EFTA Document EFTA01455319

Whit is thr total Return s% thy trues at Atiturity.tssnnine a Hinge of Pr rfonnener for the Refill rim Asset? The following table illustrates the hypothetical total return at maturity on the Notes. The "total return" as used n this pricing suppkinent is the number, expressed as a percentage. that results from comparing the Payment at Maturity pet 51.000 Principal Amount of Notes to 51.000. The hypothetical total returns set forth below reflect the Knock-Out Buffer Annunt of 20%. the Contingent Minimum Return on the Notes of 4%, the Maximum Return of 17% and the Initial Level of /76429. The hypothetical total roams set forth below are for illustrative imposes only and any not be the actualtotal returns applicable to a purchaserof the Notes. The numbers appearing it the following table and erannks have been rounded for ease of analysis. thpothetlad final Lew! 4,975.72 4.699.29 4.14644 3.870.01 3.593.58 3317.15 3.040.72 2902.50 2.87496 2847.22 2.79193 al% 2.62608 2.487.86 -10.00% 2.349.65 -15.00% 2.211.43 -2000% 1.935.03 -30.00% 1.65857 -4000% 1,38115 -50.00% 1.105.72 •60.00t. 552.86 -80.00% 0.00 .10100% Hypothetical Reference Return 1i0.0(P. 70.00'. saga. 40.00% 30.00% 20.00% 10.004 5.00% 4.009% 1.00% ptillictieal throm m, Puy.ault. at .A Laurie, Itypothedad Teel Muni 17.00% 17.00% 17.00% 17.00% 17.00% 17.00% 10.00% 5.00% 400% 4.00% 4.00% 4.00% 4.00% auminimmouw,i -30.00% -40.00% -50.00% -60.00% •100.00% The following crannies imitate how the total returns set forth in the table above are calculated Resolute 1: A Knock-Out Bent does not occur, and the Intl of die Reference Asset decreases than the Initial Level of L764.29 to a hypothetical blnal Level of 2,487.86. Because a Knock-Out Event has not occurred and the Reference Return of-10.00%. is less than the Contingent Marimum Return of 4.00%. the investor benefits from the Contingent Minimum Return and receives a Payment at Maturity of 51.040.00 per 51.000 Principal Amount of Notes. 51.000 - (51000 - 460)- $1.040.00 &ample 2: A Knock-Out Bent does not occur. and the level of die Reference Assn increases from the Initial Lad of 2.764.29 to • hypothetical Hnal Level of 3,040.72. Because a Knock•Out Event has not occurred and the Reference Return of 10.0098 is greater than the Contingent Minimum Return of 400% but less than the Maximum Return of 17.00%. the investorreceives a Payment at Maturity of S1.100.00 per 51.000 Pritcipal Amount of Notes. calculated as follows: 51.000 + (51.000 1 Ott) = 81,10100 Example 3: A Knock-Out 0.ent does not occur, and the level of the Reference Asset 'nemeses from the Initial Intl of 2.764.29 to a hypothetical Mal Level of 3.593.58. Because a Knock-Oat Event has not occurred and the Reference Return of 30.001% is greater than the Marimum Mum of 17.0'. the investor receives a Payment at Maturity of SI.I70.00 per 51.000 Principal Amount ofNotes, calculated as follows: $l. + (81.000 = 179%)- St.170.00 &ample 4: A Knock-Out Pies has occurred, and the Intl of the Reference Asset decreases from the Initial Intl of 2.76419 to • hypothetical Heal Intl of 1458.57. Became a Knock-Out Event has occurred, and the Reference Return is 4000%, the investor is exposed to the negative performance of the Reference Asset. The investor will receive a Payment at Maturity of 550..00 per 51,000.00 Priicipal Amount of Notes, calculated as follows: $1,000'' (51000 ...40%)- 5600.00 CONFIDENTIAL - PURSUANT TO FED. R. CRIM. P. 6(e) DB-SDNY-0114031 CONFIDENTIAL SONY GM_00260215 EFTA01455319