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  1. 1. Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund Best UCITS Platform:
  2. 2. For more information on the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund please contact: PAUL HOLMES Bank of America Merrill Lynch [email_address] tel: +44 20 7995 3299 Contact Information
  3. 3. Important Note Investors are urged to seek independent advice and to conduct their own due diligence processes regarding the legal, regulatory, tax or financial implications of any investment. These should include investigations regarding the suitability of the product to meet their Investment objectives, parameters and constraints, the investment rationale of the product, and the personnel and procedures employed by the Investment Manager to the Fund. They should also include assessment of the operational aspects of the Sub-Funds, and the relevant legal, regulatory, tax and similar framework. Investors are urged to review these findings on a regular and ongoing basis, as circumstances may change. Please note that the Sub-Funds are not approved for retail distribution in all jurisdictions - we invite you to contact Merrill Lynch Investment Solutions to receive the current status Please also note that this presentation is not approved for distribution to retail investors.
  4. 4. Table of Contents <ul><li>Part 1: Westchester Capital Management, LLC </li></ul><ul><li>Part 2: The Merger Fund Ltd. </li></ul><ul><li>Part 3: Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund </li></ul><ul><li>Appendix 1: Historical Performance of The Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund </li></ul><ul><li>Appendix 2: Historical Performance of The Merger Fund Ltd. </li></ul><ul><li>Appendix 3: The Westchester Capital Management Team </li></ul><ul><li>Risk Factors </li></ul>
  5. 5. Part 1: Westchester Capital Management, LLC
  6. 6. Westchester Capital Management, LLC Source: Westchester Capital Management, LLC Westchester Capital Management, LLC has over 30 years of investment experience for institutional and individual investors. <ul><li>Firm </li></ul><ul><ul><li>Founded in 1980 </li></ul></ul><ul><ul><li>Independent; employee owned </li></ul></ul><ul><ul><li>Merger Arbitrage is our ONLY business </li></ul></ul><ul><li>People </li></ul><ul><ul><li>Institutional infrastructure supported by best-in-class service providers </li></ul></ul><ul><ul><li>Principals and employees invested alongside clients in all funds </li></ul></ul><ul><ul><li>No investment professional turnover since firm inception </li></ul></ul><ul><li>Scale </li></ul><ul><ul><li>Access to top-tier law firms and industry consultants; enhanced relationships with sell-side analysts, traders, and stock-loan departments </li></ul></ul>1 As of October 31, 2011. Westchester Capital Management, LLC – Founded in 1980; Green & Smith Investment Management L.L.C. – Founded in 1996. Figures may not add due to rounding.
  7. 7. Portfolio Manager Background Source: Westchester Capital Management, LLC <ul><li>Roy D. Behren, Portfolio Manager; 2006 - Present </li></ul><ul><ul><li>Analyst – Westchester Capital Management; 1994 - 2006 </li></ul></ul><ul><ul><li>Enforcement Attorney – Securities and Exchange Commission; 1987 - 1994 </li></ul></ul><ul><ul><li>BS, Economics – The Wharton School; J.D. – University of Miami Law School; LL.M in corporate law – New York University of Law </li></ul></ul><ul><li>Michael T. Shannon CFA, Portfolio Manager; 2006 - Present </li></ul><ul><ul><li>Senior Vice President, Mergers and Special Situations – D.E. Shaw & Co.; 2005 - 2006 </li></ul></ul><ul><ul><li>Analyst – Westchester Capital Management; 1996 - 2005 </li></ul></ul><ul><ul><li>Corporate Finance, Mergers & Acquisitions and Equity Research Group – J.P. Morgan & Co.; 1988 - 1996 </li></ul></ul><ul><ul><li>BS, Finance – Boston College </li></ul></ul>
  8. 8. Investment Resources Extensive resources provide for both in-house and outsourced research expertise Source: Westchester Capital Management, LLC
  9. 9. Part 2: The Merger Fund Ltd. Information on The Merger Fund Ltd. is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund will differ from The Merger Fund Ltd. and therefore historic data should be interpreted accordingly.
