INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
BBVA 60:60 Global Income Autocall Apr 2016 USD
ISIN: XS1401779209
STRIKE DATE: 28/04/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI8099.4213147.93
OMX Stockholm 301389.6123031.392
S&P/ASX 2005225.4288927.526
S&P/TSX 60811.781907.604

STRIKE DATE 28/04/2016
RETURN & BARRIERS
3.4% Semi-Annual if all above 60%, 100% Autocall from end of yr1, 60% European Barrier
P.A. RETURN
ISIN XS1401779209
NEXT POTENTIAL MATURITY DATE 28/04/2017

EXPAND CLOSE
Investec Triple Index Fixed Income May 2016 USD
ISIN: XS1400229859
STRIKE DATE: 06/05/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006125.7010171.76
S&P 5002057.146969.01
Eurostoxx 502936.845891.95

STRIKE DATE 06/05/2016
RETURN & BARRIERS
1.25% Qtrly Fixed, 60% European Barrier
P.A. RETURN
ISIN XS1400229859
NEXT POTENTIAL MATURITY DATE 06/05/2022

EXPAND CLOSE
Diversified Markets Income Autocall
ISIN: XS1411510883
STRIKE DATE: 10/06/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY UBS
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7922.7113147.93
OMX Stockholm 301315.0593031.392
S&P/ASX 2005312.5968927.526
S&P/TSX 60816.761907.604

STRIKE DATE 10/06/2016
RETURN & BARRIERS
7% p.a. if all above 60%, 100% autocall, 60% European Barrier
P.A. RETURN
ISIN XS1411510883
NEXT POTENTIAL MATURITY DATE 13/06/2017

EXPAND CLOSE
Investec Even 30™ Booster
ISIN: XS1409739635
STRIKE DATE: 10/06/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
EVEN 302077.162353.61
FTSE 1006115.7610171.76

STRIKE DATE 10/06/2016
RETURN & BARRIERS
Investment Structure: Enhanced Participation Growth Note Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style) linked to FTSE 100 Growth Participation: 225% x performance of Investec EVEN30™ Index
P.A. RETURN
ISIN XS1409739635
NEXT POTENTIAL MATURITY DATE 10/06/2022

EXPAND CLOSE
Investec Triple Index Fixed Income
ISIN: XS1405997948
STRIKE DATE: 10/06/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006115.7610171.76
S&P 5002096.076969.01
Eurostoxx 502911.115891.95

STRIKE DATE 10/06/2016
RETURN & BARRIERS
Investment Structure: Classic Fixed Income Coupon Rate: 4.8% p.a paid quarterly Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS1405997948
NEXT POTENTIAL MATURITY DATE 10/06/2022

EXPAND CLOSE
BBVA 60:60 Global Income Autocall
ISIN: XS1395293753
STRIKE DATE: 12/05/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7885.8513147.93
OMX Stockholm 301312.2793031.392
S&P/ASX 2005359.3028927.526
S&P/TSX 60803.351907.604

STRIKE DATE 12/05/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual (First autocall end of year 1) Autocall Trigger: 100% of initial level Coupon Rate: 3.25% semi-annual (6.5% annual) Coupon Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1395293753
NEXT POTENTIAL MATURITY DATE 12/05/2017

EXPAND CLOSE
Investec Even 30™ Booster
ISIN: XS1392941065
STRIKE DATE: 06/05/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
EVEN 302078.872353.61
FTSE 1006125.710171.76

STRIKE DATE 06/05/2016
RETURN & BARRIERS
Investment Structure: Enhanced Participation Growth Note Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style) linked to FTSE 100 Growth Participation: 225% x performance of Investec EVEN30™ Index
P.A. RETURN
ISIN XS1392941065
NEXT POTENTIAL MATURITY DATE 06/05/2022

EXPAND CLOSE
Investec Triple Index Fixed Income Mar 2016
ISIN: XS1365258083
STRIKE DATE: 24/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006106.5010171.76
S&P 5002035.946969.01
Eurostoxx 502986.735891.95

STRIKE DATE 24/03/2016
RETURN & BARRIERS
1.25% Qtrly Fixed, 65% European Barrier
P.A. RETURN
ISIN XS1365258083
NEXT POTENTIAL MATURITY DATE 24/03/2022

EXPAND CLOSE
Credit Suisse Diversified Markets Income Autocall Mar 2016
ISIN: XS1289107432
STRIKE DATE: 18/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7813.6813147.93
OMX Stockholm 301391.3793031.392
S&P/ASX 2005183.1248927.526
S&P/TSX 60791.351907.604

STRIKE DATE 18/03/2016
RETURN & BARRIERS
7.5% p.a. if all above 55%, 100% autocall, 55% European Barrier
P.A. RETURN
ISIN XS1289107432
NEXT POTENTIAL MATURITY DATE 20/03/2017

EXPAND CLOSE
Natixis 60:60 Global Income Autocall
ISIN: XS1295803214
STRIKE DATE: 08/04/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7817.5513147.93
OMX Stockholm 301364.9453031.392
S&P/ASX 2004937.6178927.526
S&P/TSX 60784.581907.604

STRIKE DATE 08/04/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual (First autocall end of year 1) Autocall Trigger: 100% of initial level Coupon Rate: 3.3% semi-annual (6.6% annual) Coupon Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1295803214
NEXT POTENTIAL MATURITY DATE 10/04/2017

EXPAND CLOSE
BBVA Global Markets Catch-Up Income Autocall
ISIN: XS1379623900
STRIKE DATE: 08/04/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7817.5513147.93
OMX Stockholm 301364.9453031.392
S&P/ASX 2004937.6178927.526
S&P/TSX 60784.581907.604

