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Item 1A. Risk Factors

2021-03-25 compared with 2020-03-30 · 225 added, 428 removed, 17 unchanged (97% of the section changed)

Your investment in the trust certificates will involve

certain risks.

You should carefully consider the

following discussion of risks, and the other

information included or incorporated by reference in

the applicable prospectus supplement and the

accompanying prospectus.

You should also carefully

consider any risk factors and other information that

the underlying securities guarantor may file in its

Exchange Act reports as referenced in the “Documents Incorporated by Reference”

Your investment in the trust certificates will involve certain

You should carefully consider the following discussion of risks, and the other information included or incorporated by reference

in the applicable prospectus supplement and the accompanying prospectus.

You should also carefully consider any risk factors and other

information that the underlying securities guarantor may file in its Exchange Act reports as referenced in the “Documents Incorporated

by Reference”

section above.

IF THE UNDERLYING SECURITIES ARE REDEEMED PRIOR TO THE

MATURITY DATE OF THE UNDERLYING SECURITIES OR IF ANY

CALL WARRANTS ARE EXERCISED PRIOR TO THE STATED

MATURITY DATE, YOU MAY NOT BE ABLE TO REINVEST YOUR

REDEMPTION OR CALL PROCEEDS AT A YIELD COMPARABLE TO

THE YIELD YOU WOULD HAVE RECEIVED ON YOUR TRUST

The yield you will realize on your trust certificates

depends upon several factors, including:

whether an early termination payment is payable by

the trust to the swap counterparty,

IF THE UNDERLYING SECURITIES ARE REDEEMED PRIOR TO THE MATURITY

DATE OF THE UNDERLYING SECURITIES OR IF ANY CALL WARRANTS ARE EXERCISED PRIOR TO THE STATED MATURITY DATE, YOU MAY NOT BE ABLE TO REINVEST

YOUR REDEMPTION OR CALL PROCEEDS AT A YIELD COMPARABLE TO THE YIELD YOU WOULD HAVE RECEIVED ON YOUR TRUST CERTIFICATES

The yield you will realize on your trust certificates depends

upon several factors, including:

whether an early termination payment is payable by the trust to the swap counterparty,

the purchase price of trust certificates,

when you acquire your trust certificates,

whether the underlying securities issuer exercises

its option to redeem the underlying securities,

whether the call warrant holders exercise their

optional rights to purchase outstanding trust

certificates.

The underlying securities issuer has the right to

redeem the underlying securities in whole or in part

at its option or in part if it becomes obligated to

pay additional amounts.

whether the underlying securities issuer exercises its option to redeem the underlying securities, and

whether the call warrant holders exercise their optional rights to purchase outstanding trust certificates.

The underlying securities issuer has the right to redeem the

underlying securities in whole or in part at its option or in part if it becomes obligated to pay additional amounts.

Because the underlying

securities issuer has the right to redeem the

underlying securities early, we cannot assure you that

the trust will be able to hold the underlying

securities until the maturity date of the underlying

Although the call warrant holders are not obligated to

exercise the call warrants, the yield you will realize

on your trust certificates depends on whether the call

warrant holders exercise their call warrants to

purchase the trust certificates.

Prevailing interest rates at the time of an early

redemption or a call exercise may be lower than the

yield on your trust certificates.

Therefore, you may

be unable to realize a comparable yield upon

reinvesting the funds you receive from an early

redemption or exercise of any call warrants.

addition, if the prevailing market value of the trust

certificates exceeds the redemption price or call

exercise price paid to you upon redemption of the

underlying securities or the exercise of a call, you

will not be able to realize such excess.

YOU MAY SUFFER LOSSES AS A RESULT OF ANY SWAP EARLY

TERMINATION PAYMENT UPON THE LIQUIDATION OF THE

UNDERLYING SECURITIES

securities issuer has the right to redeem the underlying securities early, we cannot assure you that the trust will be able to hold the

underlying securities until the maturity date of the underlying securities.

Although the call warrant holders are not obligated to exercise

the call warrants, the yield you will realize on your trust certificates depends on whether the call warrant holders exercise their call

warrants to purchase the trust certificates.

Prevailing interest rates at the time of an early redemption

or a call exercise may be lower than the yield on your trust certificates.

Therefore, you may be unable to realize a comparable yield

upon reinvesting the funds you receive from an early redemption or exercise of any call warrants.

In addition, if the prevailing market

value of the trust certificates exceeds the redemption price or call exercise price paid to you upon redemption of the underlying securities

or the exercise of a call, you will not be able to realize such excess.

