Tactical

Description of Return of Capital Payments

Holders will receive partial repayments of the Principal Amount equal to the sum of (a) the amount of any Canadian Equity Distributions paid during the immediately preceding calendar quarter (the "Canadian Partial Principal Repayments") and (b) the Applicable Percentage of the amount of any U.S. Equity Distributions paid during the immediately preceding calendar quarter (net of a percentage reduction for any withholding taxes that generally would be imposed by jurisdictions other than the United States and Canada (“withholding taxes”)), converted to Canadian dollars at the CAD/USD Foreign Exchange Rate for the last day of such calendar quarter (the "U.S. Partial Principal Repayments" and together with the Canadian Partial Principal Repayments, the "Partial Principal Repayments"), to a maximum of $99.00 per Debt Security over the term of the Debt Securities. The Partial Principal Repayments will be calculated and payable in Canadian dollars quarterly no later than the fifth Business Day following the end of each calendar quarter during the term of the Debt Securities other than the calendar quarter in which the Final Valuation Date falls (except as otherwise described in the pricing supplement under which your purchased your Debt Securities (the “Pricing Supplement”)). In addition, the Applicable Percentage of any non-cash U.S. Equity Distributions (net of any applicable withholding taxes) will be converted into their notional cash value, as determined by the Calculation Agent acting in good faith, converted to Canadian dollars at the CAD/USD Foreign Exchange Rate for the last day of the calendar quarter in which such non-cash U.S. Equity Distributions are paid, and paid out in Canadian dollars as U.S. Partial Principal Repayments following the end of each calendar quarter in which such non-cash U.S. Equity Distributions are paid, other than the calendar quarter in which the Final Valuation Date occurs. Any non-cash Canadian Equity Distributions will be converted into their notional cash value, as determined by the Calculation Agent acting in good faith, and paid out in Canadian dollars as Canadian Partial Principal Repayments following the end of each calendar quarter in which such non-cash Canadian Equity Distributions are paid, other than the calendar quarter in which the Final Valuation Date occurs. Please refer to the Pricing Supplement for additional details. Capitalized terms used but not defined herein have the meanings specified in the Pricing Supplement.

Holders will receive partial repayments of the Principal Amount ("Partial Principal Repayments") equal to the amount of any dividends or other distributions (other than Extraordinary Distributions if so specified in the pricing supplement under which you purchased your Debt Securities (the “Pricing Supplement”)) that would be received by a holder of securities (the "Index Securities") of each of the issuers (the "Index Security Issuers") that are included in each Index during the immediately preceding calendar quarter, on the basis of their weightings in the applicable Index, and of an equal initial weighting of each Index in the Index Portfolio and assuming that the aggregate value of the Index Securities held by such holder on the Issue Date (with respect to the first calendar quarter following the Issue Date) or the aggregate value of the Index Securities held by such holder on the last day of such immediately preceding calendar quarter (with respect to any calendar quarter following such first calendar quarter), calculated based on the closing price of such Index Securities on the Issue Date or the last day of the applicable quarter, as the case may be, is equal to the Initial Value of the Index Portfolio or the Initial Value of the ES Div 30 Index Portfolio and the Initial Value of the ES 50 Index Portfolio, respectively, (as specified in the Pricing Supplement) or the Value of the Index Portfolio or the Value of the ES Div 30 Index Portfolio and the Value of the ES 50 Index Portfolio, respectively, (as specified in the Pricing Supplement) as the case may be, less the amount of any cash dividends or other distributions (or the cash value of non-cash dividends or other distributions, as determined by the Calculation Agent acting in good faith) paid by the Index Security Issuers on the Index Securities in the applicable Index which are not yet reflected in payments made to holders of the Debt Securities as Partial Principal Repayments. Any Partial Principal Repayments will be net of any amount in respect of Taxes that would be payable in respect of dividend payments or other distributions made to the Reference Holder under the Reference Hedge. The amount of such dividends or other distributions will be notionally converted to Canadian or United States dollars (as specified in the Pricing Supplement) at the CAD/Euro Foreign Exchange Rate or USD/Euro Foreign Exchange Rate, respectively, for the last day of such calendar quarter. The Partial Principal Repayments will not exceed CAD$99.00 or US$99.00 (as applicable) and will be calculated and payable quarterly no later than the fifth business day following the end of each calendar quarter during the term of the Debt Securities other than the calendar quarter in which the Final Valuation Date falls. In addition, any non-cash dividends or other distributions (other than Extraordinary Distributions if so specified in the Pricing Supplement) paid by the Index Security Issuers on the Index Securities will be converted into their notional cash value, as determined by the Calculation Agent acting in good faith, converted to Canadian or United States dollars (as applicable) at the CAD/Euro Foreign Exchange Rate or USD/Euro Foreign Exchange Rate, respectively, for the last day of the calendar quarter in which such non-cash dividends or other distributions are paid, and paid out as Partial Principal Repayments following the end of each such calendar quarter in which such non-cash dividends or other distributions are paid. Please refer to the Pricing Supplement for additional details. Capitalized terms used but not defined herein have the meanings specified in the Pricing Supplement.