If the index return is negative and is below -10.00% (the final index level is less than the initial index level by more than 10.00%), the
Less than the initial index level, but not by more than 10.00%), $1,000 or
If the index return is zero or negative but not below -10.00% (the final index level is equal to the initial index level or is (ii) the product of (a) $1,000 times (b) 1.5 times (c) the index return, subject to the maximum settlement amount If the index return is positive (the final index level is greater than the initial index level), the sum of (i) $1,000 plus $1,000 face amount of your notes, you will receive an amount in cash equal to: To determine your payment at maturity, we will calculate the index return, which is the percentage increase or decrease in the final index level from the initial index level. If the final index level declines by more than 10.00% from the initial index level, the return on your notes will be negative. If the final index level declines by up to 10.00% from the initial index level, you will Of 1,913.85), the return on your notes will be positive, subject to the maximum settlement amount of $1,240.00 for each $1,000 face amount of your notes. If the final index level on the determination date is greater than the initial index level of 1,932.73 (which is higher than the actual closing level of the index on the trade date The amount that you will be paid on your notes on the stated maturityĭate (October 10, 2017) is based on the performance of the S&P 500 ® Index as measured from the trade date (Septemberġ, 2015) to and including the determination date (October 4, 2017).
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