YOU MAY SUFFER LOSSES AS A RESULT OF ANY SWAP EARLY TERMINATION

PAYMENT UPON THE LIQUIDATION OF THE UNDERLYING SECURITIES

In the event the underlying securities are liquidated as a

result of a default by the underlying securities

issuer on its obligations or the underlying securities

issuer ceases to file Exchange Act reports, or upon an

underlying securities bankruptcy event, trust swap

payment default or a trust regulatory event, you will

not receive any distributions payable to you until

after the payment of the early termination payment (if

any is then payable) to the swap counterparty.

the proceeds received from the liquidation of the

underlying securities are sufficient to pay any early

termination payment plus the certificate principal

balance and accrued and unpaid interest then due on

the trust certificates, you will suffer a loss as a

result of such early termination payment and such

This loss could be quite substantial in

relation to the total value of your trust

result of a default by the underlying securities issuer on its obligations or the underlying securities issuer ceases to file Exchange

Act reports, or upon an underlying securities bankruptcy event, trust swap payment default or a trust regulatory event, you will not receive

any distributions payable to you until after the payment of the early termination payment (if any is then payable) to the swap counterparty.

Unless the proceeds received from the liquidation of the underlying securities are sufficient to pay any early termination payment plus

the certificate principal balance and accrued and unpaid interest then due on the trust certificates, you will suffer a loss as a result

of such early termination payment and such liquidation.

This loss could be quite substantial in relation to the total value of your trust

certificates.

YOU MAY NOT BE PAID IF THE ASSETS OF THE TRUST ARE

Currently, the trust has no significant assets other

than the underlying securities, the underlying

securities guarantee and the swap agreement.

underlying securities or payments made under the

underlying securities guarantee and the swap agreement

are insufficient to make payments or distributions on

the trust certificates, no other assets will be

available for payment of the deficiency.

The underlying securities issuer conducts its business

through subsidiaries.

Accordingly, its ability to meet

its obligations under the underlying securities is

dependent on the earnings and cash flows of those

subsidiaries and the ability of those subsidiaries to

pay dividends or to advance or repay funds to the

underlying securities issuer.

In addition, the rights

that the underlying securities issuer and its

creditors would have to participate in the assets of

any such subsidiary upon the subsidiarys liquidation

or recapitalization will be subject to the prior

claims of the subsidiarys creditors.

subsidiaries of the underlying securities issuer have

incurred substantial amounts of debt in the expansion

of their businesses, and the underlying securities

issuer anticipates that certain of its subsidiaries

will do so in the future.

YOU MAY NOT RECOVER THE WHOLE OF THE PRESENT VALUE OR

STATED AMOUNT (IF APPLICABLE) OF YOUR TRUST

CERTIFICATES IF THE TRUST DISPOSES OF THE UNDERLYING

SECURITIES ON A DEFAULT BY THE UNDERLYING SECURITIES

ISSUER OR IN THE EVENT THE UNDERLYING SECURITIES

GUARANTOR CEASES FILING EXCHANGE ACT REPORTS

If the underlying securities issuer defaults on its

obligations under the underlying securities or the

underlying securities guarantor ceases to file

Exchange Act reports, then the trust will either

distribute the underlying securities to the trust

certificateholders or dispose of them and distribute

the proceeds to the trust certificateholders.

recovery in either of those events may be limited by

three factors:

if a default occurs, the market value of the

underlying securities may be adversely affected

and the proceeds of their disposition may be lower

than the aggregate present value or stated amount

(if applicable) of the trust certificates;

in either event, any distribution of funds or

underlying securities by the trust to the trust

certificateholders will be done in accordance with

the allocation ratio as described in the

applicable prospectus supplement relating to the

trust certificates.

YOU MAY NOT BE PAID IF THE ASSETS OF THE TRUST ARE INSUFFICIENT

Currently, the trust has no significant assets other than

the underlying securities, the underlying securities guarantee and the swap agreement.

If the underlying securities or payments made under

the underlying securities guarantee and the swap agreement are insufficient to make payments or distributions on the trust certificates,

no other assets will be available for payment of the deficiency.

The underlying securities issuer conducts its business through

subsidiaries.

