Until a Make-Whole Event has occurred, the notes may be converted (for cash) at the option of investors on any business day prior to the 21st scheduled trading day immediately preceding the Maturity Date only if specified conditions are met as set forth under “Additional Key Terms” on page PS-1 of the accompanying preliminary pricing supplement. Notes not converted (for cash) early will be converted (for cash) automatically on the Maturity Date as described below, unless a Make-Whole Event has occurred. Investors who convert their notes (for cash) prior to the Maturity Date will not receive any additional payment for any accrued and unpaid interest, or any future interest payments. In addition, investors will not receive their payment, if any, upon any optional early cash conversion until the Optional Early Cash Conversion Payment Date, which is the second business day immediately following the period of 20 Valuation Dates following the Early Cash Conversion Date (as defined below). Furthermore, upon any optional early cash conversion of the notes, an investor may receive less cash than expected because the VWAP of the Reference Stock may decline after an investor exercises its early cash conversion right but before we settle our cash conversion obligation.

If a Make-Whole Event occurs prior to the 21st scheduled trading day immediately preceding the Maturity Date, the notes will no longer be able to be converted for cash, whether prior to or at maturity of the notes.

If a Make-Whole Event occurs prior to the 21st scheduled trading day immediately preceding the Maturity Date and the notes have not been previously converted (for cash) early, your payment at maturity, for each $1,000 principal amount notes, will be $1,000, plus any accrued but unpaid interest.

If a Make-Whole Event does not occur prior to the 21st scheduled trading day immediately preceding the Maturity Date and if the notes have not been previously converted (for cash) early, your payment at maturity, for each $1,000 principal amount note, in addition to any accrued but unpaid interest, will be an amount in cash equal to the sum of the Daily Values for each of the 20 relevant Valuation Dates.

Because the notes are initially offered at a premium, you will lose some of your initial investment if the total amount paid on your notes is less than $1,050.

For each Valuation Date, the greater of:

·   $50; and

·   the Alternative Settlement Amount for that Valuation Date

For each Valuation Date, an amount calculated as follows:

$50 × (Final Stock Price on that Valuation Date / Threshold Price)

·        For purposes of the payment at maturity, each of the 20 consecutive trading days ending on, and including, the second scheduled trading day immediately preceding the Maturity Date;

·        for purposes of any payment upon optional early cash conversion, the 20 consecutive trading days beginning on, and including, the trading day immediately following the relevant Early Cash Conversion Date; and

·        for purposes of the Make-Whole Payment, each of the 20 consecutive trading days beginning on, and including, the trading day immediately following the Effective Date of the relevant Make-Whole Event.

Applicable Price (expressed as a percentage of the Initial Reference Price)

100%

120%

130%

140%

149%

160%

170%

180%

190%

200%

225%

250%

If the exact Applicable Price (as a percentage of the Initial Reference Price) and/or Effective Date are not set forth in the table above, then:

·         if the actual Applicable Price (as a percentage of the Initial Reference Price) is between two Applicable Prices (as a percentage of the Initial Reference Price) in the table or the Effective Date is between two Effective Dates in the table, the number of Additional Shares (as a percentage of the Deemed Conversion Rate) shall be determined by a straight-line interpolation between the number of Additional Shares (as a percentage of the Deemed Conversion Rate) set forth for the higher and lower Applicable Prices (as a percentage of the Initial Reference Price) and/or the earlier and later Effective Dates in the table, as applicable, based on a 365-day year; and

·         if the actual Applicable Price (as a percentage of the Initial Reference Price) is in excess of 250% of the Initial Reference Price per share or less than 100% of the Initial Reference Price, the Additional Shares shall be zero in connection with the relevant Make-Whole Event.

Notwithstanding the foregoing, in no event will the Additional Shares exceed a number of shares of the Reference Stock equal to 56.45% of the Deemed Conversion Rate.