Prospectus Supplement for Index Linked Notes

any of the foregoing at any time. Although they are not expected to, any of these hedging activities may decrease the market price of underlying interests and/or Index levels, and, therefore, decrease the market value of the Notes. It is possible that the Bank or its affiliates could receive substantial returns from these hedging activities while the market value of the Notes declines. The Bank and its affiliates may also engage in trading in underlying interests and other investments relating to those interests or an Index on a regular basis as part of their respective businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers including block trade transactions. Any of these activities could decrease the market price of underlying interests and/or Index levels and, therefore, decrease the market value of the Notes. The Bank and its affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of underlying interests or an Index. By introducing competing products into the marketplace in this manner, the Bank or its affiliates could adversely affect the market value of the Notes. Potential conflicts of interest if the Bank is, or is related to, the Index Sponsor The Bank or one or more of its affiliates may be an Index Sponsor. In certain circumstances, the Bank's role and responsibilities as an Index Sponsor may give rise to conflicts of interest. Even though Indices will be calculated in accordance with certain principles or rules, such calculations may require certain judgments and decisions to be made. If the Bank is, or is related to, an Index Sponsor, the Bank will be directly or indirectly responsible for these judgments and decisions. Determinations made by an Index Sponsor could affect the level of the applicable Index. Further, in certain circumstances where one of the Bank's affiliates is an Index Sponsor, there may be a conflict of interest between the Bank and such affiliate in its capacity as the Index Sponsor and the Bank's role in trading underlying interests and derivatives instruments. The Bank or its affiliates may hedge the market risks to the Bank associated with its obligation to pay amounts due on the Notes. The Bank or its affiliates expect to make a profit in connection with these arrangements. Potential conflicts of interest between holders of Notes and the Calculation Agent The Calculation Agent will, among other things, determine the amount payable on the Notes. The Bank may change the Calculation Agent after the Issue Date of any Notes without notice to the holders thereof. See "Description of the Notes - Calculation Agent" in the Prospectus. The Calculation Agent will exercise judgment when performing its functions. From time to time, the Calculation Agent may also make certain decisions and determinations with respect to the Notes, including in the event of the occurrence of any special circumstances which include a Material Index Change, a Market Disruption Event and an Extraordinary Event. See "Special Circumstances". Since these determinations by the Calculation Agent will affect the amount payable on the Notes, the Calculation Agent may have a conflict of interest if it needs to make any such decisions. Risk Factors Related to Index Linked Notes and to the Indices Risks Relating to Indices and Underlying Interests Any amount of the principal of a Note that may be payable at or before maturity and any variable return or other payment will be determined, in whole or in part, by reference to the performance of one or more Indices to which the Notes are linked as specified in the pricing supplement. Accordingly, certain risk factors applicable to a direct investment in the underlying interests, which include the equity securities comprising an Index, are also applicable to an investment in the Notes such as, specific risks associated with a particular issuer of securities included in the Index, including, without limitation, geographic risk, risks related to business operations, market sector and industry, market capitalization risk, emerging or developing market risk, commodity risk, currency exchange risk, and changes in income tax, securities and other laws, competition and technological developments. Index levels will also be influenced by both PROD-SUP-ILN-14

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