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 $1,000.00 multiplied
by the lesser of (i) the Upside Participation Rate (200.00%) multiplied
by the
Index Return; and (ii) the Maximum Return for the Notes. In this example,
since
the Index Return is greater than 11.50% and the product of the Index Return
and
200% is greater than the Maximum Index Return, 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 and the Cash Settlement Value is not subject
to
the Maximum Return.
In
this
example, the Reference 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, after being multiplied by the
Upside
Participation Rate, is less than the Maximum Return of 23.00%), the Cash
Settlement Value would be $1,200.00, as calculated below.
=
$1,000.00 + ($1,000.00 x Upside Participation Rate x Fund 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 level of the Reference Index 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 Index Return is negative, but is greater than -10.00%.
In
this
example, the Reference 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 Reference 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 Reference 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 the Trigger Level of -10.00%,
the
Cash Settlement Value payable at maturity would be $800.00 because 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 Index
Return is less than the Trigger Level. In this example, the Index Return
is
-30.00%. Therefore, you will suffer a 20% loss and receive 80% of the principal
amount of your Notes at maturity. This example demonstrates that if the
Index
Return is less than the Trigger Level of -10.00%, you will lose some or
possibly
up to 90.00% of your initial investment in the Notes.