  10. 10. The Merger Fund Ltd. – Executive Summary Source: Westchester Capital Management, LLC <ul><li>The Merger Fund Ltd. (the “Fund”) is a global, merger arbitrage hedge fund which principally invests in publicly announced mergers, acquisitions, takeovers and other corporate reorganizations, with the goal of profiting from the timely completion of these transactions. </li></ul><ul><li>The Fund is managed parallel to The Merger Fund ® , which has $5.0 billion in AUM </li></ul><ul><ul><li>The Fund offers additional flexibility and leverage to meet investor’s overall risk/return objectives </li></ul></ul><ul><li>Strong track record utilizing the merger arbitrage strategies through all market cycles </li></ul><ul><ul><li>Invested in more than 2,500 corporate reorganizations over three decades </li></ul></ul><ul><ul><li>Has consistently provided equity-like returns with bond-like risk since inception </li></ul></ul><ul><li>Investment philosophy </li></ul><ul><ul><li>Utilizes qualitative, quantitative and fundamental analyses to identify positions </li></ul></ul><ul><ul><li>Focuses on highly liquid situations throughout the globe </li></ul></ul><ul><ul><li>Broadly diversified portfolio containing 40-65 positions </li></ul></ul><ul><ul><li>Uses macro and sector hedges via the purchase of put options to hedge residual market or sector exposure </li></ul></ul>
  11. 11. The Merger Fund Ltd. – Investment Philosophy Our investments are predicated ONLY on the successful completion of the corporate event. Source: Westchester Capital Management, LLC <ul><li>Create a portfolio of high conviction ideas from global markets </li></ul><ul><li>Invest in highly liquid situations across the globe </li></ul><ul><ul><li>Although the Fund invests principally in equities, it is capital-structure agnostic. </li></ul></ul><ul><li>Focus on absolute returns, not relative value </li></ul><ul><ul><li>Fully hedge directional correlation and exposure both at the individual deal level and at the macro level, and </li></ul></ul><ul><ul><li>At the same time, we concentrate on minimizing volatility and transaction risk. </li></ul></ul><ul><li>Avoid speculative situations; we do not invest on rumor </li></ul><ul><ul><li>Every investment thesis must be fact-based and should have a defined timeline and expected rate of return. </li></ul></ul>
  12. 12. The Merger Fund Ltd. – Investment Process Source: Westchester Capital Management, LLC <ul><li>Idea Generation </li></ul><ul><li>Primary research targeting merger-arbitrage situations and other event-driven opportunities </li></ul><ul><li>Analysis </li></ul><ul><li>Forecasts of the trade’s upside, downside and probability of success </li></ul><ul><ul><li>Primary research, including company visits and input from competitors and customers, legal counsel (including specialists in antitrust, regulatory, telecommunications and intellectual property law), economists, industry consultants and sell-side analysts </li></ul></ul><ul><li>Portfolio Optimization </li></ul><ul><li>Security selection, position sizing and ongoing monitoring </li></ul><ul><ul><li>Calculation of both the expected return (reward) and variability (risk) of the outcomes and, ranking of the potential investments we are tracking to determine the price at which we would transact </li></ul></ul><ul><ul><li>The Fund favors positions with higher reward-to-risk ratios rather than higher gross returns </li></ul></ul>
  13. 13. Portfolio Optimization – “Alpha” Source: Westchester Capital Management, LLC Information on The Merger Fund Ltd. is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund will differ from The Merger Fund Ltd. and therefore historic data should be interpreted accordingly. Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. Event Time Period The Merger Fund Ltd. HFRX Event Driven Index S&P 500 2010 Sovereign Debt Crisis 5/10 – 6/10 -0.87% -3.74% -12.80% Credit Crisis 11/07 - 2/09 0.61% -23.87% -50.95% Tech Bubble 9/00 - 9/02 -9.85% 3.43% -44.73% Long-Term Capital Management 7/98 - 8/98 -5.87% -9.57% -15.37% Average -3.99% -8.44% -30.96%
  14. 14. Portfolio Construction Source: Westchester Capital Management, LLC <ul><li>Focus on targeted number of high conviction positions </li></ul><ul><li>Approximately 45-60 active long and short positions </li></ul><ul><li>Typical position size: 3.0% - 3.5% </li></ul><ul><li>Typical international exposure: 30% </li></ul><ul><li>Hedge directional correlation and exposure both at the individual deal level and macro level </li></ul><ul><li>Typical position holding period: 3 – 5 months </li></ul><ul><li>Actively manage portfolio composition </li></ul><ul><li>Ensure position and portfolio liquidity in order to maintain the ability to easily reallocate capital </li></ul><ul><li>The de-risking process triggers when: </li></ul><ul><li>(1) risk/reward relationship is no longer favorable, </li></ul><ul><li>(2) there is concern about the status of the transaction </li></ul>The Fund only invests in publicly announced, highly liquid situations that have a defined “ date with destiny ” .
