Hypothetical Examples and Return Table of the Notes at Maturity
The below examples and table are based on hypothetical terms. The actual terms will be set on the strike date and will be indicated on the cover of the final pricing supplement.
The examples and table below illustrate the payment at maturity for a $1,000 Note on a hypothetical offering of the Notes, with the following assumptions (amounts may have been rounded for ease of reference):
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Principal Amount:
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$1,000
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Term:
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Approximately 18 months
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Initial Level:
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5,000.00
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Maximum Gain:
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76.50%
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Range of Underlying Return:
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-100% to 40%
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Example 1 — The final level is 100.00% of the initial level (which means the final level is equal to the initial level).
Because the underlying performance factor is equal to or greater than 98.00% and equal to or less than 120.00%, the payment at maturity per Note will equal $1,000.00, a 0.00% total return.
In this scenario, you will not receive a positive return on the Notes.
Example 2 — The final level is 90.00% of the initial level (which means the final level has decreased 10.00% from the initial level).
Because the underlying performance factor is less than 98.00% and equal to or greater than 68.00%, the payment at maturity per Note will be calculated as follows:
$1,000 × {1 + [2.55 × (98.00% – Underlying Performance Factor)]}
= $1,000 × {1 + [2.55 × (98.00% – 90.00%)]}
= $1,000 × (1 + 20.40%)
= $1,204.00 per Note (20.40% total return)
In this scenario, you will receive a positive return of 2.55% of your initial investment for every 1.00% that the underlying performance factor is less than 98.00%. Your maximum positive return in this scenario is the maximum gain of 76.50%.
Example 3 — The final level is 68.00% of the initial level (which means the final level has decreased 32.00% from the initial level).
Because the underlying performance factor is less than 98.00% and equal to or greater than 68.00%, the payment at maturity per Note will be calculated as follows:
$1,000 × {1 + [2.55 × (98.00% – Underlying Performance Factor)]}
= $1,000 × {1 + [2.55 × (98.00% – 68.00%)]}
= $1,000 × (1 + 76.50%)
= $1,765.00 per Note (76.50% total return)
In this scenario, you will receive a positive return of 2.55% of your initial investment for every 1.00% that the underlying performance factor is less than 98.00%. Your maximum positive return in this scenario is the maximum gain of 76.50%.
Example 4 — The final level is 0.00% of the initial level (which means the final level has decreased 100.00% from the initial level).
Because the underlying performance factor is less than 68.00%, the payment at maturity per Note will be calculated as follows:
$1,000 × [1 + 76.50% – (68.00% – Underlying Performance Factor)]
= $1,000 × [1 + 76.50% – (68.00% – 0.00%)]
= $1,000 × (1 + 8.50%)
= $1,085.00 per Note (8.50% total return)
In this scenario, the maximum gain of 76.50% will be reduced by 1.00% for every 1.00% that the underlying performance factor is less than 68.00%. Your minimum return in this scenario is 8.50%.
Example 5 — The final level is 126.00% of the initial level (which means the final level has increased 26.00% from the initial level) .
Because the underlying performance factor is greater than 120.00% and less than 130.00%, the payment at maturity per Note will be calculated as follows:
$1,000 × {1 – [0.5 × (Underlying Performance Factor – 120.00%)]}
= $1,000 × {1 – [0.5 × (126.00% – 120.00%)]}
= $1,000 × (1 – 3.00%)
= $970.00 per Note (-3.00% total return)
In this scenario, you will lose 0.50% of your initial investment for every 1.00% that the underlying performance factor is greater than 120.00%.
Example 6 — The final level is 136.00% of the initial level (which means the final level has increased 36.00% from the initial level).
Because the underlying performance factor is equal to or greater than 130.00% and less than 140.00%, the payment at maturity per Note will be calculated as follows:
$1,000 × {1 – 5.00% – [1.5 × (Underlying Performance Factor – 130.00%)]}
= $1,000 × {1 – 5.00% – [1.5 × (136.00% – 130.00%)]}
= $1,000 × (1 – 14.00%)
= $860.00 per Note (-14.00% total return)
In this scenario, you will lose 5.00% of your initial investment and an additional 1.50% for every 1.00% that the underlying performance factor is greater than 130.00%, and you could lose up to 20.00% of your initial investment.
Example 6 — The final level is 140.00% of the initial level.
Because the underlying performance factor is equal to or greater than 140.00%, the payment at maturity per Note will be $800.00, a total return of -20.00%.
You could lose up to 20.00% of your initial investment.