Scenario IV    Volatile downward trend

In a volatile downward trend,

where the Index may generally move downward over a period
longer than 1 Business Day but with volatility, the Product‟s performance may be adversely affected in that the Product‟s performance may fall short of that of twice the cumulative Index return. As illustrated in the scenario below, where the market fell by 11% over 5 days but with daily volatility, the Product‟s accumulated losses are greater at -24% versus the -22% which is twice the cumulative Index return.

Index accu. Return
2x of Index accu. Return
Leveraged product accu. Return
DayIndex daily returnIndex levelIndex cumulative returnLeveraged product Daily ReturnLeveraged product NAVCumulative performance of Leveraged productCumulative performance of 2x of Index