identifying the current market direction in trending markets. However, in non-trending, sideways markets, momentum investment strategies are subject to whipsaws. A whipsaw occurs when the market reverses and does the opposite of what is indicated by the trend indicator, resulting in a trading loss during the particular period. Consequently, the index may perform poorly in non-trending, choppy markets characterized by short-term volatility. Correlation of Performances Among the Index Component ETFs May Reduce the Performance of the Index Performances of the index component ETFs may become highly correlated from time to time during the term of the CDs, including, but not limited to, periods in which there is a substantial decline in a particular sector or asset type represented by the index component ETFs and which has a higher weighting in the index relative to any other sector or asset type, as determined by the index s methodology. High correlation during periods of negative returns among index component ETFs representing any one sector or asset type which has a substantial percentage weighting in the index could have an adverse effect on the level of the index. Index Market Disruption Events Could Affect the Level of the Index on Any Date and/or Delay Monthly or Daily Rebalancing of the Index If a monthly rebalancing or a daily rebalancing of the index must be effected on an index business day on which an index market disruption event (as defined in The Index Could market disruptions or corporate events impact the calculation of the index or the implementation of monthly or daily rebalancing by the index calculation agent? below) occurs or is continuing, the index committee, in its sole discretion, will postpone such monthly rebalancing date or such daily rebalancing, as applicable, to the next index business day on which no index market disruption event occurs or is continuing as described in Could market disruptions or corporate events impact the calculation of the index or the implementation of monthly or daily rebalancing by the index calculation agent? herein. Any delay in rebalancing may have an adverse impact on the level of the index. The Index Has a Limited Operating History The CDs are linked to the performance of the index, which was launched on May 25, Because the index has no index level history prior to that date, limited historical index level information will be S-26

28 available for you to consider in making an independent investigation of the index performance, which may make it difficult for you to make an informed decision with respect to the CDs. Changes in Banks Inter-bank Lending Rate Reporting Practices or the Method Pursuant to Which LIBOR Rates Are Determined May Adversely Affect the Value of Your CDs Beginning in 2008, concerns have been raised that some of the member banks surveyed by the British Bankers Association (the BBA ) in connection with the calculation of daily LIBOR across a range of maturities and currencies may have been under-reporting or otherwise manipulating the inter-bank lending rate applicable to them in order to profit on their derivatives positions or to avoid an appearance of capital insufficiency or adverse reputational or other consequences that may have resulted from reporting inter-bank lending rates higher than those they actually submitted. At least one BBA member bank has entered into a settlement with a number of its regulators and law enforcement agencies with respect to alleged manipulation of LIBOR, and investigations by regulators and governmental authorities in various jurisdictions are ongoing. Other member banks may also enter into such settlements with, or have proceedings brought by, their regulators or law enforcement agencies in the future. In addition, there have been allegations that member banks may also have manipulated other inter-bank lending rates, such as EURIBOR. If manipulation of LIBOR or another inter-bank lending rate occurred, it may have resulted in that rate being artificially lower (or higher) than it would otherwise have been. Any such manipulation could have occurred over a substantial period of time. In August 2008, the BBA announced that it was changing the LIBOR fixing process by increasing the number of banks surveyed to set LIBOR. The BBA has taken steps intended to strengthen the oversight of the process and review biannually the composition of the panels of banks surveyed to set LIBOR. Any changes in the method pursuant to which LIBOR is determined, as well as manipulative practices or the cessation thereof, may result in a sudden or prolonged increase or decrease in reported LIBOR, which could have an adverse impact on the level of the index. The Historical Levels of 3-month USD LIBOR Are Not an Indication of the Future Levels of 3-month USD LIBOR In the past, the level of 3-month USD LIBOR has experienced significant fluctuations. You should note that historical levels, fluctuations and trends of 3-month USD LIBOR are not necessarily indicative of future levels. Any historical upward or downward trend in 3-month USD LIBOR is not an indication that 3-month USD LIBOR is more or less likely to increase or decrease at any time, and you should not take the historical levels of 3-month USD LIBOR as an indication of its future performance. Risks Related to the Eligible ETFs GENERAL RISKS RELATED TO THE ELIGIBLE ETFS The Eligible ETFs, Other Than the WisdomTree EM Local Debt Fund, Are Passively Managed and May Not Perform as well as an Actively Managed Fund The eligible ETFs, other than the WisdomTree EM Local Debt Fund, are not actively managed and may be affected by a general decline in the assets tracked by their underlying indices. Each passively managed eligible ETF invests in assets included in, or representative of, the underlying index regardless of investment merit. These eligible ETFs investment advisors do not attempt to take defensive positions under any market conditions, including during declining markets. As a result, shares of the passively managed eligible ETFs may not perform as well as an investment in actively managed ETFs or a basket comprised solely of actively managed ETFs. S-27

29 You Have No Shareholder Rights or Rights to Receive any Shares of any Eligible ETF or any Assets Held by any Eligible ETF Investing in the CDs will not make you a holder of any shares of any eligible ETF or any asset held by any eligible ETF. Investing in the CDs will not cause you to have any voting rights, any rights to receive dividends or other distributions or any other rights with respect to any eligible ETF or the assets held by any eligible ETF. Your CDs will be paid in cash, and you will have no rights to receive delivery of any shares of any eligible ETF or the assets held by any eligible ETF. Except to the Extent That The Goldman Sachs Group, Inc. is One of the 1000 Companies Whose Common Stock Comprises the Russell 1000 Index, There Is No Affiliation Between Us and any Issuer of Assets Held by any Eligible ETF or any Sponsor of any Eligible ETF, and We Are Not Responsible for any Disclosure by any Issuer of Assets Held by any Eligible ETF or any Eligible ETF Sponsor The common stock of The Goldman Sachs Group, Inc., our affiliate, is one of the 1000 underlier stocks comprising the Russell 1000 Index. Goldman, Sachs & Co. and one or more of our other affiliates may act, from time to time, as authorized participants in the distribution of shares of eligible ETFs, and, at any time, may hold shares of eligible ETFs. We are not otherwise affiliated with the issuers of the assets held by the eligible ETFs or the eligible ETF sponsors. However, we or our affiliates may currently or from time to time in the future own securities of, or engage in business with, the eligible ETFs, their sponsors or the issuers of assets held by the eligible ETFs. Nevertheless, neither we nor any of our affiliates assumes any responsibility for the accuracy or the completeness of any information about the eligible ETFs or the issuers of assets held by the eligible ETFs. You, as an investor in the CDs, should make your own investigation into the eligible ETFs and the issuers of the assets held by the eligible ETFs. See The Eligible ETFs below for additional information about the eligible ETFs. Neither the eligible ETF sponsors nor the issuers of assets held by the eligible ETFs are involved in the offering of your CDs in any way and none of them have any obligation of any sort with respect to your CDs. Thus, neither the eligible ETF sponsors nor the issuers of assets held by the eligible ETFs have any obligation to take your interests into consideration for any reason, including in taking any corporate actions that might adversely affect the level of the index. The Policies of the Eligible ETF Sponsors and/or Investment Advisor, and the Policies of any Sponsor of an Underlying Index Tracked by an Eligible ETF, Could Affect the Level of the Index Any eligible ETF sponsor may from time to time be called upon to make certain decisions or judgments with respect to the implementation of policies of the eligible ETF s investment advisor concerning the calculation of the net asset value, or NAV, of the eligible ETF, additions, deletions or substitutions of securities or assets held by the eligible ETF and the manner in which changes affecting the underlying index, if any, are reflected in the eligible ETF. The eligible ETF sponsor s decisions or judgments could affect the market price of the shares of the eligible ETF and may adversely affect the level of the index. The amount payable on your CDs and the market value of your CDs could also be affected if an investment advisor changes these policies, for example, by changing the manner in which it calculates the NAV of an eligible ETF, or if the sponsor of the eligible ETF discontinues or suspends calculation or publication of the NAV of the eligible ETF. In addition, the sponsor of an underlying index tracked by an eligible ETF is responsible for the design and maintenance of such underlying index. The policies of the sponsor of such underlying index concerning the calculation of the underlying index, including decisions regarding the addition, deletion or substitution of the assets included in the underlying index, could affect the level of the underlying index and, consequently, could affect the market price of shares of the eligible ETF and could adversely affect the level of the index, the any coupons payable on your CDs and the market value of your CDs. S-28

30 There Are Risks Associated with the Eligible ETFs Although all of the shares of the eligible ETFs are listed for trading on NYSE Arca, Inc. (the NYSE Arca ) and a number of similar products have been traded on the NYSE Arca or other securities exchanges for varying periods of time, there is no assurance that an active trading market will continue for the eligible ETFs or that there will be liquidity in any such trading market. In addition, each eligible ETF is subject to management risk, which is the risk that its investment advisor s investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. Further, each eligible ETFs is subject to custody risk, which refers to the risks in the process of clearing and settling trades and the holding of securities by local banks, agents and depositories. Low trading volumes and volatile prices in less developed markets make trades harder to complete and settle, and governments or trade groups may compel local agents to hold securities in designated depositories that are not subject to independent evaluation. The less developed a country s securities market is, the greater the likelihood of custody problems. RISKS RELATED TO ELIGIBLE ETFS HOLDING EQUITY OR DEBT SECURITIES The Values of the Eligible ETFs May Not Completely Track the Level of the Indices Underlying such Eligible ETFs Although the trading characteristics and valuations of the shares of an eligible ETF will usually mirror the characteristics and valuations of the underlying index, the value of the shares of an eligible ETF may not completely track the level of the underlying index. The value of a share of the eligible ETF may reflect transaction costs and fees incurred or imposed by the issuer of the eligible ETF that are not included in the calculation of the underlying index. Additionally, because an eligible ETF may not actually hold all of the bonds or shares that comprise the underlying index, but invests in a representative sample of securities which have a similar investment profile as the bonds or shares that comprise the underlying index, the eligible ETF may not fully replicate the performance of the underlying index. As a result, the index may not perform as well as an investment linked directly to the underlying indices of the eligible ETFs. The Eligible ETFs May Be Subject to Pricing Dislocations and May Not Trade at the Eligible ETFs Net Asset Values, Which May Adversely Affect the Level of the Index Shares of an eligible ETF may trade in the secondary market at times when the eligible ETF does not accept orders to purchase or redeem shares. At such times, shares may trade in the secondary market with more significant premiums or discounts than might be experienced at times when the eligible ETF accepts purchase and redemption orders. In addition, shares of each eligible ETF trade at prices at, above or below its most recent NAV. The NAV of each eligible ETF is calculated at the end of each business day and fluctuates with changes in the market value of the eligible ETF s holdings since the most recent calculation. The trading prices of an eligible ETF s shares fluctuate continuously throughout trading hours based on market supply and demand rather than NAV. The trading prices of the eligible ETF s shares may deviate significantly from NAV during periods of market volatility, and disruptions to creations and redemptions of the eligible ETF s shares by the eligible ETF or the existence of extreme market volatility may result in trading prices for shares of the eligible ETF that differ significantly from its NAV. If any of these dislocations were to occur, the level of the index, the amount payable on your CDs and the market value of your CDs may be adversely affected. S-29

31 RISKS RELATED TO ELIGIBLE ETFS HOLDING FOREIGN ASSETS Your CDs Will Be Subject to Foreign Currency Exchange Rate Risk Certain eligible ETFs hold assets that are denominated in non-u.s. dollar currencies. The value of the assets held by such eligible ETFs that are denominated in non-u.s. dollar currencies will be adjusted to reflect their U.S. dollar value by converting the price of such assets from the non-u.s. dollar currency to U.S. dollars. Consequently, if the value of the U.S. dollar strengthens against the non-u.s. dollar currency in which an asset is denominated, the level of the eligible ETF may not increase even if the non-dollar value of the asset held by the eligible ETF increases. Foreign currency exchange rates vary over time, and may vary considerably during the term of your CDs. Changes in a particular exchange rate result from the interaction of many factors directly or indirectly affecting economic and political conditions. Of particular importance are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments among countries; the extent of government surpluses or deficits in the relevant foreign country and the United States; and other financial, economic, military and political factors. All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments of the relevant foreign countries and the United States and other countries important to international trade and finance. The market price of the CDs and level of the index could also be adversely affected by delays in, or refusals to grant, any required governmental approval for conversions of a local currency and remittances abroad or other de facto restrictions on the repatriation of U.S. dollars. Even Though Currencies Trade Around-The-Clock, Your CDs Will Not Certain eligible ETFs hold assets that are denominated in non-u.s. dollar currencies and that are adjusted to reflect their U.S. dollar value. The interbank market in foreign currencies is a global, around-the-clock market. Therefore, the hours of trading for your CDs, if any trading market develops, will not conform to the hours during which the currencies trade. Significant price and rate movements may take place in the underlying foreign currency exchange markets that will not be reflected immediately in the price of your CDs. The possibility of these movements should be taken into account. There is no systematic reporting of last-sale information for foreign currencies. Reasonably current bid and offer information is available in certain brokers offices, in bank foreign currency trading offices and to others who wish to subscribe for this information, but this information will not necessarily be reflected in the level of the index. There is no regulatory requirement that those quotations be firm or revised on a timely basis. The absence of last-sale information and the limited availability of quotations to individual investors may make it difficult for many investors to obtain timely, accurate data about the state of the underlying foreign currency exchange markets. S-30

32 Intervention in the Foreign Currency Exchange Markets by the Countries Issuing any Currency that Underlies an Asset Held by an Eligible ETF Could Adversely Affect the Level of the Index Foreign currency exchange rates can be volatile and are affected by numerous factors specific to each foreign country. Foreign currency exchange rates can be fixed by the sovereign government, allowed to float within a range of exchange rates set by the government, or left to float freely. Governments, including those issuing the currencies in which the underlying assets held by the eligible ETFs trade, use a variety of techniques, such as intervention by their central bank or imposition of regulatory controls or taxes, to affect the exchange rates of their respective currencies. Currency developments may occur in any of the countries issuing the currencies in which the underlying assets held by the eligible ETFs trade. Often, these currency developments impact foreign currency exchange rates in ways that cannot be predicted. Governments may also issue a new currency to replace an existing currency, fix the exchange rate or alter the exchange rate or relative exchange characteristics by devaluation or revaluation of a currency. Thus, a special risk in purchasing the CDs is that the index could be affected by the actions of sovereign governments that could change or interfere with previously freely determined currency valuations, fluctuations in response to other market forces and the movement of currencies across borders. The calculation agent is not obligated to make any offsetting adjustment or change in the event of any devaluation or revaluation or imposition of exchange or other regulatory controls or taxes or in the event of other developments affecting any eligible ETF or asset held by an eligible ETF during the life of your CDs. Because the eligible ETFs convert the prices of underlying assets that trade in foreign currencies to their U.S. dollar equivalents, a weakening in the exchange rate of any such foreign currency relative to the U.S. dollar may have an adverse effect on the level of the index. Suspensions or Disruptions of Market Trading in One or More Foreign Currencies May Adversely Affect the Value of Your CDs The foreign currency exchange markets are subject to temporary distortions or other disruptions due to various factors, including government regulation and intervention, the lack of liquidity in the markets and the participation of speculators. Because the eligible ETFs convert the prices of underlying assets that trade in foreign currencies to their U.S. dollar equivalents, these circumstances could adversely affect the relevant foreign currency exchange rates and, therefore, the level of the index. Your Investment in the CDs Will Be Subject to Risks Associated with Foreign Securities Markets Certain eligible ETFs hold assets issued by foreign companies or entities. You should be aware that investments in securities linked to the value of foreign assets involve particular risks. The foreign securities markets, and in particular emerging markets, in which assets held by the eligible ETFs trade may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies. Securities prices in foreign countries are subject to political, economic, financial and social factors that apply in those geographical regions. These factors, which could negatively affect those securities markets, include the possibility of recent or future changes in a foreign government s economic and fiscal policies, the possible imposition of, or changes in, currency exchange laws or other laws or restrictions applicable to foreign companies or investments in foreign equity securities and the possibility of fluctuations in the rate of exchange between currencies, the possibility of outbreaks of hostility and political instability and the S-31

33 possibility of natural disaster or adverse public health development in the region. Moreover, foreign economies may differ favorably or unfavorably from the U.S. economy in important respects such as growth of gross national product, rate of inflation, capital reinvestment, resources and self-sufficiency. The eligible ETFs may hold assets that trade in countries considered to be emerging markets. Countries with emerging markets may have relatively less stable governments, may present the risks of nationalization of businesses, restrictions on foreign ownership and prohibitions on the repatriation of assets, and may have less protection of property rights than more developed countries. The economies of countries with emerging markets may be based on only a few industries, may be highly vulnerable to changes in local or global trade conditions, and may suffer from extreme and volatile debt burdens or inflation rates. Local securities markets may trade a small number of securities and may be unable to respond effectively to increases in trading volume, potentially making prompt liquidation of holdings difficult or impossible at times. It will also likely be more costly and difficult for an Eligible ETF sponsor to enforce the laws or regulations of a foreign country or trading facility, and it is possible that the foreign country or trading facility may not have laws or regulations which adequately protect the rights and interests of investors in the assets included in such eligible ETFs. In particular, each of ishares JPMorgan USD Emerging Markets Bond Fund and the WisdomTree EM Local Debt Fund invests in debt instruments issued by sovereign and quasi-sovereign entities in emerging market countries. In addition, because foreign exchanges may be open on days when the eligible ETFs are not traded, the value of the assets underlying such eligible ETFs may change on days when the exchanges listing the eligible ETFs are closed. RISKS RELATED TO ELIGIBLE ETFS HOLDING U.S. GOVERNMENT DEBT SECURITIES Your Investment is Subject to Concentration Risks The U.S. Treasury bonds held by certain of the eligible ETFs are all obligations of the United States and are of a similar maturity. As a result, the index may be concentrated in the performance of bonds issued by a single issuer and having the same general tenor and terms. Although your investment in the CDs will not result in the ownership or other direct interest in the U.S. Treasury bonds held by any eligible ETF, the return on your investment in the CDs will be subject to certain risks similar to those associated with direct investment in a U.S. Treasury bonds. This increases the risk that any downgrade of the credit ratings of the U.S. government from its current ratings, any increase in risk that the U.S. Treasury may default on its obligations by the market (whether for credit or legislative process reasons) or any other market events that create a decrease in demand for U.S. Treasury bonds would significantly adversely affect such eligible ETFs and may adversely affect the level of the index. ETFs Holding U.S. Government Bonds May Change in Unexpected Ways The indexes to which ETFs holding U.S. Treasury bonds tend to be linked tend to have very limited public disclosure about the underlying indexes. The index sponsors of these indexes retain discretion to make changes to the indexes at any time. The lack of detailed information about the indexes and how their constituents may change in the future creates the risk that the indexes could change in the future to perform much differently from the way they would perform if such changes were not made. If the indexes are changed in unexpected ways, the ETFs holding such bonds would similarly change to better reflect the indexes. The performance of the ETFs holding such bonds could be adversely affected in that case, which could adversely affect your investment in the CDs. RISKS RELATED TO ELIGIBLE ETFS HOLDING DEBT SECURITIES Generally, the prices of debt securities are influenced by the creditworthiness of the issuers of such debt securities. The credit ratings of investment grade debt securities in particular may be downgraded to non-investment grade levels, leading to a significant decrease in the value of such debt securities. If that occurs, the level of the index may be adversely affected. S-32

34 In addition, The SPDR Barclays Capital International Treasury Bond ETF invests in sovereign debt including debt issued by Spain, Italy and other European countries. The financial crisis in Europe created concerns about European sovereign debt risk. The performance of the SPDR Barclays Capital International Treasury Bond ETF may be negatively affected by further declines in the value of European sovereign debt or the inability of European sovereign issuers to service their debt. Your Investment is Subject to Income Risk and Interest Rate Risk The income of certain eligible ETFs may decline when interest rates fall. This decline can occur because the eligible ETF must invest in lower-yielding bonds as bonds in its portfolio fall outside the time to maturity limits required by the eligible ETF s investment objective, bonds in the underlying index are substituted or the eligible ETF otherwise needs to purchase additional bonds. In addition, as interest rates rise, the value of the fixed rate bonds held by an eligible ETF is likely to decrease. Securities with longer durations tend to be more sensitive to interest rate changes, usually making them more volatile than securities with shorter durations. If any of these events occur, the shares of the eligible ETF and the level of the index could be adversely affected. In addition, the ishares Barclays TIPS Bond Fund includes inflation-protected bonds, which typically have lower yields than conventional fixed rate bonds because of their inflation adjustment feature. If inflation is low, the benefit received from the inflation-protected feature of the underlying bonds may not sufficiently compensate for this reduced yield. The performance of the ishares Barclays TIPS Bond Fund is also affected by the Consumer Price Index (the CPI ). The method of calculation of the CPI by the Bureau of Labor Statistics may change, consequently affecting the performance of TIPS and the ishares Barclays TIPS Bond Fund. S-33

35 RISKS RELATED TO THE ISHARES IBOXX $ HIGH YIELD CORPORATE BOND FUND The Performance of the ishares iboxx $ High Yield Corporate Bond Fund is Subject to Credit Risk Affecting the Securities Held by it The ishares iboxx $ High Yield Corporate Bond Fund holds generally U.S. dollar-denominated liquid high yield corporate bonds, sometimes referred to as junk bonds. High yield bonds (rated below investment grade, which means a rating of BB+ or lower by S&P or Fitch and Ba1 or lower by Moody s), compared to higher-rated securities of similar maturities, tend to have more volatile prices and increased price sensitivity to changing interest rates and to adverse economic and business developments, greater risk of loss due to default or declining credit quality, greater likelihood that adverse economic or company specific events will make the issuer of such bonds unable to make interest and/or principal payments, and greater susceptibility to negative market sentiments leading to depressed prices and decrease in liquidity. The companies that issue high yield bonds are often highly leveraged, and their ability to service their debt obligations during an economic downturn or periods of rising interest rates may be impaired. In addition, these companies may not have access to more traditional methods of financing and may be unable to repay debt at maturity by refinancing. The risk of loss due to default in payment of interest or principal by these issuers is significantly greater than with higher quality securities because medium and lower quality securities generally are unsecured and subordinated to senior debt. Default, or the market s perception that a high yield issuer is likely to default, could reduce the value and liquidity of the issuer s securities. RISKS RELATED TO THE ISHARES DOW JONES REAL ESTATE INDEX FUND The ishares Dow Jones Real Estate Index Fund invests in shares of companies that directly or indirectly invest in real estate. The performance of the real estate industry is affected by multiple factors, including general economic and political conditions, the availability of financing for real estate, governmental actions that affect real estate, liquidity in the real estate market and interest rates. The value of shares of companies that invest in real estate and the performance of the ishares Dow Jones Real Estate Index will be negatively affected by a downturn in the real estate industry. In addition, the ishares Dow Jones Real Estate Index Fund invests in real estate investment trusts, the performance of which is subject to concentration and management risks similar to those to which the other eligible ETFs are subject. RISKS RELATED TO THE WISDOMTREE EM LOCAL DEBT FUND The WisdomTree EM Local Debt Fund is Actively Managed and subject to Management Risk The WisdomTree EM Local Debt Fund seeks a total return consisting of both income and capital appreciation through investment in fixed income securities, such as bonds, notes or other debt obligations denominated in local currencies of emerging market countries, as well as other instruments, including currency derivatives. The WisdomTree EM Local Debt Fund is actively managed and is therefore subject to management risk. Although a passively managed ETF is subject to manager risk in that the manager may take actions that result in the ETF not tracking its underlying index with a high degree of correlation, the WisdomTree EM Local Debt Fund is not tracking an underlying index and therefore may result in more manager discretion, which could result in the WisdomTree EM Local Debt Fund performing less well than a passively managed emerging market ETF. As a result, your CDs may not perform as well as a CD linked solely to passively managed ETFs. S-34

36 RISKS RELATED TO ELIGIBLE ETFS HOLDING COMMODITIES OR COMMODITY FUTURES ( COMMODITY ELIGIBLE ETFS ) Termination or Liquidation of an Eligible ETF that includes a Commodity Pool Could Adversely Affect the Value of the Index The commodity eligible ETFs are shares of Delaware statutory trusts. The trusts may be required to terminate and liquidate at a time that is disadvantageous to you. If the trusts are required to terminate and liquidate, such termination and liquidation could occur at a time when the prices of commodities contracts included in such eligible ETFs are lower than the prices of those commodities contracts at the time when you purchased your CDs, which could have an adverse impact on the level of the index. Your Investment is Subject to Concentration Risks The commodity contracts for each commodity held by the commodity eligible ETFs are each concentrated in a single commodities contract. As a result, the performance of such commodity eligible ETFs will be concentrated in the performance of those specific contracts. Although your investment in the CDs will not result in the ownership or other direct interest in the commodities contracts held by any of the eligible ETFs, the return on your investment in the CDs will be subject to certain risks similar to those associated with direct investment in those contracts. This increases the risk that any market events that create a decrease in demand for or the trading price of the commodities contracts would significantly adversely affect the commodity eligible ETFs and could have an adverse impact on the level of the index. The Returns on the Commodity Eligible ETFs will not Precisely Correlate with the Performance of each Commodity Eligible ETF s Underlying Index The value of and returns on the commodity eligible ETFs are expected to reflect the value of and returns on the trust s underlying investments, through the commodity pool, in commodities contracts and the cash or short-term securities used to collateralize those positions. The returns on the commodity eligible ETFs will not precisely correlate with the performance of the related underlying index due to differences between the return on the assets used by the commodity pool to collateralize its positions and the U.S. Treasury rate used to calculate the return component of the underlying index, timing differences, differences between the portion of the commodity pool s assets invested in the commodity contracts versus the portion of the return on the underlying index contributed by the commodities contracts underlying the underlying index, the payment of expenses and liabilities by the commodity pool and the transaction fees to be paid in connection with the creation and redemption of shares of the eligible commodity ETF. Fees and Expenses Payable by the Commodity Eligible ETFs are Charged Regardless of Profitability and May Result in a Depletion of Their Assets The commodity eligible ETFs are subject to fees and expenses, which are payable irrespective of profitability. Interest earned on the assets posted as collateral is paid to the commodity eligible ETF and is used to pay fees and expenses. A prolonged decline in interest rates could materially affect the amount of interest paid to a commodity eligible ETF. In the case of either an extraordinary expense and/or insufficient interest income to cover ordinary expenses, a commodity eligible ETF could be forced to liquidate its positions in commodities contracts to pay such expenses. Recent Legal and Regulatory Changes could Adversely Affect the Level of the Index The Dodd-Frank Wall Street Reform and Consumer Protection Act ( Dodd-Frank ), which provides for substantial changes to the regulation of the commodities and over-the-counter (OTC) derivative markets, was enacted in July Dodd- Frank requires regulators, including the Commodity Futures Trading Commission (the CFTC ), to adopt regulations in order to implement many of the requirements of the legislation. While the CFTC has proposed certain of the required regulations and has begun adopting certain final regulations, the ultimate nature and scope of the regulations cannot yet be determined. Under S-35

37 Dodd-Frank, the CFTC has approved a final rule to impose limits on the size of positions that can be held by market participants in commodities and OTC derivatives on physical commodities. While the rules have not yet taken effect, and their impact is not yet known, these limits will likely restrict the ability of market participants to participate in the commodities and swaps markets on physical commodities, and the markets for other OTC derivatives on physical commodities, to the extent and at the levels that they have in the past. These factors may have the effect of reducing liquidity and increasing costs in these markets as well as affecting the structure of the markets in other ways. In addition, these legislative and regulatory changes will likely increase the level of regulation of markets and market participants, and therefore the costs of participating in the commodities, commodities and OTC derivative markets. Without limitation, these changes will require many OTC derivative transactions to be executed on regulated exchanges or trading platforms and cleared through regulated clearing houses. Swap dealers will also be required to be registered and will be subject to various regulatory requirements, including capital and margin requirements. The various legislative and regulatory changes, and the resulting increased costs and regulatory oversight requirements, could result in market participants being required to, or deciding to, limit their trading activities, which could cause reductions in market liquidity and increases in market volatility. These consequences could adversely affect the level of the index. In addition, other regulatory bodies have proposed or may propose in the future legislation similar to those proposed by Dodd-Frank or other legislation containing other restrictions that could adversely impact the liquidity of and increase costs of participating in the commodities markets. For example, the European Commission published a proposal to update the Markets in Financial Instruments Directive (MiFID II) and Markets in Financial Instruments Regulation (MiFIR), which proposes regulations to establish position limits (or an alternative equivalent) on trading physically-settled and cash settled commodity derivatives, although the scope of any final rules and the degree to which member states will be required or permitted to adopt these regulations or additional regulations remains unclear. If these regulations are adopted or other regulations are adopted in the future, they could have an adverse impact on the level of the index. RISKS RELATED TO THE ISHARES S&P GSCI COMMODITY-INDEXED TRUST The Trading of CERFs Presents Risks unrelated to the Related Underlying Index that Could Adversely Affect the Value of the ishares S&P GSCI Commodity-Indexed Trust and therefore the Level of the Index The impact of the following considerations may be heightened because of the concentration of the ishares S&P GSCI Commodity-Indexed Trust s assets in long positions in futures contracts on the S&P GSCI -ER ( CERFs ). The commodity pool will not be able to avoid these risks by diversifying into other assets or contracts. Substantially all of the assets of the ishares S&P GSCI Commodity-Indexed Trust will be allocated to the trading of the CERFs, and the ishares S&P GSCI Commodity-Indexed Trust will not trade any other commodities contracts. CERFs have a limited trading history. Until February 2011, only one CERF contract was held by the ishares S&P GSCI Commodity-Indexed Trust. That CERF, first listed in March 2006, expired in March In October 2010, the Chicago Mercantile Exchange ( CME ) listed a new CERF with an expiration of March The ishares S&P GSCI Commodity-Indexed Trust began purchasing the CERF expiring in March 2014 in February The ishares S&P GSCI Commodity-Indexed Trust has completed its roll of the CERFs which expired in March 2011 into CERFs that expire in March There can be no assurance as to the size or liquidity of the market for CERFs. Illiquidity of the market for CERFs may adversely affect the price of CERFs, ishares S&P GSCI Commodity-Indexed Trust s ability to track its underlying index and the ishares S&P GSCI Commodity-Indexed Trust s ability to create or redeem shares. There can be no assurance that any market participant will make a market or otherwise trade in CERFs at any time or continue to do so. Withdrawal from the market of any participants, or reduced participation by those persons (especially as there are expected to be only a limited number of participants in the market for CERFs), may reduce the liquidity of CERFs and, accordingly, adversely affect the value of the ishares S&P GSCI Commodity-Indexed Trust and therefore could have an adverse impact on the level of the index. S-36

38 These risks may be heightened if the ishares S&P GSCI Commodity-Indexed Trust s CERF positions represent a substantial portion of the long-side open interest in the CERFs, as they historically have. As of September 30, 2011, the market for CERFs had not developed significant liquidity and the commodity pool represented substantially all of the long-side open interest in CERFs. In addition, it is expected that Goldman, Sachs & Co. or its accountholders will represent, directly or indirectly, a substantial portion of the short-side interest in such market. The existence of such a limited number of market participants could cause or exacerbate losses to the trust if the ishares S&P GSCI Commodity-Indexed Trust were required to liquidate its CERF positions. The longer duration of the CERFs is also not traditional for commodities contracts and may affect their liquidity and trading dynamics, which may in turn adversely affect the ishares S&P GSCI Commodity-Indexed Trust. In particular, the rolling of each CERF contract, as it approaches expiration, could exacerbate any adverse impacts of illiquidity in the market. Although CERFs are based on the S&P GSCI-ER, the value of the CERFs and the level of the S&P GSCI-ER may not be equivalent at all times. The CERFs currently purchased by the ishares S&P GSCI Commodity-Indexed Trust expire in March of 2014; accordingly, the price at which the CERFs will trade would be expected to correspond to the implied level of the S&P GSCI-ER in March of 2014, not to its current level. Moreover, because the expiration date of the CERFs will differ from the expiration date of the commodities contracts underlying the S&P GSCI-ER, changes to the value of those commodities contracts and, consequently, to the level of the S&P GSCI-ER, will not necessarily result in an equivalent change in the value of the CERFs. In addition, although the current level of the S&P GSCI-ER is expected to influence the implied forward level of the S&P GSCI-ER, other factors, such as the expected rate of inflation, implied interest and yield rates in the market generally and implied volatility may influence market expectations at any given time about prospective changes in the level of the S&P GSCI-ER and consequently the price at which the CERFs trade. It is also possible that the value of CERFs could be affected by factors that do not directly affect the current or implied forward level of the S&P GSCI-ER, such as the activities of market participants in trading CERFs, or in trading other instruments indexed to the S&P GSCI-ER, as well as supply and demand in the market for such CERFs. Actions by the CME with respect to CERFs, such as the imposition of trading or price limits or a suspension of trading in response to volatile market activity or other causes, and systems or communications failures could also cause the value of the CERFs to diverge from the level of the S&P GSCI-ER. Although arbitrage activity by market participants is expected to have the effect of reducing or eliminating divergence between the value of the CERFs and the level of the S&P GSCI-ER, such arbitrage activity may not fully offset any divergence at all times during which the shares are outstanding, especially if the market for the shares remains illiquid. In the event that such a divergence exists from time to time, changes in the NAV, which is calculated based on the value of the CERFs, will not adequately reflect changes in the level of the S&P GSCI-ER, which could adversely affect the value of the ishares S&P GSCI Commodity-Indexed Trust and the level of the index. In addition, because CERFs are cleared through the CME clearing house, and the ishares S&P GSCI Commodity-Indexed Trust s CERF positions are carried on its behalf by the clearing market participant, the ishares S&P GSCI Commodity-Indexed Trust will be subject to the risk of a default by the CME clearing house or the clearing market participant. In that event, the ishares S&P GSCI Commodity-Indexed Trust could be unable to recover amounts due to it on its CERF positions, including assets posted as margin, and could sustain substantial losses, even if the level of the S&P GSCI-ER increases. The magnitude of the losses may be significantly increased by the requirement to post 100% margin. The S&P GSCI-ER May in the Future Include Contracts that are not Traded on Regulated Commodities Exchanges and that Offer Different or Diminished Protections to Investors The S&P GSCI-ER is comprised exclusively of commodities contracts traded on regulated commodities exchanges. Such exchanges in the United States are referred to as designated contract markets. As described below under The Eligible ETFs--iShares S&P GSCI Commodity-Indexed Trust, S-37

39 however, the S&P GSCI-ER may in the future include contracts (such as swaps and forward contracts) traded in the over-the-counter market or on trading facilities that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading in such contracts, and the manner in which prices and volumes are reported by the relevant trading facilities, may not be subject to the same provisions of, and the protections afforded by, the Commodity Exchange Act or other applicable statutes and related regulations that govern trading on regulated commodities exchanges. In addition, many electronic trading facilities have only recently initiated trading and do not have significant trading histories. As a result, the trading of contracts on such facilities and the inclusion of such contracts in the S&P GSCI-ER may be subject to risks not presented by most exchange-traded commodities contracts, including risks related to the liquidity and price histories of the relevant contracts. Changes in the Composition and Valuation of the S&P GSCI-ER May Adversely Affect the ishares S&P GSCI Commodity-Indexed Trust and, therefore, the Level of the Index The composition of the S&P GSCI-ER may change over time as additional commodities satisfy the eligibility criteria or commodities currently included in the S&P GSCI-ER fail to satisfy those criteria. The weighting factors applied to each commodity included in the S&P GSCI-ER change annually, based on changes in commodity production statistics. In addition, the S&P GSCI-ER s index sponsor may modify the method for determining the composition and weighting of the S&P GSCI-ER and for calculating its value. A number of modifications to the methodology for determining the contracts to be included in the S&P GSCI-ER, and for valuing the S&P GSCI-ER, have been made in the past several years, and further modifications may be made. Such changes could adversely affect the value of the ishares S&P GSCI Commodity-Indexed Trust and, therefore, the level of the index. For more information about the methodology for determining the composition and weighting of the S&P GSCI-ER, see The Eligible ETFs-- ishares S&P GSCI Commodity-Indexed Trust. A Cessation of Publication of the S&P GSCI-ER could Adversely Affect the Activities of the ishares S&P GSCI Commodity-Indexed Trust The S&P GSCI-ER is administered, calculated and published by S&P, which has the right to cease publication of the S&P GSCI-ER at its discretion at any time. Under the terms of its agreement with the CME, S&P is required, if it ceases publication of the S&P GSCI-ER, to negotiate in good faith with the CME to permit the CME to continue to calculate the S&P GSCI-ER in order to permit CERFs to continue to trade. However, even if S&P satisfies its obligations under its agreement with the CME, the manager may determine that, upon a cessation of publication of the S&P GSCI-ER, it is no longer advisable to invest in CERFs and no other commodities contract that reflects the performance of a successor or reasonably similar index presents an acceptable alternative investment, in which event the ishares S&P GSCI Commodity-Indexed Trust may be liquidated. The Rolling of the ishares S&P GSCI Commodity-Indexed Trust s Position in CERFs from an Expiring CERF into a Newly Listed CERF Could Expose the ishares S&P GSCI Commodity-Indexed Trust to Risks Arising from Trading Activity in CERFs It is anticipated that prior to the expiration date of the CERFs in March 2014, the CME will list a new CERF with a later expiration date and the ishares S&P GSCI Commodity-Indexed Trust will roll its positions in CERFs from the expiring contract into the new contract. However, the CME is under no obligation to list a later expiring CERF, and any CERFs listed on later dates may have terms that differ from the CERFs now listed on the CME. The rolling of expiring CERFs into new CERFs with a later expiration may be effected in a number of different ways, depending on the circumstances prevailing as each CERF approaches expiration. However, it is possible that the prices obtained by the ishares S&P GSCI Commodity-Indexed Trust on the transactions executed to effect this roll will be adversely affected by market conditions (including the possibility of market disruptions) and by the trading activities of other market participants, which may reflect market awareness of ishares S&P GSCI Commodity-Indexed Trust s position in CERFs. For example, if other market participants are able to anticipate the timing of the ishares S&P GSCI Commodity-Indexed Trust s roll, they may be able to execute transactions in advance of the ishares S&P GSCI Commodity-Indexed Trust s rolling transactions, which will allow these market participants to benefit S-38

40 from the transactions executed by the ishares S&P GSCI Commodity-Indexed Trust but adversely affect the prices obtained by the ishares S&P GSCI Commodity-Indexed Trust, which will in turn adversely affect the value of the shares and the level of the index. In addition, if the ishares S&P GSCI Commodity-Indexed Trust s CERF position represents a significant part of the open long interest, as has historically been the case, other market participants may take this into account, with a potential adverse impact on the prices at which the ishares S&P GSCI Commodity-Indexed Trust is able to liquidate its expiring CERF position and establish a new position in the next expiring CERF contract. There can be no assurance that the ishares S&P GSCI Commodity-Indexed Trust will affect the rolling of positions at a time or in a manner that will allow it to avoid adverse consequences. The ishares S&P GSCI Commodity-Indexed Trust s Clearing Market Participant or the CME Clearing House could Fail, which could Expose the ishares S&P GSCI Commodity-Indexed Trust to Greater Risk The ishares S&P GSCI Commodity-Indexed Trust must deposit as margin an amount equal to 100% of the value of the CERFs that it enters into on the date the position is established. In addition, the clearing market participant is required to deliver or pledge to the CME Clearing House 100% of the value of each CERF it carries on behalf of the ishares S&P GSCI Commodity-Indexed Trust. Under the rules of the CME, the CME will have the right to apply assets transferred or pledged to the CME by the clearing market participant to satisfy certain of the clearing market participant s obligations in the event of a default by the clearing market participant. This 100% margin requirement is substantially different from the initial margin requirements applicable to most other commodities contracts, which are typically 3% to 7% of the value of the relevant contract. As a result, a greater percentage of the assets of the ishares S&P GSCI Commodity-Indexed Trust will be held by the clearing market participant and held by or pledged to the CME Clearing House than would be the case if the ishares S&P GSCI Commodity-Indexed Trust l entered into other types of commodities contracts. In the event of the bankruptcy of the clearing market participant or the CME Clearing House, therefore, the ishares S&P GSCI Commodity-Indexed Trust could be exposed to a risk of loss with respect to a greater portion of its assets. If such a bankruptcy were to occur, the ishares S&P GSCI Commodity-Indexed Trust should be afforded the protections granted to customers of a commodities contract merchant, and participants to transactions cleared through an exchange clearing house, under the United States Bankruptcy Code and applicable CFTC regulations. Because such provisions generally provide for a pro rata distribution to customers of customer property held by the bankrupt commodities contract merchant or clearing house if the customer property held by the commodities contract merchant or clearing house is insufficient to satisfy the customer claims, the ishares S&P GSCI Commodity-Indexed Trust may be disproportionately affected by such a bankruptcy as compared to other customers because the ishares S&P GSCI Commodity-Indexed Trust has provided a significantly higher level of margin than have other customers. In any case, there can be no assurance that these protections will be effective in allowing the ishares S&P GSCI Commodity-Indexed Trust to recover all, or even any, of the amounts it has deposited as initial margin. Bankruptcy of the ishares S&P GSCI Commodity-Indexed Trust s clearing market participant can be caused by, among other things, the default of one of the clearing market participant s customers. In this event, the CME Clearing House is permitted to use the entire amount of margin posted by the ishares S&P GSCI Commodity-Indexed Trust (as well as margin posted by other customers of the clearing market participant) to cover the amounts owed by the bankrupt clearing market participant. Because the ishares S&P GSCI Commodity-Indexed Trust deposits 100% margin, it may be disproportionately affected by such a bankruptcy as compared to the other customers of its clearing market participant. S-39

