Because
the Index Return is positive, the Cash Settlement Value will
be equal to the
$1,000.00 principal amount of the Notes plus the product of
(a) $1,000.00
multiplied by (b) the Upside Participation Rate multiplied
by (c) the Index
Return; provided that in no event will the Cash Settlement
Value payable at
maturity exceed $1,230.00 per Note. In this example, since
the Index Return is
greater than 11.50%, the Cash Settlement Value on the Maturity
Date would be
capped at $1,230.00, which provides the maximum return on the
Notes of 23.00%.
This example illustrates the fact that the return on your Notes
will be limited
to the maximum return on the Notes of 23.00%.
Example
2: The Index Return is positive.
In
this
example, the Index rises over the term of the Notes. On the
Calculation Date,
the Final Index Level is 1,485.00, representing an Index Return
of 10.00%, as
calculated below.
Because
the Index Return is equal to 10.00% (which is less than the
maximum return of
23.00%), the Cash Settlement Value would be $1,200.00, as calculated
below.
In
this
example, the level of the Index rises 10.00% over the term
of the Notes. Your
return on investment, however, would benefit from the Upside
Participation Rate
and would be 20.00%.
Example
3: The Index Return is negative, but is greater than -10.00%.
In
this
example, the Index declines over the term of the Notes. On
the Calculation Date,
the Final Index Level is 1,242.00, representing an Index Return
of -8.00%, as
calculated below.
Since
the
Index 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 level of the Index decreases 8.00% over the term
of the Notes, and
your return on investment would be 0.00%.
Example
4: The Index Return is negative and is less than -10.00%.
In
this
example, the Index declines over the term of the Notes. On
the Calculation Date,
the Final Index Level is 945.00, representing an Index Return
of -30.00%, as
calculated below:
In
this
example, where the Index Return is less than -10.00%, the Cash
Settlement Value
would be $777.80 because the Cash Settlement Value for each
Note is equal to the
$1,000 principal amount minus 1.1111% of the $1,000 principal
amount for each
percentage point that the Index Return is less than -10.00%.
In this example,
the Index Return is
-30.00%.
Therefore, you will suffer a 22.22% loss and receive 77.78%
of the principal
amount of your investment at maturity. This example demonstrates
that if the
Index Return is less than -10.00%, you will lose some or possibly
all of your
initial investment in the Notes.