EFTA01455349.pdf

Whit is thr total Return s% thy trues at Atiturity.tssnnine a Hinge of Pr rfonnener for the Refill rim Asset? The following table illustrates the hypothetical total return at maturity on the Notes. The "total return" as used n this pricing suppkinent is the number, expressed as a percentage. that results from comparing the Payment at Maturity pet 51.000 Principal Amount of Notes to 51.000. The hypothetical total returns set forth below reflect the Knock-Out Buffer Annunt of 20%. the Contingent Minimum Return on the Notes of 4%, the Maximum Return of 17% and the Initial Level of /76429. The hypothetical total roams set forth below are for illustrative imposes only and any not be the actualtotal returns applicable to a purchaserof the Notes. The numbers appearing it the following table and erannks have been rounded for ease ofanalysis. Hypothetical Reference thpothetlad final Lew! Itypothedad Teel Muni Return 4,975.72 1i0.0(P. 17.00% 4.699.29 70.00'. 17.00% 4.14644 saga. 17.00% 3.870.01 40.00% 17.00% 3.593.58 30.00% 17.00% 3317.15 20.00% 17.00% 3.040.72 10.004 10.00% 2902.50 5.00% 5.00% 2.87496 4.009% 400% 2847.22 2.79193 1.00% al% 4.00% 2.62608 4.00% 2.487.86 -10.00% 4.00% 2.349.65 -15.00% 4.00% 2.211.43 -2000% auminimmouw,i 1.935.03 -30.00% -30.00% 1.65857 -4000% -40.00% 1,38115 -50.00% -50.00% 1.105.72 •60.00t. -60.00% 552.86 -80.00% 0.00 .10100% •100.00% ptillictieal throm m, Puy.ault. at .A Laurie, The following crannies imitate how the total returns set forth in the table above are calculated Resolute 1: A Knock-Out Bent does not occur, and the Intl of die Reference Asset decreases than the Initial Level of L764.29 to a hypothetical blnal Level of 2,487.86. Because a Knock-Out Event has not occurred and the Reference Return of-10.00%. is less than the Contingent Marimum Return of 4.00%. the investor benefits from the Contingent Minimum Return and receives a Payment at Maturity of 51.040.00 per 51.000 Principal Amount of Notes. 51.000 - (51000 - 460)- $1.040.00 &ample 2: A Knock -Out Bent does not occur. and the level of die Reference Assn increases from the Initial Lad of 2.764.29 to • hypothetical Hnal Level of 3,040.72. Because a Knock•Out Event has not occurred and the Reference Return of 10.0098 is greater than the Contingent Minimum Return of 400% but less than the Maximum Return of 17.00%. the investorreceives a Payment at Maturity ofS1.100.00 per 51.000 Pritcipal Amount of Notes. calculated as follows: 51.000 + (51.000 1Ott) = 81,10100 Example 3: A Knock-Out 0.ent does not occur, and the level of the Reference Asset 'nemeses from the Initial Intl of 2.764.29 to a hypothetical Mal Level of 3.593.58. Because a Knock-Oat Event has not occurred and the Reference Return of 30.001% is greater than the Marimum Mum of 17.0'. the investor receives a Payment at Maturity of SI.I70.00 per 51.000 Principal Amount ofNotes, calculated as follows: $l. + (81.000 = 179%)- St.170.00 &ample 4: A Knock-Out Pies has occurred, and the Intl of the Reference Asset decreases from the Initial Intl of 2.76419 to • hypothetical Heal Intl of 1458.57. Became a Knock-Out Event has occurred, and the Reference Return is 4000%, the investor is exposed to the negative performance of the Reference Asset. The investor will receive a Payment at Maturity of 550..00 per 51,000.00 Priicipal Amount ofNotes, calculated as follows: $1,000'' (51000 ...40%)- 5600.00 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114068 CONFIDENTIAL SONY GM_00260252 EFTA01455349