2011 Structured Products Awards

Selection Criteria Products were selected on a combination of innovation, performance, and suitability for their target markets. A total universe of 2000 US structured products were considered to create a short list of 16 and 4 winners from that list. In order to be included a product had to be genuinely innovative or a strong performer ideally with an element of innovation or judicious market timing. A product was classed as innovative if it linked to an unusual underlying, had a new payoff structure or had some other new feature which was of benefit to investors. The performance of the product also had to be strong compared to its benchmarks. To be counted as one of the best of its class a product had to show exceptional performance or structure based on market timing or choice of underlying asset. It also needed an element of innovation. The results show an interesting spread across issuers, asset classes and product payoff types illustrating the diversity, strength in depth and innovation in the US market as it continues into 2011 and beyond.

Innovative Structured Trade of the Year Barclays S&P 500 VIX Short-Term Futures and S&P 500 VIX Mid-Term Futures Indices This product is linked to a complex set of indices designed to trac a portfolio consisting of a long position (70%) on the S&P Mid-Term Futures Index and a short position (30%) on the S&P 500 VIX Short-Term Futures Index. This is a dynamic product combining long and short volatility positions which is unique from the typical products sold in the retail market.

Structured Interest Rate Product of the Year Morgan Stanley Range Accrual Note First two years pays fixed 10% per annum, thereafter pays 10% p.a. for each 30 year CMS greater than the 2 year CMS and Russell 2000 (RUT) > $525. This offers a high fixed rate for the first two years and then the potential to achieve a high annual rate after that. It sold $49,000,000. The strike level of RUT was $685 and is now $785.

Structured Single Equity Trade of the Year Goldman Sachs Buffered Equity Index-Linked Notes This accelerated growth product issued by Royal Bank of Canada utilizes the popular accelerated growth format and is linked to the MSCI EAFE Index. It scored extremely highly on Structured Edge.com, which is the reason for its inclusion.

Structured Commodities Trade of the Year Bank of America Merrill Lynch Capped Leverage Index Return Notes Accelerated growth product linked to the price of palladium. The structure accurately predicted the rise in the price of palladium and offers the investor a chance to benefit from any price via enhanced participation. The product pays 2.67 times any rise subject to a product cap of 41.6% over 18 months. The price of palladium has continued to rise since the product struck last May

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