41 RISKS RELATED TO POWERSHARES DB GOLD FUND Economic or Political Events or Crises Could Result in Large-Scale Purchases or Sales of Gold, Which Could Affect the Price of the Commodity Contracts and May Adversely Affect the Level of the Index Many investors, institutions, governments and others purchase and sell gold as a hedge against inflation, market turmoil or uncertainty or political events. Under such circumstances, significant large-scale purchases or sales of gold by market participants may affect the price of the commodity contracts, which could adversely affect the value of the shares of the PowerShares DB Gold Fund, and therefore the level of the index. Substantial Sales of Gold by Governments or Public Sector Entities could result in Price Decreases, Which would Adversely Affect the Level of the Index Governments and other public sector entities, such as agencies of governments and multi-national institutions, regularly buy, sell and hold gold as part of the management of their reserves. In the event that economic, political or social conditions or pressures require or motivate public sector entities to sell gold, in a coordinated or uncoordinated manner, the resulting purchases could cause the price of gold to decrease substantially, which could adversely affect gold commodity contracts and therefore the level of the index. The Correlation of the Performance of the PowerShares DB Gold Fund and the Price of Gold Likely will be Imperfect A discrepancy will exist between the performance of the PowerShares DB Gold Fund and the price of gold. This is because the fund holds gold commodity contracts and not physical gold. In addition, because the shares of the PowerShares DB Gold Fund are traded on an exchange and are subject to market supply and investor demand, the market value of one share of the PowerShares DB Gold Fund may differ from the NAV per share of the PowerShares DB Gold Fund. The amount of the discount or premium in the trading price relative to the NAV per share of the PowerShares DB Gold Fund may be influenced by non-concurrent trading hours between the Commodity Exchange, Inc. ( COMEX ) and the NYSE Arca. While the shares of the of the PowerShares DB Gold Fund trade on the NYSE Arca until 8:00 PM New York time, liquidity in the global gold commodity contract market may be reduced after the close of the COMEX at 1:30 PM New York time. As a result, during this time, trading spreads, and the resulting premium or discount, on the shares of the PowerShares DB Gold Fund may widen. Because of the potential discrepancies identified above, the return of the PowerShares DB Gold Fund may not correlate perfectly with the return on gold commodity contracts over the same period, and likely will not correlate with the spot price of gold over the same period. For more information, see The Eligible ETFs--PowerShares DB Gold Fund on page S-178. S-40

42 SPECIFIC TERMS OF YOUR CERTIFICATES OF DEPOSIT Please note that in this section entitled Specific Terms of Your Certificates of Deposit, references to holders mean those who own CDs registered in their own names, on the books that we or the paying agent may maintain for this purpose, and not those who own beneficial interests in a master certificate registered in street name through The Depository Trust Company. Please review the special considerations that apply to owners of beneficial interests in the accompanying disclosure statement, under Legal Ownership and Payment. This disclosure statement supplement summarizes specific financial and other terms that apply to the offered CDs, including your CDs; terms that apply generally to all CDs are described in Description of Certificates of Deposit We May Offer in the accompanying disclosure statement. The terms described here supplement those described in the accompanying disclosure statement and, if the terms described here are inconsistent with those described there, the terms described here are controlling. The offered CDs are indexed CDs as described in the accompanying disclosure statement. Please note that the information about the settlement date or trade date, issue price, placement fee and net proceeds to Goldman Sachs Bank USA on the front cover page or elsewhere in this disclosure statement supplement relates only to the initial issuance and sale of the CDs. If you have purchased your CDs in a market-making transaction after the initial issuance and sale of the CDs, any such relevant information about the sale to you will be provided in a separate confirmation of sale. In addition to those terms described on the cover page and under Summary Information of this disclosure statement supplement, the following terms will apply to your CDs: Denominations Each CD registered in the name of a holder must have a face amount of $1,000 and integral multiples of $1,000 in excess thereof. Index and Index Sponsor In this disclosure statement supplement, when we refer to the index, we mean the index specified on the front cover page, or any successor indices as they may be modified, replaced or adjusted from time to time as described under Discontinuance or Modification of the Index below. When we refer to the index sponsor as of any time, we mean the entity, including any successor sponsor, that determines and publishes the index as then in effect. Payment on Stated Maturity Date Unless we redeem your CDs as described under Mandatory Redemption or Optional Redemption in the Event of Death or Adjudication of Incompetence below, on the stated maturity date, we will pay you for each $1,000 face amount of your CDs an amount in cash equal to the $1,000 face amount of your CDs plus the final coupon, if any. Payment of Variable Contingent Coupon On each coupon payment date, for each $1,000 face amount of your CDs we will pay you an amount in cash equal to: if the index return is positive (the closing level of the index on the applicable coupon determination date is greater than the initial index level), the product of (i) $1,000 times the index return divided by (ii) the number of coupon determination dates that have occurred up to and including such date; or if the index return is zero or negative (the closing level of the index on the applicable coupon determination date is equal to or less than the initial index level), $0. S-41

43 The initial index level is The calculation agent will determine the closing level of the index on each coupon determination date as calculated and published by the index sponsor, subject to adjustment in certain circumstances described under Consequences of a Non-Trading Day and Discontinuance or Modification of the Index below. The closing level of the index on any trading day is the official closing level of the index or any successor index published by the index sponsor at the regular weekday close of trading on the primary securities exchange on the relevant trading day. The index return is calculated by subtracting the initial index level from the closing level of the index on the relevant coupon determination date and dividing the result by the initial index level, with the quotient expressed as a percentage. Because the index return is divided by the number of coupon determination dates that have occurred up to and including such coupon determination date, for the level of the variable contingent coupon to remain flat over the term of the CDs, the index must increase between each coupon determination date. Increases in the level of the index late in the term of the CDs will have a lower impact on the level of the next contingent coupon payment, if any, versus increases in the level of the index earlier in the term of the CDs due to the fact that the denominator used to calculate the contingent coupon payment, if any, will increase with each coupon determination date that has occurred. Stated Maturity Date The stated maturity date is September 27, 2019, unless that day is not a business day, in which case the stated maturity date will be the next following business day. If the final coupon determination date is postponed as described under Coupon Determination Dates below, the stated maturity date will be postponed by the same number of business day(s) from but excluding the originally scheduled date for such coupon determination date to and including the postponed coupon determination date. Coupon and Coupon Payment Dates The coupons will be calculated and paid as described in this disclosure statement supplement. The coupons on the offered CDs will be paid on the coupon payment dates (the third business day after each coupon determination date to and including the stated maturity date, subject to adjustment as described under Coupon Determination Dates below). Coupon Determination Dates The coupon determination dates are September 24, 2013, September 24, 2014, September 24, 2015, September 26, 2016, September 25, 2017, September 24, 2018 and September 24, 2019, unless the calculation agent determines that such day is not a trading day. In that event, the applicable coupon determination date will be the first following trading day. In no event, however, will the applicable coupon determination date be postponed to a date after the applicable originally scheduled coupon payment date or, if the originally scheduled coupon payment date is not a business day, later than the first business day after the originally scheduled coupon payment date, or in the case of the coupon determination date occurring in 2019, to a date later than the originally scheduled stated maturity date or, if the originally scheduled stated maturity date is not a business day, later than the first business day after the originally scheduled stated maturity date. If any coupon determination date is postponed to the last possible day for that period, but that day is not a trading day, that day will nevertheless be the applicable coupon determination date. Consequences of a Non-Trading Day If a day that would otherwise be the applicable originally scheduled coupon determination date is not a trading day, then such coupon determination date will be postponed as described under Coupon Determination Dates above. S-42

44 If the calculation agent determines that the closing level of the index is not available on the last possible day because of a non-trading day or for any other reason (other than as described under Discontinuance or Modification of the Index below), then the calculation agent will nevertheless determine the level of the index based on its assessment, made in its sole discretion, of the level of the index at the applicable time on that day. Discontinuance or Modification of the Index If the index sponsor discontinues publication of the index and the index sponsor or anyone else publishes a substitute index that the calculation agent determines is comparable to the index, or if the calculation agent designates a substitute index, then the calculation agent will determine the amount payable on the applicable coupon payment date by reference to the substitute index. We refer to any substitute index approved by the calculation agent as a successor index. If the calculation agent determines that the publication of the index is discontinued and there is no successor index, the calculation agent will determine the amount payable on the applicable coupon payment date by a computation methodology that the calculation agent determines will as closely as reasonably possible replicate the index. If the calculation agent determines that the index or the method of calculating the index is changed at any time in any respect including any split or reverse split and any addition, deletion or substitution and any reweighting or rebalancing of the index or of the index component ETFs and whether the change is made by the index sponsor under its existing policies or following a modification of those policies, is due to the publication of a successor index, is due to events affecting one or more of the index component ETFs or their issuers or is due to any other reason and is not otherwise reflected in the level of the index by the index sponsor pursuant to the index methodology described under The Index below, then the calculation agent will be permitted (but not required) to make such adjustments in the index or the method of its calculation as it believes are appropriate to ensure that the level of the index used to determine the amount payable on the applicable coupon payment date is equitable. All determinations and adjustments to be made by the calculation agent may be made by the calculation agent in its sole discretion. The calculation agent is not obligated to make any such adjustments. Mandatory Redemption If our status as an insured depository institution is terminated by the FDIC or us or as a result of our actions, or if a regulatory or statutory change renders the CDs ineligible for FDIC insurance coverage, to the extent permitted by law and regulation, we will redeem your CDs then outstanding on the applicable mandatory redemption date in full at a price equal to the mandatory redemption amount, which is described under Special Calculation Provisions Mandatory Redemption Amount below. This commitment to redeem your CDs may not be enforceable under certain circumstances, such as if the FDIC has been appointed receiver or conservator of the bank. No coupons will accrue following the effective date of such regulatory or statutory change or such termination of our status as an insured depository institution if such termination were to occur. The mandatory redemption date following any such termination, however, will be the last business day on which any of our outstanding deposit obligations would be insured by the FDIC pursuant to temporary deposit insurance provided by the FDIC. Such date may not occur for a period of six months to up to almost two years after the mandatory redemption amount is determined (depending on the period of temporary deposit insurance provided by the FDIC following the termination of our status as an insured depository institution). If regulatory or statutory changes render the CDs ineligible for FDIC insurance, the mandatory redemption date following such change will be the tenth business day after the effective date of any such regulation, ruling or interpretation which renders the CDs ineligible for FDIC insurance coverage. The mandatory redemption amount will not bear interest. We describe the mandatory redemption amount under Special Calculation Provisions below. S-43

45 Notwithstanding the foregoing, in the event the mandatory redemption date occurs on or after the stated maturity date, you will receive the amount described under Payment on Stated Maturity Date above. Optional Redemption in the Event of Death or Adjudication of Incompetence The authorized representative of a deceased or incapacitated beneficial owner of a CD will have the option to redeem the CDs before (not on or after) the stated maturity date as described under Description of the Certificates of Deposit We May Offer Redemption on page 33 of the accompanying disclosure statement. The value of the CDs may be greater than their face amount on the date of such early redemption. Accordingly, the authorized representative should contact your broker to determine the market price of the CDs and should otherwise carefully consider whether to sell the CDs to your broker or another market participant rather than redeeming the CDs at the face amount pursuant to a request for redemption. Manner of Payment We will make any payments in accordance with the applicable procedures of the depositary. Role of Calculation Agent The calculation agent will make all determinations regarding the index; successor indices; the stated maturity date; the coupon determination dates; the coupon payment dates; the mandatory redemption date, if applicable; business days; trading days; the index return; the mandatory redemption amount, if applicable; the coupons; and any other determination as applicable or specified herein. Absent manifest error, all determinations of the calculation agent will be final and binding on you and us, without any liability on the part of the calculation agent. Please note that Goldman, Sachs & Co., our affiliate, is currently serving as the calculation agent as of the original issue date of your CDs. We may change the calculation agent for your CDs at any time after the original issue date without notice, and Goldman, Sachs & Co. may resign as calculation agent at any time upon 60 days written notice to us. Business Day Special Calculation Provisions When we refer to a business day with respect to your CDs, we mean each Monday, Tuesday, Wednesday, Thursday and Friday that is not a day on which banking institutions in New York City are authorized or obligated by law, regulation or executive order to close. Trading Day When we refer to a trading day with respect to your CDs, we mean a day on which the index is calculated and published by the index sponsor. Closing Level of the Index When we refer to the closing level of the index on any trading day, we mean the official closing level of the index or any successor index published by the index sponsor on such trading day. Level of the Index When we refer to the level of the index at any time on any trading day, we mean the official level of the index or any successor index published by the index sponsor at such time on such trading day. S-44

46 Mandatory Redemption Amount The mandatory redemption amount for your CDs on any day will be an amount equal to the greater of: the face amount of your CDs plus any accrued and unpaid coupon, and the cost of having a qualified financial institution, of the kind and selected as described below, expressly assume all of our payment and other obligations with respect to your CDs as of that day and as if our insured status had not been terminated or the CDs had not been rendered ineligible for FDIC insurance coverage, or to undertake other obligations providing substantially equivalent economic value to you with respect to your CDs. That cost will equal: the lowest amount that a qualified financial institution would charge to effect this assumption or undertaking, plus the reasonable expenses, including reasonable attorneys fees, incurred by the holder of the CDs in preparing any documentation necessary for this assumption or undertaking. In no event, however, will the mandatory redemption amount for your CDs be less than the face amount of your CDs. During the mandatory redemption quotation period for your CDs, which we describe below, the holder and/or we may request a qualified financial institution to provide a quotation of the amount it would charge to effect this assumption or undertaking. If either party obtains a quotation, it must notify the other party in writing of the quotation. The amount referred to in the first bullet point above will equal the lowest or, if there is only one, the only quotation obtained, and as to which notice is so given, during the mandatory redemption quotation period. With respect to any quotation, however, the party not obtaining the quotation may object, on reasonable and significant grounds, to the assumption or undertaking by the qualified financial institution providing the quotation and notify the other party in writing of those grounds within two business days after the last day of the mandatory redemption quotation period, in which case that quotation will be disregarded in determining the mandatory redemption amount. Mandatory Redemption Quotation Period The mandatory redemption quotation period is the period beginning, as applicable, on: (i) the day on which our status as an insured depository institution is terminated by the FDIC, or (ii) the effective date of any regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, in each case ending on the third business day after that day, unless: no quotation of the kind referred to above is obtained, every quotation of that kind obtained is objected to within five business days after the day on which our status as an insured depository institution is terminated or the effective date of any regulation, ruling or interpretation that renders the CDs ineligible for FDIC insurance, as applicable, or the mandatory redemption amount based on the quotation of that kind obtained and not objected to would be less than the face amount of your CDs. If any of these three events occurs, the mandatory redemption quotation period will continue until the third business day after the first business day on which prompt notice of a quotation is given as described above, if that quotation is objected to as described above within five business days after that first business day or if the mandatory redemption amount based on that quotation would be less than the face amount of your CDs, however, the mandatory redemption quotation period will continue as described in the prior sentence and this sentence. S-45

47 In any event, in the case of a regulatory or statutory change-related mandatory redemption, if the mandatory redemption quotation period and the subsequent two business day objection period have not ended before the business day preceding the mandatory redemption date, or in the case of an insurance status-related mandatory redemption, if the mandatory redemption quotation period and subsequent two business day objection period have not ended before the tenth business day after the start of the mandatory redemption quotation period, then the mandatory redemption amount will equal the face amount of your CDs. Because the mandatory redemption date with respect to a termination of our status as an insured depository institution will occur only at the end of the applicable grace period during which our deposits remain insured pursuant to temporary insurance after our status as an insured depository institution has been terminated by the FDIC, you may not receive the mandatory redemption amount for a period of up to almost two years after the end of the mandatory redemption quotation period and you will not earn interest on that amount or on the face amount of the CDs during that period. Qualified Financial Institutions For the purpose of determining the mandatory redemption amount at any time, a qualified financial institution must be a financial institution organized under the laws of any jurisdiction in the United States of America, which at that time has outstanding debt obligations with a stated maturity of one year or less from the date of issue and that is rated either: A-1 or higher by Standard & Poor s Ratings Services or any successor, or any other comparable rating then used by that rating agency, or P-1 or higher by Moody s Investors Service, Inc. or any successor, or any other comparable rating then used by that rating agency. S-46

48 HYPOTHETICAL EXAMPLES The following table and examples are provided for purposes of illustration only. They should not be taken as an indication or prediction of future investment results and are intended merely to illustrate the impact that various hypothetical closing levels of the index on the applicable coupon determination date could have on the related coupon payment date assuming all other variables remain constant. The examples below are based on a range of index levels that are entirely hypothetical; no one can predict what the level of index will be on any day throughout the life of your CDs, and, in particular, no one can predict what the closing level of the index will be on any coupon determination date. The index has been highly volatile in the past meaning that the level of the index has changed considerably in relatively short periods and its performance cannot be predicted for any future period. The information in the following examples reflects hypothetical rates of return on the offered CDs assuming that they are purchased on the original issue date at the face amount and held to the stated maturity date. If you sell your CDs in a secondary market prior to the stated maturity date, your return will depend upon the market value of your CDs at the time of sale, which may be affected by a number of factors that are not reflected in the table below such as interest rates, the volatility of the index and our creditworthiness. In addition, the estimated value of your CDs at the time the terms of your CDs were set on the trade date (as determined by reference to pricing models used by Goldman, Sachs & Co.) was less than the original issue price of your CDs. For more information on the estimated value of your CDs, see Additional Risk Factors Specific to Your Certificates of Deposit The Estimated Value of Your CDs At the Time the Terms of Your CDs Were Set On the Trade Date (as Determined By Reference to Pricing Models Used By Goldman, Sachs & Co.) Was Less Than the Original Issue Price Of Your CDs on page S-16 of this disclosure statement supplement and the cover of this disclosure statement supplement. The information in the table also reflects the key terms and assumptions in the box below. For these reasons, the actual performance of the index over the life of your CDs, particularly on each coupon determination dates, may bear little relation to the hypothetical examples shown below or to the historical levels of the index shown elsewhere in this disclosure statement supplement. For information about the historical levels of the index during recent periods, see The Index Historical Quarterly High, Low and Closing Levels of the Index on page S-63. Key Terms and Assumptions Face amount... $1,000 Hypothetical initial index level No non-trading day occurs on the originally scheduled coupon determination dates No change in or affecting any of the eligible ETFs or the method by which the index sponsor calculates the index CDs purchased on original issue date and held to the stated maturity date Before investing in the offered CDs, you should consult publicly available information to determine the level of the index between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. Any rate of return you may earn on an investment in the CDs may be lower than that which you could earn on a comparable investment in the index component ETFs. Also, the hypothetical examples shown below do not take into account the effects of applicable taxes. Because of the U.S. tax treatment applicable to your CDs, tax liabilities could affect the after-tax rate of S-47

49 return on your CDs to a comparatively greater extent than the after-tax return on the index component ETFs. The examples below show hypothetical index performances as well as the hypothetical coupons that we would pay on each coupon payment date with respect to each $1,000 face amount of the CDs if the closing level on the applicable coupon determination date were any of the hypothetical closing levels shown. Scenario 1 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % 2.00% $20.00 Second % 2.00% $20.00 Third % 2.00% $20.00 Fourth % 2.00% $20.00 Fifth % 2.00% $20.00 Sixth % 2.00% $20.00 Seventh % 2.00% $20.00 Total Hypothetical Coupons $ In Scenario 1, the index increases by approximately 2.00% during each year over the term of the CDs. Because on each coupon determination date the index return divided by the number of coupon determination dates that have occurred up to and including such date is equal to 2.00%, the total of the hypothetical coupons in Scenario 1 is $ Scenario 2 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % -2.00% $0.00 Second % -2.00% $0.00 Third % -2.00% $0.00 Fourth % -2.00% $0.00 Fifth % -2.00% $0.00 Sixth % -2.00% $0.00 Seventh % -2.00% $0.00 Total Hypothetical Coupons $0.00 In Scenario 2, the index decreases by approximately 2.00% during each year over the term of the CDs. Because on each coupon determination date the index return divided by the number of coupon determination dates that have occurred up to and including such date is equal to -2.00%, the total of the hypothetical coupons in Scenario 2 is $0.00. S-48

50 Scenario 3 Hypothetical Coupon Determination Date Hypothetical Closing Level of the Index Index Return Index Return / Number of Hypothetical Coupon Determination Dates Hypothetical Coupon First % 1.00% $10.00 Second % 0.75% $7.50 Third % 2.00% $20.00 Fourth % 1.75% $17.50 Fifth % 0.20% $2.00 Sixth % 0.00% $0.00 Seventh % 2.00% $20.00 Total Hypothetical Coupons $77.00 In Scenario 3, the index increases by varying amounts during each year over the term of the CDs. Even though the index increases over the term of the CDs, because the formula for calculating the coupon reduces the index return, the coupon payments do not increase at the same rate and, in some cases, the coupon payments decrease. As a result, the total of the hypothetical coupons in Scenario 3 is $ Payments on the CDs are economically equivalent to the amounts that would be paid on a combination of other instruments. For example, payments on the CDs are economically equivalent to a combination of an zero coupon bond bought by the holder and one or more options entered into between the holder and us (with one or more implicit option premiums paid over time). The discussion in this paragraph does not modify or affect the terms of the CDs or the United States income tax treatment of the CDs, as described elsewhere in this disclosure statement supplement. We cannot predict the actual closing levels of the index on each of the coupon determination dates or the market value of your CDs, nor can we predict the relationship between the level of the index and the market value of your CDs at any time prior to the stated maturity date. The actual amount that a holder of the CDs will receive at maturity and the rate of return on the offered CDs will depend on the actual initial index level, which we set on the trade date, and the actual closing level of the index on each coupon determination date, as determined by the calculation agent as described above. Moreover, the assumptions on which the hypothetical returns are based may turn out to be inaccurate. Consequently, the amount of cash to be paid in respect of your CDs on the stated maturity date may be very different from the information reflected in the table and examples above. S-49

51 USE OF PROCEEDS We will use the net proceeds we receive from the sale of the offered CDs for the purposes we describe in the accompanying disclosure statement under Use of Proceeds. HEDGING In anticipation of the sale of the offered CDs, we and/or our affiliates have entered into cash-settled hedging transactions involving purchases of listed or over-the-counter options, futures and/or other instruments linked to the index on or before the trade date. In addition, from time to time after we issue the offered CDs, we and/or our affiliates expect to enter into additional hedging transactions and to unwind those we have entered into, in connection with the offered CDs and perhaps in connection with other index-linked CDs we issue, some of which may have returns linked to the index, the eligible ETFs or 3-month USD LIBOR. Consequently, with regard to your CDs, from time to time, we and/or our affiliates: expect to acquire, or dispose of, cash-settled positions in listed or over-the-counter options, futures or other instruments linked to the index or some or all of the eligible ETFs or 3-month USD LIBOR, may take or dispose of positions in the assets held by the eligible ETFs, may take or dispose of positions in listed or over-the-counter options or other instruments based on indices designed to track the performance of the New York Stock Exchange or other components of the U.S. equity market, may take short positions in the eligible ETFs or other securities of the kind described above i.e., we and/or our affiliates may sell securities of the kind that we do not own or that we borrow for delivery to purchaser, and/or may take or dispose of positions in interest rate swaps, options swaps and treasury bonds. We and/or our affiliates may acquire a long or short position in securities similar to the offered CDs from time to time and may, in our or their sole discretion, hold or resell those securities. In the future, we and/or our affiliates expect to close out hedge positions relating to the CDs and perhaps relating to other CDs with returns linked to the index, the eligible ETFs, 3-month USD LIBOR or assets held by the eligible ETFs. We expect our affiliates steps to involve sales of instruments linked to the index, the eligible ETFs, 3-month USD LIBOR or assets held by the eligible ETFs on or shortly before any coupon determination date. Our affiliates steps also may involve sales and/or purchases of some or all of the listed or over-the-counter options, futures or other instruments linked to the index. The hedging activity discussed above may adversely affect the market value of your CDs from time to time and the value of the consideration that we will deliver on your CDs at maturity. See Risk Factors Our Affiliate s Anticipated Hedging Activities May Negatively Impact Investors in the CDs and Cause our Interests and Those of Our Clients and Counterparties to be Contrary to Those of Investors in the CDs and Risk Factors Trading and Investment Activities for its Own Account or for its Clients, Could Negatively Impact Investors in the CDs in the accompanying disclosure statement for a discussion of these adverse effects. S-50

52 General Overview THE INDEX The GS Momentum Builder Multi-Asset 2 ER Index (the index ) measures the extent to which the performance of the exchange-traded funds ( ETFs ) included in the index outperform 3-month USD LIBOR. The index rebalances monthly (and sometimes daily) from among 18 eligible ETFs that track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets. The index is rebalanced monthly to reflect the weighting of the ETFs that would have provided the highest historical return during the prior six months, subject to a maximum weight of each ETF and a limit of 4% on the degree of variation in the daily closing prices of the aggregate of such ETFs during the prior six months (a measure known as realized volatility ). In addition, if on any index business day the 3-month realized volatility of the ETFs selected on the previous monthly rebalancing date exceeds 5% and has increased by more than 1% from the last rebalancing, the index will be rebalanced in order to reduce the 3-month realized volatility to 4% by ratably reallocating a portion of the exposure to ETFs in the short-term U.S. treasury position. The short-term U.S. treasury position means a hypothetical investment with 50% of the position invested in the SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) and 50% in the ishares Barclays Short Treasury Bond Fund (SHV), each of which holds short-term U.S. government fixed income assets. If the 3-month realized volatility subsequently declines on any index business day by more than 1% from the last rebalancing, any such reallocation will be ratably reversed. The index reflects the return of the ETFs included in the index plus dividends paid on such ETFs less 3-month USD LIBOR. 3-month USD LIBOR will be the offered rate for 3-month deposits in U.S. dollars, as that rate appears on Reuters screen 3750 page as of 11:00 a.m., London time, as observed two London business days prior to the relevant USD LIBOR interest reset date. A USD LIBOR interest reset date will be the day quarterly on March 1, June 1, September 1 and December 1, or, if one of those dates is not an index business day, on the index business day immediately following such day on which 3-month USD LIBOR is reset. A London business day is a day on which commercial banks and foreign currency markets settle payments and are open for general business in London. The index is calculated in U.S. dollars. For the purpose of this disclosure statement supplement, an eligible ETF is one of the ETFs that is eligible for inclusion in the index on a monthly rebalancing date. An index component ETF is an eligible ETF with a non-zero weighting on any index business day. How does the index attempt to provide exposure to price momentum? The index uses the historical return performance of the eligible ETFs to determine the composition of the index in any month. On each monthly rebalancing date, the index selects, out of all the combinations of eligible ETF weights, the combination with the highest six-month historical return (calculated as described under Calculation of the Six-Month Historical Return below), subject to the minimum and maximum weights specified below and the monthly volatility target. Assuming the constraints of the maximum weights and monthly volatility target are met, eligible ETFs with the highest six-month historical returns will be selected for inclusion in the index for any given month. The six-month historical returns are used as an indication of price momentum. Although the index methodology seeks to select index component ETFs with the highest six-month historical return reflecting price momentum, the maximum weights, monthly volatility targets, daily volatility control and how these eligible ETFs correlate may limit the exposure to those ETFs with the highest six-month historical returns. The six-month historical return for an eligible ETF is calculated to include price changes and any cash dividends paid during the relevant six-month period being evaluated. A monthly rebalancing date means the first index business day of each month. An index business day means a day on which the New York Stock Exchange is open according to its trading calendar. S-51

53 Who calculates and oversees the index? The index is calculated using a methodology developed by Goldman, Sachs & Co., the index sponsor. The complete index methodology is available at We are not incorporating by reference this website or any material it includes into this disclosure statement supplement. An index committee is responsible for overseeing the index and its methodology. The index committee may exercise discretion in the case of any changes to the eligible ETFs, delayed rebalancing and index market disruption events or any potential adjustment event that occurs in relation to one or more eligible ETFs. The index committee will initially be comprised of three full-time employees of The Goldman Sachs Group, Inc. or one or more of its affiliates. Changes to the index methodology made by the index committee will be publicly announced on the index calculation agent s website at least 60 index business days prior to their effective date. Adjustments made by the index calculation agent in response to market adjustment events and potential adjustment events will be publicly announced as promptly as is reasonably practicable on the index calculation agent s website. The index committee may exercise limited discretion with respect to the index, including in the situations described under Can the Eligible ETFs Change?. Any such changes or actions are publicly announced as promptly as is reasonably practicable and normally at least five index business days prior to their effective date. The index sponsor has retained Structured Solutions AG to serve as index calculation agent. The index calculation agent calculates the value of the index and implements the methodology determined by the index committee. The index sponsor can replace the index calculation agent at any time, or the index calculation agent can resign on 60 days notice to the index sponsor. In the event the index sponsor appoints a replacement index calculation agent, a public announcement will be made via press release. The index calculation agent is responsible for the day to day implementation of the methodology of the index and for its calculation. The index calculation agent calculates and publishes the value of the index every 15 seconds on each index business day and publishes it on the Bloomberg page GSMBMA2 Index and Reuters page.gsmbma2. The index calculation agent may from time to time consult the index committee on matters of interpretation with respect to the methodology. What ETFs are included in the universe of potential index components? As of the date of this document, there are 18 eligible ETFs that track U.S., international, developed and emerging equity markets, commodity markets, real estate markets and fixed income assets. They are the: SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) BIL seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of all zero-coupon public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to one month and less than three months, are rated investment grade and have $250 million or more of outstanding face value, as measured by the Barclays Capital 1-3 Month U.S. Treasury Bill Index. ishares Barclays Short Treasury Bond Fund (SHV) SHV seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the short-term public obligations of the U.S. Treasury that have a remaining maturity of between one and 12 months and have $250 million or more of outstanding face value, as measured by the Barclays Capital U.S. Short Treasury Bond Index. S-52

54 ishares Russell 1000 Index Fund (IWB) IWB seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the large capitalization sector of the U.S. equity market as represented by the Russell 1000 Index. The Russell 1000 Index represents the approximately 1,000 largest issuers in the Russell 3000 Index. ishares Russell 2000 Index Fund (IWM) IWM seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the small capitalization sector of the U.S. equity market as represented by the Russell 2000 Index. The Russell 2000 Index represents the approximately 2,000 smallest companies in the Russell 3000 Index. ishares MSCI EAFE Index Fund (EFA) EFA seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian and Far Eastern markets, as measured by the MSCI EAFE Index. ishares Dow Jones U.S. Real Estate Index Fund (IYR) IYR seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the real estate sector of the U.S. equity market, as represented by the Dow Jones U.S. Real Estate Index. The Dow Jones U.S. Real Estate Index is designed to represent Real Estate Investment Trusts (REITs) and other companies that invest directly or indirectly in real estate through development, management or ownership, including property agencies. Vanguard MSCI Emerging Markets ETF (VWO) VWO seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the equity securities of publicly traded companies in emerging markets around the world, as measured by the MSCI Emerging Markets Index. ishares S&P Latin America 40 Index Fund (ILF) ILF seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of selected equity securities trading on the exchange of five Latin American countries, as measured by in the S&P Latin America 40 Index TM. ishares Barclays 7-10 Year Treasury Bond Fund (IEF) IEF seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to seven years and less than ten years, as measured by the Barclays Capital U.S Year Treasury Bond Index. ishares Barclays 20+ Year Treasury Bond Fund (TLT) TLT seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of public obligations of the U.S. Treasury that have a remaining maturity of 20 or more years, as measured by the Barclays Capital U.S. 20+ Year Treasury Bond Index. ishares Barclays TIPS Bond Fund (TIP) TIP seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of inflation-protected public obligations of the U.S. Treasury that have at least one year remaining to maturity, are rated investment grade and have $250 million or more of outstanding face value, as measured by the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). ishares iboxx $ High Yield Corporate Bond Fund (HYG) HYG seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the U.S. dollar-denominated liquid high yield corporate bond market, as measured by the iboxx $ Liquid High Yield Index. ishares Barclays Aggregate Bond Fund (AGG) AGG seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the total United States investment grade bond market, as measured by the Barclays Capital U.S. Aggregate Bond Index. S-53

55 SPDR Barclays Capital International Treasury Bond ETF (BWX) BWX seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the fixed-rate local currency sovereign debt of investment grade countries outside the United States, as measured by the Barclays Capital Global Treasury Ex-US Capped Index. ishares JPMorgan USD Emerging Markets Bond Fund (EMB) EMB seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the total return of actively traded external debt instruments in emerging market countries, as measured by J.P. Morgan EMBI SM Global Core Index. WisdomTree EM Local Debt Fund (ELD) ELD seeks a total return consisting of both income and capital appreciation through investment in local debt denominated in local currencies of emerging market countries, including fixed income securities, such as bonds, notes or other debt obligations denominated in local currencies of emerging market countries, as well as other instruments, including currency derivatives. ishares S&P GSCI Commodity-Indexed Trust (GSG) GSG seeks investment results, through the trust's investment in the investing pool, that correspond generally to the performance of the S&P GSCI Excess Return Index, before payment of the trust's and the investing pool's expenses and liabilities. The S&P GSCI Excess Return Index is intended to reflect the performance of a diversified group of commodities. PowerShares DB Gold Fund (DGL) DGL trades gold futures contracts on the DBIQ Optimum Yield Gold Index Excess Return. The DBIQ Optimum Yield Gold Index Excess Return is composed of futures contracts on gold traded on the COMEX and is intended to reflect the changes in market value, positive or negative, in gold. For further description of these eligible ETFs, please see The Eligible ETFs herein. What are the maximum potential weights of each eligible ETF on a monthly rebalancing date? The maximum potential weight and minimum potential weight of each eligible ETF on each monthly rebalancing date is listed below. The maximum weight of each eligible ETF limits the exposure to each eligible ETF. Thus, even if the monthly volatility target would be met, the index would not allocate its entire exposure to the single eligible ETF that has the highest historical return during the prior six months amongst all of the eligible ETFs because of the limit of the maximum weight. The minimum weight restricts short exposure to any eligible ETF. Because of these limitations, in any given month, the index is expected to have exposure to only a limited subset of the 18 eligible ETFs (which could be as few as 2) and you may not have any exposure to some of the 18 eligible ETFs during the entire term of the CDs. Underlying ETF Minimum Weight Maximum Weight Short-term U.S. Treasury Position 0% 100% (50% SPDR Barclays Capital 1-3 Month T-Bill ETF and 50% ishares Barclays Short Treasury Bond Fund) ishares Russell 1000 Index Fund 0% 30% ishares Russell 2000 Index Fund 0% 30% ishares MSCI EAFE Index Fund 0% 30% ishares Dow Jones U.S. Real 0% 30% Estate Index Fund Vanguard MSCI Emerging 0% 30% Markets ETF ishares S&P Latin America 40 Index Fund 0% 30% S-54

56 Underlying ETF Minimum Weight Maximum Weight ishares Barclays 7-10 Year 0% 50% Treasury Bond Fund ishares Barclays 20+ Year 0% 50% Treasury Bond Fund ishares Barclays TIPS Bond 0% 30% Fund ishares iboxx $ High Yield 0% 30% Corporate Bond Fund ishares Barclays Aggregate Bond 0% 30% Fund SPDR Barclays Capital 0% 30% International Treasury Bond ETF ishares JPMorgan USD 0% 30% Emerging Markets Bond Fund WisdomTree EM Local Debt Fund 0% 30% ishares S&P GSCI 0% 25%* Commodity-Indexed Trust PowerShares DB Gold Fund 0% 25%* * The sum of the weights of the ishares S&P GSCI Commodity-Indexed Trust and the PowerShares DB Gold Fund may not exceed 25%. What is realized volatility and how are the weights of the ETFs influenced by it? Realized volatility is a measurement of the degree of movement in the price or value of an asset observed over a specified period. Realized volatility is calculated by specifying a measurement period, determining the average value during such measurement period and then comparing each measured point during such measurement period to such average. The index utilizes historical six-month realized volatility for monthly rebalancing, which is calculated by the index calculation agent from daily closing net asset prices of the eligible ETFs over a six-month period. An eligible ETF will have a higher realized volatility during a six-month historical period than another eligible ETF if such eligible ETF has greater price movement (increases or decreases) relative to its average price during the measurement period. An eligible ETF with a stable price during a six-month historical period will have a lower realized volatility than an eligible ETF which has relatively larger price movements during that same period. In choosing the weights for the index component ETFs for any month, the monthly volatility target limits the overall level of realized volatility that may be reflected by the index component ETFs. Since the monthly volatility target limits the index as a whole, the six-month realized volatility of each eligible ETF needs to be compared relative to the six-month realized volatilities of the remaining eligible ETFs. An eligible ETF may have a relatively high six-month historical return relative to other eligible ETFs, but may be excluded from inclusion as an index component ETF for a given month (or may be assigned a weight below its maximum weight) because that eligible ETF has a high six-month realized volatility relative to other eligible ETFs. In addition, an eligible ETF with a relatively high six-month realized volatility may be included as an index component ETF because its realized volatility is offset by another eligible ETF that is also included as an index component ETF. Because the historical returns and realized volatility are measured on an aggregate basis, if multiple eligible ETFs are highly correlated, even if on an independent basis such eligible ETFs have relatively high 6-month historical returns and relatively low 6-month realized volatility, they may be excluded, in whole or in part, on a monthly rebalancing date. Since realized volatility is based on historical data, there is no assurance that the historical level of volatility of an index component ETF included in the index one month will continue during such month. For the purpose of monthly rebalancing, the two ETFs in the short-term U.S. treasury position will be evaluated based on their combined six-month historical return and six-month realized volatility. If the short-term U.S. treasury position is included in the index on any S-55

57 monthly rebalancing, such exposure will be allocated between the two ETFs that make up the short-term U.S. treasury position on an equal basis. The six-month observation period relevant for calculating the six-month historical return and historical six-month realized volatility of each combination of eligible ETFs is the period beginning on (and including) the first index business day that is six calendar months before the third index business day immediately preceding such monthly rebalancing date to (and including) such third index business day. If at a monthly rebalancing date no combination of eligible ETFs complies with the monthly volatility target and maximum weights, then the index will select, from all combinations of eligible ETFs that comply with the maximum weights, the combination with the lowest historical six-month realized volatility, regardless of that combination s six-month performance. The particular combination so selected will exceed the monthly volatility target. How is the index value calculated on any day? The value of the index was set to 100 on the base date of the index, June 1, On each index business day, the value of the index changes based on the value of the weighted basket of the index component ETFs, also know as the base index, subject to the effect of two constraints: the daily volatility control level of 5% and the daily rebalancing materiality constraint of 1%. We refer to the value of the index taking these constraints into consideration as the total index. The index value is equal to the total index value less the then applicable 3-month USD LIBOR rate. On any index business day, the index will equal the value of the index on the immediately preceding index business day, multiplied by the percentage change in the base index from such immediately preceding index business day in each case less the then applicable 3-month USD LIBOR rate prorated for such day. The base index on any index business day is essentially the sum of the weighted values of each index component ETF. The weight for each index component ETF is determined on the preceding monthly rebalancing date. Regardless of whether the index component ETFs include the short-term U.S. treasury position on a monthly rebalancing date, if the index has ratably rebalanced into the short-term U.S. treasury position, then the index also will include the value of the ETFs holding short-term U.S. Treasury Bills that result from the short-term U.S. treasury position. 3-month USD LIBOR is reset quarterly on each March 1, June 1, September 1 and December 1, or, if one of those dates is not an index business day, on the index business day immediately following such day. The value of any index component ETF is equal to the result of multiplying the weight applicable to such index component ETF and the adjusted level of such index component ETF. The adjusted level of such index component ETF reflects any price change in such index component ETF as well as any cash dividend paid on such index component ETF. Any cash dividend paid on an index component ETF is deemed to be reinvested in such index component ETF and subject to subsequent changes in the value of the index. The contribution of any index component ETF to the performance of the index will depend on its weight and performance. The effects of potential adjustment events are described under Could market disruptions or corporate events impact the calculation of the index or the implementation of monthly or daily rebalancing by the index calculation agent? below. Can the weights of the underlying ETFs change on dates other than monthly rebalancing dates? The index is subject to a daily volatility control feature which can result in a rebalancing between the index component ETFs and the short-term U.S. treasury position if the 3-month realized volatility exceeds the daily volatility control level. This has the effect of reducing the exposure of the index to the performance of the index component ETFs by rebalancing a portion of the index into the short-term U.S. treasury position if the historical 3-month realized volatility of the index component ETFs (observed and calculated by the index calculation agent on a daily basis) would otherwise exceed the daily volatility control level of 5% on any index business day. The index calculation agent calculates the historical 3-month realized volatility of the index component ETFs on each index business day. As long as, on any given index business day, the aggregate calculated S-56