  15. 15. Risk Management Source: Westchester Capital Management, LLC *LMV = Long market value. <ul><li>The Fund attempts to maintain a low correlation with markets through the following use of sector/industry/market and currency hedges: </li></ul><ul><ul><li>Stock-for-Stock transaction : fully sell short the appropriate number of acquiring company shares that are to be received as consideration for the transaction </li></ul></ul><ul><ul><li>Residual Market or Sector Exposure : hedge through use of macro sector hedges, typically via put options </li></ul></ul><ul><ul><li>Foreign Transactions : make forward sales of the currency to be paid as of the expected date of deal closing </li></ul></ul>Guidelines Position Size <10% of Fund net assets Industry Exposure <25% of Fund net assets Leverage <200% LMV*
  16. 16. <ul><li>Having invested in over 2,500 corporate reorganizations and other event-driven situations, we’re among the most experienced players in our space. </li></ul><ul><li>Our scale and strong Wall Street relationships give us a competitive edge when it comes to research, trading and access to hard-to-borrow securities. </li></ul><ul><li>Because we manage SEC-registered mutual funds , we are subject to a level of regulatory scrutiny which is atypical of the hedge-fund universe. </li></ul><ul><li>Our interests are completely aligned with those of our investors . WCM limits personal trading, and each of our portfolio managers has committed the bulk of his investable assets to one or more of our funds. </li></ul><ul><li>7.93% annualized return ; 5.82% standard deviation ; 0.20 beta to the market since inception. </li></ul>Rationale for Investing with Westchester Capital Management, LLC Source: Westchester Capital Management, LLC Inception: January 1996 through October 2011 The performance figures shown above for The Merger Fund Ltd. are net of all fees and expenses. The performance results portrayed herein reflect the reinvestment of all interest, dividends and distributions. Past performance is not a guarantee of future results.
  17. 17. Part 3: The Merrill Lynch Investment Solutions - Westchester Merger Arbitrage UCITS Fund
  18. 18. The UCITS Framework <ul><ul><li>The UCITS framework provides access to Alternative Investments in a liquid and transparent format </li></ul></ul><ul><ul><li>Highly regulated for investor protection </li></ul></ul>Regulated Fund Asset Protection Investment Parameters Liquidity and Transparency <ul><li>UCITS is the recognised “gold standard” across Europe, Asia and Latin America </li></ul><ul><li>Favourable tax treatment for some investors in some jurisdictions </li></ul><ul><li>Limited counterparty exposure </li></ul><ul><li>Ring-fenced assets </li></ul><ul><li>Risk management processes established by regulators </li></ul><ul><li>Concentration limits to sectors and single names </li></ul><ul><li>Permissible investments and markets are set out within the UCITS rules </li></ul><ul><li>Daily liquidity </li></ul><ul><li>Daily official NAV </li></ul><ul><li>Monthly factsheets containing performance and risk information </li></ul><ul><li>Potential for increased asset allocation: classified as mutual fund not alternative </li></ul><ul><li>Independent oversight of assets/Price verification and accounting performed by third parties </li></ul>
