Ratio Stop•out 1PM WI Yield Bid BP Tail lyr Avg $14.0 36.2% 744% 414% 2.36 0.8 Aug-16 $ 16.0 38.2% 92% 61.8% 2.26 2.880 2.868 2,2 Jul-16 $ 13.0 40.8% 8.1% 51.1% 2.23 3.084 3.070 1.4 Jun-15 13.0 33.6% 14.4% 52.0% 2.54 3.138 3.149 -1.1 May.15 $ 16.0 38.0% 11.1% 60.8%

4.000 3.500 • 3,000 2.500 - - - - I 2.000 - ---- 1.500 1.000 500 0 Jan-11 Jul-11 Jan-12 Jul-12 Jan-13 Jul-13 Jan-14 Jul-14 Jan-16 Jul-16 Jan-16 Source: Bloomberg PS-5 I Structured Investments Capped Contingent Buffered Return Enhanced Notes STOXX 50' Index ken; to the EURO J.P.Mo