Accordingly, its ability to meet its obligations under the underlying securities is dependent on the earnings and cash flows

of those subsidiaries and the ability of those subsidiaries to pay dividends or to advance or repay funds to the underlying securities

In addition, the rights that the underlying securities issuer and its creditors would have to participate in the assets of any

such subsidiary upon the subsidiarys liquidation or recapitalization will be subject to the prior claims of the subsidiarys

Certain subsidiaries of the underlying securities issuer have incurred substantial amounts of debt in the expansion of their

businesses, and the underlying securities issuer anticipates that certain of its subsidiaries will do so in the future.

YOU MAY NOT RECOVER THE WHOLE OF THE PRESENT VALUE OR STATED

AMOUNT (IF APPLICABLE) OF YOUR TRUST CERTIFICATES IF THE TRUST DISPOSES OF THE UNDERLYING SECURITIES ON A DEFAULT BY THE UNDERLYING SECURITIES

ISSUER OR IN THE EVENT THE UNDERLYING SECURITIES GUARANTOR CEASES FILING EXCHANGE ACT REPORTS

If the underlying securities issuer defaults on its obligations

under the underlying securities or the underlying securities guarantor ceases to file Exchange Act reports, then the trust will either

distribute the underlying securities to the trust certificateholders or dispose of them and distribute the proceeds to the trust certificateholders.

Your recovery in either of those events may be limited by three factors:

if a default occurs, the market value of the underlying securities may be adversely affected and the proceeds of their disposition may

be lower than the aggregate present value or stated amount (if applicable) of the trust certificates;

in either event, any distribution of funds or underlying securities by the trust to the trust certificateholders will be done in accordance

with the allocation ratio as described in the applicable prospectus supplement relating to the trust certificates.

The funds or aggregate

principal amount of underlying securities you

receive on that distribution may be less than the

present value or stated amount (if applicable) of

your trust certificates;

any such distribution of funds will be subject to

the payment by the trust to the swap counterparty

of any early termination payment.

principal amount of underlying securities you receive on that distribution may be less than the present value or stated amount (if applicable)

of your trust certificates;

any such distribution of funds will be subject to the payment by the trust to the swap counterparty of any early termination payment.

THE TRUSTEE WILL NOT MANAGE THE UNDERLYING SECURITIES

Except as described below, the trust will not dispose

of any underlying securities, even if an event occurs

that adversely affects the value of the underlying

securities or that adversely affects the underlying

securities issuer or the underlying securities

As provided in the applicable trust

agreement, the trust will dispose of the underlying

securities only if:

there is a payment default on any underlying

there is another type of default that accelerates

the maturity of the underlying securities, or

the underlying securities guarantor ceases to file

Exchange Act reports.

Under the first circumstance listed above, the trustee

must sell the underlying securities on behalf of the

trust, even if adverse market conditions exist.

trustee has no discretion to do otherwise.

market conditions do exist at the time of the

trustees sale of the underlying securities, you may

incur greater losses than if the trust continued to

hold the underlying securities.

THE TRUST CERTIFICATES ARE SUBJECT TO THE

CREDITWORTHINESS OF THE UNDERLYING SECURITIES ISSUER

AND THE UNDERLYING SECURITIES GUARANTOR

The trust certificates represent interests in

obligations of the underlying securities issuer and

the underlying securities guarantor.

In particular,

the trust certificates will be subject to all the

risks associated with directly investing in both

the underlying securities issuers and the underlying

securities guarantors unsecured subordinated debt

None of the underlying indenture, the

underlying securities or the underlying securities

guarantee places a limitation on the amount of

indebtedness that may be incurred by the underlying

securities issuer or underlying securities guarantor.

THE TRUSTS RIGHT TO DIRECT ACTION AGAINST THE

UNDERLYING SECURITIES GUARANTOR TO ENFORCE THE RIGHTS

OF THE UNDERLYING SECURITIES HOLDERS IS LIMITED

If a debenture event of default occurs and is

continuing, then the holders of the underlying

securities would rely on, and in certain circumstances

could cause, the trustee of the underlying securities

issuer to enforce its rights as a holder of the

underlying securities and the underlying securities

guarantee on behalf of the underlying securities

issuer against the underlying securities guarantor.

addition, any registered holder of underlying

securities may institute a legal proceeding directly

against the underlying securities guarantor to enforce

its rights against the underlying securities guarantor

without first instituting any legal proceeding against

the underlying securities trustee or any other person

THE UNDERLYING SECURITIES GUARANTOR HAS THE ABILITY TO

DEFER INTEREST PAYMENTS ON THE UNDERLYING SECURITIES

The underlying securities guarantor can, on one or

more occasions, defer interest payments on the

underlying securities for up to 10 consecutive

semiannual interest periods, but not beyond the

maturity date of the underlying securities.

underlying securities guarantor defers interest

payments on the underlying securities, the underlying

securities issuer will defer distributions on the

underlying securities.