  19. 19. <ul><li>Merrill Lynch has established a UCITS Compliant Luxembourg SICAV (Merrill Lynch Investment Solutions), authorised by the Luxembourg regulator – Commission de Surveillance du Secteur Financier (CSSF) </li></ul><ul><li>Westchester Capital Management, LLC is the Investment Manager for the Merrill Lynch Investment Solutions - Westchester Merger Arbitrage UCITS Fund (a Sub-Fund of the SICAV). </li></ul><ul><ul><li>The SICAV contains other Sub-Funds; additional Sub-Funds will be added to the SICAV in due course. The assets of each Sub-Fund are individually ring-fenced </li></ul></ul><ul><li>Merrill Lynch International acts as Sponsor for the SICAV and as such is responsible for the operation and oversight of the SICAV. This includes the following duties: </li></ul><ul><ul><li>Obtaining regulatory approval for the SICAV and related Sub-Funds </li></ul></ul><ul><ul><li>Selection of top-tier investment managers; extensive due diligence process </li></ul></ul><ul><ul><li>Appointment of independent, top quality service providers, including custodian and independent administrator </li></ul></ul><ul><ul><li>Cash control connected with the management and operation of the Fund </li></ul></ul><ul><ul><li>Risk monitoring and oversight of the Fund in accordance with UCITS regulations and the investment policy </li></ul></ul><ul><ul><li>Independent trade monitoring and validation of NAV levels provided by the third-party administrator </li></ul></ul><ul><ul><li>Superior client reporting: including daily official NAV publication; monthly factsheets; regular investor calls </li></ul></ul><ul><li>The Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund has been passported for public offering into UK, Ireland, France, Germany, Italy and Spain </li></ul>Bank of America Merrill Lynch’s Role as a Sponsor
  20. 20. * Bank of America Merrill Lynch has selected a SICAV structure whereby assets of each Sub-Fund are individually ring-fenced. With regard to the shareholders, each Sub-Fund is regarded as being a separate entity. Bank of America Merrill Lynch SICAV Sub - Fund Westchester Merger Arbitrage UCITS Fund Sub-Fund B Sub-Fund C Sub - Fund D Sub - Fund E Sub - Fund F Sub - Fund G Investment Manager Westchester Capital Management, LLC Investment Manager B Investment Manager C Umbrella SICAV* Investment Manager D Investment Manager E Investment Manager F Investment Manager G Bank of America Merrill Lynch SICAV Structure
  21. 21. Bank of America Merrill Lynch SICAV Risk Management Merrill Lynch SICAV ** Custodian and Sponsor have specific, direct legal responsibility to investors under UCITS regulation Bank of America Merrill Lynch SICAV Administrator Societe Generale Security Services S.A. Custodian ** Societe Generale Bank and Trust Luxembourg Global Sub Custodian Merrill Lynch International ML Pro Sponsor ** Merrill Lynch International Transfer Agent European Fund Services S.A.  Independent NAV calculation  Independent position valuation  Reconciliation functions  Independent oversight of assets held at Sub - Custodian/ OTC counterparties  Segregated Custody Accounts  No pledge of Assets (Rehypothecation)  Board of Directors and Dirigeants (Risk Managers) of SICAV  Management and Oversight of SICAV  Full position transparency - Independent NAV verification - Reconciliation for functions - Independent Risk Management to ensure compliance with UCITS  Subscription and redemption  Shareholder register Board of Directors and Dirigeants (Risk Managers) Representatives of the Sponsor (MLI) and independent directors  Management and Oversight of SICAV  Monitoring of investment activities of the investment manager to ensure no breach of the investment policy and/or UCITS rules rules