STRIKE DATE 08/04/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual Autocall Trigger: 100% of initial level Coupon Rate: 4.8% semi-annual snowballing (9.6% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1379623900
NEXT POTENTIAL MATURITY DATE 11/10/2016

EXPAND CLOSE
BBVA Global Markets Catch-Up Income Autocall
ISIN: XS1379615559
STRIKE DATE: 08/04/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7817.5513147.93
OMX Stockholm 301364.9453031.392
S&P/ASX 2004937.6178927.526
S&P/TSX 60784.581907.604

STRIKE DATE 08/04/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual Autocall Trigger: 100% of initial level Coupon Rate: 4.8% semi-annual snowballing (9.6% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1379615559
NEXT POTENTIAL MATURITY DATE 11/10/2016

EXPAND CLOSE
Commmerzbank Global Markets Catch-Up Income Autocall Feb 2016
ISIN: XS1374720313
STRIKE DATE: 26/02/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7877.0313147.93
OMX Stockholm 301370.7993031.392
S&P/TSX 604879.9581907.604
S&P/TSX 60751.931907.604

STRIKE DATE 26/02/2016
RETURN & BARRIERS
5.1% Semi annual snowballing if all above 80%, 100% Autocall, 60% European Barrier
P.A. RETURN
ISIN XS1374720313
NEXT POTENTIAL MATURITY DATE 26/08/2016

EXPAND CLOSE
BBVA 100% Capital Protected Investment
ISIN: XS1373304820
STRIKE DATE: 24/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HG UK Absolute Return Fund6.91028.3143

STRIKE DATE 24/03/2016
RETURN & BARRIERS
Investment Structure: Capital protection plus growth Capital Protected: 100% of initial investment Growth Participation: 100% x performance of Henderson Gartmore UK Absolute Return Fund
P.A. RETURN
ISIN XS1373304820
NEXT POTENTIAL MATURITY DATE 31/03/2022

EXPAND CLOSE
Natixis 60:60 Global Income Autocall
ISIN: XS1295018474
STRIKE DATE: 24/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7775.5813147.93
OMX Stockholm 301345.3413031.392
S&P/ASX 2005084.2078927.526
S&P/TSX 60784.451907.604

STRIKE DATE 24/03/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual (First autocall end of year 1) Autocall Trigger: 100% of initial level Coupon Rate: 3.35% semi-annual (6.7% annual) Coupon Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1295018474
NEXT POTENTIAL MATURITY DATE 24/03/2017

EXPAND CLOSE
Investec Triple Index Fixed Income Feb 2016 GBP
ISIN: XS1344718165
STRIKE DATE: 12/02/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005707.610171.76
S&P 5001864.786969.01
Eurostoxx 502756.165891.95

STRIKE DATE 12/02/2016
RETURN & BARRIERS
1.25% Qtrly Fixed, 65% European Barrier
P.A. RETURN
ISIN XS1344718165
NEXT POTENTIAL MATURITY DATE 14/02/2022

EXPAND CLOSE
Credit Suisse Diversified Markets Income Autocall Feb 2016 GBP
ISIN: XS1289168061
STRIKE DATE: 12/02/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7656.613147.93
OMX Stockholm 301286.6653031.392
S&P/ASX 2004765.3468927.526
S&P/TSX 60729.461907.604

STRIKE DATE 12/02/2016
RETURN & BARRIERS
7% p.a. if all above 55%, 100% autocall, 55% European Barrier
P.A. RETURN
ISIN XS1289168061
NEXT POTENTIAL MATURITY DATE 13/02/2017

EXPAND CLOSE
Nomura 70:70 Major Markets Income Autocall
ISIN: XS1361611301
STRIKE DATE: 04/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Nomura
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006199.4310171.76
S&P 5001999.996969.01
Eurostoxx 503037.355891.95

STRIKE DATE 04/03/2016
RETURN & BARRIERS
Investment Structure: Semi-annual Income Autocall Autocall opportunities: Semi-annual from end of yr 1. Autocall Trigger: 100% of initial levels Conditional Coupon Rate: 3.25% semi-annual (Gross) Coupon Trigger: 70% of initial levels Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1361611301
NEXT POTENTIAL MATURITY DATE 06/03/2017

EXPAND CLOSE
Nomura 70:70 Major Markets Income Autocall
ISIN: XS1361611210
STRIKE DATE: 04/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Nomura
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006199.4310171.76
S&P 5001999.996969.01
Eurostoxx 503037.355891.95

STRIKE DATE 04/03/2016
RETURN & BARRIERS
Investment Structure: Semi-annual Income Autocall Autocall opportunities: Semi-annual from end of yr 1. Autocall Trigger: 100% of initial levels Conditional Coupon Rate: 3.25% semi-annual (Gross) Coupon Trigger: 70% of initial levels Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1361611210
NEXT POTENTIAL MATURITY DATE 06/03/2017

EXPAND CLOSE
BBVA Global Markets Catch-Up Income Autocall
ISIN: XS1361301614
STRIKE DATE: 04/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7982.5713147.93
OMX Stockholm 301403.7653031.392
S&P/ASX 2005090.0258927.526
S&P/TSX 60772.631907.604

STRIKE DATE 04/03/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual Autocall Trigger: 100% of initial level Coupon Rate: 5.3% semi-annual snowballing (10.6% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1361301614
NEXT POTENTIAL MATURITY DATE 06/09/2016

EXPAND CLOSE