Example
1: The Portfolio
Return is greater
than zero.
In
this
example, the
average Observation
Levels of all
four Components
increase relative
to their Initial
Component Levels
on the related
Observation Dates.
This example
illustrates how
holders of the
Notes would benefit
from the increase
in the
Observation Level
of each Component
relative to its
respective Initial
Component
Level on each
related Observation
Date.
|
SPX
|
SX5E
|
NKY
|
XIN0I
|
Initial
Component
Level
|
1,425
|
4,300
|
14,750
|
24,750
|
February
2009
Observation
Value
|
1,806
|
4,396
|
13,925
|
37,088
|
February
2010
Observation
Value
|
1,915
|
4,807
|
15,472
|
50,899
|
February
2011
Observation
Value
|
2,177
|
5,384
|
19,458
|
60,416
|
February
2012
Observation
Value
|
2,273
|
5,606
|
23,492
|
77,155
|
Average
Observation
Level
|
2,043
|
5,048
|
18,087
|
56,390
|
Index
Performance
|
43.35%
|
17.40%
|
22.62%
|
127.84%
|
On
the
Final Observation
Date, the Index
Performance for
the SPX would
be 43.35%, the
Index Performance
for the SX5E
would be 17.40%,
the Index Performance
for the
NKY would be
22.62%, and the
Index Performance
for the XIN0I
would be 127.84%,
each as calculated
pursuant to the
below formula:
In
this
example, using
the formula below,
the Portfolio
Return would
be greater than
zero.
Portfolio
Return
The
Cash
Settlement Value,
using the formula
below, would
equal $1,528.03.
Cash
Settlement Value
|
STRUCTURED
PRODUCTS
GROUP
|
Example
2: The Portfolio
Return might
be less than
zero.
In
this
example, the
average Observation
Levels of all
four Components
decrease relative
to their Initial
Component Levels
on the related
Observation Dates.
As a result,
the Portfolio
Return would
be less than
zero, and holders
of the Notes
would
therefore have
received only
the principal
amount of each
Note at maturity.
|
SPX
|
SX5E
|
NKY
|
XIN0I
|
Initial
Component
Level
|
1,425
|
4,300
|
14,750
|
24,750
|
February
2009
Observation
Value
|
1,410
|
3,393
|
15,806
|
15,789
|
February
2010
Observation
Value
|
1,379
|
2,747
|
13,348
|
11,955
|
February
2011
Observation
Value
|
1,255
|
2,317
|
14,210
|
11,291
|
February
2012
Observation
Value
|
1,308
|
1,954
|
14,817
|
9,809
|
Average
Observation
Level
|
1,338
|
2,603
|
14,545
|
12,211
|
Index
Performance
|
-6.11%
|
-39.47%
|
-1.39%
|
-50.66%
|
On
the
Final Observation
Date, the Index
Performance for
the SPX would
be -6.11%, the
Index Performance
for the SX5E
would be -39.47%,
the Index Performance
for the
NKY would be
-1.39%, and the
Index Performance
for the XIN0I
would be -50.66%,
each as calculated
pursuant to the
below formula:
In
this
example, using
the formula below,
the Portfolio
Return would
be greater than
zero.
Portfolio
Return
Since
the
Portfolio Return
would be less
than zero, the
Cash Settlement
Value for each
Note would be
the principal
amount of $1,000.
|
STRUCTURED
PRODUCTS
GROUP
|
Example
3: Some Components
move higher while
others move lower.
In
this
example, the
average Observation
Levels for some
of the Components
increase
relative to the
Initial Component
Levels for those
Components, while
the average
Observation Levels
for other of
the Components
decrease relative
to the Initial
Component Levels
for those Components.
|
SPX
|
SX5E
|
NKY
|
XIN0I
|
Initial
Component
Level
|
1,425
|
4,300
|
14,750
|
24,750
|
February
2009
Observation
Value
|
1,323
|
4,396
|
14,549
|
30,553
|
February
2010
Observation
Value
|
1,008
|
4,807
|
12,860
|
39,052
|
February
2011
Observation
Value
|
990
|
5,384
|
12,981
|
40,127
|
February
2012
Observation
Value
|
990
|
5,606
|
11,884
|
31,534
|
Average
Observation
Level
|
1,078
|
5,048
|
13,069
|
35,317
|
Index
Performance
|
-24.37%
|
17.40%
|
-11.40%
|
42.69%
|
On
the
Final Observation
Date, the Index
Performance for
the SPX would
be -24.37%, the
Index Performance
for the SX5E
would be 17.40%,
the Index Performance
for the
NKY would be
-11.40%, and
the Index Performance
for the XIN0I
would be 42.69%,
each as calculated
pursuant to the
below formula:
In
this
example, using
the formula below,
the Portfolio
Return would
be greater than
zero.
Portfolio
Return
The
Cash
Settlement Value,
using the formula
below, will equal
$1,060.80.
Cash
Settlement Value
|
STRUCTURED
PRODUCTS
GROUP
|
Summary
of Illustrative
Examples 1-3
Reflecting the
Relevant Cash
Settlement
Value
|
Example
1
|
Example
2
|
Example
3
|
Hypothetical
Initial
Component
Level
for
SPX
|
1,425
|
1,425
|
1,425
|
Hypothetical
average
Observation
Level
for
SPX
|
2,043
|
1,338
|
1,078
|
Hypothetical
Initial
Component
Level
for
SX5E
|
4,300
|
4,300
|
4,300
|
Hypothetical
average
Observation
Level
for
SX5E
|
5,048
|
2,603
|
5,048
|
Hypothetical
Initial
Component
Level
for
NKY
|
14,750
|
14,750
|
14,750
|
Hypothetical
average
Observation
Level
for
NKY
|
18,087
|
14,545
|
13,069
|
Hypothetical
Initial
Component
Level
for
XIN0I
|
24,750
|
24,750
|
24,750
|
Hypothetical
average
Observation
Level
for
XIN0I
|
56,390
|
12,211
|
35,317
|
Portfolio
Return
|
Positive
|
Negative
|
Positive
|
Principal
protected?
|
Yes
|
Yes
|
Yes
|
Cash
Settlement
Value
per
Note
|
$1,528.03
|
$1,000.00
|
$1,060.80
|