  22. 22. <ul><ul><li>Compliance with the UCITS regulations dictate that there will be tracking differences between The Merger Fund Ltd., and the Westchester Merger Arbitrage UCITS Fund as marketed under the Merrill Lynch Investment Solutions Umbrella </li></ul></ul><ul><ul><li>The divergence relates mostly to administration costs and portfolio construction and are contingent on position taking and market </li></ul></ul><ul><ul><li>conditions </li></ul></ul><ul><ul><ul><li>i) Administration Costs </li></ul></ul></ul><ul><ul><ul><li>Westchester Capital Merger Arbitrage UCITS Fund has daily official NAVs and daily liquidity, whereas The Merger Fund Ltd. has monthly liquidity. This results in higher administration costs </li></ul></ul></ul><ul><ul><ul><li>ii) Portfolio Construction </li></ul></ul></ul><ul><ul><ul><li>Westchester Capital Merger Arbitrage UCITS Fund is subject to certain concentration limits that may result in restricted position taking at certain times vis-à-vis The Merger Fund Ltd. However, based on past positions, this is not anticipated to be a cause of significant tracking difference </li></ul></ul></ul><ul><ul><li>The Merger Fund Ltd. strategy is liquid and diverse, and as such, it is not anticipated that it will be significantly tailored to comply with the UCITS regulation </li></ul></ul>Difference Between Offshore and UCITS Funds
  23. 23. Sponsor Investment Manager Investment Strategy Domicile Launch Date Share Classes Currency Denomination Issue Price Minimum Subscription Dealing Subscription Deadline Redemption Deadline Valuation Day Total Sum of Investment Management Fee and Distribution Fee Performance Fee Sales Charge Redemption Charge Administrative and Operating Fee Merrill Lynch International Westchester Capital Management, LLC Event-Driven Luxembourg 18 July 2011 Accumulation Shares Euros (Acc.), Sterling (Acc.) and US$ (Acc.) € 100, £100 and US$100 € 1m, £1m and US$1m Daily 12 p.m. Luxembourg time; 2 Banking days prior to the relevant Valuation Day 12 p.m. Luxembourg time; 2 Banking days prior to the relevant Valuation Day Every day of the week that is a Banking Day B Shares: 1.5% p.a. B Shares: 20% of New Net Appreciation None 0.4% p.a. Share Class Details
  24. 24. Appendix 1: Historical Performance of MLIS - Westchester Merger Arbitrage UCITS Fund
  25. 25. Monthly Performance - Inception July 18, 2011 – October 2011 1 Source: Bank of America Merrill Lynch 1 Performance of the reference share class (USD B acc) * Fund inception on July 18, 2011 Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. 2011 Performance July (18-29) August September October Fund inception to end of October MLIS Westchester Merger Arbitrage UCITS Fund* -0.25% -2.11% -0.79 3.04% -0.17% HFRX Event-Driven -0.25% -4.05% -2.20% 2.11% -4.42% S&P 500 -1.01% -5.68% -7.18% 10.77% -3.99%
  26. 26. Appendix 2: Historical Performance of The Merger Fund Ltd.
  27. 27. Equity-Like Returns with Bond-like Risk Source: Westchester Capital Management, LLC 1 Performance calculations are based upon the most common start date among the various comparative benchmarks. The earliest common period is that of the HFRX Event Driven Index with an inception year of 1998. The performance figures shown above for The Merger Fund Ltd. are net of all fees and expenses. The performance results portrayed herein reflect the reinvestment of all interest, dividends and distributions. Past performance is not indicative of future results. Comparison of historical index performance January 1998 1 – October 2011 Information on The Merger Fund Ltd. is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund will differ from The Merger Fund Ltd. and therefore historic data should be interpreted accordingly. Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested.