58 3-month realized volatility of the index component ETFs is equal to or less than the daily volatility control level of 5%, no change to the then-current weights of the index component ETFs is made on that index business day. However, if on any given index business day the aggregate calculated volatility of the index component ETFs exceeds the daily volatility control level, the exposure of the index is partially rebalanced into the short-term U.S. treasury position to reduce the historical 3-month realized volatility to or below the 4% (i.e. the daily volatility control level of 5% minus the daily materiality constraint of 1%). This partial rebalancing is effected by reducing the effective weights of the index component ETFs included in the index ratably until the historical 3-month realized volatility is equal to or less than 4%. The index will only ratably rebalance into the short-term U.S. treasury position or, once ratably in the short-term U.S. treasury position, reverse this rebalancing or increase the weighting of the short-term U.S. treasury position (except as a result of a monthly rebalancing) if the 3-month realized volatility moves by at least the daily rebalancing materiality constraint of 1% since the last time the index shifted exposure. This constraint serves to reduce the frequency of rebalancing into and out of the short-term U.S. treasury position. Examples of hypothetical daily rebalancing The following table displays hypothetical 3-month realized volatility for the index component ETFs and the percent weighting in the base index as a result of hypothetical daily rebalancing in different situations. For purposes of highlighting the potential effect of daily rebalancing, the table assumes that the index component ETFs did not include the short-term U.S. treasury position on the prior monthly rebalancing date. This information is intended to illustrate the operation of the index and is not indicative of how the index may perform in the future. Day Historical 3-Month Realized Volatility of the Index Component ETFs Selected on the Previous Monthly Rebalancing Date Historical 3-Month Realized Volatility on Previous Date on Which Index Weights Changed Weight In Base Index % % 78.43% 78.43% 64.52% 64.52% 47.06% 47.06% 54.05% % S-57

59 On days 3, 5, 7 and 9, because both (i) the historical 3-month realized volatility of the index component ETFs is greater than the daily volatility control level and (ii) the absolute value of the difference between the historical 3-month realized volatility of the index component ETFs on the previous index business day on which the index weights changed and the historical 3-month realized volatility of the index component ETFs is greater than the daily rebalancing materiality constraint of 1%, then the weight allocated to the base index, as compared to the short-term U.S. treasury position, is ratably rebalanced. Please see Historical Weightings below for a historical data regarding the frequency of daily rebalancing. On each of the other days, at least one of these two conditions was not met, so the index did not ratably rebalance into the short-term U.S. treasury position. On day 10, because both (i) the historical 3-month realized volatility of the ETFs is less than the daily volatility control level and (ii) the absolute value of the difference between the historical 3-month realized volatility of the index component ETFs on the previous index business day on which the index weights changed and the historical 3-month realized volatility of the index component ETFs is greater than the daily rebalancing materiality constraint of 1%, then the weight allocated to the base index returns to 100%. What is the short-term U.S. treasury position? The short-term U.S. treasury position means a hypothetical investment with 50% of the position invested in the SPDR Barclays Capital 1-3 Month T-Bill ETF (BIL) and 50% invested in the ishares Barclays Short Treasury Bond Fund (SHV). Allocation of the index to the short-term U.S. treasury position is intended to reduce the volatility of the index. The index may provide exposure to the short-term U.S. treasury position (1) if on a monthly rebalancing date the ETFs comprising the U.S. treasury position have a comparatively high performance compared to the other eligible ETFs and/or such ETFs have a comparatively low 6-month realized volatility compared to the other eligible ETFs and are used to reduce the 6-month realized volatility of the index component ETFs on an aggregate basis and/or (2) as a result of the 3-month realized volatility of the index component ETFs being higher than the daily volatility control level on any day resulting in a daily rebalancing. For the purpose of monthly rebalancing, the two ETFs in the short-term U.S. treasury position will be evaluated based on their combined six-month historical return and six-month realized volatility. If the short-term U.S. treasury position is included in the index on any monthly rebalancing, such exposure will be allocated between the two ETFs that make up the short-term U.S. treasury position on an equal basis. Can the eligible ETFs change? The eligible ETFs are not expected to change. However, the index committee may eliminate an eligible ETF and/or designate a successor eligible ETF if for any reason any of the following events occur: an eligible ETF ceases to exist, is delisted, terminated, wound up, liquidated or files for bankruptcy, is combined with another ETF that has a different investment objective, or changes its currency of denomination, an eligible ETF suspends creations or redemptions for five consecutive index business days or announces a suspension of unlimited duration for such creations or redemptions, the net asset value of an eligible ETF is not calculated or is not announced by either the eligible ETF or its sponsor for five consecutive index business days, or an index market disruption event occurs and is continuing for five consecutive index business days, the average daily trading volume in the preceding three calendar months of an eligible ETF is less than $1 million (where average daily trading volume is measured by summing the value of all S-58

60 reported transactions in such eligible ETF for each trading day during the preceding three full calendar months, and dividing this sum by the total number of such trading days) or the net asset value of such eligible ETF is below $250 million (where net asset value is measured as the value of an entity s assets less the value of its liabilities as publicly disclosed by the eligible ETF or its sponsor), the sponsor or investment adviser of an eligible ETF files for bankruptcy and there is no solvent immediate successor, limitations on ownership are imposed on an eligible ETF due to a change in law or regulation, loss of regulatory exemptive relief or otherwise, and the index committee, in its sole discretion, determines that such limitations materially adversely affect the ability of holders of such eligible ETF to hold, acquire or dispose of shares of such eligible ETF, the tax treatment of an eligible ETF changes in a way that would have an adverse effect on holders of shares of such eligible ETF, the index committee, in its sole discretion, determines that an eligible ETF has changed the index underlying or otherwise referenced by such eligible ETF to an index that is materially different, or the methodology for the index is materially modified (other than a modification in the ordinary course of administration of the index underlying or otherwise referenced by an eligible ETF), the index underlying or otherwise referenced by an eligible ETF is no longer compiled, or the closing level of such index is not calculated or published for five consecutive index business days, or the index sponsor determines in its sole discretion that it is not practicable for an eligible ETF to continue to be included in the index for any reason, including due to a) a dispute as to whether a license is required to use the eligible ETF or the related index, or b) to the extent there is an agreement in place governing such use, changes in the terms upon which an eligible ETF or related index is made available to the index sponsor for inclusion in the index that the index sponsor, in its sole discretion, determines to be materially adverse to it. Any successor eligible ETF shall be the ETF, in the determination of the index committee, that most closely replicates the affected eligible ETF without triggering any of the events listed above. Such deletions and additions may be undertaken during a rebalancing or in between rebalancing dates. Could market disruptions or corporate events impact the calculation of the index or the implementation of monthly or daily rebalancing by the index calculation agent? If a monthly rebalancing of the index must be effected on an index business day on which an index market disruption event occurs or is continuing with respect to any eligible ETF, the index calculation agent will postpone such monthly rebalancing date to the next index business day on which no index market disruption event occurs or is continuing with respect to any eligible ETF. The index calculation agent shall then rebalance the index using (i) for the level of the eligible ETF(s) affected by an index market disruption event, the closing level of such eligible ETF(s) on the most recent day on which there was no index market disruption event occurring or continuing and (ii) for the level of the eligible ETF(s) unaffected by an index market disruption event, the closing level of such eligible ETF(s) that would have been used to rebalance the index on the original rebalancing date had there been no index market disruption event(s). If a daily rebalancing of the index must be effected on an index business day on which an index market disruption event occurs or is continuing with respect to any index component ETF or to any ETF that is part S-59

61 of the short-term U.S. treasury position, the index calculation agent will postpone such daily rebalancing to the next index business day on which no index market disruption event occurs or is continuing with respect to an index component ETF or to any ETF that is part of the short-term U.S. treasury position. The index calculation agent shall then rebalance the index using (i) for the level of the ETF(s) affected by an index market disruption event, the closing level of such ETF(s) on the most recent day on which there was no index market disruption event occurring or continuing and (ii) for the level of the ETF(s) unaffected by an index market disruption event, the closing level of such ETF(s) that would have been used to rebalance the index on the original rebalancing date had there been no index market disruption event(s). On the sixth index business day following the occurrence of an index market disruption event or corporate event with respect to any ETF, if such index market disruption event is continuing, the index committee may instruct the index calculation agent to rebalance the index using a specified price. In the event the index committee determines on such sixth index business day, in its sole discretion, that no such instructions should be given to the index calculation agent, the index committee may revisit such determination on any index business day thereafter on which the index market disruption event is continuing. An index market disruption event with respect to an ETF will have occurred in any of the following situations: (i) upon the occurrence or existence of a trading disruption (as defined below) or an exchange disruption (as defined below), in either case for more than two hours of trading or at any time during the one-hour period that ends at the scheduled closing time of the exchange (as defined below), and which the Calculation Agent determines is material, (ii) upon the occurrence or existence of an early closure (as defined below), (iii) the net asset value per share of such ETF is not calculated or is not announced by the ETF or the sponsor of such ETF or (iv) the ETF or the relevant sponsor of any ETF suspends creations or redemptions of shares of such ETF. A trading disruption means any suspension of or limitation imposed on trading by the exchange or related exchange (as defined below), and whether by reason of movements in price exceeding limits permitted by the exchange or otherwise, relating to the index component ETF shares, related index or futures or options on the ETF shares or underlying index. An exchange disruption means any event that disrupts or impairs (as determined by the index calculation agent in its sole discretion) the ability of market participants in general to effect transactions in, or obtain market values for, the shares of the ETF on the exchange or futures or options on the ETF shares or underlying index, in each case on the relevant related exchange. Early closure means the closure of the exchange or relevant related exchange on any business day of that exchange prior to its scheduled closing time unless such earlier closing time is announced by such exchange prior to the close of trading on the first index business day immediately preceding such date. Exchange means the primary exchange on which shares of an ETF are listed. Related exchange means, in respect of an ETF or underlying index, as the case may be, the primary exchange (or exchanges) or quotation system (or quotation systems) on which futures or options contracts relating to such ETF or underlying index, as the case may be, are traded, if any. In the event that an eligible ETF is affected by a potential adjustment event, the index committee may make adjustments to the level of such index component ETF and/or the weighting of the index component ETFs. Any of the following will be a potential adjustment event with respect to an index component ETF: S-60

62 Potential Adjustment Event Adjustment Adjustment Description Cash Dividends Yes The dividend is reinvested in that index component ETF. Special / Extraordinary Dividends Yes The dividend is reinvested in that index component ETF. Return of Capital Yes The capital is reinvested in that index component ETF. Stock Dividend Yes Where shareholders receive B new shares for every A share held, the number of shares is adjusted by multiplying the original number of shares by the quotient of (a) the sum of A and B divided by (b) A. Stock Split Yes Where shareholders receive B new shares for every A share held, the number of shares is adjusted by multiplying the original number of shares by the quotient of B divided by A. Potential adjustment events also include any other event that could have a diluting or concentrative effect on the theoretical value of the index component ETF shares and would not otherwise be accounted for in the index. The index calculation agent may make adjustments in such cases. If the index calculation agent determines that the price made available for an index component ETF by the exchange reflects a manifest error, the calculation of the index where the index component ETF has a non-zero weighting shall be delayed until such time as a corrected price is made available. In the event a corrected price is not made available on a timely basis, the index calculation agent may determine an appropriate price and disclose on its website its determination and the basis therefor. In the event an exchange corrects prices previously provided, the index calculation agent shall recalculate index levels using the corrected information and disclose on its website that it has substituted updated versions of index levels as a result. This convention however, will not change the starting index value for the CDs. However, the calculation agent for the notes may adjust the method of calculation of the level of the index to ensure that the level of the index used to determine the amount payable on any coupon payment date is equitable. See Specific Terms of Your Certificates of Deposit Discontinuance or Modification of the Index above. What is the historical performance of the index? The closing level of the index has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing level of the index during any period shown below is not an indication that the index is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing levels of the index as an indication of the future performance of the index. We cannot give you any assurance that the future performance of the index, the index component ETFs or 3-month USD LIBOR will result in any coupons being paid. In light of the increased volatility currently being experienced by U.S. and global securities markets and recent market declines, the trend reflected in the historical performance of the index may be less likely to be indicative of the performance of the index during the period from the trade date to any coupon observation date than would otherwise have been the case. S-61

63 Neither we nor any of our affiliates make any representation to you as to the performance of the index. Before investing in the offered CDs, you should consult publicly available information to determine the relevant index levels between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the index over the life of the offered CDs, as well as the payment amount at maturity, may bear little relation to the historical levels shown below. Historical Quarterly High, Low and Closing Levels of the Index The table below shows the high, low and final closing levels of the index for each calendar quarter from July 2004 through the first three calendar quarters of 2012 (through September 24, 2012). We obtained the historical levels listed in the table below from Bloomberg Financial Services and Structured Solutions, AG, without independent verification. The index was launched on May 25, This historical data from June 1, 2011 to May 25, 2012 is based on the historical levels of the eligible ETFs using the same methodology that is used to calculate the index. Data for the period from July 1, 2004 through May 30, 2011 was calculated using the same methodology that is used to calculate the index, provided that a proxy was used for each eligible ETF that was not in existence on every day during the historical data period, regardless of whether that eligible ETF existed during a portion of such period. Therefore, proxies were used for the following eligible ETFs: SPDR Barclays Capital 1-3 Month T-Bill ETF, ishares Barclays Short Treasury Bond Fund, Vanguard MSCI Emerging Markets ETF, ishares Barclays TIPS Bond Fund, ishares iboxx $ High Yield Corporate Bond Fund, SPDR Barclays Capital International Treasury Bond ETF, ishares JP Morgan USD Emerging Markets Bond Fund, WisdomTree EM Local Debt Fund, ishares S&P GSCI Commodity-Indexed Trust and PowerShares DB Gold Fund. Each proxy had at least a 90% correlation to the related eligible ETF during the period beginning after the eligible ETF became available, after deducting from the proxy s performance a fee equal to the management fee charged by the applicable eligible ETF or the difference between the management fee charged by such proxy and the management fee charged by the applicable eligible ETF, as applicable. You should not take the historical index data as an indication of the future performance of the index. Quarterly High, Low and Closing Levels of the Index High Low Close 2004 Quarter ended September 30 (commencing July 1, 2004) Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December S-62

64 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) Historical ETF Weightings The following chart sets forth the historical average percentage weightings of the eligible ETFs, the highest percentage weightings of the eligible ETFs and the percentage of monthly rebalancing dates with positive weightings for the eligible ETFs from August 2004 to September 2012 (the period for which eligible ETFs or proxy information is available). This data reflects the same historical data and use of proxies as the previous table. You should not take the historical data as an indication of the future performance of the index. Eligible ETFs Average Weighting Highest Weighting Percentage of Monthly Rebalancing Dates when ETF is Included as an Index Component ETF Short-Term U.S. Treasury Position (50% SPDR Barclays Capital 1-3 Month T-Bill ETF and 50% ishares Barclays Short Treasury Bond Fund) 27.2% 77.6% 71.1% ishares Russell 1000 Index Fund 2.6% 22.1% 27.2% ishares Russell 2000 Index Fund 0.4% 17.1% 9.6% ishares MSCI EAFE Index Fund 0.6% 17.0% 8.8% ishares Dow Jones 4.3% 20.8% 48.2% S-63

65 Eligible ETFs Average Weighting Highest Weighting Percentage of Monthly Rebalancing Dates when ETF is Included as an Index Component ETF U.S. Real Estate Index Fund Vanguard MSCI Emerging Markets ETF 3.3% 21.7% 29.8% ishares S&P Latin America 40 Index Fund 1.5% 12.4% 36.8% ishares Barclays 7-10 Year Treasury Bond Fund 12.6% 50.0% 43.0% ishares Barclays 20+ Year Treasury Bond Fund 4.7% 38.0% 38.6% ishares Barclays TIPS Bond Fund 3.9% 30.0% 30.7% ishares iboxx $ High Yield Corporate Bond Fund 11.8% 30.0% 54.4% ishares Barclays Aggregate Bond Fund 3.4% 30.0% 28.1% SPDR Barclays Capital International Treasury Bond ETF 4.5% 44.0% 28.1% ishares JPMorgan USD Emerging Markets Bond Fund 11.4% 30.0% 53.5% WisdomTree EM Local Debt Fund 2.8% 30.0% 16.7% ishares S&P GSCI Commodity-Indexed Trust 2.0% 17.4% 26.3% PowerShares DB Gold Fund 2.9% 18.6% 43.9% The following chart and table provide a historical comparison between the index and certain asset classes (represented by benchmark ETFs) from July 2004 to September The data below reflects both historical data and the use of proxies. The historical data from June 1, 2011 to May 25, 2012 (the index launch date) is based on the historical levels of the benchmark ETFs and of the eligible ETFs (and, for purposes of the index, using the same methodology that is used to calculate the index). Index data for the period from July 1, 2004 through May 30, 2011 was calculated using the same methodology that is used to calculate the index, provided that a proxy was used for each eligible ETF that was not in existence on every day during the historical data period, regardless of whether that eligible ETF existed during a portion of such period. Benchmark ETF data for such period reflects the use of proxies for each benchmark ETF for the entirety of such period. You should not take the historical data as an indication of the future performance of the index or of the benchmark ETFs. Please note that the benchmark ETFs that are used to represent asset classes for purposes of the following table and chart may not be eligible ETFs for purposes of the index and in some cases differ from the eligible ETFs that are used to represent asset classes with the same or similar titles for purposes of the index. S-64

66 GS MULTI ASSET 2 PERFORMANCE vs. INDIVIDUAL ASSET CLASS SPECIFIC ETFS SINCE JULY 2004* GS Multi Asset 2 US Bonds (AGG) Global Equities (ACWI) Commodities (GSG) Currencies (UDN) US Real Estate (IYR) Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 As of 9/24/2012 GS Multi Asset 2 (GSMBMA2) US Bonds (AGG) Global Equities (ACWI) Commodities (GSG) Currencies (UDN) US Real Estate (IYR) Effective Performance (1M) 0.50% 0.38% 3.64% -1.74% 2.60% 1.07% Effective Performance (6M) 4.90% 3.40% 2.54% -6.09% 0.11% 8.22% Annualized * Performance (since June 2011) 5.46% 5.89% 1.02% -4.64% -3.39% 9.60% Annualized * Performance (since July 2004) 4.38% 5.65% 5.61% -0.60% 1.56% 7.96% Annualized * Realized Volatility (since July 2004)** 4.47% 3.87% 20.05% 26.46% 8.74% 39.96% Return over Risk (since July 2004)*** Maximum Peak-to-Trough Drawdown**** 11.80% 5.08% 58.38% 71.40% 19.95% 74.23% * Calculated on a per annum percentage basis. ** Calculated on the same basis as realized volatility used in calculating the index. *** Calculated by dividing the annualized performance by the annualized realized volatility since July **** The largest percentage decline experienced in the relevant measure from a previously occurring maximum level. The following chart sets forth the monthly historical allocation between each asset class from July 2004 to September 2012 with each bar representing a month. This data reflects the same historical data and use of proxies as the previous tables. You should not take the historical data as an indication of the future performance of the index. 100% 90% 80% 70% 60% 50% 40% 30% 20% Commodities International Bonds US Bonds Emerging Markets Equity US Real Estate Developed Markets Equity Deleverage Position 10% 0% Jul-04 Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08 Jan-09 Jul-09 Jan-10 Jul-10 Jan-11 Jul-11 Jan-12 Jul-12 The following chart sets forth the number of index component ETFs included in the index on each monthly rebalancing date during the period from August 2004 to September This data reflects the same historical data and use of proxies as the previous tables. You should not take the historical data as an indication of the future performance of the index. S-65

67 Number of Index Component ETFs Number of Months Percent of Months Included (Out of 97 Months) % % % % % % % % % 11 or more 0 0.0% The following chart lists the periods in which the index ratably rebalanced some or all of the exposure to the index component ETFs into the short-term U.S. treasury position during the period from August 2004 to September Because monthly rebalancing is based on 6-month realized volatility and the daily rebalancing mechanic is based on 3-month realized volatility, on some monthly rebalancing dates a daily rebalancing also occurred. As is evident from the chart, there have been prolonged periods of time during which the index was impacted by daily rebalancings. This data reflects the same historical data and use of proxies as the previous tables. You should not take the historical data as an indication of the future performance of the index. From To March 29, 2005 April 1, 2005 March 16, 2007 April 10, 2007 August 21, 2007 August 1, 2008 October 17, 2008 March 2, 2009 May 17, 2010 June 21, 2010 November 17, 2010 February 9,2011 August 15, 2011 November 15, 2011 The following chart displays the percentage of index exposure to the index component ETFs during the period from August 2004 to September A percentage less than 100% means that a daily rebalancing has occurred, reducing exposure in the existing index component ETFs (other than the short-term U.S. treasury position) and increasing exposure to the short-term treasury position. This data reflects the same historical data and use of proxies as the previous tables. You should not take the historical data as an indication of the future performance of the index. S-66

68 Hypothetical Rebalancing and Performance The following table displays the 6-month historical returns and 6-month realized volatility for each eligible ETF and the weights that they were assigned on the monthly rebalancing dates occurring in December 2011 and January We have also provided the monthly returns for each eligible ETF for the December 2011 and January 2012 periods. You should not take the historical data as an indication of the future performance of the index. December 2011 Rebalancing January 2012 Rebalancing Eligible ETFs 6-Month Historical Return 6-Month Realized Volatility Weighting for Period Monthly Return for Period 6-Month Historical Return 6-Month Realized Volatility Weighting for Period Monthly Return for Period Short-Term U.S. Treasury Position* -0.03% 0.00% 44.0% -0.01% -0.03% 0.00% 42.15% 0.00% ishares Russell 1000 Index Fund % 8.58% 8.2% 2.50% -6.95% 9.01% 4.68% 4.37% ishares Russell 2000 Index Fund % 15.97% 0.0% 3.01% % 16.95% 0.00% 7.58% ishares MSCI EAFE Index Fund % 13.94% 0.0% 1.34% % 14.55% 0.00% 4.09% ishares Dow Jones U.S. Real Estate Index Fund % 12.73% 0.0% 5.71% -5.79% 13.08% 0.00% 6.68% Vanguard MSCI Emerging Markets ETF % 14.49% 0.0% -1.17% % 15.93% 0.00% 10.07% ishares S&P Latin America 40 Index Fund % 13.97% 0.0% 1.55% % 14.98% 0.00% 8.64% ishares Barclays 7-10 Year Treasury Bond Fund 19.01% 0.93% 30.0% 1.38% 19.26% 0.91% 24.91% 1.15% ishares Barclays 20+ Year Treasury Bond Fund 48.14% 6.34% 8.4% 2.40% 51.69% 6.67% 12.22% -0.01% S-67

69 ishares Barclays TIPS Bond Fund 15.53% 0.73% 4.5% 0.16% 14.13% 0.72% 0.00% 2.26% ishares iboxx $ High Yield Corporate Bond Fund -9.49% 2.80% 0.0% 4.43% 6.55% 2.81% 16.04% 1.32% ishares Barclays Aggregate Bond Fund 7.02% 0.20% 0.0% 1.12% 9.25% 0.20% 0.00% 0.75% SPDR Barclays Capital International Treasury Bond ETF -8.20% 0.86% 0.0% 0.96% -3.67% 0.92% 0.00% 2.55% ishares JPMorgan USD Emerging Markets Bond Fund 3.39% 0.85% 3.2% 0.53% 5.80% 0.86% 0.00% 1.87% WisdomTree EM Local Debt Fund % 1.83% 0.0% -0.64% % 1.94% 0.00% 6.28% ishares S&P GSCI Commodity-Index ed Trust % 5.98% 0.0% 1.55% -3.45% 5.99% 0.00% -1.20% PowerShares DB Gold Fund 20.50% 5.72% 1.7% -8.42% 5.43% 6.55% 0.00% 8.71% * 50% SPDR Barclays Capital 1-3 Month T-Bill ETF and 50% ishares Barclays Short Treasury Bond Fund. In reviewing the table provided above, you should consider the following: In any given month, we expect that the index will have exposure to only a limited subset of the 18 eligible ETFs. For example, for the December 2011 rebalancing, 8 ETFs were selected as index component ETFs for the upcoming month from the 18 eligible ETFs. Thus, the index did not have any exposure during the December 2011 period to 10 of the eligible ETFs. Also, for example, for the January 2011 rebalancing, 6 ETFs were selected for the upcoming month from the 18 eligible ETFs. Thus, the index did not have any exposure during the January 2012 period to 12 of the eligible ETFs. The index will not necessarily allocate the maximum weight or any weight to eligible ETFs with relatively high 6-month historical returns on a monthly rebalancing date. For example, the weight assigned to the ishares Barclays 20+ Year Treasury Bond Fund on each of the December 2011 and January 2012 rebalancing dates was less than its maximum weight even though it had the highest 6-month historical return of all of the eligible ETFs in each month. This result was due to the limitation imposed by the monthly volatility target (which volatility is measured on a basket basis and is not determined based on the realized volatility of each eligible ETF standing alone). Positive returns during the period used to calculate the 6-month historical return do not ensure that an ETF will provide positive returns after a monthly rebalancing if selected as an index component ETF. For example, for the December 2011 rebalancing, the PowerShares DB Gold Fund had a positive 6-month historical return but had a negative return for the period after the rebalancing. Examples of Index Return Calculations The following examples are provided to illustrate how the return on the index is calculated for a monthly period given the key assumptions specified below. The examples assume the specified index component ETFs specified below. The return of the index component ETFs will be calculated as the sum of the products, as calculated for each index component ETF, of the return for each index component ETF multiplied by its weighting, expressed as a percentage. The examples are based on a range of final levels for the specified index component ETFs that are entirely hypothetical; no one can predict which eligible ETFs will be chosen as index component ETFs in any month, the weightings of the index component ETFs or what the returns will be for any index component ETFs. The actual performance of the index in any month may bear little relation to the hypothetical examples shown below or to the historical levels shown S-68

70 elsewhere in this pricing supplement. These examples should not be taken as an indication or prediction of future performance of the index and investment results. Key Assumptions Index component ETFs during hypothetical period and percentage weighting... BIL & SHV 65% EMB 30% IYR 5% 3-month USD LIBOR rate % Neither an index market disruption event nor a non-index business day occurs. No change in or affecting any of the index component ETFs, underlier stocks or the policies of the applicable investment advisor or the method by which the underlying indices are calculated. No dividends are paid on any index component ETF. Example 1: Each index component ETF appreciates. The Total Index Return is greater than 3-month USD LIBOR. The daily volatility control level is never breached. Index component ETF (NYSE Ticker) Column A Column B Column C Column D Column E Hypothetical Initial Level Hypothetical Final Level Column B / Column A Column C x Column D Weighting BIL & SHV % 65% 0.65% EMB % 30% 0.60% IYR % 5% 0.20% Total Index Return: 1.45% Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.08% 1.37% In this example, the index component ETFs all had positive returns. The total return of the index component ETFs prior to adjustment for 3-month USD LIBOR equals 1.45% for the month and, once 3-month USD LIBOR for the month is subtracted, the return of the index for the month equals 1.37%. Example 2: Each index component ETF appreciates. The Total Index Return is less than 3-month USD LIBOR. The daily volatility control level is never breached. Index Component ETF (NYSE Ticker) Hypothetical Initial Level Hypothetical Final Level Column B / Column A Column C x Column D Weighting BIL & SHV % 65% 0.01% EMB % 30% 0.01% IYR % 5% 0.00% Total Index Return: Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.02% 0.08% -0.06% S-69

71 In this example, the index component ETFs all had positive returns. The total index return of the index component ETFs prior to adjustment for 3-month USD LIBOR equals 0.02% for the month and, since 3-month USD LIBOR is greater than such return, once LIBOR for the month is subtracted, the return of the index for the month is negative and equals -0.06%. Example 3: Each index component ETF depreciates. The daily volatility control level is never breached. Index Component ETF (NYSE Ticker) Column A Column B Column C Column D Column E Hypothetical Initial Level Hypothetical Final Level Column B / Column A Column C x Column D Weighting BIL & SHV % 65% -0.06% EMB % 30% -0.60% IYR % 5% -0.13% Total Index Return: -0.79% Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.08% -0.87% In this example, the index component ETFs all had negative returns. The total index return of the index component ETFs prior to adjustment for 3-month USD LIBOR equals -0.79% for the month and once 3-month USD LIBOR for the month is subtracted the return of the index for the month is further reduced and equals -0.87%. S-70

72 Example 4: The index component ETFs have mixed returns. The daily volatility control level is never breached. Index Component ETF (NYSE Ticker) Column A Column B Column C Column D Column E Hypothetical Initial Level Hypothetical Final Level Column B / Column A Column C x Column D Weighting BIL & SHV % 65% 0.65% EMB % 30% -0.60% IYR % 5% -0.13% Total Index Return: -0.08% Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.08% -0.16% In this example, one of the index component ETFs had a negative return and two had positive returns. The total index return of the index component ETFs prior to adjustment for 3-month USD LIBOR equals -0.08% for the month and once 3-month USD LIBOR for the month is subtracted, the return of the index for the month is further reduced and equals -0.16%. Example 5: The index ratably rebalances into the short-term U.S. treasury position during the month. Column A Column B Column C Column D Column E With Initial Short-Term U.S. Treasury Position (one week of the month) Index Component ETF (NYSE Ticker) Hypothetical Initial Level Hypothetical Final Level Column B / Column A Column C x Column D Weighting BIL & SHV % 65% 0.65% EMB % 30% 0.60% IYR % 5% 0.15% Total Index Return: 1.40% Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.08% 1.32% With Additional Short-Term U.S. Treasury Position (remaining three weeks of the month) BIL & SHV % 70.0% 0.70% EMB % 25.7% 0.51% IYR % 4.3% 0.13% Total Index Return: 1.34% Return of Notional Cash Investment in 3-month USD LIBOR: Index Return: 0.08% 1.26% S-71

73 In this example, the index component ETFs all had positive returns for the month. In order to highlight the effect of rebalancing into the short-term U.S. treasury position, we have assumed that such a rebalancing occurs one week into the month. For the first week of the month (a quarter of the month in this example), the component ETFs and their weights were as indicated above. For each portion of the month indicated above, before and after the rebalancing, we have shown what the index component ETFs returns would have been for the month as a whole and, consequently, what the total index return would have been for the month as a whole, assuming that the applicable weightings had remained constant for the entire monthly period. The total index return for the month prior to adjustment for 3-month USD LIBOR equals 1.36% (i.e., the result of a quarter of the month at the returns prior to the additional allocation to the short-term U.S. treasury position as a result of the volatility control feature plus three quarters of the month at the returns after such allocation) and, once 3-month USD LIBOR for the month is subtracted, the return of the index for the month equals 1.28% (i.e., 1.36% minus.08%). Since the returns on EMB and IYR were higher than the short-term U.S. treasury position, the increased weighting to the short-term U.S. treasury position for a portion of the month reduced the return of the index relative to the return associated with the index using the initial short-term treasury position. We cannot predict which eligible ETFs will be chosen as index component ETFs in any month, the weights of the index component ETFs or what the final levels will be for any index component ETFs or 3-month USD LIBOR. The actual amount that you will receive maturity and the rate of return on the offered CDs will depend on the performance of the index which will be determined by the index component ETFs chosen and their weightings. S-72

74 THE ELIGIBLE ETFS The defined terms provided in the description of each eligible ETF apply only in the description in which they are presented. Unless otherwise indicated, these definitions are not intended to be used in other sections of this disclosure statement supplement. The eligible ETF descriptions below are provided in the following order: ASSET CLASS ELIGIBLE ETF NYSE TICKER Short-term U.S. Treasury Bills SPDR Barclays Capital 1-3 Month T-Bill ETF BIL (together, the short-term U.S. treasury position ) ishares Barclays Short Treasury Bond Fund SHV Developed Markets Equity ishares Russell 1000 Index Fund IWB ishares Russell 2000 Index Fund IWM ishares MSCI EAFE Index Fund EFA US Real Estate ishares Dow Jones U.S. Real Estate Index Fund IYR Emerging Markets Equity Vanguard MSCI Emerging Markets ETF VWO ishares S&P Latin America 40 Index Fund ILF US Government Bonds ishares Barclays 7-10 Year Treasury Bond Fund IEF ishares Barclays 20+ Year Treasury Bond Fund TLT ishares Barclays TIPS Bond Fund TIP US Corporate Bonds ishares iboxx $ High Yield Corporate Bond Fund HYG ishares Barclays Aggregate Bond Fund AGG International Bonds SPDR Barclays Capital International Treasury Bond ETF BWX ishares JP Morgan USD Emerging Markets Bond Fund EMB WisdomTree EM Local Debt Fund ELD Commodities* ishares S&P GSCI Commodity-Indexed Trust GSG PowerShares DB Gold Fund DGL *For questions and answers regarding commodity eligible ETFs generally, see General Questions and Answers Regarding Commodity Eligible ETFs below beginning on page S-166. SPDR Barclays Capital 1-3 Month T-Bill ETF The shares of the SPDR Barclays Capital 1-3 Month T-Bill ETF (the fund ) are issued by a series of the SPDR Series Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital 1-3 Month U.S. Treasury Bill Index (the index ). The fund trades on the NYSE Arca under the ticker symbol BIL. SSgA Funds Management, Inc. ( SSgA ) currently serves as the investment advisor to the fund. SSgA employs a replication strategy in seeking to track the index as described under Replication Strategy below. We obtained the following fee information from the SPDR website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of %. In addition, the fund has adopted a Distribution and Service (12b-1) Plan pursuant to which payments of up to 0.25% of average daily net assets may be made. No such payments, however, will be made through at least October 31, 2012, as determined by the Board of Trustees of the SPDR Series Trust. SSgA pays all expenses of the fund other than the management fee, any fee pursuant to a Distribution and Service (12b-1) Plan, taxes, interest, fees and expenses of the independent trustees of the SPDR Series Trust (including any counsel fees), litigation expenses, acquired fund fees or expenses and other extraordinary expenses. As of September 24, 2012, the gross expense ratio of the fund was % per annum. For additional information regarding SPDR Series Trust or SSgA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended June 30, 2011) and other information SPDR Series Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website S-73

75 at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the SPDR website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of all zero-coupon public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to one month and less than three months, are rated investment grade and have $250 million or more of outstanding face value, as measured by the index. The Barclays Capital 1-3 Month U.S. Treasury Bill Index is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index includes all publicly issued zero-coupon U.S. Treasury Bills that have a remaining maturity of less than three months and more than one month, are rated investment grade and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars, bear interest at a fixed rate and may not be convertible. The index does not include certain special issues, such as flower bonds, targeted investor notes, state and local government series bonds, inflation protected public obligations of the U.S. Treasury (commonly known as TIPS ) or coupon issues that have been stripped from bonds. The index is market capitalization weighted and includes all of the securities that meet the index criteria. The securities in the index are updated on the last calendar day of each month. SSgA uses a replication strategy to try to achieve the fund s investment objective, which means that the fund generally invests in substantially all of the securities represented in the index it tracks in approximately the same proportions. In certain situations or market conditions, the fund may temporarily depart from its normal investment policies and strategies provided that the alternative is consistent with the fund s investment objective and is in the best interest of the fund. For example, if the fund is unable to invest directly in a component security, it may make larger than normal investments in derivatives to maintain exposure to the underlying index that it tracks. The fund is managed with a passive investment strategy, attempting to track the performance of an unmanaged index of securities. This differs from an actively managed fund, which typically seeks to outperform the index that the fund tracks. The fund s investment objective and strategy, the index that the fund tracks and other policies may be changed without shareholder approval. The fund will provide shareholders with at least 60 days notice prior to changing the index that the fund tracks. The following table displays the top holdings of the fund. We obtained the information in the tables below from the SPDR website, without independent verification. SPDR Barclays Capital 1-3 Month T-Bill ETF Top Holdings as of September 24, 2012 U.S. Treasury Bill: Percentage (%) TREASURY BILL 0% 11/15/ % TREASURY BILL 0% 10/18/ % TREASURY BILL 0% 11/01/ % TREASURY BILL 0% 11/08/ % TREASURY BILL 0% 10/04/ % TREASURY BILL 0% 10/11/ % TREASURY BILL 0% 11/23/ % TREASURY BILL 0% 11/29/ % TREASURY BILL 0% 10/25/ % Total 99.95%* * As of September 24, 2012, in addition to the nine listed constituents, the fund also included cash (in U.S. Dollars) representing 0.06% of the fund s total investment portfolio. S-74

76 The following table displays additional information about the bonds held by the fund and the tracking error, in each case as of September 24, We obtained the information in the tables below from the SPDR website, without independent verification. Average maturity 0.10 years Dividend yield 0.00% Yield to maturity 0.04% Annualized performance 0.08% difference (since inception) Average maturity is the market value-weighted average maturity of the bonds in the portfolio. Dividend yield is the annual dividends per share divided by the net asset value per share, expressed as a percentage. Yield to maturity is the market weighted average rate of return anticipated on the bonds held in the fund s portfolio if they were to be held to their maturity date. Annualized performance difference is the difference between the performance of the fund as measured by net asset value and the performance of the index, on an annualized basis, since May 25, Replication Strategy The fund uses a replication strategy to attempt to track the performance of the Barclays Capital 1-3 Month U.S. Treasury Bill Index. This strategy involves investing in substantially all of the securities represented in the Barclays Capital 1-3 Month U.S. Treasury Bill Index in approximately the same proportions. Under normal market conditions, the fund generally invests substantially all, but at least 80%, of its total assets in the securities comprising the Barclays Capital 1-3 Month U.S. Treasury Bill Index or in securities that SSgA determines have economic characteristics that are substantially identical to the economic characteristics of the securities that comprise the Barclays Capital 1-3 Month U.S. Treasury Bill Index. The fund will provide shareholders with at least 60 days notice prior to any material change in this 80% investment policy. In addition, the fund may invest in debt securities not included in the Barclays Capital 1-3 Month U.S. Treasury Bill Index, cash and cash equivalents or money market instruments (such as repurchase agreements and money market funds, including money market funds advised by SSgA). Under various circumstances in which it may not be possible or practical to purchase all of the securities or amounts of such securities in proportion to their weightings in the index that the fund tracks (for example, when there are practical difficulties or substantial costs involved in compiling a portfolio of securities to follow the index, in instances when a security in the index becomes temporarily illiquid, unavailable or less liquid or due to legal restrictions, such as diversification requirements that apply to the fund but not to the index) SSgA will utilize a sampling strategy in managing the fund. Employing such a strategy means that SSgA may use quantitative analysis to select securities that have a similar investment profile as the index in terms of key risk factors, performance attributes and other economic characteristics. Correlation It is not possible to invest directly in an index because it is a theoretical financial calculation. Although SSgA seeks to track the performance of the Barclays Capital 1-3 Month U.S. Treasury Bill Index as closely as possible (i.e., achieve a high degree of correlation with the return of the index), the fund s return may not match or achieve a high degree of correlation with the return of the Barclays Capital 1-3 Month U.S. Treasury Bill Index due to, among other things, operating expenses, transaction costs, cash flows, regulatory requirements and operational inefficiencies. For example, SSgA anticipates that it may take several business days for additions and deletions to the Barclays Capital 1-3 Month U.S. Treasury Bill Index to be reflected in the fund s portfolio composition. Industry Concentration Policy The fund s assets will generally be concentrated (i.e., will comprise 25% or more of its total assets) in an industry or group of industries to the extent that the index that the fund tracks concentrates in a particular industry or group of industries. By concentrating its assets in a single industry or group of industries, the fund is subject to the risk that economic, political or other conditions that have a negative effect on that industry or group of industries will negatively impact the fund to a greater extent than if the fund s assets S-75

77 were invested in a wider variety of industries. Additionally, concentrating the fund s investment portfolio may adversely affect the fund s performance or subject its shares to greater price volatility than that experienced by less concentrated funds. Because the fund is considered a non-diversified fund for purposes of the Investment Company Act of 1940, it is not limited with regard to the percentage of its assets that may be invested in the securities of a single issuer. This means that the fund may invest a greater portion of its assets in securities of a single issuer than a diversified fund. The securities of a particular issuer (or securities of issuers in particular industries) may dominate the underlying index and, consequently, the fund s investment portfolio. This may adversely affect the fund s performance or subject the fund s shares to greater price volatility than that experienced by more diversified investment companies. Creation Units Prior to trading in the secondary market, shares of the SPDR Barclays Capital 1-3 Month T-Bill ETF are issued at net asset value to certain institutional investors (typically market makers or other broker-dealers) only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. The principal consideration for a specified number of creation units (which may be revised at any time without notice) is a basket of securities and/or cash that constitutes a substantial replication, or a representation, of the securities included in the Barclays Capital 1-3 Month U.S. Treasury Bill Index. Except when aggregated in creation units (or upon the liquidation of the fund), shares of the SPDR Barclays Capital 1-3 Month T-Bill ETF are not redeemable securities. There can be no assurance that there will be sufficient liquidity in the public trading market at any time to permit assembly of a creation unit. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the SPDR Barclays Capital 1-3 Month T-Bill ETF in the secondary market generally differ (and may deviate significantly during periods of market volatility) from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value is generally based on quotes and closing prices from the securities local market and may not reflect events that occur subsequent to the local market s close. Neither the fund nor SSgA is involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. Brands referred to herein which are not owned by Goldman Sachs are brands of their respective owners. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-76

