EFTA01344621.pdf

Page 9 of I I What Is the Total Return on the Notes at Maturity Assuming a Range of Performances for the Reference Currency? The following table illustrates the hypothetical total return at maturity on the Notes. The 'total return.' as used in this pricing supplement. is the number, expressed as a percentage, that results from comparing the Payment at Maturity per 51.000 Principal Amount of Notes to 51.000. The hypothetical total returns set forth below reflect the Ranier Level of -Ire and the Initial Spot Rate of 1.9619. The hypothetical total returns set forth below arc for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the following table and examples have been rounded for ease of analysis. Hypothetical Final Spot Ily pothetical Reference Hypothetical 'fetal Return Rate Crimson Return on the Notes 0.0000 100.00% 28.5re 0.3924 80.00°. 28.50°. 0.7848 60.00°0 28.5(ro 0.9810 50.00°° 28.5ro 1.1771 40.00°0 28.5(to 1.3733 30.00°. 28.50"te 1.5695 20.00°. 28.50°. 1.6676 15.00°. 2X s0". 1.7657 10.00°0 2x 504. .8932 28.5% I 'mill I ion", 500",, I v22 - 2 00{,.. c ow. 1.9619 0.00% 0.00% 2 out I -2 044„ 11 1w., 2 0600 2 list -10 OO4,„ 0 00°0 2.2562 -15.00°n 0.04,flo 2.3543 -20.0000 -20.00"o 2.4524 -25.00°. -25.00% 2.5505 -30.00°. -30.00% 2.7467 -40.00°. -40.00% 2.9429 -50.00% -50.00% 3.13% -60.00°. -60.00% 3.5314 -80.00°. -80.00% 3.9238 -100.00°. -100.00% Hypothetical Examples or )))))ars Payable at Maturity The following examples illustrate how the total returns set forth in the table above arc calculated. Example 1: The Reference Currency depreciates from the Initial Spot Rate of 1.9619 to a hypothetical Final Spot Rate of 2.0600. Because the Reference Cum:my Return of -5.00°. is greater than the Barrier Level of -15.00%, the investor receives a Payment at Maturity of $1,000 per 51,000 Principal Amount of Notes. Example 2: The Reference Currency appreciates from the Initial Spot Rate of 1.9619 to a hypothetical Final Spot Rate of 1.9227. Because the Reference Currency Return of 2.00°. is greater than 0.00% but less than 3.00... the investor reeeik Payment at Maturity of 51.050.00 per 51.000 Principal Amount of Notes. Example 3: The Reference Currency appreciates from the Initial Spot Rate of 1.9619 to a hy pothelical Final Spot Rate of 1.3733. Because the Reference Currency Return of 30.00% is greater than 3.00%. the investor receives a Payment at Maturity of 51.285.00 per 51000 Principal Amount of Notes. In no case will the investor participate in any appreciation of the Reference Currency beyond 28.50%. Example 4: The Reference Currency depreciates from the Initial Spot Rate of 1.9619 to a hypothetical Final Spot Rate of 2.7467. Because the Reference Currency Return of -40.00°. is less than the Barrier Level of -15.00%, the investor is exposed to the negative performance of the Reference Currency. The investor will receive a Payment at Maturity of 5600.00 per 51.000 Principal Amount of Notes. calculated as follows: 51.000 ♦ (51.000 . .40.00%) - 5600.00 http.//www.sec.gov/Archives/edgar/data/83246/000114420413015558/v338382_424b2.htm 10/29/2013 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0030282 CONFIDENTIAL SDNY GM_00176466 EFTA01344621