EFTA Document EFTA01455316

Summary The four chans below provide a %UMW,' of the Notes. inckiding Note characteristics and risk con.sidennians as well as an illustrative Masten, and table reflecting hypothetical returns at maturity. These chaos shoutd be reviewed together with the disclosure regardng the Notes contained in this pricing suppkment as well as in the acconyanyits Faulty Inde 'Underlying Supplement. prospectus and prospectus supplement. The following charts atm:Irate the hypothetical total return at maturity on the Notes. The - total Mum" as used ill this pricing supplement is the minter. expressed as a percentage. that results from comparing the Payment al Maturity per 51.000 Rricipal Amount of Notes to $1.000. The hypothetical total returns set forth below reflect the Initial level of 2.764.29. the knock-Out Duffer Amount of 20".. the Maximum Return of 179o. and the Contingent Minimum Return of 4•c. The hypothetical total returns set forth below are for illustrative purposes only and nay not be the actual total returns applicable to a purchaser of the Notes. The nunters appearing in the following table and csampits have been rounded for case of analysis. I VII I III Fteterence And: EURO 5TO)Ct se aides ('5X5€1 cunisicy USD Knocs-Uut bola Arnetele tr.r% Contingent Mainnm Return: 4 w itararnarn Roam 17% learetaing: Fret 'Mutter. Coe Otannourn gain: 17% Yournurn potential loss: 100% litabsity: AtOonrr.atety 65 weeks Settlement Cash • Apptecsation %tartlet Trio hates prcece the opponay m WS* w en nr""'"11 d " !Werra Am( at onet,nly t ea the Illaarnurn Rein tf the Erna Int is less VW the:retie Leval by a prOteltice Vet *bled' let )044-041 OVEN erreerl you an own a Menet iflectro the °pitmen** olthinetenece 4aM, neon the Conureert teranven Roan and the Warn Return • No Guaranteed Return of Pomp* For onrcipal x Ask N a 4fech-Oet Event 000vol HfixEbeliC.:4 Tidal Rfret.in rah We Notes .......••JAY WINOS V I 0-' .7 771 1 le Summary Selected Risk C.onskleraborrs (see page 4) We me you t -ead 'Seemed Risk Cosseterolone Men Me 'Feet Factors' Decamp on page Si or tie Early Index Underlying Sum:Other* and page 5-3 or the poopettus supolernert Inseam n the totes is to maorthent to kweiserg (Wray in Our Relerence Meat. You should unlendIrd tie risks 04 inveneng in the Notes and shoed reach en nrennent denial crib. Oft COREA tensioned/twain your (10,19INS. e4 tae strobeity of the Retee n lir a vats porticolor anneal drcurnetances and the .nlormatcri set forth in this prang sualaernent and the accOmpanyng Eceity aides Underlying Sul:918m9N.Oroideettostentornerr andprospectus • YOurervennent ri Me Naas may rota Inclose, • This snout oysters on Ma Nome is rid irked to the abet of the Reference Asset et any lime other Mn the Final Valuation Crate • Your maximum pin on die Notes is tented to the Madmen Ratan. • Theta:dies a sot:tact to the credit risk of KWIC USA tric • &OMAR,/ d the Wes for Invormart • Caftan tat-in ants am OM to ado arty affect the valued die tat prior • No intent or etMeend paymentsor mating mints • The Nora tack Wuay • le:40143, caste. • Non-U S securkies markets asks • The Deward' ai the ekes rAl not oe aOtoted lot 4/1-34'035 n eltittal06 *Mee robes. rale US. dean even noontime Mee ettliettlele seeks am traded in arca alt the NOON are deromenated 11 dollars • 77e Nees are not Meted a guaranteed by any goretnnotal agency ddb tiled Sterne or any other orisclicton. • Many economic and mantel tams war impact the vent of tne Notes $4,0,. ;hit, rybr4i. 0.4i. 4 F4, 1• 0 4,97512 PO CO% 17.009E 4,.&(.9..S 701:0% 17.03% 4,146.44 SUM% 1700% 3.87001 4000% 17.00% 3.593 93 30 03% 17.00% 3.317 15 2000% 17.00% MINMINISEMEIMMEIIMAIMMIMMINIMINIM 3.01072 10.00% 100D% 29CC 50 5.00% 5.00% 2.874 86 4.00% 4.00% 2.84722 3.00% 2791.93 100% 2.62608 S00% 2,487 86 -10.00% Z349 65 -15.CO% 2,21143 4000% 1.93500 -30.00% 1,658 57 4000% 1.38215 -50.00% 110872 .m any. S52 e6 -80.00% 0.00 -10007% .30.03W -4000%1 -50.00•4' -en in% -80.CO% -100.00% • as imos-Oui Ewe onus. you vetriala 1% Of yew Prireopal beam t%ter on Final Lint os kas run Ire meal Level -3- CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) CONFIDENTIAL PROT1 DB-SDNY-0114026 PROT0