If the underlying securities

issuer defers distributions on the underlying

securities, the trust will defer distributions on the

trust certificates during any deferral period.

additional amounts will accrue on the trust

certificates or be owed to trust certificateholders as

a result of any delay, but any additional amounts owed

and paid by the underlying securities issuer as a

result of the delay will be paid to the trust

certificateholders.

Prior to the termination of any

deferral period, the underlying securities guarantor

may further extend the deferment, but the total of all

deferral periods must not exceed 10 consecutive

semiannual interest periods or extend beyond the

maturity date.

Upon the termination of any deferral

period and the payment of all amounts then due, the

underlying securities guarantor may commence a new

deferral period, subject to the above requirements.

Because the underlying securities guarantor has the

right to defer interest payments, the market price of

the underlying securities (which represent an

undivided beneficial interest in the underlying

securities) may be more volatile than other similar

securities where the issuer does not have the right to

defer interest payments.

IF THE UNDERLYING SECURITIES GUARANTOR EXERCISES ITS

OPTION TO DEFER INTEREST PAYMENTS ON THE UNDERLYING

SECURITIES, THE TRUST CERTIFICATEHOLDERS MAY FACE

ADVERSE TAX CONSEQUENCES

Should the underlying securities guarantor exercise

its right to defer any payment of interest on the

underlying securities, each underlying securities

holder will be required to accrue interest income (as

original issue discount) in respect of the deferred

stated interest allocable to its share of the

underlying securities for United States federal income

tax purposes.

As a result, a trust certificateholder,

as a beneficial owner of the underlying securities,

would have to include this amount in gross income for

United States federal income tax purposes prior to the

receipt of any cash distributions.

In addition, the

trust certificateholder would not receive cash from

the underlying security issuer related to this income

if the trust certificateholder disposes of the trust

certificates prior to the record date on which

distributions of these amounts are made.

To the extent

the selling price is less than the trust

certificateholders adjusted tax basis (which will

include, in the form of original issue discount all

accrued but unpaid interest), the trust

certificateholder will recognize a capital loss.

Subject to limited exceptions, capital losses cannot

be applied to offset ordinary income for United States

federal income tax purposes.

THE PAYMENTS OWED TO THE TRUST CERTIFICATEHOLDERS ARE

UNSECURED OBLIGATIONS

In a liquidation, holders of the underlying

securities, including the trust, will be paid only

after holders of secured obligations of the underlying

securities issuer.

According to the underlying

securities prospectus, the underlying securities are

unsecured and rank equally with all other unsecured

and unsubordinated indebtedness of the underlying

Except as described below, the trust will not dispose of any

underlying securities, even if an event occurs that adversely affects the value of the underlying securities or that adversely affects

the underlying securities issuer or the underlying securities guarantor.

As provided in the applicable trust agreement, the trust will

dispose of the underlying securities only if:

there is a payment default on any underlying securities,

there is another type of default that accelerates the maturity of the underlying securities, or

the underlying securities guarantor ceases to file Exchange Act reports.

Under the first circumstance listed above, the trustee must

sell the underlying securities on behalf of the trust, even if adverse market conditions exist.

The trustee has no discretion to do otherwise.

If adverse market conditions do exist at the time of the trustees sale of the underlying securities, you may incur greater losses

than if the trust continued to hold the underlying securities.

THE TRUST CERTIFICATES ARE SUBJECT TO THE CREDITWORTHINESS

OF THE UNDERLYING SECURITIES ISSUER AND THE UNDERLYING SECURITIES GUARANTOR

The trust certificates represent interests in obligations

of the underlying securities issuer and the underlying securities guarantor.

In particular, the trust certificates will be subject to

all the risks associated with directly investing in both the underlying securities issuers and the underlying securities guarantors

unsecured subordinated debt obligations.

None of the underlying indenture, the underlying securities or the underlying securities guarantee

places a limitation on the amount of indebtedness that may be incurred by the underlying securities issuer or underlying securities guarantor.