  28. 28. Monthly Performance - Inception January 1996 – October 2011 Source: Westchester Capital Management, LLC Information on The Merger Fund Ltd. is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund will differ from The Merger Fund Ltd. and therefore historic data should be interpreted accordingly. Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year 2011 1.39% 0.48% 1.45% 0.91%  0.14  -0.17 -1.24% -2.70  -1.54%  2.48      1.09% 2010 0.95% 0.28% 1.04% 0.12% -1.52% 0.66% 0.88% 0.78% 0.98% 0.24% 0.12% 0.58% 5.21% 2009 0.29% -0.14% 3.96% 1.30% 0.34% 1.08% 0.17% 1.00% 0.96% 1.01% 0.29% 1.71% 12.57% 2008 -2.94% 1.49% -2.91% 3.60% 2.19% -4.65% 2.44% 2.42% -2.79% -2.36% -0.49% 5.95% 1.38% 2007 1.09% 1.04% 0.88% 1.21% 1.57% -0.29% -1.25% 2.39% 0.15% 1.31% -0.79% -0.11% 7.35% 2006 3.79% 2.65% 0.93% 0.29% 0.63% 2.37% 0.37% 1.50% 0.56% 0.79% 0.12% 0.94% 15.92% 2005 -0.09% -0.42% 0.79% -0.42% 1.02% 0.23% 1.98% 0.72% 0.27% -3.22% 1.25% 1.05% 3.12% 2004 1.59% 0.19% 0.00% -0.24% 0.00% -1.19% -2.21% 0.88% -0.19% 0.54% 1.65% 2.53% 3.51% 2003 0.30% -0.08% 0.32% 1.61% 2.17% 1.60% 1.10% 0.90% 1.20% 1.13% 0.49% 0.83% 12.19% 2002 0.69% -1.47% 1.14% -2.21% 0.65% -8.58% -6.16% 1.45% -0.40% 3.45% 3.78% -0.80% -8.82% 2001 1.70% 0.84% -1.71% 1.19% 1.28% -1.31% 1.57% 0.63% -2.74% 1.14% -0.68% -0.25% 1.55% 2000 1.22% 1.61% 1.64% 1.73% 0.66% 1.85% 1.23% 1.69% 1.50% 0.66% 1.32% 0.15% 16.36% 1999 1.18% 2.12% 0.80% 1.40% 2.30% 3.08% 1.37% 0.25% 1.41% 0.84% 2.75% 0.06% 18.98% 1998 -0.38% 1.74% 0.22% 2.01% 0.58% 2.54% -0.78% -5.13% 0.60% 2.91% 2.47% 2.19% 9.06% 1997 1.64% 0.34% 0.51% 0.25% 2.35% 1.72% 0.73% 1.60% 0.55% 1.33% 1.55% 0.84% 14.24% 1996 1.80% 1.77% 1.74% 0.19% 1.70% 0.65% 0.09% 1.76% 1.82% 0.18% 1.96% 1.22% 15.90%
  29. 29. Why Volatility Matters Source: Westchester Capital Management, LLC, Pertrac December 31, 2010. *Internal Rate of Return (IRR): the annualized effective compounded return rate which can be earned on the invested capital. The performance figures shown above for The Merger Fund Ltd. are net of all fees and expenses. The performance results portrayed herein reflect the reinvestment of all interest, dividends and distributions. Indices are unmanaged and unavailable for direct investment. Past performance is not indicative of future results. A typical investor would not invest in 1996 and let it “ride” until 2010– most people invest every year. Internal rate of return (IRR) is what matters in terms of actual performance. 30% more dollars with 1/3 the volatility Information on The Merger Fund Ltd. is provided for information purposes only to illustrate the investment process. Performance and investments of the Merrill Lynch Investment Solutions – Westchester Merger Arbitrage UCITS Fund will differ from The Merger Fund Ltd. and therefore historic data should be interpreted accordingly. Performance and risk profile presented represents past performance, which is no guarantee of future results, and current performance may be lower or higher than the figures shown. Investment returns and principal value may fluctuate and there is no guarantee of a return on capital. Investors may not receive back the amount invested. S&P 500 (%) The Merger Fund Ltd.(%) 1996 22.96 15.90 1997 33.36 14.24 1998 28.58 9.06 1999 21.04 18.98 2000 -9.11 16.36 2001 -11.88 1.55 2002 -22.1 -8.82 2003 28.68 12.19 2004 10.88 3.51 2005 4.91 3.12 2006 15.79 15.92 2007 5.49 7.35 2008 -37.00 1.38 2009 26.46 12.57 2010 15.06 5.21 Compound ROR 8.88 8.57 Volatility 16.68 5.84 IRR 4.10 7.19
  30. 30. Appendix 3: The Westchester Capital Management, LLC Team
