Prospectus Supplement for Index Linked Notes
complex and interrelated political, geopolitical, social, economic, financial and other factors that can affect
the financial and securities markets generally and by various circumstances that can influence the level or
value of an Index. See "Volatility of equity markets". A prospective investor should undertake such
independent investigation of an Index to which the Notes are linked, its underlying interests and the issuers
of the equity securities comprising the Index, as the investor considers necessary in order to make an
informed decision as to the merits of an investment in the Notes.
Volatility of equity markets
The equity securities that comprise the Index to which the Notes are linked, and any other underlying
interests, are susceptible to general market fluctuations and increases and decreases in value based on
many unpredictable factors including, but not limited to, market confidence, the perception of equity
markets generally, changes in economic conditions including, economic expansions or contractions and
increasing or decreasing trends in inflation rates and interest rates, epidemics, pandemics or other public
health emergencies, climate change, natural disasters, war, regional conflicts, acts and threats of terrorism,
levels of foreign or domestic economic growth, global economic events, volatility in global financial
markets, and the perceptions of a specific issuer or issuers of securities. Perceptions about equity markets
are based on unpredictable factors including past performance, expectations with regard to domestic
economic, monetary and regulatory policies, domestic and international political, geopolitical, economic,
financial and social policies and trends, and innumerable other factors. The volatility of the prices of the
equity securities comprising certain Indices may be more volatile than the equity market generally,
meaning that such prices can fluctuate and change considerably in relatively short periods and the
performance of such prices cannot be predicted. If the volatility, or anticipated volatility, of an Index
changes during the term of the Notes, the trading value of the Notes may be adversely affected. In periods
of high volatility, the likelihood of an investor not receiving a return of the full principal amount of the
Notes increases.
Risks related to Notes linked to AR Indices
The return on Notes that are linked to an AR Index will be calculated with reference to the gross total return
performance of the Target Index as reduced by the Adjusted Return Factor (as defined in the applicable
pricing supplement). The Target Index reflects the applicable price changes of its constituent securities and
any dividends and distributions paid in respect of such securities. Notwithstanding the foregoing, an
investment in the Notes is not the same as making a direct or indirect investment in the AR Index, the
Target Index or the constituent securities of the Target Index, including the fact that an investor will not
have the right to receive any dividends, distributions or other income or amounts accruing or paid on such
securities. The Adjusted Return Factor is not, and may not be, representative of an estimate or a forecast of
any dividends that may be paid or payable, or of any distributions that may be made, now or in the future
on the constituent securities of the Target Index
The performance of the AR Index will be affected by the ability of issuers comprising the Target Index to
declare and pay dividends or make distributions or to sustain or increase such dividends and distributions
in respect of the equity securities of the issuers comprising the Target Index. Historical levels of dividends
and distributions paid in respect of the equity securities of the issuers comprising the Target Index are not
indicative of future payments, which payments are uncertain and depend upon various factors, including,
without limitation, the financial position, earnings ratio and cash requirements of the applicable issuer, and
the state of the financial markets and foreign and domestic economies in general. It is not possible to predict
if dividends or distributions paid in respect of the equity securities comprising the Target Index will
increase, decrease or remain the same over the term of the Notes.
The performance of the AR Index will be less than that which could be achieved through a direct investment
in the Target Index or the constituent securities of the Target Index, and based on the application of the
Adjusted Return Factor to daily changes in the closing level of the Target Index, and the difference between
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