THE TRUSTS RIGHT TO DIRECT ACTION AGAINST THE UNDERLYING

SECURITIES GUARANTOR TO ENFORCE THE RIGHTS OF THE UNDERLYING SECURITIES HOLDERS IS LIMITED

If a debenture event of default occurs and is continuing,

then the holders of the underlying securities would rely on, and in certain circumstances could cause, the trustee of the underlying securities

issuer to enforce its rights as a holder of the underlying securities and the underlying securities guarantee on behalf of the underlying

securities issuer against the underlying securities guarantor.

In addition, any registered holder of underlying securities may institute

a legal proceeding directly against the underlying securities guarantor to enforce its rights against the underlying securities guarantor

without first instituting any legal proceeding against the underlying securities trustee or any other person or entity.

THE UNDERLYING SECURITIES GUARANTOR HAS THE ABILITY TO DEFER

INTEREST PAYMENTS ON THE UNDERLYING SECURITIES

The underlying securities guarantor can, on one or more occasions,

defer interest payments on the underlying securities for up to 10 consecutive semiannual interest periods, but not beyond the maturity

date of the underlying securities.

If the underlying securities guarantor defers interest payments on the underlying securities, the underlying

securities issuer will defer distributions on the underlying securities.

If the underlying securities issuer defers distributions on the

underlying securities, the trust will defer distributions on the trust certificates during any deferral period.

No additional amounts

will accrue on the trust certificates or be owed to trust certificateholders as a result of any delay, but any additional amounts owed

and paid by the underlying securities issuer as a result of the delay will be paid to the trust certificateholders.

Prior to the termination

of any deferral period, the underlying securities guarantor may further extend the deferment, but the total of all deferral periods must

not exceed 10 consecutive semiannual interest periods or extend beyond the maturity date.

Upon the termination of any deferral period

and the payment of all amounts then due, the underlying securities guarantor may commence a new deferral period, subject to the above

requirements.

Because the underlying securities guarantor has the right

to defer interest payments, the market price of the underlying securities (which represent an undivided beneficial interest in the underlying

securities) may be more volatile than other similar securities where the issuer does not have the right to defer interest payments.

IF THE UNDERLYING SECURITIES GUARANTOR EXERCISES ITS OPTION

TO DEFER INTEREST PAYMENTS ON THE UNDERLYING SECURITIES, THE TRUST CERTIFICATEHOLDERS MAY FACE ADVERSE TAX CONSEQUENCES

Should the underlying securities guarantor exercise its right

to defer any payment of interest on the underlying securities, each underlying securities holder will be required to accrue interest income

(as original issue discount) in respect of the deferred stated interest allocable to its share of the underlying securities for United

States federal income tax purposes.

As a result, a trust certificateholder, as a beneficial owner of the underlying securities, would

have to include this amount in gross income for United States federal income tax purposes prior to the receipt of any cash distributions.

In addition, the trust certificateholder would not receive cash from the underlying security issuer related to this income if the trust

certificateholder disposes of the trust certificates prior to the record date on which distributions of these amounts are made.

extent the selling price is less than the trust certificateholders adjusted tax basis (which will include, in the form of original

issue discount all accrued but unpaid interest), the trust certificateholder will recognize a capital loss.

Subject to limited exceptions,

capital losses cannot be applied to offset ordinary income for United States federal income tax purposes.

THE PAYMENTS OWED TO THE TRUST CERTIFICATEHOLDERS ARE UNSECURED

In a liquidation, holders of the underlying securities, including

the trust, will be paid only after holders of secured obligations of the underlying securities issuer.

According to the underlying securities

prospectus, the underlying securities are unsecured and rank equally with all other unsecured and unsubordinated indebtedness of the underlying

securities issuer.

IF THE SWAP AGREEMENT IS TERMINATED AS A RESULT OF A

SWAP AGREEMENT TERMINATION EVENT WHICH IS NOT A TRUST

TERMINATION EVENT, THEN THE YIELD ON THE TRUST

CERTIFICATES WILL BE CONVERTED FROM A FLOATING RATE TO

A FIXED RATE AND DISTRIBUTIONS TO YOU WILL BE MADE

SEMIANNUALLY INSTEAD OF QUARTERLY

The ability of the trust to make quarterly payments on

interest rate distributions on the trust certificates

will be dependent on the performance by the swap

counterparty of its payment obligations under the swap

If the swap agreement were to be terminated

as a result of a swap agreement termination event that

is not also a trust termination event, then (i) the

trust will remain in existence without any rights or

obligations under the swap agreement and (ii) you will

receive a pro rata share of the fixed rate interest

payments received by the trust in respect of the

underlying securities on a semiannual basis, instead

of a pro rata share of the floating rate payments

under the swap agreement received by the trust on a

quarterly basis.