78 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-77

79 The ishares Barclays Short Treasury Bond Fund The shares of the ishares Barclays Short Treasury Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital U.S. Short Treasury Bond Index (the index ). The fund trades on the NYSE Arca under the ticker symbol SHV. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described under Representative Sampling below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.15%. BFA has voluntarily agreed to waive a portion of its management fee to the extent necessary to prevent the fund from experiencing a negative 30-day SEC yield. This voluntary waiver may be reduced or discontinued at any time without notice. BFA is responsible for all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.15% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended February 29, 2012) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the short-term public obligations of the U.S. Treasury that have a remaining maturity of between one and 12 months and have $250 million or more of outstanding face value, as measured by the index. The Barclays Capital U.S. Short Treasury Bond Index is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index includes all publicly-issued U.S. Treasury securities that have a remaining maturity of between one and 12 months and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars, bear interest at a fixed rate and may not be convertible. The index does not include certain special issues, such as flower bonds, targeted investor notes, state and local government series bonds or coupon issues that have been stripped from bonds. The index is market capitalization weighted and includes all of the securities that meet the index criteria. The securities in the index are updated on the last calendar day of each month. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index that the fund tracks may be changed without shareholder approval. S-78

80 The following table displays the top holdings of the fund. We obtained the information in the table below from the ishares website, without independent verification. ishares Barclays Short Treasury Bond Fund Top Ten Holdings as of September 24, 2012 U.S. Treasury Bond: Percentage (%) 0.62% due 12/31/ % 0.50% due 11/30/ % 1.12% due 6/15/ % 1.38% due 2/15/ % 1.75% due 4/15/ % 0.12% due 8/31/ % 0.75% due 3/31/ % 0.62% due 1/31/ % 4.25% due 8/15/ % 0.38% due 7/31/ % Total 96.62% The following table displays additional information about the bonds held by the fund and the tracking error (as defined below), in each case as of September 24, We obtained the information in the table below from the ishares website, without independent verification. Weighted average maturity 0.47 years Weighted average coupon 0.98% Annualized performance 0.13% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Annualized performance difference is the difference between the performance of the fund and the performance of the index, on an annualized basis, since January 5, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital U.S. Short Treasury Bond Index. This strategy involves investing in a representative sample of securities that collectively has an investment profile similar to that of the Barclays Capital U.S. Short Treasury Bond Index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the Barclays Capital U.S. Short Treasury Bond Index. The fund generally invests at least 90% of its assets in the bonds of the Barclays Capital U.S. Short Treasury Bond Index and at least 95% of its assets in U.S. government bonds. The fund may invest up to 10% of its assets in U.S. government bonds not included in the Barclays Capital U.S. Short Treasury Bond Index, but which BFA believes will help the fund track the Barclays Capital U.S. Short Treasury Bond Index. For example, the fund may invest in bonds not included in the Barclays Capital U.S. Short Treasury Bond Index in order to reflect changes in the index (such as reconstitutions, additions and deletions). The fund may also invest up to 5% of its assets in repurchase agreements collateralized by U.S. government obligations and in cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates. The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation Barclays Capital U.S. Short Treasury Bond Index is a theoretical financial calculation, but the ishares Barclays Short Treasury Bond Fund is an actual investment portfolio. The performance of the fund and the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, corporate actions (such as mergers and spin-offs), timing variances and differences between S-79

81 the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Barclays Short Treasury Bond Fund but not to the Barclays Capital U.S. Short Treasury Bond Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.13% over the last year and 0.13% on an annualized basis over the last five years. Concentration Policy The fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the Barclays Capital U.S. Short Treasury Bond Index is concentrated. Securities of the U.S. government (including its agencies and instrumentalities), repurchase agreements collateralized by U.S. government securities, and securities of state or municipal governments and their political subdivisions are not considered to be issued by members of any industry. Because the fund is considered a non-diversified fund for purposes of the Investment Company Act of 1940, it is not limited with regard to the percentage of its assets that may be invested in the securities of a single issuer. The securities of a particular issuer (or securities of issuers in particular industries) may dominate the underlying index and, consequently, the fund s investment portfolio. This may adversely affect the fund s performance or subject the fund s shares to greater price volatility than that experienced by more diversified investment companies. Creation Units Prior to trading in the secondary market, shares of the ishares Barclays Short Treasury Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares Barclays Short Treasury Bond Fund s portfolio and an amount of cash for a specified number of creation units. Except when aggregated in creation units, shares of the ishares Barclays Short Treasury Bond Fund are not redeemable securities. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Barclays Short Treasury Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The Index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. S-80

82 Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-81

83 ishares Russell 1000 Index Fund The shares of ishares Russell 1000 Index Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Russell 1000 Index (the index ). The fund trades on the NYSE Arca under the ticker symbol IWB. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.15%. BFA is responsible for all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.15% per annum. For additional information regarding ishares Trust or BFA, ishares Trust files reports (including its Annual Report to Shareholders on Form N CSR for the fiscal year ended March 31, 2012) and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the large capitalization sector of the U.S. equity market as represented by the Russell 1000 Index. The index represents the approximately 1,000 largest issuers in the Russell 3000 Index. The fund s investment objective and the index may be changed without shareholder approval. The following table displays the top holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.) We obtained the information in the tables below from the fund website, without independent verification. ishares Russell 1000 Index Fund Top Ten Holdings As of September 24, 2012 Fund Stock Issuer Percentage (%) APPLE INC 4.36% EXXON MOBIL CORP 2.90% GENERAL ELECTRIC CO 1.60% CHEVRON CORP 1.57% MICROSOFT CORP 1.57% AT&T INC 1.52% INTL BUSINESS MACHINES CORP 1.51% GOOGLE INC-CL A 1.31% PROCTER & GAMBLE CO/THE 1.29% JOHNSON & JOHNSON 1.28% Total 18.91% S-82

84 ishares Russell Index Fund Weighting by Sector As of September 24, 2012 Sector Percentage (%) Technology Financial Services Consumer Discretionary Health Care Producer Durables Energy Consumer Staples 8.62 Utilities 6.40 Materials & Processing 4.24 Short-Term Securities 0.26 Other / Undefined Total % Representative Sampling BFA uses a representative sampling strategy to track the Russell 1000 Index. Representative sampling is an indexing strategy that involves investing in a representative sample of securities that collectively has an investment profile similar to the underlying index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the underlying index. The fund generally invests at least 90% of its assets in the securities of the Russell 1000 Index. The fund may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the fund track the Russell 1000 Index. The fund may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. Correlation The Russell 1000 Index is a theoretical financial calculation, but the ishares Russell 1000 Index Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, foreign currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Russell 1000 Index Fund but not to the Russell 1000 Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.20% over the last year, 0.09% on an annualized basis over the last five years, and 0.12% on an annualized basis since May 15, 2000, the inception date of the fund. Creation Units Prior to trading in the secondary market, shares of the ishares Russell 1000 Index Fund are issued at net asset value to market makers, large investors and institutions only in block-size units, known as creation S-83

85 units, of 50,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected in exchange for a basket of securities that generally corresponds pro rata to the ishares Russell 1000 Index Fund s portfolio and an amount of cash. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Russell 1000 Index Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The Russell 1000 Index (the Index ) The index is a stock index calculated, published and disseminated by the index sponsor, Frank Russell Company ( Russell ), and is intended to measure the performance of the large-cap segment of the U.S. equity market. The index is quoted in U.S. dollars. The constituent stocks of the Russell 1000 Index are a subset of the constituents of the Russell 3000 Index, and include approximately 1,000 of the largest securities in the Russell 3000 Index based on a combination of their market capitalization and current index membership. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies traded on a major U.S. exchange. Constituents of the Russell 1000 Index represent approximately 90% of the total market capitalization of the Russell 3000 Index. The index is reported by Bloomberg L.P. under the ticker symbol RU10INTR. Selection of Constituent Stocks of the Russell 1000 Index: The Russell 1000 Index is a sub-index of the Russell 3000 Index. To be eligible for inclusion in the Russell 3000 Index, and, consequently, the Russell 1000 Index, a U.S. company s stocks must be listed on a major U.S. exchange on the last trading day of May of a given year and Russell must have access to documentation verifying the company s eligibility for inclusion. Eligible initial public offerings are added to Russell U.S. Indices at the end of each calendar quarter, based on total market capitalization rankings within the market-adjusted capitalization breaks established during the most recent reconstitution. To be added to any Russell U.S. index during a quarter outside of reconstitution, initial public offerings must meet additional eligibility criteria. A company is a U.S. Company and is eligible for inclusion in the Russell 3000 Index, and consequently, the Russell 1000 Index, if that company incorporates in, has its headquarters in and also trades with the highest liquidity (as defined by a two-year average daily dollar trading volume from all exchanges in a country) in the United States or its territories. If a company satisfies any one of these criteria and that company s assets are primarily located in or its revenue is primarily derived from the United States, based on an average of two years of assets or revenues data, that company will also be considered to be a U.S. company. In addition, if there is insufficient information to assign a company to the U.S. equity markets based on its assets or revenue, the company may nonetheless be assigned to the U.S. equity markets if the headquarters of the company is located in certain benefit driven incorporation countries, or BDIs, and that company s most liquid stock exchange is also in the United States. The BDI countries are Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Faroe Islands, Gibraltar, Isle of Man, Liberia, Marshall Islands, Former Netherlands Antilles, Panama and Turks and Caicos Islands. ADRs and ADSs are not eligible for inclusion in the Russell 1000 Index. Exclusions from the Russell 1000 Index: Russell specifically excludes the following securities and companies from the Russell 1000 Index: (i) preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights and trust receipts; (ii) royalty trusts, U.S. limited liability S-84

86 companies, closed-end investment companies (business development companies are eligible), blank check companies, special purpose acquisition companies and limited partnerships; (iii) companies with a total market capitalization less than $30 million; (iv) companies with only a small portion of their shares available in the marketplace (companies with 5% or less float); (v) bulletin board, pink sheets or over-the-counter traded securities; (vi) Real Estate Investment Trusts and Publicly Traded Partnerships that generate, or have historically generated, unrelated business taxable income and have not taken steps to block their unrelated business taxable income to equity holders; and (vii) stocks with a close price below $1.00 on their primary exchange on the last trading day in May, unless the average daily closing price on that security s primary exchange is $1.00 or greater for the month of May, or, for IPO additions, stocks with a close price below $1.00 on the last day of the applicable eligibility period. Initial List of Eligible Securities: The primary criterion Russell uses to determine the initial list of securities eligible for the Russell 3000 Index and consequently, the Russell 1000 Index, is total market capitalization, which is calculated by multiplying the total outstanding shares for a company times the market price as of the last trading day in May. All common stock share classes and non-restricted exchangeable shares are combined in determining market capitalization. If multiple share classes have been combined, the price of the primary vehicle (usually the most liquid) is used in the calculations. In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately. Partnership units or membership interests are also included in the calculation if the company in question is merely a holding company of an underlying entity that issues such interests, and such interests are that company s sole asset. Annual Reconstitution: The Russell 1000 Index is reconstituted annually by Russell to reflect changes in the marketplace. The list of companies is ranked based on total market capitalization on the last trading day in May, with the actual reconstitution effective on the first trading day following the final Friday of June each year, unless the final Friday in June is the 28th, 29th or 30th, in which case reconstitution will be effective on the preceding Friday. Changes in the constituents are preannounced and subject to change if any corporate activity occurs or if any new information is received prior to release. Index Calculation and Capitalization Adjustments: As a capitalization-weighted index, the Russell 1000 Index reflects changes in the capitalization, or market value, of the underlier stocks relative to the capitalization on a base date. This discussion describes the total return calculation of the Russell 1000 Index. The applicable pricing supplement will describe the calculation if the underlier for your notes is not the total return calculation. The current Russell 1000 Index value is the compounded result of the cumulative daily (or monthly) return percentages, where the starting value of the index is equal to the base value (100) and base date (December 31, 1978), assuming that any cash distributions, such as dividends, are reinvested back into the index. Returns between any two dates can then be derived by dividing the ending period index value (IV1) by the beginning period (IV0) index value, so that the return equals [(IV1 / IV0) 1]*100. The ending period index value, for purposes of calculating the Russell 1000 Index value, on any date is determined by adding the total returns of the underlier stocks, which are derived by multiplying the sum of the price of each stock and the per-share return from any cash distributions by the number of available shares, to arrive at the total return of the constituent stocks. To calculate the Russell 1000 Index, last sale prices will be used for exchange-traded and NASDAQ stocks. In the event of a market disruption resulting in any underlier stock price to be unavailable, Russell will generally use the last reported price for such underlier stock for the purpose of performance calculation. Constituent stocks of the index are weighted in the Russell 1000 Index by their free-float market capitalization, which is calculated by multiplying the primary closing price by the number of free-float shares. Free-float shares are shares that are available to the public for purchase as determined by Russell. Russell determines shares available to the public for purchase based on information recorded in corporate filings with the Securities and Exchange Commission and other reliable sources in the event of missing or questionable data. Russell removes the following types of shares from total market capitalization to arrive at free-float market capitalization: Corporate cross-owned shares shares of a company in the index that are held by another company that is included in any other Russell index; S-85

87 Large private and corporate holdings shares held by an individual, a group of individuals acting together (such as a company s officers and directors) or another listed company (that is not included in the index), if such shareholdings constitute 10% or more of the shares outstanding. Institutional holdings, including investment companies, partnerships, insurance companies, mutual funds, banks or venture capital firms, are not excluded unless the firm has a direct relationship to the company, such as board representation, in which case they are considered strategic holdings and excluded; ESOP or LESOP shares shares held by employee stock ownership plans and leveraged employee stock ownership plans that comprise 10% or more of a company s outstanding shares; Unlisted share classes classes of common stock that are not traded on a U.S. securities exchange; Initial public offering lock-ups shares locked-up during an initial public offering are not available to the public and will be excluded from the market value at the time the initial public offering enters the index; and Government holdings shareholdings listed as government of are removed entirely. Shares held by government investment boards and/or investment arms are treated as shares held by large private shareholdings and are excluded if the number of shares is greater than 10% of outstanding shares. Shares held by a government pension plan are considered institutional holdings and will not be excluded. Corporate Actions Affecting the Index: Russell adjusts the index on a daily basis in response to certain corporate actions and events. Therefore, a company s membership and weight in the index can be impacted by these corporate actions. The adjustment is applied based on sources of public information, including press releases and Securities and Exchange Commission filings. Prior to the completion of a corporate action or event, Russell estimates the effective date. Russell will then adjust the anticipated effective date based on public information until the date is considered final. Depending on the time on a given day that an action is determined to be final, Russell will generally either (1) apply the action before the open on the ex-date or (2) apply the action after providing appropriate notice to its clients regarding the impact of the action and the effective date. Russell applies the following methodology guidelines when adjusting the index in response to corporate actions and events: No Replacement Rule Securities that are deleted from the Index between reconstitution dates, for any reason (e.g., mergers, acquisitions or other similar corporate activity) are not replaced. Thus, the number of securities in the Index over the year will fluctuate according to corporate activity. Mergers and Acquisitions Between constituents: When mergers and acquisitions take place between companies that are both constituents of a Russell index, the target company is deleted and its market capitalization simultaneously moves to the acquiring stock. Russell categorizes the surviving entity based on a weighted average of the market value of the two companies prior to the merger using market values as of the day immediately before Russell determines that the action or event is final. Given sufficient market hours after confirmation of the merger or acquisition, Russell effects the adjustment after the close on the last day of trade of the target company. Between a constituent and a non-constituent: If the target company is a member of the Russell 1000 Index, it is deleted from the index after Russell determines that the action or event is final. If the acquiring company is a member of the Russell 1000 Index, its shares are adjusted by adding the target company s market capitalization. If the target company is not a member of a Russell index, Russell will also analyze the transaction to determine whether it constitutes a reverse merger. A reverse merger occurs when the acquiring company is a private, non-publicly traded company or OTC company, and the acquisition results in a transaction whereby a new publicly traded company is created that meets all of the requirements for inclusion in a Russell index based on market capitalization using the opening price on the day after the merger or acquisition is considered final. In such a case, the newly formed entity will be placed in the appropriate Russell Index, if appropriate, and the target company simultaneously removed from the Russell 1000 Index, after the close of the market on the day after the merger is considered final. If the event does not qualify as a reverse merger, the target company is deleted after the action is determined to be final. Reincorporation Members of a Russell U.S. index, like the Russell 1000 Index, that reincorporate to another country and continue to trade in the United States and companies that reincorporate to the United States during the year are analyzed for assignment by Russell at the next annual reconstitution. Members S-86

88 that reincorporate in another country and no longer trade in the United States are immediately deleted from the Russell U.S. indices. Rights Offerings Rights offered to shareholders are reflected in the index only if the subscription price of the rights is at a discount to the market price of the stock. Provided that Russell has been alerted to the rights offer prior to the ex-date, it will adjust the price of the stock for the value of the rights and increased shares according to the terms of the offering before the opening of trading on the ex-date. If Russell is unable to provide prior notice, it will delay the price adjustment until the appropriate notice has been given. This treatment applies for both transferable and non-transferable rights. Rights issued as part of a poison pill arrangement or entitlements that give shareholders the right to purchase ineligible securities such as convertible debt are excluded from this treatment. Updates to Share Capital Changes to shares outstanding due to buybacks (including Dutch auctions), secondary offerings, merger activity with a non-index member and other potential changes are generally updated at the end of the month in which the change is reflected in vendor-supplied updates. Russell verifies this information using publicly available information filed with the Securities and Exchange Commission. Russell only applies such changes if the aggregate change in the number of shares outstanding is greater than 5%. If the aggregate change in the number of shares is greater than 5%, the change in the number of shares is adjusted downward by the proportion of free float shares (as defined at Index Calculation and Capitalization Adjustments above) to total outstanding shares. Share changes not addressed in the annual reconstitution that would otherwise be made in June are instead given effect in July. Month-end changes in November and December will be processed as a single event after the close on the third Friday of each December due to low liquidity in the financial markets at the end of the year. Spin-offs Spun-off companies are added to the parent company s index if the spun-off company meets all the eligibility requirements of the index and its total market capitalization must be greater than the market-adjusted total market capitalization of the smallest security in the Russell 3000E Index at the most recent reconstitution. Spun-off companies are added to the index at the same time as they are spun off from their parent company, which is on the completion date of the spinoff. The parent company s market value will be reduced simultaneously on the Russell effective date. Initial Public Offerings Eligible initial public offerings are added to the Russell 1000 Index at the end of each calendar quarter, except that fourth quarter IPO additions will be processed after the close on the third Friday of each December. Tender Offers A company acquired as a result of a tender offer is removed from the index if (i) the tender offer period completes; (ii) shareholders have validly tendered, not withdrawn, and the shares have been accepted for payment; (iii) all regulatory requirements have been fulfilled; and (iv) the acquiring company is able to finalize the acquisition via a short-form merger, top-up option or other compulsory mechanism. Where all the above requirements have been fulfilled except for (iv), Russell will make a share adjustment to the target company s shares, on a date pre-announced by Russell, if the float-adjusted shares have decreased by 30% or more and the tender offer has fully completed and closed. Delisted and Halted Stocks When stocks are deleted from the index as a result of exchange de-listing or reconstitution, the price used will be the closing primary exchange price on the day the action is final, or the following day using the closing OTC bulletin board price. Halted securities are not removed from the index until the time they are actually delisted from the exchange. If a security is halted, it remains in the index at the most recent closing price until the security resumes trading or is officially delisted. If, however, a stock is (i) halted due to financial difficulty/debt or cash flow issues for a period longer than 40 calendar days or (ii) suspended due to exchange listing rules or legal regulatory issues longer than one calendar quarter, Russell will review the stock for removal on a case-by-case basis. Determinations will be made based upon reasonable likelihood of trade resumption and likelihood of residual value returned to equity holders. If removal is deemed appropriate, Russell will announce the removal upon the monthly update to share capital (as described in Updates to Share Capital above) and remove the stock at zero value at the end of the month. Stocks that are scheduled for removal but suspended or not trading through reconstitution due to low liquidity or those suspended by the exchange or other governing body due to liquidity issues will be monitored for trade resumption. Once trading resumes, the securities will be removed from the index using the closing price on the primary exchange of the securities. S-87

89 Bankruptcy and Voluntary Liquidations Companies that file for a Chapter 7 liquidation bankruptcy or have filed a liquidation plan will be removed from the index at the time of the filing. Companies filing for a Chapter 11 reorganization bankruptcy will remain members of the index unless de-listed from the primary exchange, in which case normal de-listing rules apply. If a company files for bankruptcy, is delisted and it can be confirmed that it will not trade OTC, Russell may remove the stock at a nominal price of $ Change of Company Structure If a company changes its corporate designation from that of a Business Development Company, Russell will remove the company from the index after giving two days notice of its removal. Stock Distributions A price adjustment for stock distributions is applied on the ex-date of the distribution. When the number of shares for the distribution is fixed, Russell increases the number of shares on the ex-date. When the number of shares is an undetermined amount based on future earnings and profits, Russell increases the number of shares on the pay-date. Dividends Russell includes gross dividends in the daily total return calculation of the index on the basis of their ex-dates. If a dividend is payable in stock and cash and the stock rate cannot be determined by the ex-date, the dividend is treated as all cash. Regular cash dividends are reinvested across the index at the close on the dividend ex-date, while special cash dividends are subtracted from the price of the stock before the open on the ex-date. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the Russell 1000 Index factsheet at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. The Russell 1000 and Russell 2000 are trademarks of Russell Investment Group. The index is not sponsored, endorsed, sold or promoted by Russell Investment Group and Russell Investment Group makes no representation regarding the advisability of investing in the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-88

90 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-89

91 ishares Russell 2000 Index Fund The shares of the ishares Russell 2000 Index Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Russell 2000 Index (the index ). The fund trades on the NYSE Arca under the ticker symbol IWM. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on the fund s allocable portion of an aggregate management fee based on the aggregate average daily net assets of certain other ishares funds. As of September 24, 2012, the expense ratio of the fund was 0.23% per annum. For additional information regarding ishares Trust or BFA, ishares Trust files reports (including its Annual Report to Shareholders on Form N CSR for the fiscal year ended March 31, 2012) and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the small capitalization sector of the U.S. equity market as represented by the Russell 2000 Index. The index represents the approximately 2,000 smallest companies in the Russell 3000 Index. The fund s investment objective and the index may be changed without shareholder approval. The following table displays the top holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.) We obtained the information in the tables below from the fund website, without independent verification. ishares Russell 2000 Index Fund Top Ten Holdings As of September 24, 2012 Fund Stock Issuer: Percentage (%) PHARMACYCLICS INC 0.27% TWO HARBORS INVESTMENT CORP 0.27% ATHENAHEALTH INC 0.26% CUBIST PHARMACEUTICALS INC 0.25% OCWEN FINANCIAL CORP 0.25% DRIL-QUIP INC 0.24% UNITED NATURAL FOODS INC 0.24% ENERGY XXI BERMUDA 0.24% STARWOOD PROPERTY TRUST INC 0.23% HMS HOLDINGS CORP 0.23% Total 2.48% S-90

92 ishares Russell Index Fund Weighting by Sector As of September 24, 2012 Sector: Percentage (%) Financial Services 22.66% Consumer Discretionary 15.09% Technology 14.15% Producer Durables 13.55% Health Care 13.43% Materials & Processing 7.40% Energy 6.08% Utilities 4.53% Consumer Staples 3.26% Short-Term Securities 0.19% Other / Undefined 0.09% Total % Representative Sampling BFA uses a representative sampling strategy to track the Russell 2000 Index. Representative sampling is an indexing strategy that involves investing in a representative sample of securities that collectively has an investment profile similar to the underlying index. The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the underlying index. The fund generally invests at least 90% of its assets in the securities of the Russell 2000 Index. The fund may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the fund track the Russell 2000 Index. The fund may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. Correlation The Russell 2000 Index is a theoretical financial calculation, but the ishares Russell 2000 Index Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, foreign currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Russell 2000 Index Fund but not to the Russell 2000 Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.03% over the last year, 0.03% on an annualized basis over the last five years, and 0.11% on an annualized basis since May 22, 2000, the inception date of the fund. Creation Units Prior to trading in the secondary market, shares of the ishares Russell 2000 Index Fund are issued at net asset value to market makers, large investors and institutions only in block-size units, known as creation units, of 50,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected in exchange for a S-91

93 basket of securities that generally corresponds pro rata to the ishares Russell 2000 Index Fund s portfolio and an amount of cash. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Russell 2000 Index Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The Russell 2000 Index (the Index ) The index is a stock index calculated, published and disseminated by the index sponsor, Frank Russell Company ( Russell ), and is intended to measure the performance of the small-cap segment of the U.S. equity market. The index is quoted in U.S. dollars. The constituent stocks of the Russell 2000 Index are a subset of the constituents of the Russell 3000 Index, and include approximately 2,000 of the smallest securities in the Russell 3000 Index based on a combination of their market capitalization and current index membership. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies traded on a major U.S. exchange. Constituents of the Russell 2000 Index represent approximately 10% of the total market capitalization of the Russell 3000 Index. The index is reported by Bloomberg L.P. under the ticker symbol RU20INTR. The Russell 2000 Index is a sub-index of the Russell 3000 Index. To be eligible for inclusion in the Russell 3000 Index, and, consequently, the Russell 2000 Index, a U.S. company s stocks must be listed on a major U.S. exchange on the last trading day of May of a given year and Russell must have access to documentation verifying the company s eligibility for inclusion. Eligible initial public offerings are added to Russell U.S. Indices at the end of each calendar quarter, based on total market capitalization rankings within the market-adjusted capitalization breaks established during the most recent reconstitution. To be added to any Russell U.S. index during a quarter outside of reconstitution, initial public offerings must meet additional eligibility criteria. A company is a U.S. Company and is eligible for inclusion in the Russell 3000 Index, and consequently, the Russell 2000 Index, if that company incorporates in, has its headquarters in and also trades with the highest liquidity (as defined by a two-year average daily dollar trading volume from all exchanges in a country) in the United States or its territories. If a company satisfies any one of these criteria and that company s assets are primarily located in or its revenue is primarily derived from the United States, based on an average of two years of assets or revenues data, that company will also be considered to be a U.S. company. In addition, if there is insufficient information to assign a company to the U.S. equity markets based on its assets or revenue, the company may nonetheless be assigned to the U.S. equity markets if the headquarters of the company is located in certain benefit driven incorporation countries, or BDIs, and that company s most liquid stock exchange is also in the United States. The BDI countries are Anguilla, Antigua and Barbuda, Bahamas, Barbados, Belize, Bermuda, British Virgin Islands, Cayman Islands, Channel Islands, Cook Islands, Faroe Islands, Gibraltar, Isle of Man, Liberia, Marshall Islands, Former Netherlands Antilles, Panama and Turks and Caicos Islands. ADRs and ADSs are not eligible for inclusion in the Russell 2000 Index. Exclusions: Russell specifically excludes the following securities and companies from the Russell 2000 Index: (i) preferred and convertible preferred stock, redeemable shares, participating preferred stock, warrants, rights and trust receipts; (ii) royalty trusts, U.S. limited liability companies, closed-end investment companies (business development companies are eligible), blank check companies, special purpose acquisition companies and limited partnerships; (iii) companies with a total market capitalization less than S-92

94 $30 million; (iv) companies with only a small portion of their shares available in the marketplace (companies with 5% or less float); (v) bulletin board, pink sheets or over-the-counter traded securities; (vi) Real Estate Investment Trusts and Publicly Traded Partnerships that generate, or have historically generated, unrelated business taxable income and have not taken steps to block their unrelated business taxable income to equity holders; and (vii) stocks with a close price below $1.00 on their primary exchange on the last trading day in May, unless the average daily closing price on that security s primary exchange is $1.00 or greater for the month of May, or, for IPO additions, stocks with a close price below $1.00 on the last day of the applicable eligibility period. Initial List of Eligible Securities: The primary criterion Russell uses to determine the initial list of securities eligible for the Russell 3000 Index and consequently, the Russell 2000 Index, is total market capitalization, which is calculated by multiplying the total outstanding shares for a company times the market price as of the last trading day in May. All common stock share classes and non-restricted exchangeable shares are combined in determining market capitalization. If multiple share classes have been combined, the price of the primary vehicle (usually the most liquid) is used in the calculations. In cases where the common stock share classes act independently of each other (e.g., tracking stocks), each class is considered for inclusion separately. Partnership units or membership interests are also included in the calculation if the company in question is merely a holding company of an underlying entity that issues such interests, and such interests are that company s sole asset. Annual Reconstitution: The Russell 2000 Index is reconstituted annually by Russell to reflect changes in the marketplace. The list of companies is ranked based on total market capitalization on the last trading day in May, with the actual reconstitution effective on the first trading day following the final Friday of June each year, unless the final Friday in June is the 28th, 29th or 30th, in which case reconstitution will be effective on the preceding Friday. Changes in the constituents are preannounced and subject to change if any corporate activity occurs or if any new information is received prior to release. Index Calculation and Capitalization Adjustments: As a capitalization-weighted index, the Russell 2000 Index reflects changes in the capitalization, or market value, of the underlier stocks relative to the capitalization on a base date. This discussion describes the total return calculation of the Russell 2000 Index. The applicable pricing supplement will describe the calculation if the underlier for your notes is not the total return calculation. The current Russell 2000 Index value is the compounded result of the cumulative daily (or monthly) return percentages, where the starting value of the index is equal to the base value (100) and base date (December 31, 1978), assuming that any cash distributions, such as dividends, are reinvested back into the index. Returns between any two dates can then be derived by dividing the ending period index value (IV1) by the beginning period (IV0) index value, so that the return equals [(IV1 / IV0) 1]*100. The ending period index value, for purposes of calculating the Russell 2000 Index value, on any date is determined by adding the total returns of the underlier stocks, which are derived by multiplying the sum of the price of each stock and the per-share return from any cash distributions by the number of available shares, to arrive at the total return of the constituent stocks. To calculate the Russell 2000 Index, last sale prices will be used for exchange-traded and NASDAQ stocks. In the event of a market disruption resulting in any underlier stock price to be unavailable, Russell will generally use the last reported price for such underlier stock for the purpose of performance calculation. Constituent stocks of the index are weighted in the Russell 2000 Index by their free-float market capitalization, which is calculated by multiplying the primary closing price by the number of free-float shares. Free-float shares are shares that are available to the public for purchase as determined by Russell. Russell determines shares available to the public for purchase based on information recorded in corporate filings with the Securities and Exchange Commission and other reliable sources in the event of missing or questionable data. Russell removes the following types of shares from total market capitalization to arrive at free-float market capitalization: Corporate cross-owned shares shares of a company in the index that are held by another company that is included in any other Russell index; Large private and corporate holdings shares held by an individual, a group of individuals acting together (such as a company s officers and directors) or another listed company (that is not included in the index), if such shareholdings constitute 10% or more of the shares outstanding. Institutional holdings, S-93

95 including investment companies, partnerships, insurance companies, mutual funds, banks or venture capital firms, are not excluded unless the firm has a direct relationship to the company, such as board representation, in which case they are considered strategic holdings and excluded; ESOP or LESOP shares shares held by employee stock ownership plans and leveraged employee stock ownership plans that comprise 10% or more of a company s outstanding shares; Unlisted share classes classes of common stock that are not traded on a U.S. securities exchange; Initial public offering lock-ups shares locked-up during an initial public offering are not available to the public and will be excluded from the market value at the time the initial public offering enters the index; and Government holdings shareholdings listed as government of are removed entirely. Shares held by government investment boards and/or investment arms are treated as shares held by large private shareholdings and are excluded if the number of shares is greater than 10% of outstanding shares. Shares held by a government pension plan are considered institutional holdings and will not be excluded. Corporate Actions Affecting the Index: Russell adjusts the index on a daily basis in response to certain corporate actions and events. Therefore, a company s membership and weight in the index can be impacted by these corporate actions. The adjustment is applied based on sources of public information, including press releases and Securities and Exchange Commission filings. Prior to the completion of a corporate action or event, Russell estimates the effective date. Russell will then adjust the anticipated effective date based on public information until the date is considered final. Depending on the time on a given day that an action is determined to be final, Russell will generally either (1) apply the action before the open on the ex-date or (2) apply the action after providing appropriate notice to its clients regarding the impact of the action and the effective date. Russell applies the following methodology guidelines when adjusting the index in response to corporate actions and events: No Replacement Rule Securities that are deleted from the index between reconstitution dates, for any reason (e.g., mergers, acquisitions or other similar corporate activity) are not replaced. Thus, the number of securities in the index over the year will fluctuate according to corporate activity. Mergers and Acquisitions Between constituents: When mergers and acquisitions take place between companies that are both constituents of a Russell index, the target company is deleted and its market capitalization simultaneously moves to the acquiring stock. Russell categorizes the surviving entity based on a weighted average of the market value of the two companies prior to the merger using market values as of the day immediately before Russell determines that the action or event is final. Given sufficient market hours after confirmation of the merger or acquisition, Russell effects the adjustment after the close on the last day of trade of the target company. Between a constituent and a non-constituent: If the target company is a member of the Russell 2000 Index, it is deleted from the index after Russell determines that the action or event is final. If the acquiring company is a member of the Russell 2000 Index, its shares are adjusted by adding the target company s market capitalization. If the target company is not a member of a Russell index, Russell will also analyze the transaction to determine whether it constitutes a reverse merger. A reverse merger occurs when the acquiring company is a private, non-publicly traded company or OTC company, and the acquisition results in a transaction whereby a new publicly traded company is created that meets all of the requirements for inclusion in a Russell index based on market capitalization using the opening price on the day after the merger or acquisition is considered final. In such a case, the newly formed entity will be placed in the appropriate Russell Index, if appropriate, and the target company simultaneously removed from the Russell 2000 Index, after the close of the market on the day after the merger is considered final. If the event does not qualify as a reverse merger, the target company is deleted after the action is determined to be final. Reincorporation Members of a Russell U.S. index, like the Russell 2000 Index, that reincorporate to another country and continue to trade in the United States and companies that reincorporate to the United States during the year are analyzed for assignment by Russell at the next annual reconstitution. Members that reincorporate in another country and no longer trade in the United States are immediately deleted from the Russell U.S. indices. S-94

96 Rights Offerings Rights offered to shareholders are reflected in the index only if the subscription price of the rights is at a discount to the market price of the stock. Provided that Russell has been alerted to the rights offer prior to the ex-date, it will adjust the price of the stock for the value of the rights and increased shares according to the terms of the offering before the opening of trading on the ex-date. If Russell is unable to provide prior notice, it will delay the price adjustment until the appropriate notice has been given. This treatment applies for both transferable and non-transferable rights. Rights issued as part of a poison pill arrangement or entitlements that give shareholders the right to purchase ineligible securities such as convertible debt are excluded from this treatment. Updates to Share Capital Changes to shares outstanding due to buybacks (including Dutch auctions), secondary offerings, merger activity with a non-index member and other potential changes are generally updated at the end of the month in which the change is reflected in vendor-supplied updates. Russell verifies this information using publicly available information filed with the Securities and Exchange Commission. Russell only applies such changes if the aggregate change in the number of shares outstanding is greater than 5%. If the aggregate change in the number of shares is greater than 5%, the change in the number of shares is adjusted downward by the proportion of free float shares (as defined at Index Calculation and Capitalization Adjustments above) to total outstanding shares. Share changes not addressed in the annual reconstitution that would otherwise be made in June are instead given effect in July. Month-end changes in November and December will be processed as a single event after the close on the third Friday of each December due to low liquidity in the financial markets at the end of the year. Spin-offs Spun-off companies are added to the parent company s index if the spun-off company meets all the eligibility requirements of the index and its total market capitalization must be greater than the market-adjusted total market capitalization of the smallest security in the Russell 3000E Index at the most recent reconstitution. Spun-off companies are added to the index at the same time as they are spun off from their parent company, which is on the completion date of the spinoff. The parent company s market value will be reduced simultaneously on the Russell effective date. Initial Public Offerings Eligible initial public offerings are added to the Russell 2000 Index at the end of each calendar quarter, except that fourth quarter IPO additions will be processed after the close on the third Friday of each December. Tender Offers A company acquired as a result of a tender offer is removed from the index if (i) the tender offer period completes; (ii) shareholders have validly tendered, not withdrawn, and the shares have been accepted for payment; (iii) all regulatory requirements have been fulfilled; and (iv) the acquiring company is able to finalize the acquisition via a short-form merger, top-up option or other compulsory mechanism. Where all the above requirements have been fulfilled except for (iv), Russell will make a share adjustment to the target company s shares, on a date pre-announced by Russell, if the float-adjusted shares have decreased by 30% or more and the tender offer has fully completed and closed. Delisted and Halted Stocks When stocks are deleted from the index as a result of exchange de-listing or reconstitution, the price used will be the closing primary exchange price on the day the action is final, or the following day using the closing OTC bulletin board price. Halted securities are not removed from the index until the time they are actually delisted from the exchange. If a security is halted, it remains in the index at the most recent closing price until the security resumes trading or is officially delisted. If, however, a stock is (i) halted due to financial difficulty/debt or cash flow issues for a period longer than 40 calendar days or (ii) suspended due to exchange listing rules or legal regulatory issues longer than one calendar quarter, Russell will review the stock for removal on a case-by-case basis. Determinations will be made based upon reasonable likelihood of trade resumption and likelihood of residual value returned to equity holders. If removal is deemed appropriate, Russell will announce the removal upon the monthly update to share capital (as described in Updates to Share Capital above) and remove the stock at zero value at the end of the month. Stocks that are scheduled for removal but suspended or not trading through reconstitution due to low liquidity or those suspended by the exchange or other governing body due to liquidity issues will be monitored for trade resumption. Once trading resumes, the securities will be removed from the index using the closing price on the primary exchange of the securities. Bankruptcy and Voluntary Liquidations Companies that file for a Chapter 7 liquidation bankruptcy or have filed a liquidation plan will be removed from the index at the time of the filing. Companies filing for a Chapter 11 reorganization bankruptcy will remain members of the index unless de-listed from the primary S-95

97 exchange, in which case normal de-listing rules apply. If a company files for bankruptcy, is delisted and it can be confirmed that it will not trade OTC, Russell may remove the stock at a nominal price of $ Change of Company Structure If a company changes its corporate designation from that of a Business Development Company, Russell will remove the company from the index after giving two days notice of its removal. Stock Distributions A price adjustment for stock distributions is applied on the ex-date of the distribution. When the number of shares for the distribution is fixed, Russell increases the number of shares on the ex-date. When the number of shares is an undetermined amount based on future earnings and profits, Russell increases the number of shares on the pay-date. Dividends Russell includes gross dividends in the daily total return calculation of the index on the basis of their ex-dates. If a dividend is payable in stock and cash and the stock rate cannot be determined by the ex-date, the dividend is treated as all cash. Regular cash dividends are reinvested across the index at the close on the dividend ex-date, while special cash dividends are subtracted from the price of the stock before the open on the ex-date. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the Russell 2000 Index factsheet at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. The Russell 1000 and Russell 2000 are trademarks of Russell Investment Group. The index is not sponsored, endorsed, sold or promoted by Russell Investment Group and Russell Investment Group makes no representation regarding the advisability of investing in the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-96

98 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-97

99 The ishares MSCI EAFE Index Fund The shares of the ishares MSCI EAFE Index Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI EAFE Index (the index ). The fund trades on the NYSE Arca under the ticker symbol EFA. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on the fund s allocable portion of the aggregate of the average daily net assets of the fund a number of other ishares funds as follows: 0.35% per annum of aggregate net assets of the funds less than or equal to $30.0 billion, plus 0.32% per annum of the aggregate net assets of the funds on amounts between $30.0 billion and $60.0 billion, plus 0.28% per annum of the aggregate net assets of the funds on amounts in excess of $60.0 billion. As of September 24, 2012, the aggregate expense ratio of the fund was 0.34% per annum. For additional information regarding ishares Trust or BFA, ishares Trust files reports (including its Annual Report to Shareholders on Form N CSR for the fiscal year ended July 31, 2011) and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of publicly traded securities in the European, Australasian, and Far Eastern markets, as measured by the index. The fund s investment objective and the index may be changed at any time. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The following tables display the top holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Fund advisors and index sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between funds or indices with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.) We obtained the information in the tables below from the fund website, without independent verification. ishares EAFE Index Fund Top Ten Holdings As of September 24, 2012 Fund Stock Issuer: Percentage (%) NESTLE SA-REG 1.98% HSBC HOLDINGS PLC 1.63% VODAFONE GROUP PLC 1.34% NOVARTIS AG-REG 1.33% BP PLC 1.29% ROCHE HOLDING AG-GENUSSCHEIN 1.27% ROYAL DUTCH SHELL PLC-A SHS 1.24% GLAXOSMITHKLINE PLC 1.11% S-98

