The
following tables
and graphs are for
illustrative purposes
and are not indicative
of the future performance
of the Index or the
future value of the
Notes.
Because
the Index Level may
be subject to significant
fluctuation over
the term of the
Notes, it is not
possible to present
a chart or table
illustrating the
complete
range of all possible
Cash Settlement Values.
Therefore, the examples
do not
purport to be representative
of every possible
scenario concerning
increases or
decreases in the
Index Level during
the term of the Notes
or whether, at any
time during the Observation
Period, the Index
Level is observed
at or above the
Upper Barrier or
at or below the Lower
Barrier. You should
not construe these
examples or the data
included in any table
or graph below as
an indication or
assurance of the
expected performance
of the Notes.
You
can review the historical
levels of the Index
in the section of
the Pricing
Supplement called
“Description of the
Index.” The historical performance
of the
Index included in
the Pricing Supplement
should not be taken
as an indication
of
the future performance
of the Index. It
is impossible to
predict whether the
Final Index Level
will be greater than
or less than the
Initial Index Level
or
whether, at any time
during the Observation
Period, the Index
Level will be
observed above the
Upper Barrier or
below the Lower Barrier
during the term of
the Notes.
Assumptions
:
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·
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Investor
purchases
$1,000.00
aggregate
principal
amount
of Notes
at the
initial
public
offering
price of
$1,000.00.
|
|
·
|
Investor
holds the
Notes to
maturity.
|
|
·
|
The
Initial
Index Level
is equal
to
1,400.00.
|
|
·
|
The
Lower Barrier
is 1,120.00
(representing
80.00%
of the
Initial
Index
Level).
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|
·
|
The
Upper Barrier
is 1,680.00
(representing
120.00%
of the
Initial
Index
Level).
|
|
·
|
The
Participation
Rate is
100.00%.
|
|
·
|
All
returns
are based
on a 12-month
term; pre-tax
basis.
|
|
·
|
No
Market
Disruption
Events
occur during
the term
of the
Notes.
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|
Example
1
|
Example
2
|
Example
3
|
Example
4
|
Example
5
|
Example
6
|
Highest
Index Level
during
term of
Note
|
1,652.00
|
1,820.00
|
1,652.00
|
1,652.00
|
2,100.00
|
1,610.00
|
Upper
Barrier
Breached
|
No
|
Yes
|
No
|
No
|
Yes
|
No
|
Lowest
Index Level
during
term of
Note
|
1,127.00
|
1,127.00
|
1,190.00
|
980.00
|
910.00
|
1,148.00
|
Lower
Barrier
Breached
|
No
|
No
|
No
|
Yes
|
Yes
|
No
|
Final
Index Level
|
1,134.00
|
1,134.00
|
1,638.00
|
1,652.00
|
2,100.00
|
1,437.33
|
Index
Return
|
-19.00%
|
-19.00%
|
17.00%
|
18.00%
|
50.00%
|
2.67%
|
Variable
Return
|
$190.00
|
$0.00
|
$170.00
|
$0.00
|
$0.00
|
$26.67
|
Cash
Settlement
Value per
Note
|
$1,190.00
|
$1,000.00
|
$1,170.00
|
$1,000.00
|
$1,000.00
|
$1,026.67
|
Example
1:
In
this
example, the Index
Level, at all times
during the Observation
Period, is
observed below the
Upper Barrier and
above the Lower Barrier.
The Index Return,
as calculated below,
is 19.00%.
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STRUCTURED
PRODUCTS
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|
Therefore,
the Cash Settlement
Value would equal
$1,190.00, or the
$1,000.00 principal
amount of the Notes
plus the Variable
Return of $190.00;
where the Variable
Return is as calculated
below:
Variable
Return = $1,000.00
x Participation Rate
x Index Return
Variable
Return = $1,000.00
x 100.00% x 19.00%
Variable
Return = $190.00
In
this
example, although
the Final Index Level
is lower than the
Initial Index Level,
your return on investment
will still be positive
(in this case, 19.00%),
because
(1) the Index Return
measures the absolute
value of the quotient
of (i) the
Final Index Level
minus the Initial
Index Level divided
by (ii) the Initial
Index Level, and
(2) at all times
during the Observation
Period, the Index
Level
was observed below
the Upper Barrier
and above the Lower
Barrier.
