Because
the ETF Return is positive, the Cash Settlement Value will be equal
to the
$1,000.00 principal amount of the Notes plus the product of (i)
$1,000.00
multiplied by (ii) the Upside Participation Rate (200.00%) multiplied
by (iii)
the ETF Return; subject to the maximum return on the Notes of 27.00%.
In this
example, since the ETF Return multiplied by Upside Participation
Rate is greater
than 27.00%, the Cash Settlement Value on the Maturity Date would
be capped at
$1,270.00, which provides the maximum return on the Notes of 27.00%.
This
example illustrates the fact that the return on your Notes will
be limited to
the maximum return on the Notes of 27.00%.
Example
2: The ETF Return is positive and the Cash Settlement Value is
not subject to
the maximum return.
In
this
example, the ETF rises over the term of the Notes. On the Calculation
Date, the
Final Price is 28.60, representing an ETF Return of 10.00%, as
calculated below.
Because
the ETF Return is equal to 10.00% (which, after being multiplied
by the Upside
Participation Rate, is less than the maximum return of 27.00%),
the Cash
Settlement Value would be $1,200.00, as calculated below.
=
$1,000.00 + ($1,000.00 x Upside Participation Rate x ETF Return)
=
$1,000.00 + ($1,000.00 x 200.00% x 10.00%)
=
$1,000.00 + $200.00
=
$1,200.00
In
this
example, the share price of the ETF rises 10.00% over the term
of the Notes.
However, you would benefit from the Upside Participation Rate and
your return on
investment would be 20.00%.
Example
3: The ETF Return is negative, but is greater than -10.00%.
In
this
example, the ETF declines over the term of the Notes. On the Calculation
Date,
the Final Price is 23.92, representing an ETF Return of -8.00%,
as calculated
below.
Since
the
ETF Return is negative but is greater than -10.00%, the Cash Settlement
Value
would equal the $1,000.00 principal amount of the Note.
In
this
example, the share price of the ETF decreases 8.00% over the term
of the Notes,
and your return on investment would be 0.00%.
Example
4: The ETF Return is negative and is less than -10.00%.
In
this
example, the ETF declines over the term of the Notes. On the Calculation
Date,
the Final Price is 18.20, representing an ETF Return of -30.00%,
as calculated
below:
In
this
example, since the ETF Return is less than -10.00%, the Cash Settlement
Value
for each Note is equal to the $1,000.00 principal amount minus
1.00% of the
$1,000.00 principal amount for each percentage point that the ETF
Return is less
than -10.00%. In this example, the ETF Return is -30.00%. Therefore,
you will
suffer a 20.00% loss and receive 80.00% of the principal amount
of your Notes at
maturity, and the Cash Settlement Value for each note would be
$800.00. This
example demonstrates that if the ETF Return is less than -10.00%,
you will lose
some (as much as 90.00%) of your initial investment in the Notes.