100 BHP BILLITON LTD 1.06% TOTAL SA 1.05% Total 13.30% ishares MSCI EAFE Index Fund Weighting by Sector As of September 24, 2012 Sector: Percentage (%) Financials 23.37% Industrials 12.33% Consumer Staples 11.77% Consumer Discretionary 10.19% Healthcare 10.03% Materials 9.54% Energy 8.30% Telecommunications 5.37% Information Technology 4.28% Utilities 4.02% Other/Undefined 0.79% Total 100% Representative Sampling BFA uses a representative sampling strategy to attempt to track the performance of the MSCI EAFE Index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the MSCI EAFE Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, earnings valuation and yield) and liquidity measures similar to those of the MSCI EAFE Index. The fund generally invests at least 90% of its assets in the securities of the MSCI EAFE Index and in depositary receipts representing securities of the MSCI EAFE Index. The fund may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the fund track the MSCI EAFE Index. The fund may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. Correlation The MSCI EAFE Index is a theoretical financial calculation, but the ishares MSCI EAFE Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, foreign currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares MSCI EAFE Index Fund but not to the MSCI EAFE Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.16% over the last year, 0.06% on an annualized basis over the last five years, and 0.04% on an annualized basis since August 14, 2001, the date of the fund s inception. S-99

101 Industry Concentration Policy The fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the MSCI EAFE Index is concentrated. Creation Units Prior to trading in the secondary market, shares of the ishares MSCI EAFE Index Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 600,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected in exchange for a basket of securities that generally corresponds pro rata to the ishares MSCI EAFE Index Fund s portfolio and an amount of cash. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares MSCI EAFE Index Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of one share of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The MSCI EAFE Index (the Index ) The MSCI EAFE Index (Europe, Australasia and the Far East) is a stock index calculated, published and disseminated daily by MSCI Inc. ( MSCI ), through numerous data vendors, on the MSCI website and in real time on Bloomberg Financial Markets and Reuters Limited. The index is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets in Europe, Australasia, and the Far East, excluding the United States and Canada. The index consists of the following 22 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom ( EAFE Countries ). The constituent stocks of the MSCI EAFE Index are derived from the constituent stocks in the 22 MSCI standard single country indices for the developed market countries listed above. The end-of-day total return net U.S. dollar value for the MSCI EAFE Index is reported by Bloomberg under the ticker symbol MXEA. Constructing the MSCI EAFE Index In constructing a standard developed market index such as the MSCI EAFE Index, MSCI undertakes an index construction process, which involves: (i) defining the equity universe; (ii) determining the market investable equity universe for each market; (iii) determining market capitalization size segments for each market; and (iv) applying index continuity rules, if necessary. The index construction methodology differs in some cases depending on whether the relevant market is considered a developed market or an emerging market. As noted above, the index consists of stocks in 22 developed countries. As a result, the developed market methodology is applied when constructing the index. Defining the Equity Universe Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI Global Index series, which will be classified as either developed markets or emerging markets. All listed equity securities, or listed securities that exhibit characteristics of equity S-100

102 securities, except mutual funds, ETFs, equity derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real estate investment trusts in some countries are also eligible for inclusion. Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country. Determining the Market Investable Equity Universes (i) Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI global index series, which will be classified as either developed markets or emerging markets. All listed equity securities, including real estate investment trusts, are eligible for inclusion in the equity universe. Conversely, mutual funds, exchange-trade funds, equity derivatives, limited partnerships, and most investment trusts are not eligible for inclusion in the equity universe. (ii) Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country. The developed market investable equity universe is the aggregation of all the market investable equity universes for developed markets. This is the universe from which stocks in the index are selected. The investability screens used to determine the investable equity universe in each market are: Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization. The equity universe minimum size requirement applies to companies in all markets and is derived as follows: First, the companies in the developed market equity universe are sorted in descending order of full market capitalization and the cumulative coverage of the free float-adjusted market capitalization of the developed market equity universe is calculated at each company. Each company s free float-adjusted market capitalization is represented by the aggregation of the free float-adjusted market capitalization of the securities of that company in the equity universe. Second, when the cumulative free float-adjusted market capitalization coverage of 99% of the sorted equity universe is achieved, the full market capitalization of the company at that point defines the equity universe minimum size requirement. As of March 2012, the equity universe minimum size requirement was set at US $130,000,000. MSCI currently has a global minimum size range for a developed market standard index is a full market capitalization of USD 2.02 billion to USD 4.47 billion. Companies with a full market capitalization below this level are not included in any developed market standard index, including the MSCI EAFE index. The equity universe minimum size requirement is reviewed and, if necessary, revised at each semi-annual index review, as described below. Equity Universe Minimum Float-Adjusted Market Capitalization Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement. Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity as measured by its 12-month and 3-month annualized traded value ratio and its three month frequency of trading. This measure attempts to screen out extreme daily trading volumes and takes into account the free float-adjusted market capitalization size of securities. In the calculation of a security s annualized traded value ratio, the trading volumes in depository receipts associated with that security, such as ADRs or GDRs, may also be considered if they are trading in the same geographical region. A minimum liquidity S-101

103 level of 20% of the 3-month annualized traded value ratio and 90% of 3-month frequency of trading over the last four consecutive quarters, as well as 20% of the 12-month annualized traded value ratio, are required for inclusion of a security in a market investable equity universe of a developed market. Due to liquidity concerns relating to securities trading at very high stock prices, a security that is currently not a constituent of a MSCI Global Investable Markets Index that is trading at a stock price above US $10,000 will fail the liquidity screening and will not be included in any market investable equity universe. Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security s foreign inclusion factor must reach a certain threshold. The foreign inclusion factor of a security is defined as the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have a foreign inclusion factor equal to or larger than 0.15 to be eligible for inclusion in a market. Minimum Length of Trading Requirement: This investability screen is applied at the individual security level. For an initial public offering to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of a semi-annual index review. This requirement is applicable to small new issues in all markets. Large initial public offerings are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and a standard index, such as the MSCI EAFE Index, outside of a quarterly or semi-annual index review. Minimum Foreign Room Requirement: This investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as foreign room ) must be at least 15%. Defining Market Capitalization Size Segments for Each Market Once a market investable equity universe is defined, it is segmented into the following size-based indices: Investable Market Index (Large + Mid + Small) Standard Index (Large + Mid) Large Cap Index Mid Cap Index Small Cap Index Creating the size segment indices in each market involves the following steps: defining the market coverage target range for each size segment; determining the global minimum size range for each size segment; determining the market size segment cutoffs and associated segment number of companies; assigning companies to the size segments; and applying final size-segment investability requirements. For developed markets standard index, such as the MSCI EAFE Index, the companies are sorted in descending order of full market capitalization and the cumulative free float-adjusted market capitalization coverage is calculated for each company. Thereafter, the full market capitalizations of the companies that are within 85% of the cumulative free float-adjusted market capitalization coverage are chosen as the global minimum size reference. Thereafter, the global minimum size range is determined by multiplying the global S-102

104 minimum size reference by 0.5 and 1.15 for the lower and upper range, respectively. The resulting numbers provide a range within which a size-segment cut-off for market capitalization (based on whether and where the full market capitalization of a company falls within the global minimum size range) is determined by MSCI. Once this cut-off is determined, any stock with a market capitalization greater than this cut-off is eligible for addition to the index. This process is designed to give priority to global size integrity of the index over market coverage of the index in situations where both objectives cannot be achieved simultaneously. The final step for inclusion in a developed market standard index, is the application of the final investability requirements. These final requirements are: 1) the exclusion of any company whose free float-adjusted market capitalization is less than 50% of the 85% market capitalization cut-off; 2) the exclusion of any company whose 3-month frequency of trading is below 90% over the last four consecutive quarters; and 3) the exclusion of any company whose proportion of shares without foreign ownership restrictions, to the free-float adjusted market capitalization, is less than 25%; if the proportion is less than 25% but greater than 15%, the foreign inclusion factor, as described above, for such security will be adjusted by 0.5 to reflect the actual level of foreign room. Index Continuity Rules In order to achieve index continuity, as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of five constituents will be maintained for developed market standard indices such as the MSCI EAFE Index. If, after the application of the index construction methodology above, a developed market standard index contains fewer than five securities, then the largest securities by free float-adjusted market capitalization are added to the index in order to reach the minimum number of required constituents. At subsequent index reviews, if the free float-adjusted market capitalization of a non-index constituent is at least 1.50 times the free float-adjusted market capitalization of the smallest existing constituent after rebalancing, the larger free float-adjusted market capitalization security replaces the smaller one. Calculation Methodology for the MSCI EAFE Index The performance of the MSCI EAFE Index is a free float weighted average of the U.S. dollar values of its component securities. Prices used to calculate the component securities are the official exchange closing prices or prices accepted as such in the relevant market. In general, all prices are taken from the main stock exchange or exchanges in each market. In the event of a market disruption resulting in any component security price to be unavailable, MSCI will generally use the last reported price for such component security for the purpose of performance calculation. Closing prices are converted into U.S. dollars, as applicable, using the closing exchange rates calculated by WM/Reuters at 4:00 P.M. London Time. The MSCI EAFE Index was launched on December 31, 1969, at an initial value of 100. Maintenance of the MSCI EAFE Index In order to maintain the representativeness of the index, structural changes may be made by adding or deleting component securities. Currently, such changes in the index may generally only be made on four dates throughout the year: after the close of the last scheduled business day of each February, May, August and November. The index is maintained with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets. Emphasis is also placed on its continuity, replicability and on minimizing turnover. MSCI classifies index maintenance in three broad categories. The first consists of ongoing event related changes, such as mergers and acquisitions. The second category consists of quarterly index reviews, aimed at promptly reflecting other significant market events. The third category consists of a full index review that systematically re-assesses the various dimensions of the equity universe for all countries simultaneously and is conducted on a fixed semi-annual timetable. S-103

105 Ongoing event-related changes to the index are the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events. They can also result from capital reorganizations in the form of rights issues, redemptions, stock bonus issues, public placements and other similar corporate actions that take place on a continuing basis. These changes are reflected in the index at the time of the event. All changes resulting from corporate events are announced to clients prior to their implementation in the index. Additions of newly listed equity securities to the index are generally made as part of regular index reviews, but initial public offerings of a significant size may be eligible for inclusion earlier. The quarterly index review process is designed to ensure that the index continues to be an accurate reflection of evolving equity marketplace. This goal is achieved by timely reflecting significant market driven changes that were not captured in each index at the time of their actual occurrence and that should not wait until the semi-annual index review due to their importance. Typically MSCI will assess the following, among others, at its quarterly review: size-segment migrations, whether a security should move from one size segment to another; the addition of companies not currently constituents of the index; changes in the number of shares of less than 5% of the shares outstanding (including as a result of primary and secondary offerings); and changes in the foreign inclusion factor. Significant changes in free float estimates and corresponding changes in the foreign inclusion factor for component securities may result from: large market transactions involving strategic shareholders that are publicly announced; secondary offerings that, given lack of sufficient notice, were not reflected immediately; increases in foreign ownership limits; decreases in foreign ownership limits not applied earlier; corrections resulting from the reclassification of shareholders from strategic to non-strategic, and vice versa, and/or updates to the number of shares outstanding; updates to foreign inclusion factors following the public disclosure of new shareholder structures for companies involved in mergers, acquisitions or spin-offs, where different from MSCI s pro forma free float estimate at the time of the event; large conversions of exchangeable bonds and other similar securities into already existing shares; the end of lock-up periods or expiration of loyalty incentives for non-strategic shareholders; and changes in the foreign inclusion factor as a result of other events of similar nature. Changes in the number of shares are generally small and result from, for example, exercise of options or warrants, conversion of convertible bonds or other instruments or share buybacks. MSCI also considers consistency of the index in considering whether to implement changes to the index at a quarterly review. The results of the quarterly index reviews are announced at least two weeks in advance of their effective implementation dates as of the close of the last business day of February and August. The semi-annual index review is designed to systematically reassess the component securities of the index. During each semi-annual index review, the universe of component securities is updated and the global minimum size range for the index is recalculated, which is based on the full market capitalization and the cumulative free float-adjusted market capitalization coverage of each security that is eligible to be included in the index. The following index maintenance activities, among others, are undertaken during each semi-annual index review: the component securities are updated by identifying new equity securities that were not part of the index at the time of the previous quarterly index review; the minimum size requirement for the index is updated and new companies are evaluated relative to the new minimum size requirement; existing component securities that do not meet the minimum liquidity requirements of the index may be removed; and changes in foreign inclusion factors are implemented. During a semi-annual index review, component securities may be added or deleted from the index for a range of reasons, including the reasons discussed with respect to component securities changes during quarterly index reviews as discussed above. The results of the semi-annual index reviews are announced at least two weeks in advance of their effective implementation date as of the close of the last business day of May and November. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, including the MSCI Global Investable Market Indices Methodology available at MSCI s website, Daily closing price information for the MSCI Indices is available on the following website: We are not incorporating by reference these websites or any material they include in this disclosure statement supplement. S-104

106 ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. The MSCI indexes are the exclusive property of MSCI Inc. ( MSCI ). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates. The index referred to herein is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-105

107 ishares Dow Jones U.S. Real Estate Index Fund The shares of the ishares Dow Jones U.S. Real Estate Index Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the real estate sector of the U.S. equity market, as represented by the Dow Jones U.S. Real Estate Index (the index ). The ishares Dow Jones U.S. Real Estate Index Fund trades on the NYSE Arca under the ticker symbol IYR. BlackRock Fund Advisors ( BFA ) serves as the investment advisor to the ishares Dow Jones U.S. Real Estate Index Fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on the fund s allocable portion of the aggregate of the average daily net assets of the fund relative to the average daily net assets of a number of other ishares funds as follows: 0.48% per annum of the aggregate net assets less than or equal to $10.0 billion, plus 0.43% per annum of the aggregate net assets over $10.0 billion, up to and including $20.0 billion, plus 0.38% per annum of the aggregate net assets in excess of $20.0 billion. As of September 24, 2012, the expense ratio of the fund was 0.47%. For additional information regarding ishares Trust or BFA, ishares Trust files reports and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the real estate sector of the U.S. equity market, as represented by the Dow Jones U.S. Real Estate Index. The following tables display the top holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.) We obtained the information in the tables below from the fund website, without independent verification. ishares Dow Jones U.S. Real Estate Index Fund Top Ten Holdings As of September 24, 2012 Fund Stock Issuer Percentage (%) SIMON PROPERTY GROUP INC 8.97% AMERICAN TOWER CORP 5.33% PUBLIC STORAGE 3.87% HCP INC 3.68% VENTAS INC 3.54% EQUITY RESIDENTIAL 3.31% ANNALY CAPITAL MANAGEMENT INC 3.28% BOSTON PROPERTIES INC 3.23% PROLOGIS INC 3.06% WEYERHAEUSER CO 2.74% Total 41.01% S-106

108 ishares Dow Jones U.S. Real Estate Index Fund by Sector As of September 24, 2012* *Percentages may not sum to 100% due to rounding. Representative Sampling Sector Percentage (%) Specialty REITs 27.31% Retail REITs 20.84% Industrial and Office REITs 19.10% Residential REITs 13.52% Mortgage REITs 9.08% Hotel and Lodging REITs 3.98% Real Estate Holding and Development 1.39% Real Estate Services 1.77% Diversified REITs 1.35% S-T Securities 0.22% Other/Undefined 1.44% Total % The fund uses a representative sampling strategy to attempt to track the performance of the Dow Jones U.S. Real Estate Index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the Dow Jones U.S. Real Estate Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, earnings valuation and yield) and liquidity measures similar to those of the Dow Jones U.S. Real Estate Index. Funds may or may not hold all of the securities that are included in the underlying index. The fund generally invests at least 90% of its assets in the securities of the Dow Jones U.S. Real Estate Index. The fund may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the fund track the Dow Jones U.S. Real Estate Index. The fund may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. Correlation The Dow Jones U.S. Real Estate Index is a theoretical financial calculation while the ishares Dow Jones U.S. Real Estate Index Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, foreign currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Dow Jones U.S. Real Estate Index Fund but not to the Dow Jones U.S. Real Estate Index or investors using a representative sampling strategy in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.67% over the last year, 0.35% on an annualized basis over the last five years, and 0.44% on an annualized basis since June 12, 2000, the inception date of the fund. S-107

109 Creation Units Prior to trading in the secondary market, shares of ishares Dow Jones U.S. Real Estate Index Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 50,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected in exchange for a basket of securities that generally corresponds pro rata to the ishares Dow Jones U.S. Real Estate Index Fund s portfolio and an amount of cash. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Dow Jones U.S. Real Estate Index Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The Dow Jones U.S. Real Estate Index (the Index ) The Dow Jones U.S. Real Estate Index is a float-adjusted market capitalization index that is calculated, published and disseminated by the index sponsor, the Dow Jones Indexes ( Dow Jones ), and is designed to represent Real Estate Investment Trusts (REITs) and other companies that invest directly or indirectly in real estate through development, management or ownership, including property agencies. Calculation and Dissemination The closing values of the index are calculated on a 24-hour day that ends at 5:30 p.m. and, following the determination of the previous day s closing price, the index values for the current day are updated and disseminated on a real-time basis beginning at 5:30 p.m. whenever any of the exchanges represented in the index are open. Prices are computed on both a price and total-return basis in U.S. dollars. If trading in a stock is suspended while its market is open, the last traded price for that stock is used for all subsequent index computations until trading resumes. If trading is suspended before the opening, the stock s adjusted closing price from the previous day is used to calculate the index. Until a particular stock opens, its adjusted closing price from the previous day is used in the index computation. If a market is closed due to an exchange holiday, the previous adjusted closing price for each of its index components, coupled with the most-recent intraday currency bid price, is used to determine the index s current U.S. dollar value. To be included in the index, a stock must be part of the index universe, defined as all stocks traded on major U.S. stock exchanges minus any noncommon issues and illiquid stocks. Index candidates must be common shares or other securities that have the characteristics of common equities. Fixed-dividend shares and securities such as convertible notes, warrants, rights, mutual funds, unit investment trusts, closed-end fund shares and shares in limited partnerships are not eligible. Temporary issues arising from corporate actions, such as when-issued shares, are considered on a case-by-case basis when necessary to maintain continuity in a company s index membership. REITs, listed property trusts, and similar real-property-owning pass-through structures taxed as REITs by their domiciles also are eligible. Securities that have had more than ten non-trading days during the past quarter are excluded from the index universe. After determination of the index universe, the index universe is then sorted by float-adjusted market capitalization and stocks in the top 95% of the index universe by December 1998 market capitalization are S-108

110 categorized into 10 Industries, 19 Supersectors, 41 Sectors and 114 Subsectors as defined by a proprietary classification system used by Dow Jones. Segments are designed to capture the risk characteristics of a specific market by grouping together constituents that respond in similar ways to economic, political and environmental factors. The index is calculated using a Laspeyres formula and is computed at a given time as the base index value multiplied by the quotient of the market capitalization of the index and the adjusted base date market capitalization of the index. This formula can be simplified as the market capitalization of the index divided by the divisor at a given time. The Divisor In order to insulate the index from the effects of index component changes and corporate actions, Dow Jones divides the index by an adjustment factor called the index divisor after the close of trading on each day that there is a change in either index membership or shares outstanding for an index component. During the trading day, price quotes for the index are computed by dividing the index s current market capitalization by that day s divisor. If there are no corporate actions or component changes, the divisor remains unchanged for the next trading day. If there is an event resulting in a capitalization change, the index s new adjusted base market cap is calculated after the close using the adjusted prices and adjusted share figures. A new divisor is then calculated for use beginning with the opening on the next trading day by dividing the adjusted base market capitalization for the next day by the current day s market capitalization and then multiplying the resulting quotient by the current day s divisor. The divisor may decrease, increase or keep constant when corporate actions occur for a component stock. The following events will lead to a decrease in the index divisor: Cash dividend Special cash dividend Stock dividend of a different company security Return of capital and share consolidation Repurchase shares-self tender Spinoff The following events will lead to an increase in the index divisor: Rights offering Combination stock distribution (dividend or split) and rights offering Stock distribution and rights (neither is applicable to the other) The following events will lead to no change in the index divisor: Split and reverse split Stock dividend Quarterly Review and Index Maintenance The index is reviewed quarterly, in March, June, September and December. Both component changes and share changes become effective at the opening on the first Monday after the third Friday of the review month. These changes are implemented simultaneously. Shares outstanding totals for component stocks are updated during the quarterly review. If the number of float-adjusted shares outstanding for an index component changes by more than 10% due to a corporate action, however, the shares total will be adjusted immediately after the close of trading on the date of the S-109

111 event. If a change in float-adjusted shares reflects a combination of a share increase (or decrease) and block ownership decrease (or increase), such as a secondary offering (or block purchase), the new shares outstanding total will be used to calculate the new share blocks. If a block ownership change is part of a float change involving a total shares outstanding change of less than 10%, the block must increase (or decrease) by at least five percentage points to trigger the adjustment. If the impact of corporate actions during the period between quarterly shares updates changes a company s float-adjusted shares outstanding by 10% or more, the company s shares and float factor will be updated as soon as prudently possible. Whenever possible, Dow Jones will announce the change at least two business days prior to its implementation. Changes in shares outstanding due to stock dividends, splits and other corporate actions also are adjusted immediately after the close of trading on the day they become effective. Index composition and weighting adjustments are also made on an ongoing basis as needed to account for extraordinary events such as delistings, bankruptcies, mergers or takeovers. Each event will be taken into account as soon as it is effective and Dow Jones will whenever possible announce changes in the index s components at least two business days prior to their implementation date. Float Adjustment The index is constructed and weighted using free-float market capitalization. Float-adjusted rather than full market capitalization is used to reflect the number of shares actually available to investors. A company s outstanding shares are adjusted by block ownership to reflect only truly tradable and investable shares. The following four types of block ownership are considered during float adjustment: Cross ownership shares that are owned by other companies (including banks and life insurance companies) Government ownership shares that are owned by governments (central or municipal) or their agencies Private ownership shares that are owned by individuals, families or charitable trusts and foundations Restricted shares shares that are not allowed to be traded during a certain time period Furthermore, a company s outstanding shares are adjusted if, and only if, an entity in any of the four qualified categories listed above owns 5% or more of the company. A company s shares will not be adjusted if the block ownership is less than 5%. The float adjustment rules also apply to foreign companies that have cross ownership of 5% or more. If a government has a foreign ownership restriction of 5% or more, the lesser of free-float shares or the portion that is available for foreign investment will be used for index calculation. A company s outstanding shares are not adjusted by institutional investors holdings, which include, but are not limited to, the following categories: Custodian nominees Trustee companies Mutual funds (open-end and closed-end funds) Investment companies ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Dow Jones, Dow Jones U.S. Real Estate Index SM and Dow Jones Indexes are trademarks of Dow Jones Trademark Holdings, LLC ( Dow Jones ). The trademarks have been licensed to S&P Dow Jones S-110

112 Indices LLC and its affiliates. The Dow Jones U.S. Real Estate Index SM is a product of S&P Dow Jones Indices LLC and/or its affiliates. The Index is not sponsored, endorsed, sold or promoted by Dow Jones, S&P Dow Jones Indices LLC or any of their respective affiliates and Dow Jones, S&P Dow Jones Indices LLC and their respective affiliates make no representation regarding the advisability of investing in such Index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-111

113 The Vanguard MSCI Emerging Markets ETF The shares of the Vanguard MSCI Emerging Markets ETF (the fund ) are issued by Vanguard International Equity Index Funds, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the MSCI Emerging Markets Index (the index ). The fund trades on the NYSE Arca under the ticker symbol VWO. Vanguard Group, Inc. ( Vanguard ) currently serves as the investment advisor to the fund. Vanguard, as the investment advisor to the fund, employs a passive management technique known as indexing to manage the fund. We obtained the following fee information from the fund s website, without independent verification. The fund s total annual operating expenses are expressed as a percentage of the fund s average net assets. This ratio includes a fee to the investment advisor, known as a management fee, and administrative expenses. The expense ratio for the fund includes 0.11% management fee and 0.09% other expenses. As of September 24, 2012, the total expense ratio of the fund was 0.20%. The expense ratio does not include the transaction costs of buying and selling fund shares of the fund. The fund pays transaction costs, such as commissions, when it buys and sells securities (or turns over its portfolio). A higher portfolio turnover rate may indicate higher transaction costs and may result in more taxes when fund shares are held in a taxable account. These costs reduce the fund s performance. During the most recent fiscal year, ending on October 31, 2011, the fund s portfolio turnover rate was 10.3%. For additional information regarding the fund or Vanguard, Vanguard International Equity Index Funds files reports and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the Vanguard website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the equity securities of publicly traded companies in emerging markets around the world, as measured by the index. The fund s investment objective and the index may be changed at any time. The Fund employs a passive management or indexing investment approach by investing substantially all (normally about 95%), of its assets in the common stocks included in the MSCI Emerging Markets Index. However, the investment advisor may seek to reduce risk for the fund by employing a sampling technique, using its discretion based on an analysis that considers liquidity, repatriation of capital, and entry barriers in various markets to determine whether or not to invest in particular securities. The following tables display the top ten holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index, index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.). We obtained the information in the tables below from the fund website without independent verification. S-112

114 Vanguard MSCI Emerging Markets ETF Top Ten Holdings* As of August 31, 2012 Fund Stock Issuer Samsung Electronics Co Ltd Petroleo Brasileiro SA Taiwan Semiconductor Manufacturing Co Ltd China Mobile Ltd. Vale SA Gazprom OAO America Movil SAB de CV China Construction Bank Corp Hyundai Motor Co Itau Unibanco Holding SA *Representing 18.20% of total net assets. Vanguard MSCI Emerging Markets ETF Weighting by Country As of August 31, 2012 Sector Percentage (%) China 17.50% Korea 15.50% Brazil 13.20% Taiwan 10.80% South Africa 8.10% India 6.50% Russia 6.10% Mexico 4.90% Malaysia 3.80% Indonesia 2.80% Thailand 2.20% Chile 2.00% Turkey 1.80% Poland 1.50% Colombia 0.90% Philippines 0.90% Peru 0.70% Czech Republic 0.30% Hungary 0.30% Egypt 0.20% Hong Kong 0.00% Morocco 0.00% Total % Correlation The MSCI Emerging Markets Index is a theoretical financial calculation, but the fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, foreign currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the fund but not to the index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a S-113

115 representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. Vanguard does not typically make publicly available on a real-time basis the tracking error between the fund and the index. As of December 31, 2011, Vanguard gave the following performance figures for the fund (based on market price and before taxes) and the index: Fund - 1 year, 18.71%; 5 years, 2.22%; since March 4, 2005, 8.72%; Index 1 year, %; 5 years, 2.40%; since March 4, 2005, 9.34%. Creation Units Shares of the fund cannot be purchased or redeemed directly with the fund except by certain authorized broker-dealers. These broker-dealers may purchase and redeem fund shares only in large blocks (Creation Units) worth several million dollars, and only in exchange for baskets of securities rather than cash. The number of fund shares in a Creation Unit is 200,000. Secondary Market The trading prices of shares of the fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of one share of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The MSCI Emerging Markets Index (the Index ) The MSCI Emerging Markets Index is a stock index calculated, published and disseminated daily by MSCI Inc. ( MSCI ), through numerous data vendors, on the MSCI website and in real time on Bloomberg Financial Markets and Reuters Limited. The index is a free float adjusted market capitalization index, and is part of the MSCI Global Investable Market Indices, the methodology of which is described below. The index is considered a standard index, which means that it consists of all eligible large capitalization and mid-capitalization stocks, as determined by MSCI, in the relevant market. The index is an emerging market index that is designed to measure the market performance of equity securities of companies with large and medium size market capitalizations in all 21 emerging markets, as determined by MSCI, including Brazil, Chile, China, Colombia, Czech Republic, Egypt, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Morocco, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand and Turkey. The total return net U.S. dollar end of day value for the index is reported by Bloomberg under the ticker symbol MXEF. Constructing the MSCI Emerging Markets Index In constructing a standard emerging market index such as the MSCI Emerging Market Index, MSCI undertakes an index construction process, which involves: (i) defining the equity universe; (ii) determining the market investable equity universe for each market; (iii) determining market capitalization size segments for each market; and (iv) applying index continuity rules, if necessary. The index construction methodology differs in some cases depending on whether the relevant market is considered a developed market or an emerging market. As noted above, the index consists of stocks of companies in all 21 countries designated by MSCI as emerging markets. As a result, the emerging market methodology is applied when constructing the index. S-114

116 Defining the Equity Universe Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI Global Index series, which will be classified as either developed markets or emerging markets. All listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real estate investment trusts in some countries are also eligible for inclusion. Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country. Determining the Market Investable Equity Universes Identifying Eligible Equity Securities: The equity universe initially looks at securities listed in any of the countries in the MSCI Global Index series, which will be classified as either developed markets or emerging markets. All listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real estate investment trusts in some countries are also eligible for inclusion. Country Classification of Eligible Securities: Each company and its securities (i.e., share classes) are classified in one and only one country, which allows for a distinctive sorting of each company by its respective country. The emerging market investable equity universe is the aggregation of all the market investable equity universes for emerging markets. This is the universe from which the stocks in the index are selected. The investability screens used to determine the investable equity universe in each market are: Equity Universe Minimum Size Requirement: This investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization. The equity universe minimum size requirement applies to companies in all markets and is derived as follows: First, the companies in the developed market equity universe are sorted in descending order of full market capitalization and the cumulative coverage of the free float-adjusted market capitalization of the developed market equity universe is calculated at each company. Each company s free float-adjusted market capitalization is represented by the aggregation of the free float-adjusted market capitalization of the securities of that company in the equity universe. Second, when the cumulative free float-adjusted market capitalization coverage of 99% of the sorted equity universe is achieved, the full market capitalization of the company at that point defines the equity universe minimum size requirement. As of March 2012, the equity universe minimum size requirement was set at US $130,000,000. Companies with a full market capitalization below this level are not included in any market investable equity universe. The equity universe minimum size requirement is reviewed and, if necessary, revised at each semi-annual index review, as described below. Equity Universe Minimum Float-Adjusted Market Capitalization Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement. Minimum Liquidity Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity as measured by its 12-month and 3-month annualized traded value ratio and its three month frequency of trading. This measure attempts to screen out extreme daily trading volumes and takes into account the free float-adjusted market capitalization size of securities. In the calculation of a security s annualized traded S-115

117 value ratio, the trading volumes in depository receipts associated with that security, such as ADRs or GDRs, may also be considered if they are trading in the same geographical region. A minimum liquidity level of 15% of the 3-month annualized traded value ratio and 80% of 3-month frequency of trading over the last four consecutive quarters, as well as 15% of the 12-month annualized traded value ratio, are required for inclusion of a security in a market investable equity universe of an emerging market. Due to liquidity concerns relating to securities trading at very high stock prices, a security that is currently not a constituent of a MSCI Global Investable Markets Index that is trading at a stock price above US $10,000 will fail the liquidity screening and will not be included in any market investable equity universe. Global Minimum Foreign Inclusion Factor Requirement: This investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security s foreign inclusion factor must reach a certain threshold. The foreign inclusion factor of a security is defined as the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have a foreign inclusion factor equal to or larger than 0.15 to be eligible for inclusion in a market. Minimum Length of Trading Requirement: This investability screen is applied at the individual security level. For an initial public offering to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least three months before the implementation of a semi-annual index review. This requirement is applicable to small new issues in all markets. Large initial public offerings are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and a standard index, such as the MSCI Emerging Market Index, outside of a quarterly or semi-annual index review. Minimum Foreign Room Requirement: This investability screen is applied at the individual security level. For a security that is subject to a foreign ownership limit to be eligible for inclusion in a market investable equity universe, the proportion of shares still available to foreign investors relative to the maximum allowed (referred to as foreign room ) must be at least 15%. Defining Market Capitalization Size Segments for Each Market Once a market investable equity universe is defined, it is segmented into the following size-based indices: Investable Market Index (Large + Mid + Small) Standard Index (Large + Mid) Large Cap Index Mid Cap Index Small Cap Index Creating the size segment indices in each market involves the following steps: defining the market coverage target range for each size segment; determining the global minimum size range for each size segment; determining the market size segment cutoffs and associated segment number of companies; assigning companies to the size segments; and applying final size-segment investability requirements. For an emerging market standard index, such as the MSCI Emerging Markets Index, the applicable market capitalization cut-off is based on the applicable cut-off for the developed markets standard index. In determining the developed markets standard index companies, companies in developed market countries S-116

118 are sorted in descending order of full market capitalization and the cumulative free float-adjusted market capitalization coverage is calculated for each company. Thereafter, the full market capitalizations of the companies that are within 85% of the cumulative free float-adjusted market capitalization coverage are chosen as the global minimum size reference. Thereafter, the global minimum size range is determined by multiplying the global minimum size reference by 0.5 and 1.15 for the lower and upper range for the developed markets. The applicable emerging markets cut-off is determined by multiplying the developed market minimum size range by 0.5. The resulting numbers provide a range within a size-segment cut-off for market capitalization (based on whether and where the full market capitalization of a company falls within the global minimum size range) is determined by MSCI. Once this cut-off is determined, any stock with a market capitalization greater than this cut-off is eligible for addition to the index. This process is designed to give priority to global size integrity of the index over market coverage of the index in situations where both objectives cannot be achieved simultaneously. The final step for inclusion in an emerging markets standard index, is the application of the final investability requirements. These final requirements are: 1)the exclusion of any company whose free float-adjusted market capitalization is less than 50% of the 85% market capitalization cut-off; 2) the exclusion of any company whose 3-month frequency of trading is below 90% over the last four consecutive quarters; and 3) the exclusion of any company whose proportion of shares without foreign ownership restrictions, to the free-float adjusted market capitalization, is less than 25%; if the proportion is less than 25% but greater than 15%, the foreign inclusion factor, as described above, for such security will be adjusted by 0.5 to reflect the actual level of foreign room. Index Continuity Rules In order to achieve index continuity, as well as provide some basic level of diversification within a market index, notwithstanding the effect of other index construction rules, a minimum number of three constituents will be maintained for an emerging markets standard index such as the MSCI Emerging Markets Index. If, after the application of the index construction methodology above, a developed market standard index contains fewer than three securities, then the largest securities by free float-adjusted market capitalization are added to the index in order to reach the minimum number of required constituents. At subsequent index reviews, if the free float-adjusted market capitalization of a non-index constituent is at least 1.50 times the free float-adjusted market capitalization of the smallest existing constituent after rebalancing, the larger free float-adjusted market capitalization security replaces the smaller one. Calculation Methodology for the MSCI Emerging Markets Index The performance of the MSCI Emerging Market Index is a free float weighted average of the U.S. dollar values of its component securities. Prices used to calculate the component securities are the official exchange closing prices or prices accepted as such in the relevant market. In general, all prices are taken from the main stock exchange or exchanges in each market. In the event of a market disruption resulting in any component security price to be unavailable, MSCI will generally use the last reported price for such component security for the purpose of performance calculation. Closing prices are converted into U.S. dollars, as applicable, using the closing exchange rates calculated by WM/Reuters at 4:00 P.M. London Time. The MSCI Emerging Markets Index was launched on December 31, 1987, at an initial value of 100. Maintenance of the MSCI Emerging Markets Index In order to maintain the representativeness of the index, structural changes may be made by adding or deleting component securities. Currently, such changes in the index may generally only be made on four dates throughout the year: after the close of the last scheduled business day of each February, May, August and November. The index is maintained with the objective of reflecting, on a timely basis, the evolution of the underlying equity markets. Emphasis is also placed on its continuity, replicability and on minimizing turnover. S-117

119 MSCI classifies index maintenance in three broad categories. The first consists of ongoing event related changes, such as mergers and acquisitions. The second category consists of quarterly index reviews, aimed at promptly reflecting other significant market events. The third category consists of a full index review that systematically re-assesses the various dimensions of the equity universe for all countries simultaneously and is conducted on a fixed semi-annual timetable. Ongoing event-related changes to the index are the result of mergers, acquisitions, spin-offs, bankruptcies, reorganizations and other similar corporate events. They can also result from capital reorganizations in the form of rights issues, redemptions, stock bonus issues, public placements and other similar corporate actions that take place on a continuing basis. These changes are reflected in the index at the time of the event. All changes resulting from corporate events are announced to clients prior to their implementation in the index. Additions of newly listed equity securities to the index are generally made as part of regular index reviews, but initial public offerings of a significant size may be eligible for inclusion earlier. The quarterly index review process is designed to ensure that the index continues to be an accurate reflection of evolving equity marketplace. This goal is achieved by timely reflecting significant market driven changes that were not captured in each index at the time of their actual occurrence and that should not wait until the semi-annual index review due to their importance. Typically MSCI will assess the following, among others, at its quarterly review: size-segment migrations, whether a security should move from one size segment to another; the addition of companies not currently constituents of the index; changes in the number of shares of less than 5% of the shares outstanding (including as a result of primary and secondary offerings); and changes in the foreign inclusion factor. Significant changes in free float estimates and corresponding changes in the foreign inclusion factor for component securities may result from: large market transactions involving strategic shareholders that are publicly announced; secondary offerings that, given lack of sufficient notice, were not reflected immediately; increases in foreign ownership limits; decreases in foreign ownership limits not applied earlier; corrections resulting from the reclassification of shareholders from strategic to non-strategic, and vice versa, and/or updates to the number of shares outstanding; updates to foreign inclusion factors following the public disclosure of new shareholder structures for companies involved in mergers, acquisitions or spin-offs, where different from MSCI s pro forma free float estimate at the time of the event; large conversions of exchangeable bonds and other similar securities into already existing shares; the end of lock-up periods or expiration of loyalty incentives for non-strategic shareholders; and changes in the foreign inclusion factor as a result of other events of similar nature. Changes in the number of shares are generally small and result from, for example, exercise of options or warrants, conversion of convertible bonds or other instruments or share buybacks. MSCI also considers consistency of the index in considering whether to implement changes to the index at a quarterly review. The results of the quarterly index reviews are announced at least two weeks in advance of their effective implementation dates as of the close of the last business day of February and August. The semi-annual index review is designed to systematically reassess the component securities of the index. During each semi-annual index review, the universe of component securities is updated and the global minimum size range for the index is recalculated, which is based on the full market capitalization and the cumulative free float-adjusted market capitalization coverage of each security that is eligible to be included in the index. The following index maintenance activities, among others, are undertaken during each semi-annual index review: the component securities are updated by identifying new equity securities that were not part of the index at the time of the previous quarterly index review; the minimum size requirement for the index is updated and new companies are evaluated relative to the new minimum size requirement; existing component securities that do not meet the minimum liquidity requirements of the index may be removed; and changes in foreign inclusion factors are implemented. During a semi-annual index review, component securities may be added or deleted from the index for a range of reasons, including the reasons discussed with respect to component securities changes during quarterly index reviews as discussed above. The results of the semi-annual index reviews are announced at least two weeks in advance of their effective implementation date as of the close of the last business day of May and November. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, including the MSCI Global S-118

120 Investable Market Indices Methodology available at MSCI s website, Daily closing price information for the MSCI Indices is available on the following website: We are not incorporating by reference these websites or any material they include in this disclosure statement supplement. The MSCI indexes are the exclusive property of MSCI Inc. ( MSCI ). MSCI and the MSCI index names are service mark(s) of MSCI or its affiliates. The index referred to herein is not sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with respect to any such index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-119

121 ishares S&P Latin America 40 Index Fund The shares of the ishares S&P Latin America 40 Index Fund (the fund ) are issued by ishares Trust, which we refer to as the trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the equity securities in the S&P Latin America 40 Index TM (the index ). The fund trades on the NYSE Arca under the ticker symbol ILF. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on the average daily net assets of the fund at a rate of 0.50% per annum. As of September 24, 2012, the expense ratio of the fund was 0.50% per annum. For additional information regarding the trust or BFA, the trust files reports (including its Annual Report to Shareholders on Form N CSR for the fiscal year ended March 31, 2012) and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of selected equity securities trading on the exchange of five Latin American countries, as measured by the index. The fund s investment objective and the index may be changed at any time. The index includes securities that Standard & Poor s Financial Services LLC (a subsidiary of The McGraw-Hill Companies) ( S&P ) considers to be highly liquid from major economic sectors of the Mexican and South American equity markets. Companies from Mexico, Brazil, Peru, Colombia and Chilé are represented in the index. The following tables display the top holdings and weightings by sector and country of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.) We obtained the information in the tables below from the fund website, without independent verification. ishares S&P Latin America 40 Index Fund as of September 24, 2012 Index Fund Stock Issuer Percentage (%) AMERICA MOVIL SAB DE C-SER L 13.66% PETROLEO BRASILEIRO-SPON ADR 9.99% ITAU UNIBANCO HLDNG-PREF ADR 8.00% VALE SA-SP PREF ADR 7.96% BANCO BRADESCO-ADR 7.00% COMPANHIA DE BEBIDAS-PRF ADR 4.90% FOMENTO ECONOMICO MEXICA-UBD 3.70% WALMART DE MEXICO-SER V 3.23% ECOPETROL SA-SPONSORED ADR 3.02% ITAUSA-INVESTIMENTOS ITAU-PR 2.59% Total 64.05% S-120