Example
2:
In
this
example, the Index
Level at some time
during the Observation
Period is observed
above the Upper Barrier.
Although the Final
Index Level in this
Example 2 is
equal to the Final
Index Level in Example
1, and therefore
the Index Return
for
this Example 2 would
also equal the Index
Return in Example
1, because the Index
Level at some time
during the Observation
Period was observed
above the Upper
Barrier the Variable
Return equals zero.
Therefore,
the Cash Settlement
Value would equal
the $1,000.00 principal
amount of the
Notes.
In
this
example, your return
on investment would
be 0.00%, because
at some time during
the Observation Period
the Index Level was
observed above the
Upper
Barrier.
Example
3:
In
this
example, the Index
Level, at all times
during the Observation
Period, is
observed below the
Upper Barrier and
above the Lower Barrier.
The Index Return,
as calculated below,
is 17.00%.
Therefore,
the Cash Settlement
Value would equal
$1,170.00, or the
$1,000.00 principal
amount of the Notes
plus the Variable
Return of $170.00;
where the Variable
Return is as calculated
below:
Variable
Return = $1,000.00
x Participation Rate
x Index Return
Variable
Return = $1,000.00
x 100.00% x 17.00%
Variable
Return = $170.00
In
this
example, your return
on investment will
be positive (in this
case, 17.00%),
because at all times
during the Observation
Period, the Index
Level was observed
below the Upper Barrier
and above the Lower
Barrier.
Example
4:
In
this
example, the Index
Level at some time
during the Observation
Period is observed
below the Lower Barrier.
Although the Final
Index Level is greater
than the
Initial Index Level,
because the Index
Level at some time
during the Observation
Period was observed
below the Lower Barrier
the Variable Return
equals
zero.
Therefore,
the Cash Settlement
Value would equal
the $1,000.00 principal
amount of the
Notes.
In
this
example, your return
on investment would
be 0.00%, because,
at some time during
the Observation Period
the Index Level was
observed below the
Lower
Barrier.
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STRUCTURED
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|
In
this
example, the Index
Level at some time
during the Observation
Period is observed
above the Upper Barrier
and the Index Level,
at another time during
the
Observation Period,
is observed below
the Lower Barrier.
Although the Final
Index Level is greater
than the Initial
Index Level, because
the Index Level,
at
some time during
the Observation Period,
was observed above
the Upper Barrier
and the Index Level,
at another time during
the Observation Period,
was observed
below the Lower Barrier
the Variable Return
equals zero.
Therefore,
the Cash Settlement
Value would equal
the $1,000.00 principal
amount of the
Notes.
In
this
example, your return
on investment would
be 0.00%, because,
at some time during
the Observation Period,
the Index Level was
observed above the
Upper Barrier
and, at another time
during the Observation
Period, the Index
Level was observed
below the Lower Barrier
Example
6:
In
this
example, the Index
Level, at all times
during the Observation
Period, is
observed below the
Upper Barrier and
above the Lower Barrier.
The Index Return,
as calculated below,
is 2.67%.
Therefore,
the Cash Settlement
Value would equal
$1,026.67, or the
$1,000.00 principal
amount of the Notes
plus the Variable
Return of $26.67;
where the Variable
Return is as calculated
below:
Variable
Return = $1,000.00
x Participation Rate
x Index Return
Variable
Return = $1,000.00
x 100.00% x 2.67%
Variable
Return = $26.67
In
this
example, your return
on investment will
be positive (in this
case, 2.67%),
because at all times
during the Observation
Period, the Index
Level was observed
below the Upper Barrier
and above the Lower
Barrier.
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STRUCTURED
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