YOU WILL NOT RECEIVE TIMELY DISTRIBUTION ON THE TRUST

CERTIFICATES IF THE TRUST DOES NOT RECEIVE TIMELY

DISTRIBUTION ON THE UNDERLYING SECURITIES

The underlying issuer may defer the payment of interest

on the junior subordinated debentures at any time and

in each case for up to 10 semiannual consecutive

interest periods, provided that (i) no extension period

may extend beyond the stated maturity date of the

junior subordinated debentures;

and (ii) the underlying

issuer is not in default under the subordinated debt

indenture governing the junior subordinated debentures.

If there is a deferral, the underlying securities

issuer also will defer distributions on the underlying

securities and the swap counterparty will not be

obligated to make any payments to the trust pursuant to

the swap agreement.

Before any extension period ends,

the underlying issuer may elect to extend the period

At the end of any extension period and the

payment of all interest then accrued and unpaid, the

underlying issuer may elect to begin a new extension

There is no limitation on the number of

extension periods.

IF THE SWAP AGREEMENT IS TERMINATED AS A RESULT OF A SWAP

AGREEMENT TERMINATION EVENT WHICH IS NOT A TRUST TERMINATION EVENT, THEN THE YIELD ON THE TRUST CERTIFICATES WILL BE CONVERTED FROM A

FLOATING RATE TO A FIXED RATE AND DISTRIBUTIONS TO YOU WILL BE MADE SEMIANNUALLY INSTEAD OF QUARTERLY

The ability of the trust to make quarterly payments on interest

rate distributions on the trust certificates will be dependent on the performance by the swap counterparty of its payment obligations

under the swap agreement.

If the swap agreement were to be terminated as a result of a swap agreement termination event that is not also

a trust termination event, then (i) the trust will remain in existence without any rights or obligations under the swap agreement

and (ii) you will receive a pro rata share of the fixed rate interest payments received by the trust in respect of the underlying

securities on a semiannual basis, instead of a pro rata share of the floating rate payments under the swap agreement received by the trust

on a quarterly basis.

YOU WILL NOT RECEIVE TIMELY DISTRIBUTION ON THE TRUST CERTIFICATES

IF THE TRUST DOES NOT RECEIVE TIMELY DISTRIBUTION ON THE UNDERLYING SECURITIES

The underlying issuer may defer the payment of interest on

the junior subordinated debentures at any time and in each case for up to 10 semiannual consecutive interest periods, provided that (i) no

extension period may extend beyond the stated maturity date of the junior subordinated debentures;

and (ii) the underlying issuer

is not in default under the subordinated debt indenture governing the junior subordinated debentures.

If there is a deferral, the underlying

securities issuer also will defer distributions on the underlying securities and the swap counterparty will not be obligated to make any

payments to the trust pursuant to the swap agreement.

Before any extension period ends, the underlying issuer may elect to extend the

period further.

At the end of any extension period and the payment of all interest then accrued and unpaid, the underlying issuer may

elect to begin a new extension period.

There is no limitation on the number of extension periods.

If the underlying securities issuer

does not pay amounts due under the underlying

securities, as a result of a deferral, the swap

counterparty is not obligated to make payments to the

trust, and the trust will not make any corresponding

payments on the trust certificates.

Should the underlying issuer elected to exercise its

right to defer payments of interest on the junior

subordinated debentures in the future, the market

price of the underlying securities is likely to be

adversely affected.

In addition, merely as a result of

the existence of the underlying issuers right to

defer payments of interest on the junior subordinated

debentures, the market price of the underlying

securities may be more volatile than the market prices

of other securities that are not subject to such

DISTRIBUTIONS AND OTHER PAYMENTS WITH RESPECT TO YOUR

TRUST CERTIFICATES AND YOUR EXPECTED INVESTMENT YIELD

MAY BE AFFECTED BY FACTORS SUCH AS THE PERFORMANCE OF

THE TRUST ASSETS, THE REDEMPTION OF THE UNDERLYING

SECURITIES AND THE EARLY TERMINATION OF THE SWAP

A number of factors may affect the timing of

distributions with respect to your trust certificates

and the yield that you realize on your trust

certificates, including:

the purchase price you pay for your trust

certificates;

the interest rate on the trust certificates, which

will be greater than or equal to 3.00% and will

not exceed 8.00%;

does not pay amounts due under the underlying securities, as a result of a deferral, the swap counterparty is not obligated to make payments

to the trust, and the trust will not make any corresponding payments on the trust certificates.