122 ishares S&P Latin America 40 Index Fund Weighting by Sector as of September 24, 2012 Sector Percentage (%) Financials 21.70% Materials 18.19% Consumer Staples 16.76% Telecommunications 14.39% Energy 13.02% Utilities 5.00% Consumer Discretionary 4.19% Industrials 4.99% Information Technology 1.30% Short-Term Securities 0.04% Other/Undefined 0.42% Total % ishares S&P Latin America 40 Index Fund Weighting by Country as of September 24, 2012 Country Percentage (%) Brazil 51.65% Mexico 26.94% Chile 12.31% Peru 4.59% Colombia 4.05% United States 0.04% Other/Undefined 0.42% Total % Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability and yield) and liquidity measures similar to those of the index. The fund may or may not hold all of the securities in the index. The fund generally invests at least 90% of its assets in securities of the index and in depositary receipts representing securities of the index. The fund may invest the remainder of its assets in securities not included in the index, but which BFA believes will help the fund track the index and in futures contracts, options on futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates. Correlation The index is a theoretical financial calculation, while the fund is an actual investment portfolio. The performance of the fund and the index will vary somewhat due to transaction costs, market impact, corporate actions (such as mergers and spin-offs) and timing variances. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the correlation between the fund s performance and that of the index, before fees and expenses, will be 95% or better. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its S-121

123 underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 1.74% over the last year, 0.18% on an annualized basis over the last five years, and 0.39% on an annualized basis since October 25, 2001, the inception date of the fund. Creation Units Prior to trading in the secondary market, shares of the fund are created at NAV by market makers, large investors and institutions only in block-size creation units of 250,000 shares or multiples thereof, in exchange for a portfolio of securities approximating the holdings of the fund and a specified amount of cash. To the extent practicable, the composition of such portfolio generally corresponds pro rata to the holdings of the fund. Redemptions may cause temporary dislocations in tracking error. The S&P Latin America 40 Index TM (The Index ) The index constituents are drawn from the S&P/IFCI country indices of Brazil, Chile, Colombia, Mexico and Peru. The 40 constituents are all large, blue-chip companies from these markets. The index is sponsored by S&P, which determines the composition and relative weightings of the securities in the index and publishes information regarding the market value of the index. Since September 21, 2009, the index has been drawn from four major Latin American emerging markets Brazil, Chile, Mexico and Perú. Prior to that date, Argentina was also a component, but was removed when it was reclassified as a frontier market by S&P Indices. Effective September 16, 2011, Colombia was added to the S&P Latin America Index s universe following its reclassification as an Emerging Market from its previous status of Frontier Market. The index is intended to provide exposure to large, liquid, blue chip companies in the five countries currently in the index, but the countries are not equally weighted in the index. To identify stocks for possible addition, the following factors are considered: Market Capitalization: The index is designed to include blue-chip stocks from the five markets. Market capitalization is a key criterion for stock selection. Stocks are included if they are among the largest stocks from these markets in terms of market capitalization. A stock s weight in the index is determined by the float-adjusted market capital of the stock. All strategic holdings are classified as either corporate, private or government holdings and are removed from the float-adjusted market capital by means of an adjustment called the stock s investable weight factor or IWF. Liquidity: Index constituents are ranked according to liquidity, measured by dollar value traded. Annual value traded, float turnover and days traded are also analyzed on a regular basis to ensure ample liquidity. Given two comparably sized companies, the higher the 12-month value traded, the more likely its inclusion. Generally, S&P also requires a minimum float-adjusted turnover of 0.30 as necessary for inclusion. Listings: Where applicable, the index will give preference to developed market listings of an index constituent. This may include US-listings, US-listed American Depositary Receipts or other developed market listings as long as the issue meets the liquidity requirements. Domicile: A stock s domicile is determined based on a number of criteria that include headquarters of the company, registration, listing of the stock, place of operations, and residence of the senior officers. Eligible Securities: All common and preferred shares (which are of an equity and not of a fixed income nature) are eligible for inclusion in the S&P s indices. Convertible stock, bonds, warrants, rights, and preferred stock that provide a guaranteed fixed return are not eligible. Rebalancing All share changes of 5% and over are done at the effective date, or as soon as reliable information is available. Changes of less than 5% are applied on the third Friday of March, June, September and December. Similarly, changes reflecting float adjustment are applied if they cause a capitalization change of 5% or over. Changes of less than this are applied at the September quarterly review to align it with the annual reconstitution of the S&P/IFCI index. S-122

124 Corporate Actions S&P s maintenance of the index includes monitoring and completing the adjustments for company additions and deletions, share changes, stock splits, stock dividends, and stock price adjustments due to restructurings or spin-offs. Some corporate actions, such as stock splits and stock dividends, require simple changes in the common shares outstanding and the stock prices of the companies in the index. Other corporate actions, such as share issuances, change the market value of an index and require an index divisor adjustment to prevent the value of the index from changing. Adjusting the index divisor for a change in market value leaves the value of the index unaffected by the corporate action. This helps keep the value of the index accurate as a barometer of stock market performance, and ensures that the movement of the index does not reflect the corporate actions of the companies in it. Divisor adjustments are made after the close of trading and after the calculation of the closing value of the index. Any change in the index divisor also affects corresponding sub-indices and divisors. Each sub-index is maintained in the same manner as the headline index. Corporate actions such as splits, stock dividends, spin-offs, rights offerings, and share changes are applied on the ex-date. The following table summarizes the types of index maintenance adjustments and indicates whether a divisor adjustment is required. Events Adjustment Factor Divisor Adjustment Required Cash Dividend Applied only to total return indices No Special Cash Dividend Dividend not from typical cycle; price Yes adjustment needed Stock dividend and/or split Shares are multiplied by and price is No Stock dividend from class A shares into existing class B shares, both of which are included in the index Stock dividend of different class, same company and is not included in the index divided by the split factor Adjustment for price of A; adjustment for shares in B Price adjustment Reverse Split Adjustment for price and shares No Rights offering Price adjustment and share change on Yes ex date Rights offering for new line Adjustment for price Yes Spin off Adjustment for price Yes New share issuance Adjustment for shares Yes Reduction of capital Share adjustment Yes New addition to index Share adjustment Yes Deletion from index Share adjustment Yes Merger (acquisition by index Share increase Yes company for stock) Warrant conversion into shares Share increase Yes Yes Yes Currency of Calculation The index is calculated in US$, C$ and Euros ( ). The underlying prices are collected in local currencies via Reuters. Using Reuters real-time spot exchange rate, these local prices are converted to U.S. dollars. The last exchange to close in the index is Chile at 06:30 PM (04:30 PM Eastern Time). The index s closing value is calculated at 05:05 PM Eastern Time, allowing time for late trades to come in, using the real-time exchange rates at that point in time. S-123

125 In situations where either a stock does not trade or a primary exchange is not open for trading, but the index is being calculated as other constituent primary exchanges are open and trading, the stocks from the closed primary exchange will use the last available closing price and convert into U.S. dollars using the real time spot foreign exchange rate of the day. The index s final closing values convert all stock prices used in the index calculation at the spot foreign exchange rate provided by Reuters at the closing time of the index, (i.e. 05:05 PM Eastern Time). The index can be calculated on request using WM Reuters as well as using forward exchange rates in a hedged calculation. Exchange Rate Real-time spot foreign currency exchange rates, as supplied by Reuters, are used for ongoing index calculation. The end-of-day value of the index is calculated using the real-time spot exchange rate provided by Reuters at the time the index is closed. For regional or multi-country indices, where different markets close at different times, after a stock stops trading, it still makes an impact on the index via the spot foreign currency exchange rate fluctuations of its currency. Calculations using end-of-day WM Reuters rates are also available on request. Base Date The index has a base date of December 31, 1997, which is when the calculation began. On this date, it joined the S&P Global 1200 as its Latin America component. Its own history has been calculated back to December 31, Investable Weight Factor (IWF) Investable Weight Factors (IWFs) are reviewed annually, updated based on the companies latest filings and new IWFs are implemented on the third Friday of September. Timing of Changes An index addition generally is made only if a vacancy is created by an index deletion. Index additions are made according to market size and liquidity, with a view to preserving regional, country, and sector representation in the index. An initial public offering (IPO) is added to the index only when an appropriate vacancy occurs and is subject to proven liquidity for at least six months. An exception may be made for extraordinary large global offerings where expected trading volume justifies inclusion. Deletions can occur due to acquisitions, mergers and spin offs or due to bankruptcies or suspension. The latter is removed from the index at the best available price in the market. In some cases, stocks will be removed at $0.01 in recognition of constraints faced by investors in trading bankrupt or suspended stocks. Imposition of restrictive foreign investments in the sector or country within any of the countries will be handled expeditiously to allow investors to exit the sector or country in the least unfavorable manner. Index Calculation. The index is calculated using a base-weighted aggregate methodology. That means the level of an index reflects the total market value of all the component stocks relative to a particular base period. The total market value of a company is determined by multiplying the price of its stock by the number of shares available after float adjustment. An indexed number is used to represent the result of this calculation in order to make the value easier to work with and track over time. The index is calculated in real time. S&P Indices believes turnover in index membership should be avoided when possible. At times a company may appear to temporarily violate one or more of the addition criteria. However, the addition criteria are for addition to an index, not for continued membership. As a result, an index constituent that appears to violate criteria for addition to that index will not be deleted unless ongoing conditions warrant an index change. The index is calculated by means of the divisor methodology used in all S&P Indices equity indices. The index value is simply the index market value divided by the index divisor: S-124

126 Index Value = Index Market Value / Index Divisor (1) In order to maintain basket series continuity, it is also necessary to adjust the divisor at the rebalancing. (Index Value)before rebalancing = (Index Value) after rebalancing (2) Therefore, (Divisor) after rebalancing = (Index Market Value) after rebalancing / (Index Value) before rebalancing (3) Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the S&P Latin America 40 Index TM factsheet at obtable=mungoblobs&blobheadervalue2=inline%3b+filename%3dfs_sp_latin_america_40_ltr.pdf&b lobheadername2=content-disposition&blobheadervalue1=application%2fpdf&blobkey=id&blobheaderna me1=content-type&blobwhere= &blobheadervalue3=utf-8. We are not incorporating by reference the website, the sources listed above or any material they include into this disclosure statement supplement. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. "SPDR ", S&P Latin America 40, S&P GSCI are the property of S&P Opco, LLC, a subsidiary of S&P Dow Jones Indices LLC. S&P is a registered trademark of Standard & Poor's Financial Services LLC ("S&P"). The index is not sponsored, endorsed, sold or promoted by S&P, S&P Opco, LLC or any of their affiliates, and S&P, S&P Opco, LLC and their respective affiliates make no representation regarding the advisability of investing in the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-125

127 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-126

128 ishares Barclays 7-10 Year Treasury Bond Fund The shares of the ishares Barclays 7-10 Year Treasury Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital U.S Year Treasury Bond Index (the index ). The fund trades on the NYSE Arca under the ticker symbol IEF. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.15%. BFA is responsible for substantially all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.15% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended February 29, 2012) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of public obligations of the U.S. Treasury that have a remaining maturity of greater than or equal to seven years and less than ten years, as measured by the index. The Barclays Capital U.S Year Treasury Bond Index is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index includes all publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to 7 years and less than 10 years and have more than $250 million in principal outstanding. In addition, the securities must be denominated in U.S. dollars, bear a fixed rate of interest and not be convertible. The index does not include state and local government series bonds or coupon issues that have been stripped from bonds. The index is market capitalization weighted and includes all of the securities that meet the index criteria. The securities in the index are updated on the last calendar day of each month. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index that the fund tracks may be changed without shareholder approval. S-127

129 The following table displays the top holdings of the fund. We obtained the information in the tables below from the ishares website, without independent verification. ishares Barclays 7-10 Year Treasury Bond Fund Top Ten Holdings As of September 24, 2012 U.S. Treasury Bond: Percentage (%) 2.12% due 8/15/ % 2.62% due 8/15/ % 2.00% due 11/15/ % 3.62% due 2/15/ % 1.75% due 5/15/ % 3.12% due 5/15/ % 3.62% due 2/15/ % 3.50% due 5/15/ % 2.00% due 2/15/ % 3.12% due 5/15/ % Total 87.62% The following table displays additional information about the bonds held by the fund and the tracking error, in each case as of September 24, We obtained the information in the tables below from the ishares website, without independent verification. Weighted average maturity 8.45 years Weighted Average Coupon 2.84% Annualized performance 0.04% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Annualized performance difference is the difference between the performance of the fund and the performance of the index, on an annualized basis, since July 22, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital U.S Year Treasury Bond Index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the Barclays Capital U.S Year Treasury Bond Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the Barclays Capital U.S Year Treasury Bond Index. The fund generally invests at least 90% of its assets in the bonds of the Barclays Capital U.S Year Treasury Bond Index and at least 95% of its assets in U.S. government bonds. The fund may invest up to 10% of its assets in U.S. government bonds not included in the Barclays Capital U.S Year Treasury Bond Index, but which BFA believes will help the fund track the Barclays Capital U.S Year Treasury Bond Index. The fund may also invest up to 5% of its assets in repurchase agreements collateralized by U.S. government obligations and in cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates. The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation Barclays Capital U.S Year Treasury Bond Index is a theoretical financial calculation, but the ishares Barclays 7-10 Year Treasury Bond Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing S-128

130 variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Barclays 7-10 Year Treasury Bond Fund but not to the Barclays Capital U.S Year Treasury Bond Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.11% over the last year and 0.12% on an annualized basis over the last five years. Creation Units Prior to trading in the secondary market, shares of the ishares Barclays 7-10 Year Treasury Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares Barclays 7-10 Year Treasury Bond Fund s portfolio and an amount of cash for a specified number of creation units. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Barclays 7-10 Year Treasury Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-129

131 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-130

132 ishares Barclays 20+ Year Treasury Bond Fund The shares of the ishares Barclays 20+ Year Treasury Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital U.S. 20+ Year Treasury Bond Index (the index ). The fund trades on the NYSE Arca under the ticker symbol TLT. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.15%. BFA is responsible for substantially all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.15% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended February 29, 2012) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of public obligations of the U.S. Treasury that have a remaining maturity of 20 or more years, as measured by the index. The Barclays Capital U.S. 20+ Year Treasury Bond Index is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index includes all publicly-issued U.S. Treasury securities that have a remaining maturity greater than or equal to 20 years, are rated investment grade (Baa3/BBB- or higher using the middle rating of Moody s S&P, and Fitch) and have more than $250 million in principal outstanding. In addition, the securities must be denominated in U.S. dollars, bear a fixed rate of interest and not be convertible. The index does not include state and local government series bonds or coupon issues that have been stripped from bonds. The index is market capitalization weighted and includes all of the securities that meet the index criteria. The securities in the index are updated on the last calendar day of each month. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index that the fund tracks may be changed without shareholder approval. The following table displays the top holdings of the fund. We obtained the information in the tables below from the ishares website, without independent verification. S-131

133 ishares Barclays 20+ Year Treasury Bond Fund Top Ten Holdings As of September 24, 2012 U.S. Treasury Bond: Percentage (%) 4.38% due 5/15/ % 4.62% due 2/15/ % 4.25% due 11/15/ % 4.38% due 5/15/ % 4.75% due 2/15/ % 3.88% due 8/15/ % 3.75% due 8/15/ % 4.38% due 11/15/ % 4.50% due 8/15/ % 3.12% due 11/15/ % Total 75.63% The following table displays additional information about the bonds held by the fund and the tracking error, in each case as of September 24, We obtained the information in the tables below from the ishares website, without independent verification. Weighted average maturity years Weighted Average Coupon 4.04% Annualized performance 0.10% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Annualized performance difference is the difference between the performance of the fund and the performance of the index, on an annualized basis, since July 22, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital U.S. 20+ Year Treasury Bond Index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the Barclays Capital U.S. 20+ Year Treasury Bond Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the Barclays Capital U.S. 20+ Year Treasury Bond Index. The fund generally invests at least 90% of its assets in the bonds of the Barclays Capital U.S. 20+ Year Treasury Bond Index and at least 95% of its assets in U.S. government bonds. The fund may invest up to 10% of its assets in U.S. government bonds not included in the Barclays Capital U.S. 20+ Year Treasury Bond Index, but which BFA believes will help the fund track the Barclays Capital U.S. 20+ Year Treasury Bond Index. The fund may also invest up to 5% of its assets in repurchase agreements collateralized by U.S. government obligations and in cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates. The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation Barclays Capital U.S. 20+ Year Treasury Bond Index is a theoretical financial calculation, but the ishares Barclays 20+ Year Treasury Bond Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Barclays 20+ Year Treasury Bond Fund but not to the Barclays Capital U.S. 20+ Year Treasury Bond Index or to investors using a representative sampling strategy, in general. S-132

134 The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.13% over the last year and 0.10% on an annualized basis over the last five years. Creation Units Prior to trading in the secondary market, shares of the ishares Barclays 20+ Year Treasury Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares Barclays 20+ Year Treasury Bond Fund s portfolio and an amount of cash for a specified number of creation units. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Barclays 20+ Year Treasury Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. S-133

135 Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-134

136 ishares Barclays TIPS Bond Fund The shares of the ishares Barclays TIPS Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) (the index ). The fund trades on the NYSE Arca under the ticker symbol TIP. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described under Representative Sampling below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.20%. BFA is responsible for substantially all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.20% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended October 31, 2011) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of inflation-protected public obligations of the U.S. Treasury that have at least one year remaining to maturity, are rated investment grade and have $250 million or more of outstanding face value, as measured by the index. Inflation-protected public obligations of the U.S. Treasury, commonly known as TIPS, are securities issued by the U.S. Treasury that are designed to provide inflation protection to investors through principal and interest payment adjustments for inflation. Because of this inflation adjustment, inflation-protected bonds typically have lower yields than conventional fixed-rate bonds. The Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index includes all publicly-issued U.S. Treasury inflation-protected securities that have at least one year remaining to maturity, are rated investment grade (Baa3/BBB- or higher using the middle rating of Moody s, S&P and Fitch) and have $250 million or more of outstanding face value. In addition, the securities must be denominated in U.S. dollars, bear interest at a fixed rate and may not be convertible. The index does not include certain issues, such as state and local government series bonds, Treasury bills, bellwether securities, or coupon issues that have been stripped from bonds. The index is market capitalization weighted and includes all of the securities that meet the index criteria. The securities in the index are updated on the last calendar day of each month. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index that the fund tracks may be changed without shareholder approval. The following table displays the top holdings of the fund. We obtained the information in the tables below from the ishares website, without independent verification. S-135

137 ishares Barclays TIPS Bond Fund Top Ten Holdings as of September 24, 2012 Treasury Inflation-Protected Note: Percentage (%) 1.12% due 1/15/ % 0.62% due 7/15/ % 2.00% due 1/15/ % 2.38% due 1/15/ % 1.25% due 7/15/ % 3.88% due 4/15/ % 2.12% due 2/15/ % 2.00% due 1/15/ % 3.62% due 4/15/ % 0.12% due 4/15/ % Total 45.59% The following table displays additional information about the bonds held by the fund and the tracking error (as defined below), in each case as of September 24, We obtained the information in the tables below from the ishares website, without independent verification. Weighted average maturity 9.28 years Weighted average coupon 1.67% Annualized performance 0.19% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Annualized performance difference is the difference between the performance of the fund and the performance of the index, on an annualized basis, since December 4, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). This strategy involves investing in a representative sample of securities that collectively has an investment profile similar to that of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). The securities selected are expected to have, in the aggregate, investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). The fund generally invests at least 90% of its assets in the bonds of the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) and at least 95% of its assets in U.S. government bonds. The fund may invest up to 10% of its assets in U.S. government bonds not included in the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L), but which BFA believes will help the fund track the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L). The fund may also invest up to 5% of its assets in repurchase agreements collateralized by U.S. government obligations and in cash and cash equivalents, including shares of money market funds advised by BFA or its affiliates. The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is a theoretical financial calculation, but the ishares Barclays TIPS Bond Fund is an actual investment portfolio. The performance of the fund and the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, corporate actions (such as mergers and spin-offs), timing S-136

138 variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Barclays TIPS Bond Fund but not to the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.13% over the last year and 0.18% on an annualized basis over the last five years. Industry Concentration Policy The fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to approximately the same extent that the Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L) is concentrated. Securities of the U.S. government (including its agencies and instrumentalities), repurchase agreements collateralized by U.S. government securities, and securities of state or municipal governments and their political subdivisions are not considered to be issued by members of any industry. Creation Units Prior to trading in the secondary market, shares of the ishares Barclays TIPS Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares Barclays TIPS Bond Fund s portfolio and an amount of cash for a specified number of creation units. Except when aggregated in creation units, shares of the ishares Barclays TIPS Bond Fund are not redeemable securities. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Barclays TIPS Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The Index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the Index or any member of the public regarding the advisability of investing in the Index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the Index. S-137

139 Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-138

140 ishares iboxx $ High Yield Corporate Bond Fund The shares of the ishares iboxx $ High Yield Corporate Bond Fund (the fund ) are issued by ishares Trust. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the iboxx $ Liquid High Yield Index (the index ). The fund trades on the NYSE Arca under the ticker symbol HYG. BlackRock Fund Advisers ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.50%. As of September 24, 2012, the expense ratio of the fund was 0.50% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the U.S. dollar-denominated liquid high yield corporate bond market. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The following table displays the top holdings and weightings by sector of the fund. (Sector designations are determined by the fund sponsor using criteria it has selected or developed. Index and fund sponsors may use very different standards for determining sector designations. In addition, many companies operate in a number of sectors, but are listed in only one sector and the basis on which that sector is selected may also differ. As a result, sector comparisons between indices or funds with different sponsors may reflect differences in methodology as well as actual differences in the sector composition of the indices or funds.). We obtained the information in the tables below from the fund website, without independent verification. ishares iboxx $ High Yield Corporate Bond Fund Top Ten Holdings As of September 24, 2012 Corporate Bond Issuer: Percentage (%) BLACKROCK FDS II 2.29% SPRINT NEXTEL CORPORATION 0.70% HCA INC 0.61% CIT GROUP INC 0.53% FIRST DATA CORP 0.52% INTELSAT BERMUDA LTD 0.49% COMMUNITY HEALTH SYSTEMS INC 0.49% SPRINGLEAF FINANCE CORP 0.45% DISH DBS CORP 0.42% SAMSON INVESTMENT CO 0.41% Total 6.91% S-139

141 ishares iboxx $ High Yield Corporate Bond Fund Weighting by Sector As of September 24, 2012 Sector: Percentage (%) Consumer Services 16.29% Industrials 9.63% Telecommunications 10.43% Oil & Gas 13.08% Health Care 9.19% Financials 12.28% Technology 7.75% Utilities 6.80% Basic Materials 5.93% Consumer Goods 5.32% Other 3.30% Total % The following table displays additional information the bonds held by the fund, in each case as of September 24, We obtained the information in the table below from the ishares website, without independent verification. Weighted average maturity 4.43 years Weighted Average Coupon 7.74% Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the iboxx $ Liquid High Yield Index. For the fund, this strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the iboxx $ Liquid High Yield Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, earnings valuation and yield) and liquidity measures similar to those of the iboxx $ Liquid High Yield Index. The fund generally invests at least 90% of its assets in the securities of the iboxx $ Liquid High Yield Index. However, the fund may invest up to 20% of its assets in securities not included in the index, but which BFA believes will help the fund track the iboxx $ Liquid High Yield Index. For example, the fund may invest in high yield funds not included in the index in order to reflect prospective changes in the index. The fund may also invest its other assets in futures contracts, options and swaps, as well as cash and cash equivalents, including shares of money market funds affiliated with BFA. The fund may also lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation iboxx $ Liquid High Yield Index is a theoretical financial calculation, but the ishares iboxx $ High Yield Corporate Bond Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares iboxx $ High Yield Corporate Bond Fund but not to the iboxx $ Liquid High Yield Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a S-140

142 replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.24% over the last year, 0.63 on an annualized basis over the last five years, and 0.47% on an annualized basis since the fund s inception on April 4, Creation Units Prior to trading in the secondary market, shares of the ishares iboxx $ High Yield Corporate Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares iboxx $ High Yield Corporate Bond Fund s portfolio and an amount of cash for a specified number of creation units. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares iboxx $ High Yield Corporate Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The iboxx $ Liquid High Yield Index The index is a bond index calculated, published and disseminated by the index sponsor, Markit Indices Limited ( Markit ). The index is designed to provide a balanced representation of the US dollar ( USD ) high yield corporate market through a broad coverage of the USD high yield liquid bond universe. The iboxx $ Liquid High Yield Index is market-value weighted, with an issuer weight cap of 3%, calculated as of the last business day of each month using the end-of-month closing prices for each bond. The index is quoted in USD and is currently based on a basket of approximately 639 bonds chosen according to a defined set of rules. Selection Criteria of the iboxx $ Liquid High Yield Index Bond Classification: Bonds must be USD denominated corporate credit (i.e., debt instruments backed by corporate issuers that are not secured by specific assets). Debt issued by governments, sovereigns, quasi-sovereigns, and government-backed or guaranteed entities is excluded. As of March 2012, the issuer or, in the case of a finance subsidiary, the issuer s guarantor, must be domiciled and the country of risk must be in Andorra, Australia, Austria, Belgium, Bermuda, Canada, Cayman Islands, Cyprus, Denmark, Faeroe Islands, Finland, France, Germany, Gibraltar, Greece, Hong Kong, Iceland, Ireland, Italy, Japan, Liechtenstein, Luxembourg, Malta, Monaco, Netherlands, New Zealand, Norway, Portugal, San Marino, Singapore, Spain, Sweden, Switzerland, United States, United Kingdom. Each bond is assigned to one of the following six sectors: Consumer Goods, Consumer Services, Financials, Industrials & Materials, Telecommunication & Technology and Utilities & Energy. All bonds are classified based on the principal activities of the issuer and the main sources of the cash flows used to pay coupons and redemptions, and a bond s specific collateral type or legal provisions. Markit reviews bond classification regularly and makes necessary changes at the next rebalancing. Bond Type: Only fixed rate bonds whose cash flow can be determined in advance are eligible, including fixed coupon bonds, zero coupon bonds, step-up bonds with coupon schedules known at issuance (or as functions of the issuer s rating), bonds with sinking funds, medium term notes, Rule 144A offerings, callable S-141

143 bonds and putable bonds. Preferred shares, convertible bonds, subordinated bank or insurance debt with mandatory contingent conversion features or with any conversion options before the first call date, bonds with other equity features attached (e.g. options or warrants), private placements, perpetual bonds, floating rate notes, pay-in kind bonds, zero coupon bonds, bonds with zero step-ups (GAINS), bonds with difference between accrual and coupon payment periods, monthly-paying bonds and Regulation S offerings are excluded. Any bond subject to a firm call or tender officer in the month immediately following the rebalancing date will be excluded, provided that Markit is aware of such tender offer or firm call. Credit Rating: All bonds must have a rating of sub-investment grade, averaged from provided ratings of the Fitch Ratings ( Fitch ), Moody s Investor Service ( Moody s ) and Standard & Poor s Rating Services ( S&P ). Sub-investment grade is defined as BB+ or lower from Fitch or S&P and Ba1 or lower from Moody s, but not in default. Bonds rated D by Fitch or S&P, or that have been subject to a default press release by Moody s are excluded. An included bond subsequently downgraded to D by Fitch or S&P or subject to a default press release by Moody s (as of the bond selection cut-off date) will be excluded on the next rebalancing date. Time to Maturity: At issuance, all bonds must have an expected remaining life of 15 years or less. At the rebalancing day, all bonds must have an expected remaining life of at least one year and six months. Amount Outstanding: The outstanding face value of a bond must be at least $400 million as of the bond selection cut-off date, after taking into account buybacks or increases. The outstanding face value of all bonds denominated in USD from the issuer must be at least $1 billion as of the bond selection cut-off date. Minimum Run: Any bond that enters the index must remain in the index for a minimum of six months (provided that the bond is not upgraded to investment grade, defaulted or fully redeemed in that period). Lockout Period: A bond that drops out of the index at re-balancing is excluded from re-entering the index for a three-month period. Annual Index Review: The selection rules for the iboxx $ Liquid High Yield Index are reviewed once per year during the annual index review process, the result of which will become effective at the end of October. Calculation of the iboxx $ Liquid High Yield Index Bond Prices: Index calculation is based on bid and ask quotes provided by the contributing banks. As of March 2012, the contributing banks include Barclays Capital, BNP Paribas, Deutsche Bank, Goldman Sachs, HSBC, JP Morgan, Morgan Stanley, Royal Bank of Scotland and UBS. Index Rebalancing: The index is rebalanced every month on the last business day of the month after the close of business. The rebalancing only takes into account changes to amounts outstanding publicly known three business days before the end of the month, changes in ratings publicly known two business days before the end of the month, and new bonds issued if publicly known to settle until the last calendar day of the month and if their rating has become known at least three business days before the end of the month. Index Weights: The weight for each bond is determined on the last business day of each month using the end-of-month market values, applying an issuer cap of 3%. Index Calculus: The components of the total return are price changes, accrued interest, coupon payments, and reinvestment income on cash flows received during the composition month. Calculations are performed daily, using consolidated bid prices at approximately 4 p.m. Eastern Time for USD. Specific index formulae can be obtained by contacting iboxx@markit.com. Treatment of Special Intra-Month Events Unscheduled Full Redemption: If a bond is fully redeemed intra-month, the redeemed bond is treated as cash based on the last consolidated price, the call price or repurchase price, as applicable. In addition, the clean price of the bond is set to the redemption price, and the interest accrued until the redemption date is treated as an irregular coupon payment. S-142

144 Bonds Trading Flat of Accrued: If a bond is identified as trading flat of accrued, the accrued interest of the bonds is set to 0 in the total return index calculation and the bond is excluded from the calculation of all bond and index analytical values. Multi-Coupon Bonds: For step-up bonds with a pre-defined coupon schedule, such schedule cannot change during the life of the bond and is used for all calculations. For event-driven bonds whose coupon may change upon occurrence (or non-occurrence) of pre-specified events, the coupon schedule as of the calculation date is used. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, the iboxx $ Liquid High Yield Index factsheet at heet.pdf and the Markit iboxx USD Liquid HY Index Guide at quid%20hy%20index_ pdf. We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December S-143

145 2011 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-144

146 ishares Barclays Aggregate Bond Fund The shares of the ishares Barclays Aggregate Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital U.S. Aggregate Bond Index (the index ). The fund trades on the NYSE Arca under the ticker symbol AGG. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA employs a technique known as representative sampling to track the index as described below. We obtained the following fee information from the ishares website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.20%. BFA is responsible for substantially all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.20% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended February 29, 2012) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the total United States investment grade bond market, as measured by the index. The Barclays Capital U.S. Aggregate Bond Index is sponsored by Barclays Capital Inc., which determines the composition and relative weightings of the securities in the index and publishes information regarding its market value. The index measures the performance of investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, which includes U.S. Treasury bonds, government-related bonds, corporate bonds, mortgage pass-through securities, commercial mortgage-backed securities and asset-backed securities that are publicly offered for sale in the United States. The securities in the index have at least one (1) year remaining to maturity (with the exception of amortizing securities such as asset-backed and mortgage-backed securities, which have lower thresholds as defined by the index provider), be rated investment grade (Baa3/BBB- or higher using the middle rating of Moody s S&P, and Fitch), be denominated in U.S. dollars, bear a fixed rate of interest and not be convertible. In addition, U.S. Treasury, government-related and corporate securities included in the index must have at least $250 million minimum par amount outstanding; mortgage backed securities must have a mortgage pool with at least $250 million minimum amount outstanding; commercial mortgage backed securities must have an original deal size of at least $500 million and at least $300 million outstanding remaining in the deal and a minimum of $25 million tranche size; and asset-backed securities must have $500 million minimum deal size and $25 million tranche size for certain ABS issuers specified by Barclays, the index sponsor. The index does not include certain types of securities such as bonds with equity-type features (e.g., warrants, convertibles, contingent capital securities), tax-exempt municipal securities, private placements, floating-rate securities, securities eligible for dividends received deduction and qualified dividend income, STRIPS, inflation linked bonds, non-erisa eligible commercial mortgage backed securities, Regulation S and Rule 144A securities without registration rights tranches, fixed-rate perpetual securities, U.S. $25/U.S. $50 par bonds, retail bonds, covered bonds, structured notes, loan participation notes, pass-through certificates, illiquid securities with no available internal or third-party price source and A1A tranches of commercial mortgage backed securities (as of January 1, 2011). The index is market capitalization weighted. The securities in the index are updated on the last calendar day of each S-145

147 month. Additional information about the index may be obtained from the Barclays website at We are not incorporating by reference the website or any information included in the website in this disclosure statement supplement. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index that the fund tracks may be changed without shareholder approval. The following tables display the top holdings of the fund and the types of issuers held by the fund. We obtained the information in the tables below from the ishares website, without independent verification. ishares Barclays Aggregate Bond Fund Top Ten Holdings As of September 24, 2012 Name Percentage (%) U.S. TREASURY NOTE 4.75% due 5/15/ % U.S. TREASURY BOND 7.5% due 11/15/ % U.S. TREASURY NOTE 3.62% due 2/15/ % U.S. TREASURY NOTE 3.12% due 8/31/ % U.S. TREASURY BOND 8.12% due 8/15/ % U.S. TREASURY BOND 7.62% due 2/15/ % U.S. TREASURY BOND 4.62% due 2/15/ % U.S. TREASURY NOTE 3.38% due 7/31/ % U.S. TREASURY BOND 1.00% due 3/31/ % U.S. TREASURY NOTE 2.38% due 9/30/ % Total 18.13% ishares Barclays Aggregate Bond Fund Top Ten Types of Issuers As of September 24, 2012 Type Percentage (%) U.S. Treasuries 36.17% Mortgage backed securities 29.36% Industrial 11.94% Government agencies 5.94% Financial institutions 6.13% Utilities 2.34% Commercial mortgage backed securities 1.95% Supranationals 1.45% Local authorities 1.35% Sovereign issuers 1.17% Other 2.21% Total % S-146

148 The following table displays additional information about the bonds held by the fund and the tracking error, in each case as of September 24, We obtained the information in the tables below from the ishares website, without independent verification. Weighted average maturity 6.16 years Weighted Average Coupon 4.12% Annualized performance 0.23% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. Annualized performance difference is the difference between the performance of the fund and the performance of the index, on an annualized basis, since September 22, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital U.S. Aggregate Bond Index. For the fund, this strategy involves investing in a representative sample of securities that collectively has an investment profile similar to that of the Barclays Capital U.S. Aggregate Bond Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the Barclays Capital U.S. Aggregate Bond Index. The fund generally seeks to track the performance of the Barclays Capital U.S. Aggregate Bond Index by investing approximately 90% of its assets in the bonds represented in the Barclays Capital U.S. Aggregate Bond Index and in securities that provide substantially similar exposure to securities in the Barclays Capital U.S. Aggregate Bond Index. The fund may invest the remainder of its assets in bonds not included in the Barclays Capital U.S. Aggregate Bond Index, but which BFA believes will help the fund track the Barclays Capital U.S. Aggregate Bond Index, as well as in cash and high-quality, liquid short-term instruments, including shares of money market funds advised by BFA or its affiliates. For example, the fund may invest in securities not included in the Barclays Capital U.S. Aggregate Bond Index in order to reflect various corporate actions (such as mergers) and other changes in the Barclays Capital U.S. Aggregate Bond Index (such as reconstitutions, additions and deletions). The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation Barclays Capital U.S. Aggregate Bond Index is a theoretical financial calculation, but the ishares Barclays Aggregate Bond Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, market impact, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares Barclays Aggregate Bond Fund but not to the Barclays Capital U.S. Aggregate Bond Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund s portfolio over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.19% over the last year and 0.17% on an annualized basis over the last five years. S-147

149 The index contains a far greater number of constituents than the fund includes. As a result, there is a risk that the performance of the fund and the performance of the index could diverge significantly in the future. Creation Units Prior to trading in the secondary market, shares of the ishares Aggregate Bond Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a basket of securities that generally corresponds pro rata to the ishares Barclays Aggregate Bond Fund s portfolio and a specified amount of cash in exchange for a specified number of creation units. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares Barclays Aggregate Bond Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The Index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the Index or any member of the public regarding the advisability of investing in the Index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the Index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-148

150 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-149

151 SPDR Barclays Capital International Treasury Bond Fund The shares of the SPDR Barclays Capital International Treasury Bond ETF (the fund ) are issued by SPDR Series Trust, a registered investment company. The fund seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the Barclays Capital Global Treasury Ex-US Capped Index (the index ),which tracks the fixed-rate local currency sovereign debt of investment grade countries outside the United States. The fund trades on the NYSE Arca under the ticker symbol BWX. State Street Global Advisors Funds Management, Inc. ( SSgA FM ) currently serves as the investment advisor to the fund. SSgA FM, as the investment advisor to the fund, employs a technique known as sampling to track the index as described below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund of 0.50% per annum. As of September 24, 2012, the gross expense ratio of the fund was 0.50% per annum. For additional information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the SPDR Series Trust website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the Barclays Capital Global Treasury Ex-US Capped Index. SSgA FM uses a passive or indexing approach to try to achieve the fund s investment objective. This differs from an actively managed fund, which typically seeks to outperform a benchmark index. As a result, the fund may hold constituent securities of the Index regardless of the current or projected performance of a specific security. The fund s investment objective and the Index may be changed at any time. The following table displays the top ten weightings by country of the fund (the weights are calculated by aggregating all individual holdings of each country). We obtained the information in the tables below from the SPDR website, without independent verification. SPDR Barclays Capital International Treasury Bond ETF Top Ten Country Weightings As of September 24, 2012 Treasury Bond Issuer by Country: Percentage (%) Japan 22.71% United Kingdom 12.41% France 10.23% Spain 4.91% Italy 4.82% Belgium 4.63% Netherlands 4.58% Germany 4.56% Canada 4.54% Austria 4.46% Total 77.85% S-150

152 Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of the Barclays Capital Global Treasury Ex-US Capped Index (the index ). For the fund, this strategy involves investing in a sample of securities that collectively have an investment profile similar to that of the index. The securities selected are expected to have generally the same risk and return characteristics of the index. The fund generally invests substantially all, but at least 80% of its total assets in the securities compromising the index or in securities SSgA FM determines have economic characteristics that are substantially identical to the economic characteristics of the securities that comprise the index. The fund will provide shareholders with at least 60 days notice prior to any material change in this 80% investment policy. In addition, the fund may invest in debt securities that are not included in the index, cash and cash equivalents or money market instruments, such as repurchase agreements and money market funds (including money market funds advised by the SSgA FM). The fund may also enter into forward currency exchange contracts for hedging purposes. Futures contracts may be used by the fund in seeking performance that corresponds to its index and in managing cash flows. Correlation The index is a theoretical financial calculation, but the fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including operating expenses, transaction costs, cash flows, regulatory requirements and operational inefficiencies. For example, SSgA FM anticipates that it may take several business days for additions and deletions to the index to be reflected in the portfolio composition of the fund. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its underlying index in approximately the same proportions as in the underlying index. As of September 24, 2012, the fund s tracking error was 0.75%. Creation Units Prior to trading in the secondary market, shares of the fund are issued at net asset value to market makers, large investors and institutions only in block-size units, known as Creation Units, of 100,000 shares or multiples thereof. Creation Unit transactions are typically conducted in exchange for the deposit or delivery of in-kind securities and/or cash constituting a substantial replication, or a representation, of the securities included in the index. Individual shares of the fund may only be purchased and sold at current market prices on the NYSE Arca, Inc. or alternative trading systems through your broker-dealer. Because fund shares trade at market prices rather than at net asset value ( NAV ), shares may trade at a price greater than NAV (premium) or less than NAV (discount). The Index The index is sponsored by Barclays Capital, Inc. (the index provider ), which is not affiliated with the fund or SSgA FM. The following description of the index is based upon the disclosure contained in the SPDR Series Trust Prospectus, dated October 31, 2011, and supplemented on March 5, The index is designed to track the fixed-rate local currency sovereign debt of investment grade countries outside the United States. The index is comprised of government bonds issued by investment grade countries outside the United States, in local currencies, that have a remaining maturity of one year or more and are rated investment grade (Baa3/BBB-/BBB-or higher using the middle rating of Moody s Investors Service, Inc., Standard & Poor s, Inc. and Fitch Inc., respectively). Each of the component securities in the index is a constituent of the Barclays Capital Global Treasury ex-us Index, screened such that the following countries are included: Australia, Austria, Belgium, Canada, Denmark, France, Germany, Greece, Italy, Japan, Mexico, Netherlands, Poland, South Africa, Spain, Sweden, Taiwan and the United S-151

