EFTA01378978

Example 1: A Knock-In Event has occurred. Underlying Final Level SPX 110% of Initial Level RTY 50% of Initial Level NDX 90% of Initial Level Because the Final Level of an Underlying is less than its Knock-In Level, a Knock-In Event has occurred. RTY is the Lowest Performing Underlying. Therefore, the Redemption Amount is determined as follows: Underlying Return of the Lowest Performing = the lesser of () zero and (i) (Final Level - Initial Level) / Initial Level = the lesser of () zero and a) -50% Underlying = -50% Redemption Amount = $1,000 ■ (1 + Underlying Return of the Lowest Performing Underlying) = $1,000 ■ 0.50 = $500 Even though the Final Level of an Underlying is greater than its Initial Level, you will not participate in such appreciation of such Underlying and you will be exposed to the depreciation in the Lowest Performing Underlying. Example 2: A Knock-In Event has not occurred. Underlying Final Level SPX 110% of Initial Level RTY 105% of Initial Level NDX 110% of Initial Level Because the Final Level of each Underlying is equal to or greater than its Knock-In Level, a Knock-In Event has not occurred. Even though the Final Level of each Underlying is greater than its Initial Level, you will not participate in the appreciation of any Underlying. Therefore, the Redemption Amount equals $1,000. Example 3: A Knock-In Event has not occurred. Underlying Final Level SPX 95% of Initial Level RTY 80% of Initial Level NDX 90% of Initial Level Even though the Final Level of each Underlying is less than its Initial Level, because the Final Level of each Underlying is equal to or greater than its Knock-In Level, a Knock-In Event has not occurred. Therefore, the Redemption Amount equals $1,000. 6 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0076261 CONFIDENTIAL SDNY_GM_00222445 EFTA01378978