  31. 31. The Westchester Capital Management, LLC Team Roy D. Behren , born 1960, came to WCM in 1994 from the U.S. Securities and Exchange Commission and became a Managing Partner on December 31, 2010. After earning a B.S. in Economics at The Wharton School, he received a J.D. degree from the University of Miami Law School and an LL.M. degree in corporate law from the New York University School of Law. He then joined the SEC's New York Regional Office, where he worked as an enforcement attorney for seven years prior to starting his investment career at WCM. From 2004 through 2006, Roy served as a member of Redback Networks’ Board of Directors and its Audit Committee. He is a co-portfolio manager for Westchester Capital Management Inc. and affiliate, Green & Smith Investment Management L.L.C. and was their Chief Compliance Officer from September 2002 through June 2010. Michael T. Shannon , born 1966, joined WCM in 1996 and became a Managing Partner on December 31, 2010. He received a B.S. in Finance from Boston College and was subsequently hired by J.P. Morgan, where he worked in the firm's corporate finance, mergers & acquisitions and equity research departments. After a brief stint as Senior Vice President in charge of Mergers and Special Situations at D.E. Shaw & Co. from March 2005 to May 2006, he rejoined WCM as co-portfolio manager. Mike, who holds a Chartered Financial Analyst certification, is a member of the New York Society of Security Analysts and the CFA Institute. Source: Westchester Capital Management, LLC
  32. 32. The Westchester Capital Management, LLC Team Robert K. Lynch , born 1968, was hired as WCM’s Director of Research in May 2005. He was formerly a Director at Credit Suisse First Boston, where he was the senior analyst on the risk arbitrage proprietary desk prior to joining WCM. He graduated from Brown University and received his MBA from Columbia University. Rob was a senior risk arbitrage analyst in the equity derivatives group at Société Générale. Abraham R. Cary , born 1975, is WCM’s head trader, having joined the firm in January 2002. Before joining WCM, he was Vice President and Senior trader on the risk arbitrage desk of Crédit Lyonnais. After graduating from Middlebury College with a B.A. in Geography and French, Abe was hired by the equity derivatives group at Société Générale as a risk arbitrage trader. Benjamin E. Kunofsky , born 1986, joined WCM as Assistant Trader in 2010. Ben graduated from Middlebury College in Middlebury ,Vermont, completing his B.A. in Mathematics and Religion in 2009. Source: Westchester Capital Management LLC.
  33. 33. The Westchester Capital Management, LLC Team Source: Westchester Capital Management LLC. Bruce J. Rubin , born 1959, joined WCM as Chief Operating Officer in 2010. Bruce had previously spent five years at Seneca Capital, an event-driven hedge fund, as Chief Operating Officer. He holds a B.A. from Stanford University and a J.D. from Stanford Law School. Bruce practiced law for five years at Willkie Farr & Gallagher. He then held a number of positions at major Wall Street firms, including President and CEO of PaineWebber Properties and CAO at Lightyear Capital, a private equity fund. He became the Chief Compliance Officer for Westchester Capital Management, LLC and affiliate Green & Smith Investment Management L.L.C. as of July 2010. Jody Harris-Stern , born 1975, joined WCM as Director of Business Development in 2010. Jody was formerly Chief Marketing Officer at Southridge LLC, a hedge fund in Connecticut. She received a B.A. from Saint Michael’s College in Business and Economics. Jody began her financial career at Zweig Advisors and held a number of positions within the firm. She spent over eight years in senior management positions at UBS, specializing in business development, marketing and investor relations. Jennifer A. Coppola, born 1980, joined WCM as Assistant Controller in 2011.  She was formerly an Audit Manager at Ernst & Young’s New York FSO Assurance practice serving asset management clients including hedge funds, private equity funds, fund of funds, and management companies. She graduated from Pace University with both a BBA and MBA in Accounting.  Jennifer is also a certified public accountant licensed in New York State.
  34. 34. The Westchester Capital Management, LLC Team Source: Westchester Capital Management LLC. Jane Perl, Stacey Fornabaio, Robin Grosso and Laura Morgan comprise our middle office and operational staff. Jane has been with Westchester Capital Management since 1988, Stacey since 1996, Robin since 2000 and Laura since 2005. They are an experienced and critical component of our investment management and control infrastructure.
