EFTA01455347.pdf

'erica fed Purrhai.s. ComMentions • APPRELIATION POTITITIAL — The Notes provide the opportunity to pankipate it the appreciation of the Reference Asset at maturity up to the Nlaarmum Return on the Notes of 17%. or a minimumPayment at Maturity of SLIT) for every SI.000 Principal Arnount of Notes. If a Knock-Oh! Event has not occurred. in addition to the Principal Amount. you will receive at maturity at least the Contingent Minimum Return of 4% on the Notes. or a mininum Payment at Maturity ofS1.040.00 for evay SI.000 Principal Amount ofthe Notes. Because the Notes are our senior unsecured debt obligations. paynrnt ofany amount at maturity S subject to our ability to pay our obligations as they become due. • THE CONTESGENT MINDIEM RETIALS APPIJES ONLY IF A ICAKX-OtT EVE%T HAS NOT OCCERRED - If a Knock-Out Event has not occurred you will receive at least the Priwipal Amount at maturity. even if the Final levels below the Initial Level. Ifa Knock-Ora Event has occurred and the Final Level is less than the Initial Level. you will lose 1% of your Priwipal Amount for every 1% that the Final Levels less than the lumal Level. Ifa Mock-Out Event has occurred and the Reference Relum is -100%. you will lose your entire investment. • DIVERSIFICATION OF THE FLED STOAT" 5O INDEX The return on the Notes is linked to the EURO STONN: seIndex The EURO STONN soE Index is composed of 50 stocks from the Fill070lIC (Austria, Fklginn„ Finland, France. Cenrony. fleece. Ireland. Italy, Luxembourg. the Netherlands, Portugal and Spain) portion ofthe STOXX. Europe 600 Supersector lidres. For additionalifomniion about the Reference Asset. see the iffonnation set forth under "The EURO STONX %P miles- in the Equity IndexUnderlying Supplement. • TAX TRFATNENT ••• There is no died legal authority as to the proper taxtreatment of the Notes. and therefore significant aspects of the tax treatment of the Notes arc uncertain as to both the tiring and character of any inclusion in income in respect ofthe Notes. Under one approach, the Notes should be treated as pre-paid <memory contracts with respect to the Reference Asset. We intend to treat the Notes consistent with this approach. Pursuant to the toms of the Notes. you agree to treat the Notes under this approach for all US. federal income tax purposes. Subject to the linatations described therein, and based on Catkin factual representations received from us. it the opinion of our special l'S. tax counsel. Morrison & Feaster IJP. it reasonable to treat the Notes as pre-paid occutory contracts with respect to the Reference Asset. Pursuant to this approach, we do not attend to report any income or gal. with respect to the Notes prior to their fistula), or an earlier sale or echange and we generally intend to treat any gain or loss upon aslanty or an earlier sak or owhange as long4emi capital gain or loss. provided that you have held the Note for none than one year at such tine for IY.S. federal income tax purposes. We will not attenpt to ascertain whether any of the entities whose stock S included in. or owned by. the Reference Asset. as the case may be. would be treated as a passive foreign investment company ("PRE-') or United States real property holdiig corporation esUSRPHC"). both as defiled for U.S. federal income tax purposes. If one or more of the entities whose stock is included in. or owned by. the Reference Asset. as the case may be. were so treated. certain adverse U.S. federal income taxconsequences night apply. You should refer to Sfonration tiled with the SEC and other authorities by the entities whose stock is Selected in. or owned by. the Reference Asset, as the case may he, and consult your tax advisor regarding the possible consequences to you if one or more of the entities whose stock S included in, or owned by. the Reference Asset, as the case may be, as or becomes a FRC or a USRPHC. Withholding and reporting requirements under the legislation enacted on March IS. 2010 (as discussed beginning on page 5-4S of the prospectus supplement) wdl generally apply to payments made alter December 31, 2011 However, this withholding tax wit not be imposed on payments pursuant to obligations outstanding on January I. 2014. Additionally. withholiing due to any payment being treated as a "dividend equivalent" (as discussed beginning on page 5-47 ofthe prospectus supplement) will begin no earlier than January I. 2014. Holders are urged to consul with thekown taxadvisors regarding the posskile implications of this recently enacted legislation on their investment in the Notes. For a further discussion of the U.S. federal income tax consequences related to the Nobs. see the section "U.S. Federal Income TaxConsiderations" in the accompanying prospectus supplenrio. Selected Mk *Mkt Ideratiola% An investment in the Notes involves significant risks. Investing in the Notes s not equivalent to investing diectly in any of the component securities of the Reference Asset. These risks are oplaired in none detail n the "Risk Factors" sections of the accompanying &may Index Underlyng Supplement and prospectus supplement. • 1DIR DiVESTMENT IN TILE NOTES MAY RESULT IN A LOSS — The Notes do not guarantee any return of principaL The return on the Notes at maturity is linked to the performance of the Reference Asset, subject to the Mararnum Return and will depend on whether a Knock-Out Event has occurred and whether, and the otent to winch. the Reference Return S positive or negative. Iron the Final Valuation Date. the Final Levels less than the Inasl level by a percentage that exceeds the Knock-Out Differ Amount, a Knock-Out Event will have occurred, and the benefit provided by the Knock- Out Buffer Annunt wit terminate. Under these circumstances, you will lose 1% ofthe Principal Annunt of your investment for every I% decline of the Final level as compared to the Initial level. WA KNOCK-OUT F.N'ENT OCCURS,IOUNikl' LOSEUP TO 100% OF TOUR INVESTMENT. -4- CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114065 CONFIDENTIAL SONY GM_00260249 EFTA01455347