Should the underlying issuer elected to exercise its right

to defer payments of interest on the junior subordinated debentures in the future, the market price of the underlying securities is likely

to be adversely affected.

In addition, merely as a result of the existence of the underlying issuers right to defer payments of

interest on the junior subordinated debentures, the market price of the underlying securities may be more volatile than the market prices

of other securities that are not subject to such deferrals.

DISTRIBUTIONS AND OTHER PAYMENTS WITH RESPECT TO YOUR TRUST

CERTIFICATES AND YOUR EXPECTED INVESTMENT YIELD MAY BE AFFECTED BY FACTORS SUCH AS THE PERFORMANCE OF THE TRUST ASSETS, THE REDEMPTION

OF THE UNDERLYING SECURITIES AND THE EARLY TERMINATION OF THE SWAP AGREEMENT

A number of factors may affect the timing of distributions

with respect to your trust certificates and the yield that you realize on your trust certificates, including:

the purchase price you pay for your trust certificates;

the interest rate on the trust certificates, which will be greater than or equal to 3.00% and will not exceed 8.00%;

the performance of the underlying securities;

whether the underlying securities issuer redeems,

repurchases or repays the underlying securities

before their maturity;

whether the underlying security guarantor elects

to defer interest payments on the underlying

whether the underlying securities issuer defaults

under the underlying securities;

the possibility that if there is a swap

termination event that is not a trust termination

event a fixed rate of 6.345% per annum will be

payable on the trust certificates, instead of the

floating rate distribution amount payable under

the swap agreement;

the possibility that the swap agreement may be

terminated early in certain circumstances,

resulting in the termination of the trust prior to

its scheduled termination date;

whether the holder of the call options exercises

its call options on your trust certificates.

We can not predict whether or when the call options

will be exercised, whether the underlying securities

will be redeemed, repaid, repurchased or accelerated

or whether interest on the underlying securities will

If the trust certificates are prepaid or

if the holder of the call options exercises its call

options prior to the final distribution date, then the

principal of your trust certificates or the call price

will be paid to the extent funds are received on the

underlying securities or the holder of the call

options pays the call price and your investment in the

trust certificates will have a shorter average

UPON A SWAP TERMINATION EVENT WHEREBY THE SWAP

COUNTERPARTY IS THE DEFAULTING PARTY OR AFFECTED

PARTY, YOU ARE NOT LIKELY TO RECEIVE FROM THE SWAP

COUNTERPARTY ANY INTEREST THAT HAS ACCRUED

Upon a swap termination event that is not a trust

termination event whereby the swap counterparty is the

defaulting party (especially upon the bankruptcy,

insolvency or reorganization of the swap counterparty),

it is unlikely that you will receive from the swap

counterparty any interest that has accrued since the

last quarterly payment of the interest distribution

IF THE TRUST CERTIFICATES ARE PREPAID WHEN PREVAILING

MARKET INTEREST RATES FOR SECURITIES OF A COMPARABLE

CREDIT RATING ARE LOWER THAN THE YIELD ON YOUR TRUST

CERTIFICATES, YOU MAY BE UNABLE TO REALIZE A

COMPARABLE YIELD WHEN YOU REINVEST THE FUNDS THAT YOU

RECEIVE FROM THE PREPAYMENT OF YOUR TRUST

If the trust certificates are prepaid when prevailing

market interest rates for securities of a comparable

credit rating are lower than the yield on your trust

certificates, you may be unable to realize a

comparable yield when you reinvest the funds that you

receive from the prepayment of your trust

certificates.

The interest rate cap on the trust

certificates may limit your interest payments and may

negatively impact the market value of your trust

certificates.

The interest paid on the trust certificates is based

on a floating rate that will not exceed 8.00%.

interest rates exceed 8.00%, your trust certificates

will not receive interest based on the higher interest

rate but rather will be capped at 8.00%.

the market value of your trust certificates will also

be negatively affected as interest rates rise.

THE INTEREST RATE CAP ON THE TRUST CERTIFICATES MAY

NEGATIVELY IMPACT THE MARKET VALUE OF YOUR TRUST

The interest paid on the trust certificates is based

on a floating rate that will not exceed 8.00%.