153 Kingdom (each a Covered Country ). Such securities must be fixed-rate and have certain minimum amounts outstanding, depending upon the currency in which the bonds are denominated. The index is calculated by the index provider using a method known as market capitalization. The goal of this method is to ensure that each Covered Country is represented in a proportion consistent with its percentage with respect to the total market capitalization of the index. Component securities in each Covered Country are represented in a proportion consistent with their percentage relative to the other component securities in the other Covered Countries. Under certain conditions, however, the par amount of a component security within the index may be adjusted to conform to Internal Revenue Code requirements. As of September 24, 2012, there were approximately 668 securities in the index and the modified adjusted duration of securities in the index was approximately 7.08 years. The index provider determines the composition of the index, relative weightings of the securities in the index and publishes information regarding the market value of the index. The index is weighted based on the total market capitalization represented by the aggregate component securities within the index; provided that (i) no single Covered Country s market capitalization-based weighting, measured on the last calendar day of the month, may exceed 24.99% of the total value of the index and (ii) with respect to 50% of the total value of the index, the market capitalization-based weighted value of the Covered Countries must be diversified such that no single Covered Country measured on the last day of a calendar month represents more than 4.99% of the total value of the index. This modified Covered County weight is then applied to individual securities of the corresponding Covered Country. The weight of each Covered Country in the index is measured monthly and adjusted as follows: First, the weight of each Covered Company that exceeds 24% of the total value of the index will be reduced to 23% of the total value of the index and the aggregate amount by which all Covered Countries exceed 24% will be redistributed equally across the remaining Covered Countries. If, as a result, another Covered Country exceeds 24%, the redistribution will be repeated as necessary until the appropriate weight is achieved. Second, with respect to the 4.99% limitation, the weight of each Covered Country that exceeds 4.8% of the total value of the index will be reduced to 4.6% and the aggregate amount will be distributed to all Covered Countries whose weights were not reduced. If, as a result, another Covered Country is at the 4.8% threshold, the redistribution process will be repeated until all Covered Countries are at an appropriate level. Third, the weight of the securities representing each Covered Country will be adjusted to reflect such securities weight in the index relative to other securities of the same Covered Country by applying the same percentage adjustment process as used at the Covered Country level. If needed, either reallocation process (at the Covered Country level or at the component security level) may take place more than once a month. Brands referred to herein which are not owned by Goldman Sachs are brands of their respective owners. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 S-152

154 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-153

155 ishares JPMorgan USD Emerging Markets Bond Fund The shares of the ishares JPMorgan USD Emerging Markets Bond Fund (the fund ) are issued by ishares Trust, a registered investment company. The fund seeks investment results that correspond generally to the price and yield performance, before fees and expenses, of the J.P. Morgan EMBI SM Global Core Index (the index ). The fund trades on the NYSE Arca under the ticker symbol EMB. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the fund. BFA, as the investment advisor to the fund, employs a technique known as representative sampling to track the index as described under Representative Sampling below. We obtained the following fee information from the fund website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.60%. BFA is responsible for all expenses of the fund, except interest expenses, taxes, brokerage expenses, future distribution fees or expenses, and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.60% per annum. For additional information regarding ishares Trust or BFA, please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ended October 31, 2011) and other information ishares Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund seeks to provide investment results that correspond generally to the price and yield performance, before fees and expenses, of the total return of actively traded external debt instruments in emerging market countries, as measured by the index. BFA uses a passive or indexing approach to try to achieve the fund s investment objective. Unlike many investment companies, the fund does not try to beat the index it tracks and does not seek temporary defensive positions when markets decline or appear overvalued. The fund s investment objective and the index may be changed at any time. The following tables display the top bond holdings, holdings and weightings by country, and maturity breakdown of the fund. We obtained the information in the tables below from the ishares website, without independent verification. ishares J.P. Morgan USD Emerging Markets Bond Fund Top Ten Holdings As of September 24, 2012 Bond Issuer Percentage (%) PHILIPPINES (REPUBLIC OF) due 1/14/ % PERU (THE REPUBLIC OF) due 3/14/ % BRAZIL (FEDERATIVE REPUBLIC OF) due 1/20/ % INDONESIA (REPUBLIC OF) due 1/17/ % URUGUAY (REPUBLIC OF) due 3/21/ % RUSSIAN (FEDERATION OF) due 3/31/ % MEXICO (UNITED MEXICAN STATES) due 9/27/ % COLUMBIA (REPUBLIC OF) due 1/27/ % TURKEY (REPUBLIC OF) due 3/17/ % INDONESIA (REPUBLIC OF) due 2/17/ % Total 23.84% S-154

156 ishares J.P. Morgan USD Emerging Markets Bond Fund Holdings by Country As of September 24, 2012 Country Percentage (%) Brazil 7.59% Russian Federation 7.12% Mexico 6.95% Philippines 6.78% Turkey 6.59% Indonesia 6.53% Colombia 4.87% Venezuela 4.72% Peru 4.20% Poland 4.07% Other/Undefined 40.58% Total % ishares J.P. Morgan USD Emerging Markets Bond Fund Maturity Breakdown As of September 24, 2012 Maturity Percentage (%) 0-1 years 0.00% 1-5 years 12.91% 5-10 years 45.13% years 4.06% years 8.59% years 18.55% 25+ years 8.32% Total % The following table displays additional information about the bonds held by the fund and the tracking error (as defined below), as of September 24, We obtained the information in the tables below from the ishares website, without independent verification. Weighted average maturity years Weighted average coupon 6.58% Average annualized performance 0.79% difference (since inception) Weighted average maturity is the mean of the remaining term to maturity of the bonds held by the fund. Weighted average coupon is the mean of the interest rates, or coupons, payable on the bonds. The average annualized performance difference is the difference between the average total returns of the fund and the average total returns of the index, on an annualized basis, since December 17, Representative Sampling The fund uses a representative sampling strategy to attempt to track the performance of J.P. Morgan EMBI SM Global Core Index. This strategy involves investing in a representative sample of securities that collectively have an investment profile similar to that of the J.P. Morgan EMBI SM Global Core Index. The securities selected are expected to have aggregate investment characteristics (based on factors such as market capitalization and industry weightings), fundamental characteristics (such as return variability, duration, maturity or credit ratings and yield) and liquidity measures similar to those of the J.P. Morgan EMBI SM Global Core Index. S-155

157 The fund generally invests at least 90% of its assets in the securities of the J.P. Morgan EMBI SM Global Core Index. The fund may invest up to 20% of its assets in certain futures, options and swap contracts, cash and cash equivalents, including money market funds advised by BFA or its affiliates, as well as securities not included in the J.P. Morgan EMBI SM Global Core Index, but which BFA believes will help the fund track the J.P. Morgan EMBI SM Global Core Index. The fund may lend securities representing up to one-third of the value of the fund s total assets (including the value of the collateral received). Correlation J.P. Morgan EMBI SM Global Core Index is a theoretical financial calculation, but the ishares J.P. Morgan USD Emerging Markets Bond Fund is an actual investment portfolio. The performance of the fund and of the index may vary due to a variety of factors, including transaction costs, non-u.s. currency valuations, asset valuations, corporate actions (such as mergers and spin-offs), timing variances and differences between the fund s portfolio and the index resulting from legal restrictions (such as diversification requirements) that apply to the ishares J.P. Morgan USD Emerging Markets Bond Fund but not to the J.P. Morgan EMBI SM Global Core Index or to investors using a representative sampling strategy, in general. The difference between the performance of the fund over a period of time and the performance of the index over such period of time is called the tracking error over such period of time. BFA expects that, over time, the fund s tracking error will not exceed 5%. The fund s use of a representative sampling strategy can be expected to produce a greater tracking error over a period of time than would result if the fund used a replication indexing strategy. Replication is an indexing strategy in which a fund invests in substantially all of the securities in its index in approximately the same proportions as in the index. As of September 24, 2012 the fund s tracking error was 0.93% over the last year. Creation Units Prior to trading in the secondary market, shares of the ishares J.P. Morgan USD Emerging Markets Fund are issued at net asset value by market makers, large investors and institutions only in block-size units, known as creation units, of 100,000 shares or multiples thereof. As a practical matter, only institutions, market makers or large investors purchase or redeem creation units. These transactions are usually effected through the exchange of a portfolio of securities that generally corresponds pro rata to the holdings of the ishares J.P. Morgan USD Emerging Markets Fund and an amount of cash for a specified number of creation units. Redemptions of creation units may cause temporary dislocations in tracking errors. Share Prices and the Secondary Market The trading prices of shares of the ishares J.P. Morgan USD Emerging Markets Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. The J.P. Morgan EMBI SM Global Core Index The J.P. Morgan EMBI SM Global Core Index is a broad, diverse, market capitalization weighted index designed to measure the performance of U.S. dollar-denominated Brady bonds, Eurobonds, traded loans, and securities issued by sovereign and quasi-sovereign entities of emerging market countries. The methodology is designed to distribute the weights of each country within the index by limiting the weights of countries with higher debt outstanding and reallocating this excess to countries with lower debt outstanding. S-156

158 Index Methodology In order for a bond to be considered as eligible for inclusion in the index, the bond must be issued by a country that is considered an emerging market. Two criteria determine whether a country is defined as an emerging market and, therefore, can be considered for inclusion in the index. First, a country must be classified as having a low or middle per capita income by the World Bank for at least two consecutive years, based on data lagged one year. The current source for these classifications is the World Bank publication Global Development Finance. Published annually, this report reflects per capita income brackets as of the previous year s close. Second, regardless of their World Bank-defined income level, countries that either have restructured their external debt during the past ten years or currently have restructured external debt outstanding will also be considered for inclusion in the index. Once the universe of emerging markets countries has been defined, eligible securities from these countries will be selected for inclusion in the index. Component Selection Criteria To be eligible for inclusion in the index, a security: (i) can be fixed or floating-rate; (ii) must be issued by sovereign and quasi-sovereign entities from index-eligible countries described above; (iii) must be denominated in U.S. dollars; (iv) must have a current face amount outstanding of $1 billion or more; (v) must have at least 2 years until maturity; (vi) must be able to settle internationally through Euroclear or another institution domiciled outside the issuing country; and (vii) must be a security whose bid and offer prices are available on a daily and timely basis either from an inter-dealer broker or J.P. Morgan. Convertible bonds, securities issued by municipalities or provinces, and local law securities are all excluded from the index. Index Maintenance The index is a broad, diverse market capitalization weighted index. The index is priced at 3:00 pm, Eastern Time every business day of the year as defined by the U.S. bond market calendar. Index securities are priced using bid pricing each day. For securities where there is not a valid price available at 3:00 pm, Eastern Time, the last available valid price is obtained from the market. As a last resort, if there are no valid market prices for an instrument, J.P. Morgan traders are asked to provide a market bid and ask. For those securities where pricing is not available on a regular basis, the composition methodology ensures that such securities will be excluded from the index. The weight of each security in the index is determined by first starting with the face amount outstanding of all eligible securities and aggregating such securities by country. The highest weighted countries are then constrained by capping the total weight within those countries. The result establishes new country weights which are then used to calculate the new eligible face amounts per security within those countries. To calculate the final weights of each security in the index, the current day s price is multiplied by each security s adjusted face amount. The market capitalization for each security is then divided by the total market capitalization for all securities in the index. The result represents the weight of the security expressed as a percentage of the index. The index is generally rebalanced on a monthly basis. A new security that meets the index admission requirements is added to the index on the first month-end business date after its issuance, provided its issue date falls before the 15th of the month. A new security whose settlement date falls on or after the 15th of the month is added to the index on the last business day of the next month. There are two exceptions to this rule. The first exception applies to new securities that are released as part of a debt exchange program. For example, if a country exchanges a portion of its outstanding debt for a new issue after the 15th of the month, at the month-end rebalancing date immediately following this event the amount of debt retired in this exchange would be removed from the index. The new security would then be added to the index. The second exception concerns Regulation S securities. A security that is issued solely in reliance on Regulation S of the 1933 Act and not pursuant to Rule 144A will be ineligible for inclusion in the index until the expiration of the relevant Regulation S restricted period. The date at which the restriction is lifted will effectively be the new issue date, at which point the 15th of the month rule will apply. In extreme cases, an intra-month rebalancing can occur when: (i) more than $6 billion of the face amount of index eligible bonds are exchanged or (ii) more than 2/3 of the face amount of any one of the most liquid index bonds are S-157

159 exchanged. If an announcement is made for a bond to be called, it is removed from the index on the month-end prior to its call date on the basis of having less than 24 months remaining until maturity. However, if an announcement is not made in time for the bond to be removed from the index on the prior month-end, it will be removed the first month-end following the announcement, unless the amount to be called triggers an intra-month rebalancing. Additional information regarding the index may be obtained from other sources including, but not limited to, press releases, newspaper articles and other publicly available documents. We are not incorporating by reference the sources listed above or any material they include in this disclosure statement supplement. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ending June Quarter ending September 30 (through September 24, 2012) S-158

160 WisdomTree EM Local Debt Fund The shares of the Wisdom Tree EM Local Debt Fund (the fund ) are issued by WisdomTree Trust, a registered investment company. The fund seeks a total return consisting of both income and capital appreciation through investment in Local Debt (as defined below) denominated in local currencies of emerging market countries. The fund trades on the NYSE Arca under the ticker symbol ELD. WisdomTree Asset Management, Inc. serves as the investment adviser to the fund. Mellon Capital Management Corporation serves as the sub-adviser to the fund. WisdomTree Asset Management, Inc., as the investment advisor to the fund, actively manages the fund as described in Investment Objective and Strategy. We obtained the following information about the fund from the WisdomTree website, without independent verification. The investment advisor is entitled to receive a management fee from the fund based on a percentage of the fund s average daily net assets, at an annual rate of 0.55%. WisdomTree Asset Management, Inc. is responsible for substantially all expenses of the fund, except compensation and expenses of the independent trustees, counsel to the independent trustees and WisdomTree Trust s Chief Compliance Officer, interest expenses and taxes, brokerage expenses and other expenses connected with the execution of portfolio transactions, any distribution fees or expenses, legal fees or expenses and extraordinary expenses. As of September 24, 2012, the expense ratio of the fund was 0.55% per annum. For additional information regarding WisdomTree Trust, Mellon Capital Management Corporation or WisdomTree Asset Management, Inc., please consult the reports (including the Annual Report to Shareholders on Form N CSR for the fiscal year ending August 31, 2011) and other information WisdomTree Trust files with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the fund, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the WisdomTree website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Investment Objective and Strategy The fund attempts to achieve its investment objective through investment in Local Debt denominated in the currencies of emerging market countries. For these purposes, Local Debt includes fixed income securities, such as bonds, notes or other debt obligations denominated in local currencies of emerging market countries, as well as other instruments, including currency derivatives. The fund is an actively managed exchange traded fund. Under normal circumstances, the fund will invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in Local Debt. The fund is designed to provide exposure to Local Debt of issuers from a broad range of emerging market regions and countries. The fund intends to focus its investment on fixed income securities issued by emerging market governments, government agencies, and corporations. The fund also may invest in fixed income securities denominated in an emerging market currency and issued by supranational organizations, such as the European Investment Bank, International Bank for Reconstruction and Development, International Finance Corporation, or other regional development banks. The fund also may invest in debt securities linked to inflation rates outside the U.S., including securities or instruments linked to rates in emerging market countries. The fund intends to provide exposure across several geographic regions and countries. The fund intends to invest in Local Debt from the following regions: Asia, Latin America, Eastern Europe, Africa and the Middle East. Within these regions, the fund is likely to invest in countries such as: Brazil, Chile, S-159

161 Colombia, Hungary, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, South Korea, Thailand and Turkey. This list may change based on market developments. The fund uses a structured investment approach that analyzes multiple factors. Countries are grouped into differentiated tiers based on an analysis of these factors. Subject to the fund s general investment requirement to provide broad regional and country exposure, the fund generally invests a higher percentage of its assets in countries that have larger and more liquid debt markets and that WisdomTree Asset Management, Inc. believes are pursuing sustainable fiscal and monetary policies in light of economic and market conditions. The country exposures are consistently monitored from a risk perspective and may be modified, reduced or eliminated. The fund s exposure to any single country generally will be limited to 20% of the fund s assets. The percentage of fund assets invested in a specific region, country or issuer will change from time to time. The universe of emerging markets local currency debt currently includes securities that are rated investment grade as well as non-investment grade. The fund attempts to limit interest rate risk by maintaining an aggregate portfolio duration of between two and eight years under normal market conditions. Aggregate portfolio duration is an indication of the fund s sensitivity to changes in interest rates. Funds with higher durations generally are subject to greater interest rate risk. An aggregate portfolio duration of between two and eight years generally would be considered to be intermediate. The fund s actual portfolio duration may be longer or shorter depending upon market conditions. The fund may also invest in short-term money market securities denominated in the currencies of countries in which the fund invests. For purposes of the 80% investment policy described above, Local Debt includes investments in derivatives such as forward currency contracts and swaps. The fund s use of forward contracts and swaps will be underpinned by investments in short-term U.S. money market securities and is designed to provide exposure similar to investments in local currency debt. A forward currency contract is an agreement to buy or sell a specific currency at a future date at a price set at the time of the contract. A swap is an agreement between two parties to exchange payments based on a reference asset, which may be a currency or interest rate but also may be a single asset, a pool of assets or an index of assets. The fund also may enter into repurchase agreements with counterparties that are deemed to present acceptable credit risks. A repurchase agreement is a transaction in which the fund purchases securities or other obligations from a bank or securities dealer and simultaneously commits to resell them to a counterparty at an agreed-upon date or upon demand and at a price reflecting a market rate of interest unrelated to the coupon rate or maturity of the purchased obligations. Local Debt also includes fixed income securities denominated in an emerging market currency and issued by a supranational organization or regional development bank. Assets not invested in Local Debt generally will be invested in investment grade U.S. government securities and money market instruments. The fund may invest up to 20% of its assets in debt instruments denominated in U.S. dollars issued by emerging market governments, government agencies, corporations, regional development banks and supranational issuers, as well as derivatives based on such instruments. The decision to secure exposure through direct investment in bonds or indirectly through derivative transactions will be a function of, among other things, market accessibility, credit exposure, tax ramifications and regulatory requirements applicable to U.S. investment companies. If, subsequent to an investment, the 80% requirement is no longer met, the fund s future investments will be made in a manner that will bring the fund into compliance with this policy. WisdomTree Trust will provide shareholders with sixty (60) days prior notice of any change to this policy for the fund. The following tables display the top holdings, holdings and weighting by country and asset classification of the fund. We obtained the information in the tables below from the WisdomTree website, without independent verification. S-160

162 Wisdom Tree EM Local Debt Fund Top Ten Fixed Income Holdings as of September 24, 2012 Holding Percentage (%) Russia 7.85% Bond 03/10/ % Brazil 10.25% 01/10/ % CITI TRIPARTY REPO 0.20% 09/25/ % Chile 5.50% 8/5/2020 Global 3.34% Brazil 12.50% 01/05/ % Malaysia 4.378% 11/29/ % Malaysia 4.012% 9/15/ % South Africa 10.50% 12/21/ % Poland 5.75% 4/25/ % Malaysia 3.835% 08/12/ % Total 29.20% Wisdom Tree EM Local Debt Fund Country Allocation as of September 21, 2012 Country Percentage (%) Mexico 10.40% Brazil 10.37% Malaysia 10.32% Indonesia 10.15% South Africa 6.99% Russia 6.98% Poland 6.97% Thailand 6.91% South Korea 6.90% Turkey 6.82% Peru 3.40% Chile 3.38% Colombia 3.36% Philippines 3.35% China 3.32% Total 99.62% Wisdom Tree EM Local Debt Fund Asset Classification as of September 24, 2012 Asset Group Percentage (%) Foreign Bond 91.04% Gilt Bond 5.57% Repurchase Agreement 3.38% Total % The following table displays additional information about the bonds held by the fund as of September 24, We obtained the information in the tables below from the WisdomTree website, without independent verification. Average Years to Maturity 5.93 years Weighted Average Coupon 7.09 Average Years to Maturity is the mean of the remaining term to maturity of the underlying bonds in the portfolio. Weighted Average Coupon means the mean of the coupon rate of the underlying bonds in a portfolio. S-161

163 Creation Units The fund issues and redeems shares of the Wisdom Tree EM Local Debt Fund at net asset value only in large blocks of shares, known as creation units, which only institutions or large investors may purchase or redeem. Currently, creation units generally consist of 100,000 shares, although this may change from time to time. The fund generally issues and redeems creation units in exchange for a portfolio of fixed income securities closely approximating the holdings of the Wisdom Tree EM Local Debt Fund or a designated basket of non-u.s. currency and/or an amount of U.S. cash. Share Prices and the Secondary Market The trading prices of shares of the Wisdom Tree EM Local Debt Fund in the secondary market generally differ from the fund s daily net asset value and are affected by market forces such as supply and demand, economic conditions and other factors. The approximate value of the shares of the fund is disseminated every fifteen seconds throughout the trading day by the New York Stock Exchange or by other information providers or market data vendors. This approximate value should not be viewed as a real-time update of the net asset value of the fund, because the approximate value may not be calculated in the same manner as the net asset value, which is computed once a day. The approximate value generally is determined by using amortized cost for securities with remaining maturities of 60 days or less, current market quotations and/or price quotations obtained from broker-dealers that may trade in the portfolio securities held by the fund. The fund is not involved in, or responsible for, the calculation or dissemination of the approximate value and makes no warranty as to its accuracy. Emerging Markets Investment Risk The fund may be exposed to additional risks as a result of its investments in developing or emerging markets. These additional risks may differ from those typically associated with investing in U.S. securities and instruments or investing in more developed international markets. These risks may include currency devaluations and other fluctuations in foreign currencies, foreign currency exchange controls, greater inflation risk, less liquidity and unreliable securities valuation. The fund may also be subject to factors such as adverse economic, political, social or regulatory developments in developing or emerging countries, including government seizure of assets, excessive taxation, limitations on the use or transfer of assets, different legal, reporting and/or accounting standards, and other risks. Foreign Currency Risk Because the fund invests a significant portion of its assets in investments denominated in foreign currencies, or in securities that provide exposure to such currencies, currency exchange rates or interest rates denominated in such currencies, the fund is subject to the risk that foreign currencies will decline in value relative to the U.S. dollar. Foreign exchange rates are the result of the supply of, and the demand for, those foreign currencies. Changes in the exchange rates result over time, and may vary considerably and quickly, from the interaction of many factors directly or indirectly affecting economic and political conditions in the country or area of a foreign currency and the United States, including economic and political developments in other countries. Of particular importance to potential currency exchange risk are: existing and expected rates of inflation; existing and expected interest rate levels; the balance of payments among countries; the extent of governmental surpluses or deficits in the relevant foreign country and the United States; and other financial, economic, military and political factors. All of these factors are, in turn, sensitive to the monetary, fiscal and trade policies pursued by the governments of the relevant foreign countries and the United States and other countries important to S-162

164 international trade and finance. We cannot assure you that a currency crisis or significant devaluation will not happen in the future to one or more of the foreign currencies that the fund invests in. If one or more of these foreign currencies is devalued, the value of the fund s share price will be significantly adversely affected. Risk Associated with Management of the Fund Wisdom Tree EM Local Debt Fund is an actively managed exchange traded fund. Wisdom Tree Asset Management, Inc., as the fund s investment advisor, may make judgments about the fund s investment strategies that may prove to be incorrect, which could adversely affect the performance of the fund and result in a decline in the fund s share price. These may include judgments about the markets, interest rates or the attractiveness, relative values or potential appreciation of particular investment strategies or assets included in the fund s portfolio. WisdomTree is a registered mark of WisdomTree Investment, Inc. Wisdom Tree Funds are distributed by ALPS Distributers, Inc. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. The table below shows the high and low prices of the fund as well as the closing prices of the fund for the final two calendar quarters of 2010 (commencing August 9, 2010), each of the four calendar quarters in 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2010 Quarter ended September 30 (commencing August 9, 2010) Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-163

165 General Questions and Answers Regarding Commodity Eligible ETFs What Is a Commodity Contract? A commodity contract is an agreement either to buy or sell a set amount of a physical commodity at a predetermined price and delivery period (which is generally referred to as a delivery month ), or to make and receive a cash payment based on changes in the price of the commodity. Generally speaking, the return on an investment in commodity contracts is correlated with, but different from, the return on buying and holding physical commodities. Each index currently underlying a commodity eligible ETF is comprised solely of commodity contracts on physical commodities traded on regulated futures trading facilities. However, it is possible that an index underlying a commodity eligible ETF will in the future include swaps or other derivatives that are cleared through a centralized clearing house. Why Do the Commodity Eligible ETFs Track Commodity Contracts And Not Physical Commodities? While holding an inventory of physical commodities may have certain economic benefits (for example, a refinery could use a reserve of crude oil for the continuation of its operations), it also poses administrative burdens and costs, including those arising from the need to store or transport physical commodities. These requirements and costs may prove unattractive to investors who are interested solely in the price movement of commodities. Commodity contracts permit an investor to obtain exposure to the prices of commodities without directly incurring these requirements and costs. However, an investor in commodity contracts, or in an index of commodity contracts, can be indirectly exposed to these costs, which may be reflected in the prices of the commodity contracts and therefore in the index level. In addition, the fact that commodity contracts have publicly available prices allows calculation of an index based on these prices. The use of commodity contracts, therefore, allows the index sponsor to separate the exposure to price changes from the ownership of the underlying physical commodity, and thus allow participation in the upside and downside movement of commodity prices independently of the physical commodity itself. If the Price of the Underlying Physical Commodities Goes Up, Will the Level of the Related Eligible ETF, Therefore, Also Go Up? Not necessarily, for two reasons: First, the commodity eligible ETFs track the commodity contract or contracts included in their respective underlying index, rather than individual physical commodities themselves. Changes in the prices of commodity contracts should generally track changes in the prices of the underlying physical commodities, but, as described above under Why Do the Commodity Eligible ETFs Track Commodity Contracts And Not Physical Commodities?, the prices of commodity contracts might from time to time move in ways or to an extent that differ from movements in physical commodity prices. Therefore, you may observe prices of a particular commodity going up and the index level not changing in the same way. Second, because commodity contracts have expiration dates i.e., dates upon which trading of the commodity contract ceases, there are certain adjustments that need to be made to a commodity index in order to retain an investment position in the commodity contracts. These adjustments, which are described below and primarily include the mechanic of rolling, may have a positive or negative effect on the level of the index. As a result, these adjustments may, in certain instances, cause a discrepancy between the performance of the index and the performance of the underlying commodity contracts. What Does Rolling a Commodity Contract Mean? Since any commodity contract has a predetermined expiration date on which trading of the commodity contract ceases, holding a commodity contract until expiration will result in delivery of the underlying physical commodity or the requirement to make or receive a cash settlement. Rolling the commodity contracts, i.e., (i) selling near-dated (i.e., commodity contracts that are nearing expiration) commodity contracts before they expire and (ii) buying longer-dated contracts (i.e., commodity contracts that have an expiration date further in the future), allows an investor to maintain an investment position in commodities without receiving delivery of physical commodities or making or receiving a cash settlement. S-164

166 Each index replicates an actual investment in commodity contracts, and therefore takes into account the need to roll the commodity contracts included in such index, and reflects the effects of this rolling. Specifically, as a commodity contract included in an index approaches expiration, such index is calculated as if the commodity contract in the first delivery month is sold and the proceeds of that sale are used to purchase a commodity contract of equivalent value in the next available delivery month. If the price of the second commodity contract is lower than the price of the first commodity contract, the rolling process results in a greater quantity of the second commodity contract being acquired for the same value. Conversely, if the price of the second commodity contract is higher than the price of the first contract, the rolling process results in a smaller quantity of the second commodity contract being acquired for the same value. What Do Contango and Backwardation Mean? When the price of a near-dated commodity contract is greater than that of a longer-dated commodity contract, the market for such contracts is referred to as in backwardation. On the other hand, the market is referred to as in contango when the price of a near-dated commodity contract is less than that of a longer-dated commodity contract. Rolling commodity contracts in a backwardated or contango market can affect the level of an index. How Does Rolling Affect the Level of an Index Underlying a Commodity Eligible ETF? Rolling can affect an index in the following two ways: First, if, as described above under What Does Rolling a Commodity Contract Mean?, an index theoretically owns more commodity contracts as a result of the rolling process (albeit at a lower price), the gain or loss on the new position for a given movement in the prices of the commodity contracts will be greater than if the index had owned the same number of commodity contracts as before the rolling process. Conversely, if an index theoretically owns fewer commodity contracts as a result of the rolling process (albeit at a higher price), the gain or loss on the new position for a given movement in the prices of the commodity contracts will be less than if such index had owned the same number of commodity contracts as before the rolling process. Therefore, these differentials in the quantities of contracts sold and purchased may have a positive or negative effect on the level of such index (measured on the basis of its dollar value). Second, an index theoretically sells a near-dated commodity contract when it gets close to expiry and buys the longer-dated commodity contract. In a contango market, longer-dated commodity contracts are at higher prices than the near-dated commodity contracts. In the absence of significant market changes, the prices of the longer-dated commodity contracts which such index theoretically buys and holds are expected to (but may not) decrease over time as they near expiry. This expected decrease in price of these longer-dated commodity contracts as they near expiry can potentially cause the level of the index to decrease. However, there are a number of different factors affecting the index level. In a backwardated market, where the prices of near-dated commodity contracts are greater than the prices of longer-dated commodity contracts, the price of longer-dated commodity contracts which an index theoretically buys and holds are expected to (but may not) increase as they near expiry. Can We Assume Any of Such Factors Will Have a Direct Effect on the Level of a Commodity Eligible ETF? These factors are interrelated in complex ways and affect the performance of the commodity contracts comprising the index and, therefore, may offset each other in calculation of the level of a commodity eligible ETF. Therefore, you should not assume any one of these factors, the effect of rolling or any other factors (e.g., the positive price movement of any underlying physical commodity) will have a direct and linear effect on the performance of the commodity contracts and the level of the commodity eligible ETFs at any given time. The level of an eligible ETF, and therefore the level of the index, may decline even when one or more of such factors are favorable, due to the reasons explained in this subsection entitled Questions and Answers. S-165

167 ishares S&P GSCI Commodity-Indexed Trust The shares of the ishares S&P GSCI Commodity-Indexed Trust (the trust ) are issued by ishares Trust, a registered investment company. The trust is a Delaware statutory trust that issues units of beneficial interest, hereinafter referred to as the shares, representing fractional undivided beneficial interests in its net assets. Substantially all of the assets of the trust consist of interests in the ishares S&P GSCI Commodity-Indexed Investing Pool LLC, hereinafter referred to as the investing pool, which holds long positions in futures contracts ( CERFs ) on the S&P GSCI Excess Return Index, hereinafter referred to as the S&P GSCI-ER. The objective of the trust is that the performance of these interests will correspond generally to the performance of the S&P GSCI Total Return Index, hereinafter referred to as the index. The shares trade on the NYSE Arca under the ticker symbol GSG. BlackRock Fund Advisors ( BFA ) currently serves as the investment advisor to the trust. We obtained the following fee information from the trust website, without independent verification. The investment advisor is entitled to receive a management fee based on the net asset value of the investing pool, accruing daily at an annualized rate of 0.75% of the net asset value of the investing pool. As of September 24, 2012, the expense ratio of the trust was 0.75% per annum, excluding brokerage commissions and fees in connection with the roll of CERFs, as described below, which expired in March For additional information regarding ishares Trust or BFA, ishares Trust files reports (including its Annual Report on Form 10-K and Form 10-K/A for the fiscal year ended December 31, 2011) and other information with the SEC. Information provided to or filed with the SEC can be inspected and copied at the public reference facilities maintained by the SEC or through the SEC s website at In addition, information regarding the trust, including its top portfolio holdings, may be obtained from other sources including, but not limited to, press releases, newspaper articles, other publicly available documents, and the ishares website at We are not incorporating by reference the website, the sources listed above or any material they include in this disclosure statement supplement. Structure of the Trust and the Investing Pool The trust was formed as a Delaware statutory trust on July 7, Each share of the trust represents a unit of fractional undivided beneficial interest in the net assets of the trust. Substantially all of the assets of the trust consist of its holdings of the limited liability company interests in the investing pool ( investing pool interests ) which are the only securities in which the trust may invest. The investing pool will issue investing pool interests only to the trust and to BAMI II, the manager of the investing pool. The manager will maintain a limited equity interest in the investing pool with the balance of the investing pool owned by the trust. The investing pool will invest in long positions in futures contracts on the S&P GSCI -ER, called CERFs, and post as margin cash or short-term securities to collateralize its CERF positions. Each of the trust and the investing pool is a commodity pool as defined in the Commodity Exchange Act, and each entity is operated by BAMI II, which is a commodity pool operator registered with the CFTC and is an indirect subsidiary of BlackRock, Inc. BlackRock Fund Advisors ( BFA ), which is an indirect subsidiary of BlackRock, Inc., serves as the commodity trading advisor of the investing pool and is registered with the CFTC. Investment Objective of the Trust and the Investing Pool The investment objective of the trust is to seek investment results, through the trust's investment in the investing pool, that correspond generally to the performance of the index, before payment of the trust's and the investing pool's expenses and liabilities. The index is intended to reflect the performance of a diversified group of commodities. The S&P GSCI-ER is calculated based on the same commodities that are included in the index, which is a production-weighted index of the prices of a diversified group of futures contracts on physical commodities. The S&P GSCI is administered, calculated and published by Standard & Poor s, a division of The McGraw-Hill Companies, Inc. The S&P GSCI -ER reflects the return of an uncollateralized S-166

168 investment in the contracts comprising the S&P GSCI and, in addition, incorporates the economic effect of rolling the contracts included in the S&P GSCI as they near expiration. Rolling a futures contract means closing out of a position in an expiring futures contract and establishing an equivalent position in the contract on the same commodity with the next expiration date. The index, in turn, reflects the return of the S&P GSCI-ER, together with the return on specified U.S. Treasury securities that are deemed to have been held to collateralize a hypothetical long position in the futures contracts comprising the S&P GSCI. For further information about the index, please see The S&P GSCI Total Return Index below. If S&P ceases to maintain the index, the trust may seek investment results that correspond generally to the performance of a fully collateralized investment in a successor, or, in the opinion of BAMI II, a reasonably similar index to the index. The trust, through the investing pool, will be a passive investor in CERFs and the cash or short term securities posted as margin to collateralize the investing pool s CERF positions. Neither the trust nor the investing pool will engage in any activities designed to obtain a profit from, or to ameliorate losses caused by, changes in the value of the investing pool s CERF positions or the short term securities posted as margin. The investing pool, and some other types of market participants, will be required to deposit margin with a value equal to 100% of the value of each CERF position at the time it is established. Interest paid on the collateral deposited as margin, net of expenses, will be reinvested by the investing pool or, at BAMI II s discretion, distributed from time to time to shareholders. The investing pool s profit or loss on its CERF positions should correlate with increases and decreases in the value of the S&P GSCI-ER, although this correlation will not be exact. The interest on the collateral deposited by the investing pool as margin, together with the returns from the CERFs, is expected to result in a total return for the investing pool that corresponds generally, but is not identical to, the index. Differences between the returns of the investing pool and the index may be based on, among other factors, any differences between the return on the assets used by the investing pool to collateralize its CERF positions and the U.S. Treasury rate used to calculate the return component of the index, timing differences, differences between the portion of the investing pool s assets invested in CERFs and the portion of the return of the index contributed by the S&P GSCI-ER, and the payment of expenses and liabilities by the investing pool. The net asset value of the trust will reflect the performance of the investing pool, its sole investment. BFA will invest all of the investing pool s assets in long positions in CERFs and post margin in the form of cash or short term securities to collateralize the CERF positions. Any cash that the investing pool accepts as consideration from the trust for investing pool Interests will be used to purchase additional CERFs, in an amount that BFA determines will enable the investing pool to achieve investment results that correspond with the index, and to collateralize the CERFs. BFA will not engage in any activity designed to obtain a profit from, or to ameliorate losses caused by, changes in value of any of the commodities represented by the S&P GSCI or the positions or other assets held by the investing pool. Futures Contracts on the S&P GSCI The assets of the investing pool consist of CERFs and cash or short-term securities posted as margin to collateralize the investing pool s CERF positions. CERFs are futures contracts listed for trading on the Chicago Mercantile Exchange, which we refer to as the CME. The CERFs currently listed on the CME have an expiration date of March CERFs listed on later dates may have terms that differ from those of CERFs listed at this time, including transaction fees associated with the purchase and sale of CERFs on the CME. The CME currently charges a fee of $10.00 per CERF for purchases and sales of CERFs expiring in March The CME may change such fees in the future. Each CERF is a contract that provides for cash settlement, at expiration, based upon the final settlement value of the S&P GSCI-ER at the expiration of the contract, multiplied by a fixed dollar multiplier. For the CERF contract expiring in March 2014, the final settlement value is determined for this purpose on the eleventh business day of March On a daily basis, market participants with positions in CERFs, other than those participants subject to special margin requirements, such as the investing pool, are obligated to pay, or entitled to receive, cash (known as variation margin ) in an amount equal to the change in the daily settlement level of the CERF from the preceding trading day s settlement level (or, initially, the contract price at which the position was entered into). Specifically, if the daily settlement price of the contract increases over the previous day s price, the S-167

169 seller of the contract must pay the difference to the buyer, and if the daily settlement price is less than the previous day s price, the buyer of the contract must pay the difference to the seller. The following table displays the top holdings and weightings by sector of the trust. We obtained the information in the tables below from the trust website, without independent verification. ishares S&P GSCI Commodity-Indexed Trust Holdings As of September 24, 2012 Percentage (%) Futures Holdings: GSCI Excess Return Mar % Collateral and Cash Holdings: TREASURY BILL 12/6/ % TREASURY BILL 9/27/ % TREASURY BILL 12/20/ % GOLDMAN SACHS FUTURE CLLTERAL 12/31/ % ishares S&P GSCI Commodity-Indexed Trust Weighting by Sector As of September 24, 2012 Sector Percentage (%) Energy 67.94% Agriculture 16.76% Industrial Metals 6.96% Livestock 4.60% Precious Metals 3.74% Total % Creation and Redemption of Trust Shares The trust intends to offer shares on a continuous basis. The trust issues and redeems shares only in one or more blocks of 50,000 shares called baskets. Creation and redemption of interests in the trust, and the corresponding creation and redemption of interests in the investing pool, are generally effected through EFRPs. EFRPs involve contemporaneous transactions in futures contracts and the underlying cash commodity or a closely related commodity. In a typical EFRP, the buyer of the futures contract sells the underlying commodity to the seller of the futures contract. In the context of CERFs, the CME permits the execution of EFRPs consisting of simultaneous purchases (sales) of CERFs and sales (purchases) of shares. This mechanism generally is used by the trust in connection with the creation and redemption of baskets. Specifically, it is anticipated that an authorized participant requesting the creation of additional baskets typically will transfer CERFs and cash (or, in the discretion of the sponsor, short-term securities in lieu of cash) to the trust in return for shares. The S&P GSCI Total Return Index The S&P GSCI is designed as a benchmark for investment in the commodity markets and as a measure of commodity market performance over time. It is also designed as a tradable index that is readily accessible to market participants. In order to accomplish these objectives, the S&P GSCI is calculated primarily on a world production-weighted basis and comprises the principal physical commodities that are the subject of active, liquid futures markets. There is no limit on the number of contracts that may be included in the S&P GSCI ; any contract that satisfies the eligibility criteria and the other conditions specified in this methodology are included. This feature enhances the suitability of the S&P GSCI as a benchmark for commodity market performance and to reflect general levels of price movements and inflation in the world economy. The S&P GSCI is calculated and maintained by S&P. The index is published by Standard & Poor s, a division of The McGraw-Hill Companies ( S&P ) and is determined, composed and calculated by S&P. S&P acquired the rights to the S&P GSCI Index (the S&P S-168

