The following graph demonstrates the hypothetical payments at maturity on the notes for a sub$-$set of Lesser Performing Index Returns

detailed in the table above $(-50\%$ to $50\%).$ There can be no assurance that the performance of the Lesser Performing Index will result

in the return of any of your principal amount.

How the Notes Work

Upside Scenario:

If the Final Value of each Index is greater than its Initial Value, investors will receive at maturity the $$1,000$ principal amount plus a

return equal to the Lesser Performing Index Return times the Upside Leverage Factor of $1\mathrm{.}25,$ up to the Maximum Return of at least

$20\mathrm{.}00\%.$ Assuming a hypothetical Maximum Return of $20\mathrm{.}00\%,$ an investor will realize the maximum payment at maturity at a Final

Value of the Lesser Performing Index of $116\mathrm{.}00\%$ or more of its Initial Value.

If the closing level of the Lesser Performing Index increases $5\mathrm{.}00\%,$ investors will receive at maturity a $6\mathrm{.}25\%$ return, or $$1,062\mathrm{.}50$

per $$1,000$ principal amount note.

Assuming a hypothetical Maximum Return of $20\mathrm{.}00\%,$ if the closing level of the Lesser Performing Index increases $50\mathrm{.}00\%,$

investors will receive at maturity a return equal to the $20\mathrm{.}00\%$ Maximum Return, or $$1,200\mathrm{.}00$ per $$1,000$ principal amount note,

which is the maximum payment at maturity.

Par Scenario:

If the Final Value of either Index is equal to or less than its Initial Value but the Final Value of each Index is greater than or equal to its

Barrier Amount of $75\mathrm{.}00\%$ of its Initial Value, investors will receive at maturity the principal amount of their notes.

Downside Scenario:

If the Final Value of either Index is less than its Barrier Amount of $75\mathrm{.}00\%$ of its Initial Value, investors will lose $1\%$ of the principal

amount of their notes for every $1\%$ that the Final Value of the Lesser Performing Index is less than its Initial Value.

For example, if the closing level of the Lesser Performing Index declines $60\mathrm{.}00\%,$ investors will lose $60\mathrm{.}00\%$ of their principal

amount and receive only $$400\mathrm{.}00$ per $$1,000$ principal amount note at maturity.

The hypothetical returns and hypothetical payments on the notes shown above apply only if you hold the notes for their entire term.

These hypotheticals do not reflect the fees or expenses that would be associated with any sale in the secondary market. If these fees

and expenses were included, the hypothetical returns and hypothetical payments shown above would likely be lower.

Q$3.$ Examine the pay$-$off graph onabove and attached Can you replicate this pay$-$off using an ETF that tracks the S&P $500$ and a mixture of options$/$forwards$?($hint: yes, with Barrier Options!$)$ Carefully explain how you will construct your portfolio. For simplicity assume that the S&P $500$ index is equal to $100.$