Therefore, the market value of your trust certificates

may be negatively affected as interest rates rise.

whether the underlying securities issuer redeems, repurchases or repays the underlying securities before their maturity;

whether the underlying security guarantor elects to defer interest payments on the underlying securities;

whether the underlying securities issuer defaults under the underlying securities;

the possibility that if there is a swap termination event that is not a trust termination event a fixed rate of 6.345% per annum will

be payable on the trust certificates, instead of the floating rate distribution amount payable under the swap agreement;

the possibility that the swap agreement may be terminated early in certain circumstances, resulting in the termination of the trust prior

to its scheduled termination date;

whether the holder of the call options exercises its call options on your trust certificates.

We can not predict whether or when the call options will be

exercised, whether the underlying securities will be redeemed, repaid, repurchased or accelerated or whether interest on the underlying

securities will be deferred.

If the trust certificates are prepaid or if the holder of the call options exercises its call options prior

to the final distribution date, then the principal of your trust certificates or the call price will be paid to the extent funds are received

on the underlying securities or the holder of the call options pays the call price and your investment in the trust certificates will

have a shorter average maturity.

UPON A SWAP TERMINATION EVENT WHEREBY THE SWAP COUNTERPARTY

IS THE DEFAULTING PARTY OR AFFECTED PARTY, YOU ARE NOT LIKELY TO RECEIVE FROM THE SWAP COUNTERPARTY ANY INTEREST THAT HAS ACCRUED

Upon a swap termination event that is not a trust termination

event whereby the swap counterparty is the defaulting party (especially upon the bankruptcy, insolvency or reorganization of the swap

counterparty), it is unlikely that you will receive from the swap counterparty any interest that has accrued since the last quarterly

payment of the interest distribution amount.

IF THE TRUST CERTIFICATES ARE PREPAID WHEN PREVAILING MARKET

INTEREST RATES FOR SECURITIES OF A COMPARABLE CREDIT RATING ARE LOWER THAN THE YIELD ON YOUR TRUST CERTIFICATES, YOU MAY BE UNABLE TO

REALIZE A COMPARABLE YIELD WHEN YOU REINVEST THE FUNDS THAT YOU RECEIVE FROM THE PREPAYMENT OF YOUR TRUST CERTIFICATES

If the trust certificates are prepaid when prevailing market

interest rates for securities of a comparable credit rating are lower than the yield on your trust certificates, you may be unable to

realize a comparable yield when you reinvest the funds that you receive from the prepayment of your trust certificates.

The interest rate

cap on the trust certificates may limit your interest payments and may negatively impact the market value of your trust certificates.

The interest paid on the trust certificates is based on a

floating rate that will not exceed 8.00%.

If interest rates exceed 8.00%, your trust certificates will not receive interest based on the

higher interest rate but rather will be capped at 8.00%.

Therefore, the market value of your trust certificates will also be negatively

affected as interest rates rise.

THE INTEREST RATE CAP ON THE TRUST CERTIFICATES MAY NEGATIVELY

IMPACT THE MARKET VALUE OF YOUR TRUST CERTIFICATES

The interest paid on the trust certificates is based on a

floating rate that will not exceed 8.00%.

Therefore, the market value of your trust certificates may be negatively affected as interest

THE RATINGS OF THE TRUST CERTIFICATES MAY CHANGE

At the time of issuance, S&P assigned ratings to the

trust certificates equivalent to the ratings of the

underlying securities, as of the date of the

applicable prospectus supplement.

Any rating issued with respect to the trust

certificates is not a recommendation to purchase, sell

or hold a security.

Ratings do not comment on the

market price of the trust certificates or their

trust certificates equivalent to the ratings of the underlying securities, as of the date of the applicable prospectus supplement.

Any rating issued with respect to the trust certificates is

not a recommendation to purchase, sell or hold a security.

Ratings do not comment on the market price of the trust certificates or their

suitability for a particular investor.

assure you that the ratings will remain for any given

period of time or that a ratings agency would not

revise or withdraw entirely the ratings if, in its

judgment, circumstances (including, without

limitation, the rating of the underlying securities)

A revision or withdrawal of a rating may

adversely affect the market price of the trust

certificates.

We cannot assure you that the ratings will remain for any given period of time or that a ratings

agency would not revise or withdraw entirely the ratings if, in its judgment, circumstances (including, without limitation, the rating

of the underlying securities) merit.

A revision or withdrawal of a rating may adversely affect the market price of the trust certificates.

UNRESOLVED STAFF COMMENTS

2 unchanged sentences

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What changed 10-K

Item 1A. Risk Factors