170 GSCI ) and its related indices, including the index, from Goldman, Sachs & Co. in Goldman, Sachs & Co. established and began calculating the S&P GSCI in May The former name of the S&P GSCI was the Goldman Sachs Commodity Index, or GSCI. S&P publishes total return and excess return versions of the S&P GSCI. The excess return version of the S&P GSCI is based on price levels of the futures contracts included in the S&P GSCI as well as the discount or premium obtained by rolling hypothetical positions in such contracts forward as they approach delivery. The total return version of the S&P GSCI incorporates the returns of the excess return version, except that the total return version also reflects interest earned on hypothetical, fully collateralized contract positions on the included commodities. The S&P GSCI is an index on a world production weighted basket of principal non financial commodities (i.e., physical commodities) that satisfy specified criteria. The S&P GSCI is designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the S&P GSCI are those physical commodities on which active and liquid contracts are traded on trading facilities in major industrialized countries. The commodities included in the S&P GSCI are weighted, on a production basis, to reflect the relative significance (in the view of S&P, as described below) of such commodities to the world economy. The fluctuations in the value of the S&P GSCI are intended generally to correlate with changes in the prices of such physical commodities in global markets. The S&P GSCI has been normalized such that its hypothetical level on January 2, 1970 was 100. Futures contracts on the S&P GSCI, and options on such futures contracts, are currently listed for trading on the Chicago Mercantile Exchange. The index reflects the value of an investment in the S&P GSCI -ER together with a Treasury bill return. Because the index is a total return version of the S&P GSCI, the methodology for compiling the S&P GSCI relates as well to the methodology of compiling the index. The value of the S&P GSCI on any given day reflects: the price levels of the contracts included in the S&P GSCI (which represents the value of the S&P GSCI ), and the contract daily return, which is the percentage change in the total dollar weight of the S&P GSCI from the previous day to the current day. The value of the index on any given day reflects the value of an investment in the S&P GSCI together with a Treasury bill return. Set forth below is a summary of the methodology used to calculate the S&P GSCI and, accordingly, the index. Since the S&P GSCI is the parent index of the index, the methodology for compiling the S&P GSCI relates as well to the methodology of compiling the index. S&P makes the official calculations of the S&P GSCI and the index. The Index Committee and the Index Advisory Panel S&P has established an index committee (the Index Committee ) to oversee the daily management and operations of the S&P GSCI, and is responsible for all analytical methods and calculation of the indices. The Index Committee consists of full time professional members of S&P s staff. At each meeting, the Index Committee reviews any issues that may affect index constituents, statistics comparing the composition of the indices to the market, commodities that are being considered as candidates for an addition to an index, and any significant market events. In addition, the Index Committee may revise index policy covering rules for selecting commodities or other matters. S&P considers information about changes to its indices and related matters to be potentially market moving and material. Therefore, all Index Committee discussions are confidential. S&P has established an index advisory panel (the Advisory Panel ) to assist it in connection with the operation of the S&P GSCI. The Advisory Panel meets on an annual basis and at other times at the request of the Index Committee. The principal purpose of the Advisory Panel is to advise S&P with respect to, among other things, the calculation of the S&P GSCI, the effectiveness of the S&P GSCI as a measure of commodity futures market performance and the need for changes in the composition or in the methodology of the S&P GSCI. The Advisory Panel acts solely in an advisory and consultative capacity; S-169

171 the Index Committee makes all decisions with respect to the composition, calculation and operation of the S&P GSCI. Composition of the S&P GSCI In order to be included in the S&P GSCI, a contract must satisfy the following eligibility criteria: the contract must be in respect of a physical commodity and not a financial commodity; the contract must have a specified expiration or term or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; the contract must, at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or settlement; the contract must be traded on an exchange, facility or other platform (referred to as a trading facility ) that allows market participants to execute spread transactions, through a single order entry, between the pairs of contract expirations included in the S&P GSCI that, at any given point in time, will be involved in the rolls to be effected in the next three roll periods (defined below); the contract must be denominated in U.S. dollars; and the contract must be traded on or through a trading facility that has its principal place of business or operations in a country that is a member of the Organization for Economic Cooperation and Development and that: o o o o makes price quotations generally available to its members or participants (and to S&P) in a manner and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time; makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations; accepts bids and offers from multiple participants or price providers; and is accessible by a sufficiently broad range of participants. The price of the relevant contract that is used as a reference or benchmark by market participants (referred to as the daily contract reference price ) generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI. In appropriate circumstances, S&P may determine that a shorter time period is sufficient or that historical daily contract reference prices for such contract may be derived from daily contract reference prices for a similar or related contract. The daily contract reference price may be (but is not required to be) the settlement price or other similar price published by the relevant trading facility for purposes of margining transactions or for other purposes. At and after the time a contract is included in the S&P GSCI, the daily contract reference price for such contract must be published between 10:00 a.m. and 4:00 p.m., New York City time, on each business day relating to such contract by the trading facility on or through which it is traded and must generally be available to all members of, or participants in, such facility (and to S&P) on the same day from the trading facility or through a recognized third-party data vendor. Such publication must include, at all times, daily contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination is made, as well as for all expiration or settlement dates during such five-month period. For a contract to be eligible for inclusion in the S&P GSCI, volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made. The following eligibility criteria apply: S-170

172 In order to be added to the S&P GSCI, a contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity that is not represented in the S&P GSCI at such time must have an annualized total dollar value traded over the relevant period of at least U.S. $15 billion. The total dollar value traded is the dollar value of the total quantity of the commodity underlying transactions in the relevant contract over the period for which the calculation is made, based on the average of the daily contract reference prices on the last day of each month during the period. In order to continue to be included in the S&P GSCI, a contract that is already included in the S&P GSCI at the time of determination and that is the only contract on the relevant commodity included in the S&P GSCI must have an annualized total dollar value traded of at least U.S. $5 billion over the relevant period and of at least U.S. $10 billion during at least one of the three most recent annual periods used in making the determination. In order to be added to the S&P GSCI, a contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI at such time must have an annualized total dollar value traded over the relevant period of at least U.S. $30 billion. In order to continue to be included in the S&P GSCI, a contract that is already included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already included in the S&P GSCI at such time must have an annualized total dollar value traded, over the relevant period of at least U.S. $10 billion over the relevant period and of at least U.S. $20 billion during at least one of the three most recent annual periods used in making the determination. In addition to the volume requirements described above, a contract must have a minimum reference percentage dollar weight: In order to continue to be included in the S&P GSCI, a contract that is already included in the S&P GSCI at the time of determination must have a reference percentage dollar weight of at least 0.10%. The reference percentage dollar weight of a contract represents the current value of the quantity of the underlying commodity that is included in the S&P GSCI at a given time. This figure is determined by dividing (a) the product of the CPW (defined below) of each contract and the average of its daily contract reference prices on the last day of each month during the relevant period, by (b) the sum of the products in (a) for all contracts included in the S&P GSCI. In order to be added to the S&P GSCI, a contract that is not included in the S&P GSCI at the time of determination must have a reference percentage dollar weight of at least 1.00% at the time of determination. In the event that two or more contracts on the same commodity satisfy the eligibility criteria, such contracts are included in the S&P GSCI in the order of their respective total quantity traded during the relevant period (determined as the total quantity of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first. No further contracts are included if such inclusion results in the portion of the S&P GSCI attributable to such commodity exceeding a particular level. If under the procedure set forth in the preceding paragraph, additional contracts could be included with respect to several commodities at the same time, the procedure is first applied to the commodity that has the smallest portion of the S&P GSCI attributable to it at the time of determination. Subject to the other eligibility criteria, the contract with the highest total quantity traded on such commodity is included. Before any additional contracts on any commodity is included, the portion of the S&P GSCI attributable to all commodities are recalculated. The selection procedure described above is then repeated with respect to the contracts on the commodity that then has the smallest portion of the S&P GSCI attributable to it. The contracts currently included in the S&P GSCI are all futures contracts traded on the New York Mercantile Exchange, Inc. ( NYMEX ), ICE Futures Europe ( ICE Europe ), ICE Futures U.S. ( ICE US ), S-171

173 the Chicago Mercantile Exchange ( CME ), the Chicago Board of Trade ( CBOT ), the Kansas City Board of Trade ( KBT ), the Commodities Exchange Inc. ( CMX ) and the London Metal Exchange ( LME ). The quantity of each of the contracts included in the S&P GSCI is determined on the basis of a five-year average (referred to as the world production average ) of the production quantity of the underlying commodity as published by the United Nations Statistical Yearbook, the Industrial Commodity Statistics Yearbook and other official sources. However, if a commodity is primarily a regional commodity, based on its production, use, pricing, transportation or other factors, S&P, in consultation with the Index Committee, may calculate the weight of such commodity based on regional, rather than world, production data. At present, natural gas is the only commodity the weight of which is calculated on the basis of regional production data, with the relevant region being North America. The five-year moving average is updated annually for each commodity included in the S&P GSCI, based on the most recent five-year period (ending approximately on and a half years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The contract production weights (the CPWs ) used in calculating the S&P GSCI are derived from world or regional production averages, as applicable, of the relevant commodities, and are calculated based on the total quantity traded for the relevant contract and the world or regional production average, as applicable, of the underlying commodity. However, if the volume of trading in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds, the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each such contract is sufficiently liquid relative to the production of the commodity. In addition, S&P performs this calculation on a monthly basis and, if the multiple of any contract is below the prescribed threshold, the composition of the S&P GSCI is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the S&P GSCI to shift from contracts that have lost substantial liquidity into more liquid contracts, during the course of a given year. As a result, it is possible that the composition or weighting of the S&P GSCI will change on one or more of these monthly evaluation dates. In addition, regardless of whether any changes have occurred during the year, S&P reevaluates the composition of the S&P GSCI at the conclusion of each year, based on the above criteria. Other commodities that satisfy such criteria, if any, will be added to the S&P GSCI. Commodities included in the S&P GSCI that no longer satisfy such criteria, if any, will be deleted. S&P also determines whether modifications in the selection criteria or the methodology for determining the composition and weights of and for calculating the S&P GSCI are necessary or appropriate in order to assure that the S&P GSCI represents a measure of commodity market performance. S&P has the discretion to make any such modifications. Contract Expirations Because the S&P GSCI comprises actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or settlement periods, referred to as contract expirations. The contract expirations included in the S&P GSCI for each commodity during a given year are designated by S&P, provided that each such contract must be an active contract. An active contract for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant trading facility, as defined by standard custom and practice in the industry. If a trading facility deletes one or more contract expirations, the S&P GSCI will be calculated during the remainder of the year in which such deletion occurs based on the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate an eligible replacement contract on the commodity. To the extent practicable, the replacement will be in effect during the next monthly review of the composition of the S&P GSCI. If that timing is not practicable, S&P will determine the date of the replacement and will consider a number of factors, including the differences between the existing contract and the replacement contract specifications and contract expirations. S-172

174 Value of the S&P GSCI The value of the S&P GSCI on any given day is equal to the total dollar weight of the S&P GSCI divided by a normalizing constant that assures the continuity of the S&P GSCI over time. The total dollar weight of the S&P GSCI is the sum of the dollar weight of each of the underlying commodities. The dollar weight of each such commodity on any given day is equal to: the daily contract reference price (discussed below), multiplied by the appropriate CPWs, and during a roll period, the appropriate roll weights (discussed below). The daily contract reference price used in calculating the dollar weight of each commodity on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that the daily contract reference price for the most recent prior day will be used if the exchange is closed or otherwise fails to publish a daily contract reference price on that day. In addition, if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected; provided that, if the price is not made available or corrected by 4:00 p.m., New York City time, S&P may, if it deems such action to be appropriate under the circumstances, determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI calculation. Contract Daily Return The contract daily return on any given day is equal to the sum, for each of the commodities included in the S&P GSCI, of the applicable daily contract reference price on the relevant contract multiplied by the appropriate CPW and the appropriate roll weight, divided by the total dollar weight of the S&P GSCI on the preceding day, minus one. The roll weight of each commodity reflects the fact that the positions in contracts must be liquidated or rolled forward into more distant contract expirations as they approach expiration. If actual positions in the relevant markets were rolled forward, the roll would likely need to take place over a period of days. Since the S&P GSCI is designed to replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the S&P GSCI also takes place over a period of days at the beginning of each month (referred to as the roll period ). On each day of the roll period, the roll weights of the first nearby contract expiration on a particular commodity and the more distant contract expiration into which it is rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the S&P GSCI is gradually shifted from the first nearby contract expiration to the more distant contract expiration. If on any day during a roll period any of the following conditions exists, the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist: no daily contract reference price is available for a given contract expiration; any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a Limit Price ); the daily contract reference price published by the relevant trading facility reflects manifest error, or such price is not published by 4:00 p.m., New York City time. In that event, S&P may, but is not required to, determine a daily contract reference price and complete the relevant portion of the roll based on such price; provided, that, if the trading facility publishes a price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or trading in the relevant contract terminates prior to its scheduled closing time. If any of these conditions exist throughout the roll period, the roll with respect to the affected contract will be effected in its entirety on the next day on which such conditions no longer exist. S-173

175 Calculation of the S&P GSCI and the S&P GSCI Total Return Index S&P GSCI The value of the S&P GSCI on any day on which the S&P GSCI is calculated (an S&P GSCI Business Day ) is equal to the product of (1) the value of the underlying futures contracts on the immediately preceding S&P GSCI Business Day multiplied by (2) one plus the contract daily return of the S&P GSCI on the S&P GSCI Business Day on which the calculation is made. ishares is a registered trademark of BlackRock Institutional Trust Company, N.A. ( BITC ). The index is not sponsored, endorsed, sold, or promoted by BITC. BITC makes no representations or warranties to the owners of the index or any member of the public regarding the advisability of investing in the index. BITC has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical Trust Returns The performance quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor s shares, when sold, may be worth more or less than the original cost. Current performance may be lower or higher than the performance quoted. For current performance, please call iShares. The index returns included in the chart are for illustrative purposes only and do not represent actual ishares trust performance. Index performance returns do not reflect any management fees, transaction costs or expenses. Indexes are unmanaged and one cannot invest directly in an index. Past performance does not guarantee future results. Market returns are based upon the midpoint of the bid/ask spread at 4:00 PM Eastern time (when NAV is normally determined for most ishares products), and do not represent the returns you would receive if you traded shares at other times. The index reflects the total returns that are potentially available through a rolling uncollateralized investment in the contracts comprising the S&P GSCI, plus the hypothetical Treasury bill rate of return that could be earned if the futures positions were fully collateralized. Trust Performance History, as of December 31, 2011 Quarter 1 Year 3 Year 5 Year 10 Years Since Trust Inception Trust % 3.25% 6.30% -3.67% n/a -6.96% Index 8.96% -1.18% 6.93% -2.79% 5.64% -6.19% Market Price Returns 9.28% -3.40% 4.88% -3.81% n/a -7.00% Rate of Return: Month January 2.15% 2.58% (7.74)% (6.76)% 0.19% (2.14)% February 4.11% 5.51% (6.51)% 10.29% 4.26% March 3.10% 1.56% 4.67% (0.76)% 2.93% April 3.99% 1.98% (1.00)% 8.25% 0.31% S-174

176 May (7.60)% (13.15)% 19.52% 9.23% (2.41)% June (5.70)% 0.83% 0.75% 8.42% 3.49% July 3.85% 5.44% 0.03% (12.07)% 5.21% August (2.69)% (6.11)% (1.74)% (7.40)% (3.78)% September (11.85)% 8.74% (0.14)% (11.99)% 9.56% October 10.21% 2.43% 6.20% (27.77)% 9.65% November 0.42% 0.94% 0.67% (16.40)% (3.22)% December (1.64)% 9.74% 0.86% (13.65)% 4.95% Year (3.25)% 7.83% 15.12% (47.47)% 31.45% S-175

177 PowerShares DB Gold Fund The PowerShares DB Gold Fund (the fund ) is one of a series of a Delaware statutory trust formed on August 3, The fund trades gold futures contracts on the DBIQ Optimum Yield Gold Index Excess Return (DBIQ-OY GC ER ), hereinafter referred to as the index, which is intended to reflect the changes in market value of gold through a hypothetical investment in gold commodity contracts. The investment objective of the fund is for its shares to track changes, whether positive or negative, in the level of the index over time, which it does by investing primarily in gold commodity contracts underlying the index (subject to applicable position limits). The fund also generates interest income from its holdings of U.S. Treasury and other short-term fixed income securities, through which it funds its expenses. The fund does this by. The shares represent units of fractional undivided beneficial interest in and ownership of the trust and trade under the ticker symbol DGL on the NYSE Arca. DB Commodity Services LLC, a Delaware limited liability company, is the manager of the Delaware statutory trust and the fund. The manager serves as both commodity pool operator and commodity trading advisor of the trust and the fund. The manager has been registered with the CFTC as a commodity pool operator and commodity trading advisor since June 7, 2005 and has been a member of the NFA since June 16, The manager is a wholly-owned subsidiary of DB U.S. Financial Markets Holding Corporation, which is a wholly-owned, indirect subsidiary of Deutsche Bank AG. DB U.S. Financial Markets Holding Corporation has been a principal of the manager since May 31, The registration of the manager with the CFTC and its membership in the NFA must not be taken as an indication that either the CFTC or the NFA has recommended or approved the manager, the trust or the fund. Wilmington Trust Company, a Delaware banking corporation, is the sole trustee of the trust and the fund. The trustee is unaffiliated with the manager. The trustee has no duty or liability to supervise or monitor the performance of the manager, nor does the trustee have any liability for the acts or omissions of the manager. The shareholders have no voice in the day-to-day management of the business and operations of the fund and the trust, other than certain limited voting rights as set forth in the trust declaration.. A variety of executing brokers execute futures transactions on behalf of the fund. Such executing brokers give-up all such transactions to Deutsche Bank Securities Inc., a Delaware corporation, which serves as clearing broker, or commodity broker of the fund. The commodity broker is an affiliate of the manager. In its capacity as clearing broker, the commodity broker executes and clears the fund s futures transactions and performs certain administrative services for the fund. Creation and Redemption of the Shares of the Fund The fund creates and redeems shares from time to time, but only in one or more blocks of 200,000 shares, or baskets. Baskets may be created or redeemed only by authorized participants, as described below. Except when aggregated in baskets, the shares are not redeemable securities. Authorized participants may sell the shares they purchase from the fund in baskets, which will be created when there is sufficient demand for shares such that the market price per share is at a premium to the net asset value per share. Authorized participants are expected to sell such shares to the public at prices that are expected to reflect, among other factors, the trading price of the shares of the fund on the NYSE Arca and the supply of and demand for shares at the time of sale and are expected to fall between NAV and the trading price of the shares on the NYSE Arca at the time of sale. Similarly, it is expected that baskets will be redeemed when the market price per share of the Fund is a discount to the NAV per share. The market price of the shares may not be the same as the NAV per share. Termination Events The trust, or, as the case may be, the fund, will dissolve at any time upon the happening of any of the following events: the filing of a certificate of dissolution or revocation of the manager s charter (and the expiration of 90 days after the date of notice to the manager of revocation without a reinstatement of its charter) S-176

178 or upon the withdrawal, removal, adjudication or admission of bankruptcy or insolvency of the manager, or an event of withdrawal unless (i) at the time there is at least one remaining manager and that remaining manager carries on the business of the fund or (ii) within 90 days of such event of withdrawal all the remaining shareholders agree in writing to continue the business of the fund and to select, effective as of the date of such event, one or more successor managers. If the trust is terminated as the result of an event of withdrawal and a failure of all remaining shareholders to continue the business of the trust and to appoint a successor manager as provided above within 120 days of such event of withdrawal, shareholders holding shares representing at least a majority (over 50%) of the net asset value of each fund comprising the trust (not including shares held by the manager and its affiliates) may elect to continue the business of the trust by forming a new statutory trust, or reconstituted trust, on the same terms and provisions as set forth in the trust declaration. Any such election must also provide for the election of a manager to the reconstituted trust. If such an election is made, all shareholders of the fund will be bound thereby and continue as shareholders of a series of the reconstituted trust. The occurrence of any event which would make unlawful the continued existence of the trust or the fund, as the case may be. In the event of the suspension, revocation or termination of the manager s registration as a commodity pool operator, or membership as a commodity pool operator with the NFA (if, in either case, such registration is required at such time unless at the time there is at least one remaining manager whose registration or membership has not been suspended, revoked or terminated). The trust or the fund, as the case may be, becomes insolvent or bankrupt. The shareholders holding shares representing at least a majority (over 50%) of the net asset value (which excludes the shares of the manager) vote to dissolve the trust, notice of which is sent to the manager not less than ninety (90) business days prior to the effective date of termination. The determination of the manager that the aggregate net assets of the fund in relation to the operating expenses of the fund make it unreasonable or imprudent to continue the business of the fund, or, in the exercise of its reasonable discretion, the determination by the manager to dissolve the trust because the aggregate net asset value of the trust as of the close of business on any business day declines below $10 million. The trust or the fund becoming required to be registered as an investment company under the Investment Company Act of DTC is unable or unwilling to continue to perform its functions, and a comparable replacement is unavailable. Expenses and Fees The fund pays the manager a management fee, monthly in arrears, in an amount equal to 0.75% per annum of the daily net asset value of such fund. The fund pays to the commodity broker all brokerage commissions, including applicable exchange fees, NFA fees, give-up fees, pit brokerage fees and other transaction related fees and expenses charged in connection with its trading activities. On average, total charges paid to the commodity broker are expected to be less than $10.00 per trade, although the commodity broker s brokerage commissions and trading fees are determined on a contract-by-contract basis. The manager does not expect brokerage commissions and fees to exceed 0.04% of the NAV of the fund in any year, although the actual amount of brokerage commissions and fees in any year or any part of any year may be greater. The management fee and the brokerage commissions and fees of the fund are paid first out of interest income from the fund s holdings of U.S. Treasury bills and other high credit quality short-term fixed income securities on deposit with the commodity broker as margin or otherwise. According to the manager, such S-177

179 interest income has historically been sufficient to cover the fees and expenses of the fund. If, however, the interest income is not sufficient to cover the fees and expenses of a fund during any period, the excess of such fees and expenses over such interest income will be paid out of income from futures trading, if any, or from sales of the fund s fixed income securities. Overview The Index The DBIQ Optimum Yield Gold Index Excess Return TM (DBIQ-OY GC ER ) is an index composed of futures contracts on gold traded on the COMEX and is intended to reflect the changes in market value, positive or negative, in gold. The index is calculated on an excess return basis. The sponsor of the index is Deutsche Bank AG London, which we refer to as the index sponsor. The index sponsor has calculated the index back to a base date of December 2, On the base date, the closing level of each index, or closing level, was 100. The index includes provisions for the replacement of gold futures contracts as they approach maturity. This replacement takes place over a period of time in order to lessen the impact on the market for the futures contracts being replaced. The fund employs an approach when it rolls from one gold futures contract to another. Rather than select a new futures contract based on a predetermined schedule (e.g., monthly), the index rolls to the futures contract which generates the best implied roll yield. The futures contract with a delivery month within the next thirteen months which generates the best implied roll yield will be included in the index. As a result, the index sponsor intends for the index potentially to maximize the roll benefits in backwardated markets and minimize the losses from rolling on contangoed markets. The gold futures contract prices used to calculate the index will be the closing price for such futures contracts on the COMEX on each weekday when banks in New York, New York are open, which we refer to as index business days. If a weekday is not a day that is a trading day for gold futures contracts on the COMEX (unless either an index disruption event or force majeure event has occurred), but is an index business day, the closing price on the COMEX from the previous index business day will be used. The closing level of the index is calculated on each business day by the index sponsor based on the closing price of the futures contracts for gold traded on the COMEX. The composition of the index may be adjusted in the event that the index sponsor is not able to calculated the closing prices of the commodity contracts. Contract Selection On the first New York business day, or verification date, of each month, each gold futures contract will be tested in order to determine whether to continue including it in the index. If the gold futures contract requires delivery of gold in the next month, known as the delivery month, a new gold futures contract will be selected for inclusion in the index. For example, if the first New York business day is May 1, 2012, and the delivery month of the gold futures contract currently in the index is June 2012, a new gold futures contract with a later delivery month will be selected. The new gold futures contract will be the gold futures contract with the best possible implied roll yield based on the closing price for each eligible gold futures contract. Eligible gold futures contracts are any gold futures contracts having a delivery month (i) no sooner than the month after the delivery month of the gold futures contract currently in the index, and (ii) no later than the thirteenth month after the verification date. For example, if the first New York business day is May 1, 2012 and the delivery month of a gold futures contract currently in the index is therefore June 2012, the delivery month of an eligible new gold futures contract must be between July 2012 and June The implied roll yield is then calculated and the gold futures contract with the best implied roll yield is then selected. If two futures contracts have the same implied roll yield, the futures contract with the minimum number of months prior to the delivery month is selected. S-178

180 Monthly Index Roll Period After the selection of the replacement futures contract, the monthly roll for each futures contract subject to a roll in that particular month unwinds the old futures contract and enters a position in the new futures contract. This takes place between the second and sixth index business day of the month. On each day during the roll period, new notional holdings are calculated. The calculations for the old gold futures contracts that are leaving the index and the new gold futures contracts are then calculated. On all days that are not monthly index roll days, the notional holdings of each gold futures contract remains constant. The calculation of the index is expressed as the weighted average return of the gold futures contracts included in the index. Change in the Methodology of the Index The index sponsor employs the methodology described above and its application of such methodology shall be conclusive and binding. While the index sponsor currently employs the above described methodology to calculate the index, no assurance can be given that fiscal, market, regulatory, juridical or financial circumstances (including, but not limited to, any changes to or any suspension or termination of or any other events affecting gold or a futures contract) will not arise that would, in the view of the index sponsor, necessitate a modification of or change to such methodology and in such circumstances the index sponsor may make any such modification or change as it determines appropriate. The index sponsor may also make modifications to the terms of the index in any manner that it may deem necessary or desirable, including (without limitation) to correct any manifest or proven error or to cure, correct or supplement any defective provision of the index. The index sponsor will publish notice of any such modification or change and the effective date thereof as set forth below. Publication of Closing Levels and Adjustments In order to calculate each indicative index level, the index sponsor polls Reuters every 15 seconds to determine the real time price of each underlying gold futures contract included in the index. The index sponsor then applies a set of rules to these values to create the indicative level of the index. These rules are consistent with the rules which the index sponsor applies at the end of each trading day to calculate the closing level of the index. The fund values its contracts in the same manner as the index sponsor. A similar polling process is applied to the U.S. Treasury bills held by the fund to determine the indicative value of the U.S. Treasury bills every 15 seconds throughout the trading day. The intra-day indicative value per share of the fund is calculated by adding the intra-day U.S. Treasury bills level plus the intra-day level of the index which will then be applied to the last published NAV of the fund, less accrued fees. The current trading price per share of the fund (quoted in U.S. dollars) is published continuously under the ticker symbol DGL as trades occur throughout each trading day on the consolidated tape, Reuters and/or Bloomberg and on the manager s website at or any successor thereto. The most recent end-of-day NAV of the fund is published under the symbol DGL.NV as of the close of business on Reuters and/or Bloomberg and on the manager s website at or any successor thereto. In addition, the most recent end-of-day net asset value of the fund is published the following morning on the consolidated tape. The most recent end-of-day closing level of the index is published under the symbol DBCMOGCE as of the close of business for the NYSE Arca each trading day on the consolidated tape, Reuters and/or Bloomberg and on the manager s website at or any successor thereto. Interruption of Index Calculation Calculation of the index may not be possible or feasible under certain events or circumstances, including, without limitation, a systems failure, natural or man-made disaster, act of God, armed conflict, act S-179

181 of terrorism, riot or labor disruption or any similar intervening circumstance, that is beyond the reasonable control of the index sponsor and that the index sponsor determines affects the index or gold futures contracts. Upon the occurrence of such force majeure events, the index sponsor may, in its discretion, elect one (or more) of the following options: make such determinations and/or adjustments to the terms of the index as it considers appropriate to determine the closing level on any appropriate index business day; and/or defer publication of the information relating to the index until the next index business day on which it determines that no force majeure event exists; and/or permanently cancel publication of the information relating to the index. Additionally, calculation of the index may also be disrupted by an event that would require the index sponsor to calculate the closing price in respect of gold on an alternative basis were such event to occur or exist on a day that is a trading day for gold on the relevant exchange. If such an index disruption event in relation to an index commodity as described in the prior sentence occurs and continues for a period of five successive trading days for gold on the relevant exchange, the index sponsor will, in its discretion, either: to continue to calculate the relevant closing price for a further period of five successive trading days for gold on the relevant exchange or if such period extends beyond the five successive trading days, the index sponsor may elect to replace the exchange traded instrument with respect to gold and shall make all necessary adjustments to the methodology and calculation of an Index as it deems appropriate. PowerShares is a registered trademark of Invesco PowerShares Capital Management LLC (Invesco PowerShares). Invesco PowerShares Capital Management LLC and Invesco Distributors, Inc. are indirect, wholly owned subsidiaries of Invesco Ltd. PowerShares makes no representations or warranties to the owners of the Index or any member of the public regarding the advisability of investing in the index. PowerShares has no obligation or liability in connection with the operation, marketing, trading or sale of the index. Historical High, Low and Closing Prices of the Fund The closing price of the fund has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the closing price of the fund during any period shown below is not an indication that the fund is more or less likely to increase or decrease at any time during the life of your CDs. You should not take the historical closing prices of the fund as an indication of the future performance of the fund. We cannot give you any assurance that the future performance of the fund will result in your receiving an amount greater than the outstanding face amount of your CDs on the stated maturity date. Neither we nor any of our affiliates make any representation to you as to the performance of the fund. Before investing in the offered CDs, you should consult publicly available information to determine the relevant fund closing prices between the date of this disclosure statement supplement and the date of your purchase of the offered CDs. The actual performance of the fund over the life of the offered CDs, as well as the payment amount at maturity may bear little relation to the historical prices shown below. S-180

182 The table below shows the high and low prices of the fund as well as the closing prices of the fund for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the closing prices listed in the table below from Bloomberg Financial Services, without independent verification. Quarterly High, Low and Closing Prices of the Fund High Low Close 2009 Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ended September Quarter ended December Quarter ended March Quarter ended June Quarter ending September 30 (through September 24, 2012) S-181

183 3-MONTH USD LIBOR The table set forth below illustrates the historical levels of the 3-month USD LIBOR rate since January 1, The level of the 3-month USD LIBOR rate has fluctuated in the past and may, in the future, experience significant fluctuations. Any historical upward or downward trend in the level of the 3-month USD LIBOR rate during any period shown below is not an indication that the level of the 3-month USD LIBOR rate is more or less likely to increase or decrease at any time during the life of the CDs. See Additional Risk Factors Specific to Your Certificates of Deposit Changes in Banks Inter-bank Lending Rate Reporting Practices or the Method Pursuant to Which LIBOR Rates Are Determined May Adversely Affect the Value of Your CDs for more information about 3-month USD LIBOR. You should not take the historical level of the 3-month USD LIBOR rate as an indication of future levels of the 3-month USD LIBOR rates. We cannot give you any assurance that the future levels of the 3-month USD LIBOR rate will result in your receiving a return on your notes that is greater than the return you would have realized if you invested in a debt security of comparable maturity that bears interest at a prevailing market rate and is not subject to a maximum interest rate. In light of current market conditions, the trends reflected in the historical levels of the 3-month USD LIBOR rate may be less likely to be indicative of the levels of the 3-month USD LIBOR rate during the floating rate interest periods. Neither we nor any of our affiliates make any representation to you as to the performance of the 3-month USD LIBOR rate. The actual levels of the 3-month USD LIBOR rate during the floating rate interest periods may bear little relation to the historical levels of the 3-month USD LIBOR rate shown below. The table below shows the high, low and last levels of the 3-month USD LIBOR rate for each of the four calendar quarters in 2009, 2010 and 2011 and the first three calendar quarters of 2012 (through September 24, 2012). We obtained the 3-month USD LIBOR rates listed in the table below from Reuters, without independent verification. Quarterly High, Low and Last Levels of the 3-Month USD LIBOR Rate High Low Last 2009 Quarter ended March % 1.08% 1.21% Quarter ended June % 0.60% 0.60% Quarter ended September % 0.28% 0.29% Quarter ended December % 0.25% 0.25% 2010 Quarter ended March % 0.25% 0.29% Quarter ended June % 0.29% 0.53% Quarter ended September % 0.29% 0.29% Quarter ended December % 0.28% 0.30% 2011 Quarter ended March % 0.30% 0.30% Quarter ended June % 0.25% 0.25% Quarter ended September % 0.25% 0.37% Quarter ended December % 0.37% 0.58% 2012 Quarter ended March % 0.47% 0.47% Quarter ended June % 0.46% 0.46% Quarter ending September 30 (through September 24, 2012) 0.46% 0.37% 0.37% S-182

184 SUPPLEMENTAL DISCUSSION OF UNITED STATES FEDERAL INCOME TAX CONSEQUENCES United States Internal Revenue Service Circular 230 Notice: To ensure compliance with requirements imposed by the IRS, you are hereby notified that: (a) any U.S. tax advice contained or referred to in this offering circular or any document referred to herein is not intended or written to be used, and cannot be used by you for the purpose of avoiding penalties that may be imposed on you under the U.S. Internal Revenue Code; (b) any such tax advice is written for use in connection with the promotion or marketing of the transactions or matters addressed herein; and (c) you should seek advice based on your particular circumstances from an independent tax advisor. This section supplements the discussion of U.S. federal income taxation in the accompanying disclosure statement, and is the opinion of Sidley Austin LLP, counsel to Goldman Sachs Bank USA. Notwithstanding the preceding sentence, the terms we and us in this section refers to The Goldman Sachs Bank USA. In addition, notwithstanding any disclosure in the accompanying disclosure statement to the contrary, our counsel in this transaction is Sidley Austin LLP. This section applies to you only if you hold your CDs as a capital asset for tax purposes. This section does not apply to you if you are a member of a class of holders subject to special rules, such as: a dealer in securities or currencies; a trader in securities that elects to use a mark-to-market method of accounting for your securities holdings; a bank; a regulated investment company; a life insurance company; a tax-exempt organization; a person that owns the CDs as a hedge or that is hedged against interest rate risks; a person that purchases or sells the CDs as part of a wash-sale for tax purposes; a person that owns the CDs as part of a straddle or conversion transaction for tax purposes; or a United States holder whose functional currency for tax purposes is not the U.S. dollar. This section is based on the U.S. Internal Revenue Code of 1986, as amended, its legislative history, existing and proposed regulations under the Internal Revenue Code, published rulings and court decisions, all as currently in effect. These laws are subject to change, possibly on a retroactive basis. You should consult your tax advisor concerning the U.S. federal income tax, and other tax consequences of your investment in the CDs, including the application of state, local or other tax laws and the possible effects of changes in federal or other tax laws. S-183

185 United States Holders This subsection describes the tax consequences to a United States holder (as defined under United States Taxation in the accompanying disclosure statement). The tax treatment of your CDs is uncertain. The tax treatment of your CDs will depend upon whether the CDs are properly treated as variable rate debt instruments or contingent payment debt instruments. This in turn depends in part upon whether it is reasonably expected that the return on the CDs during the first half of the CDs term will be significantly greater or less than the return on the CDs during the second half of the CDs term. Based on current market conditions and the terms of the CDs, we intend to take the position that it is not reasonably expected that the return on the CDs during the first half of the CDs term will be significantly greater or less than the return on the CDs during the second half of the CDs term. We accordingly intend to treat your CDs as variable rate debt instruments for U.S. federal income tax purposes. Except as otherwise noted below under Alternative Treatments, the discussion below assumes that the CDs will be treated as variable rate debt instruments for tax purposes. Our current determination that it is not reasonably expected that the return on your CDs during the first half of the CDs term will be significantly greater or less than the return on your CDs during the second half of the CDs term is made solely for U.S. federal income tax purposes, and is not a prediction or guarantee as to whether the return on the CDs during the first half of the CDs term will or will not be significantly greater or less than the return on the CDs during the second half of the CDs term. You should include the coupons on the CDs in ordinary income at the time you receive or accrue such payments, in accordance with your regular method of accounting for tax purposes, and any gain or loss you recognize upon the sale or maturity of your CDs should be capital gain or loss (except to the extent of any amount attributable to any accrued but unpaid coupons on your CDs). You will generally recognize gain or loss upon the sale, exchange or maturity of your CDs in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted basis in your CDs. Your adjusted tax basis should generally equal the price you paid for the CDs if you purchase your CDs at the issue price for the CDs (as defined under United States Taxation United States Holders Original Issue Discount General in the accompanying disclosure statement). See the discussion under United States Taxation United States Holders Purchase, Sale and Retirement of the Certificates of Deposit in the accompanying disclosure statement for more information regarding the tax consequences upon a sale of your CDs. If you purchase the CDs at a discount to the issue price of the CDs, you may be subject to the rules governing market discount as described under United States Taxation United States Holders Market Discount in the accompanying disclosure statement. If you purchase the CDs at a premium to the principal amount of the CDs, you will be subject to the rules governing amortizable bond premium as described under United States Taxation United States Holders Certificates of Deposit Purchased at a Premium in the accompanying disclosure statement. S-184

186 Alternative Treatments. Because the application of the variable rate debt instrument rules to the CDs is not entirely clear and because the Internal Revenue Service could disagree with the determination that the return on the CDs is not reasonably expected to be front or back loaded, it is possible that the Internal Revenue Service could assert that the CDs should be treated as debt instruments subject to special rules governing contingent payment debt instruments for U.S. federal income tax purposes (as more fully described in United States Taxation United States Holders Indexed and Other Certificates of Deposit in the accompanying disclosure statement). If the CDs are so treated, you would be required to accrue ordinary income over the term of your CDs based upon the yield at which we would issue a non-contingent fixed-rate debt instrument with other terms and conditions similar to your CDs. In addition, you would be required to construct a projected payment schedule for the CDs and you would make a positive adjustment to the extent of any excess of an actual payment over the corresponding projected payment under the CDs, and you would make a negative adjustment to the extent of the excess of any projected payment over the corresponding actual payment under the CDs. You would recognize gain or loss upon the sale, exchange or maturity of your CDs in an amount equal to the difference, if any, between the amount you receive at such time and your adjusted tax basis in your CDs. Any income you recognize upon the sale, exchange or maturity of your CDs would be ordinary income and any loss recognized by you at such time would be ordinary loss to the extent of ordinary income you included in income in the current or previous taxable years in respect of your CDs, and thereafter, would be capital loss. You should consult your tax advisor as to the possible alternative treatments in respect of the CDs. United States Alien Holders If you are a United States alien holder (as defined under United States Taxation in the accompanying disclosure statement), please see the discussion under United States Taxation Taxation of Debt Securities United States Alien Holders in the accompanying disclosure statement for a description of the tax consequences relevant to you. Possible Application of Section 871(m) of the Internal Revenue Code. The Treasury Department has issued proposed regulations under Section 871(m) of the Internal Revenue Code that could ultimately require all or a portion of the coupon payments on the CDs made after December 31, 2012 to be treated as a dividend equivalent payment that is subject to withholding at a rate of 30% (or a lower rate under an applicable treaty). While significant aspects of the application of these regulations to the CDs are uncertain, we may be required to withhold on amounts with respect to the CDs to the extent that payments on the CDs are contingent upon or adjusted to reflect any extraordinary U.S. source dividend paid with respect to any ETF included in the index or if you purchased the CDs on or after the announcement of, and prior to the ex-dividend date for, a special U.S.-source dividend (a nonrecurring payment that is in addition to any regular dividend). We could require you to make certifications prior to any such coupon payment in order to prevent or minimize withholding, and we could be required to withhold accordingly if such certifications were not received or were not satisfactory. If withholding is so required, we will not be required to pay any additional amounts with respect to amounts so withheld. You should consult your tax advisor concerning the potential application of these regulations to payments you receive on the CDs when these regulations are finalized and regarding any other possible alternative characterizations of your CD for U.S. federal income tax purposes. S-185

187 SUPPLEMENTAL PLAN OF DISTRIBUTION The CDs may be distributed through dealers who may receive a fee up to 3.25% of the aggregate face amount of the CDs being sold as a result of the services of the dealers. Please note that the information about the issue date and original issue price set forth on the cover of this disclosure statement supplement relate only to the initial distribution. This disclosure statement may be used by Goldman, Sachs & Co. in connection with offers and sales of the CDs in market-making transactions. In a market-making transaction, Goldman, Sachs & Co. may resell CDs it acquires from other holders, after the original offering and sale of the CDs. Resales of this kind may occur in the open market or may be privately negotiated, at prevailing market prices at the time of resale or at related or negotiated prices. For more information about the plan of distribution and possible market-making activities, see Plan of Distribution on page 56 of the accompanying disclosure statement. S-186

188 We have not authorized anyone to provide any information or to make any representations other than those contained in this disclosure statement supplement and the accompanying disclosure statement. We take no responsibility for, and can provide no assurance as to the reliability of, any other information that others may give you. This disclosure statement supplement and the accompanying disclosure statement is an offer to sell only the CDs offered hereby, but only under the circumstances and in jurisdictions where it is lawful to do so. The information contained in this disclosure statement supplement and the accompanying disclosure statement is current only as of the respective dates of such documents. $12,366,000 TABLE OF CONTENTS Disclosure Statement Supplement Page Goldman Sachs Bank USA Summary Information... S-2 Q&A... S-10 Truth in Savings Disclosures... S-14 Additional Risk Factors Specific to Your Certificates of Deposit... S-16 Specific Terms of Your Certificates of Deposit... S-42 Hypothetical Examples... S-48 Use of Proceeds... S-51 Hedging... S-51 The Index... S-52 The Eligible ETFs... S-74 3-Month USD LIBOR... S-184 Supplemental Discussion of United States Federal Income Tax Consequences... S-185 Supplemental Plan of Distribution... S-188 Contingent Coupon Index-Linked Certificates of Deposit due 2019 (Linked to the GS Momentum Builder Multi-Asset 2 ER Index) Disclosure Statement dated December 19, 2011 Available Information... 3 Notice to Investors... 3 Goldman Sachs Bank USA... 3 The Goldman Sachs Group, Inc Supervision and Regulation... 4 Status of Certificates of Deposit... 5 Use of Proceeds Risk Factors Description of Certificates of Deposit We May Offer Legal Ownership and Payment United States Taxation Employee Retirement Income Security Act Plan of Distribution Conflicts of Interest Annex Certificates of Deposit