With respect to the performance of the Bullish Basket (the “Bullish Basket Performance”) and the performance of the Bearish Basket (the “Bearish Basket Performance”), Basket Performance means the Underlying’s closing price on the Final Valuation Date relative to its Initial Price If the Outperformance is at or above 0%, you will receive an amount in cash equal to your principal investment plus a return amount. The return amount per Denomination per Note is computed in percentage terms as Participation Rate x Outperformance If the Outperformance is below 0%, you will receive an amount in cash at maturity equal to your principal investment multiplied by the higher of Floor Level or 100% + (Participation Rate x Outperformance). This will be less than 100% of your principal investment