  35. 35. Risk Factors Bank of America Merrill Lynch Disclaimer – Important Information “ Bank of America Merrill Lynch” is the marketing name for the global banking and global markets businesses of Bank of America Corporation. Lending, derivatives, and other commercial banking activities are performed globally by banking affiliates of Bank of America Corporation, including Bank of America, N.A., member FDIC. Securities, strategic advisory, and other investment banking activities are performed globally by investment banking affiliates of Bank of America Corporation (“Investment Banking Affiliates”), including, in the United States, Banc of America Securities LLC and Merrill Lynch, Pierce, Fenner & Smith Incorporated, which are both registered broker dealers and members of FINRA and SIPC, and, in other jurisdictions, locally registered entities. Investment products offered by Investment Banking Affiliates: Are Not FDIC Insured * May Lose Value * Are Not Bank Guaranteed. Where this communication constitutes a financial promotion/marketing communication it is issued and approved for distribution in the UK by Merrill Lynch International only to, and directed at, (a) persons who have professional experience in matters relating to investments falling within Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the &quot;Order&quot;) or (b) high net worth entities, and other persons to whom it may otherwise lawfully be communicated, falling within Article 49(1) of the Order (all such persons together being referred to as &quot;relevant persons&quot;). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is only available to relevant persons and will be engaged in only with relevant persons. 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Neither the information, recommendations or opinions expressed herein constitutes an offer to buy or sell any securities, futures, options, or investment products. Foreign currency denominated investments are subject to fluctuations in exchange rates that could have a positive or adverse effect on the investor's return. Unless otherwise stated, any pricing information in this message is indicative only, is subject to change and is not an offer to deal. Some investments or services may have complex charging structures and the firm may receive more than one element of remuneration. Where relevant, the price quoted is exclusive of tax and delivery costs. Any reference to the terms of executed transactions should be treated as preliminary and subject to our written confirmation. This information is not a publication of BofA Merrill Lynch Global Research, although a BofA Merrill Lynch Global Research report may be referenced as a link or as an attachment hereto. 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  36. 36. Risk Factors Distribution Restrictions The Fund may only be offered and distributed to investors in accordance with all relevant local laws and regulations. The distribution of this brochure and the offering or purchase of Shares may be restricted in certain jurisdictions. This brochure does not constitute an offer of or invitation or solicitation to subscribe for or acquire any Shares in any jurisdiction. Persons receiving a copy of this brochure in any jurisdiction may not treat this brochure as constituting an offer, invitation or solicitation to them to subscribe for Shares notwithstanding that, in the relevant jurisdiction, such an offer, invitation or solicitation could lawfully be made to them without compliance with any registration or other legal requirement. It is the responsibility of any persons in possession of this brochure and any persons wishing to apply for Shares to inform themselves of, and to observe, all applicable laws and regulations of any relevant jurisdiction. Prospective applicants for Shares should inform themselves as to the legal requirements of so applying, and any applicable exchange control regulations and taxes in the countries of their respective citizenship, residence or domicile. The Shares have not been and will not be registered under the United States Securities Act of 1933, as amended, or the securities laws of any of the states of the United States. The Shares may not be offered, sold or delivered directly or indirectly in the United States or to or for the account or benefit of any U.S. Person. The Fund has not been and will not be registered under the United States Investment Company Act of 1940, as amended. Investment Risks There has not been and will not be a public offering of the Shares in the United States. Investment in the Fund carries substantial risk. There can be no assurance that the investment objectives of the Fund will be achieved and investment results may vary substantially over time. Investment in the Fund is not intended to be a complete investment programme for any investor. Investment in the Fund is intended for experienced investors who are able to understand and accept the risks involved. A prospective investor should appreciate that the value of any investment, and any income from any investment, may go down as well as up and that an investor’s capital is at risk and the investor may not receive back the amount invested. Past performance is not necessarily indicative of future results. Persons considering investing in the Fund should read the risk disclosure in the Prospectus. Merrill Lynch International registered address is Merrill Lynch Financial Centre, 2 King Edward Street, London EC1A 1HQ.

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