INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
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
SMI7656.614349.51
OMX Stockholm 301286.6653256.08
S&P/ASX 2004765.3468719.719
S&P/TSX 60729.462138.906

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 1006199.4310840.35
S&P 5001999.997744.06
Eurostoxx 503037.356168.26

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 1006199.4310840.35
S&P 5001999.997744.06
Eurostoxx 503037.356168.26

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
SMI7982.5714349.51
OMX Stockholm 301403.7653256.08
S&P/ASX 2005090.0258719.719
S&P/TSX 60772.632138.906

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
BBVA Global Markets Catch-Up Income Autocall
ISIN: XS1361301374
STRIKE DATE: 04/03/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7982.5714349.51
OMX Stockholm 301403.7653256.08
S&P/ASX 2005090.0258719.719
S&P/TSX 60772.632138.906

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 XS1361301374
NEXT POTENTIAL MATURITY DATE 06/09/2016

EXPAND CLOSE
Natixis 60:60 Global Income Autocall
ISIN: XS1295012949
STRIKE DATE: 19/02/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI7863.3614349.51
OMX Stockholm 301355.9463256.08
S&P/ASX 2004952.7968719.719
S&P/TSX 60753.542138.906

STRIKE DATE 19/02/2016
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: 3.45% semi-annual (6.9% annual) Coupon Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1295012949
NEXT POTENTIAL MATURITY DATE 20/02/2017

EXPAND CLOSE
Investec Capital Protected Investment
ISIN: XS1346703637
STRIKE DATE: 19/02/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
EVEN 302056.960

STRIKE DATE 19/02/2016
RETURN & BARRIERS
Investment Structure: Capital protection plus growth Capital Protected: 90% of initial investment Capital Risk: Limited to 10% of initial investment Growth Participation: 100% x performance of Investec EVEN30 Index
P.A. RETURN
ISIN XS1346703637
NEXT POTENTIAL MATURITY DATE 24/02/2022

EXPAND CLOSE
Investec Diversified Markets Income Autocall Dec 2015 GBP
ISIN: XS1330435949
STRIKE DATE: 17/12/2015
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI8656.314349.51
OMX Stockholm 301438.323256.08
S&P/ASX 2005102.0088719.719
S&P/TSX 60767.252138.906

STRIKE DATE 17/12/2015
RETURN & BARRIERS
6% p.a. if all above 60%, 100% autocall, 60% European Barrier
P.A. RETURN
ISIN XS1330435949
NEXT POTENTIAL MATURITY DATE 18/12/2017

EXPAND CLOSE
BNP Triple Index Fixed Income Dec 2015 GBP
ISIN: XS1293096522
STRIKE DATE: 17/12/2015
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BNP
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006102.5410840.35
S&P 5002041.897744.06
Eurostoxx 503306.476168.26

STRIKE DATE 17/12/2015
RETURN & BARRIERS
1.2% Qtrly Fixed, 65% European Barrier
P.A. RETURN
ISIN XS1293096522
NEXT POTENTIAL MATURITY DATE 17/12/2021

EXPAND CLOSE
Commerz FTSE-Eurostoxx 6yr s.a. Autocall Dec 2015
ISIN: XS1332514642
STRIKE DATE: 03/12/2015
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006275.0010840.35
Eurostoxx 503343.346168.26

STRIKE DATE 03/12/2015
RETURN & BARRIERS
3.25% Semi-Annual, 100% Autocall, 50% American Barrier
P.A. RETURN
ISIN XS1332514642
NEXT POTENTIAL MATURITY DATE 05/06/2017

EXPAND CLOSE
BBVA Global Markets Catch-Up Income Autocall USD
ISIN: XS1335155930
STRIKE DATE: 22/01/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI8271.1114349.51
OMX Stockholm 301361.3613256.08
S&P/ASX 2004915.9538719.719
S&P/TSX 60727.82138.906

STRIKE DATE 22/01/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual Autocall Trigger: 100% of initial level Coupon Rate: 5.25% semi-annual snowballing (10.5% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1335155930
NEXT POTENTIAL MATURITY DATE 24/07/2017

EXPAND CLOSE
BBVA Global Markets Catch-Up Income Autocall GBP
ISIN: XS1335158447
STRIKE DATE: 22/01/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI8271.1114349.51
OMX Stockholm 301361.3613256.08
S&P/ASX 2004915.9538719.719
S&P/TSX 60727.82138.906

STRIKE DATE 22/01/2016
RETURN & BARRIERS
Investment Structure: Classic semi-annual Income Autocall Autocall opportunities: Semi-annual Autocall Trigger: 100% of initial level Coupon Rate: 5.25% semi-annual snowballing (10.5% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1335158447
NEXT POTENTIAL MATURITY DATE 24/07/2017

EXPAND CLOSE
Investec Capital Protected Investment
ISIN: XS1332008439
STRIKE DATE: 15/01/2016
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
EVEN 302029.750

STRIKE DATE 15/01/2016
RETURN & BARRIERS
Investment Structure: Capital protection plus growth Capital Protected: 90% of initial investment Capital Risk: Limited to 10% of initial investment Growth Participation: 100% x performance of Investec EVEN30 Index
P.A. RETURN
ISIN XS1332008439
NEXT POTENTIAL MATURITY DATE 20/01/2022

EXPAND CLOSE
Investec Developed Markets Autocall Nov 2015 GBP
ISIN: XS1317428784
STRIKE DATE: 27/11/2015
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006375.1510840.35
S&P 5002090.117744.06
Eurostoxx 503488.996168.26

STRIKE DATE 27/11/2015
RETURN & BARRIERS
4.5% Semi-Annual, 100% Autocall from end of yr1, 60% European Barrier
P.A. RETURN
ISIN XS1317428784
NEXT POTENTIAL MATURITY DATE 30/05/2017

EXPAND CLOSE
Investec Diversified Markets Income Autocall Nov 2015 GBP
ISIN: XS1317748264
STRIKE DATE: 27/11/2015
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: CONTACT

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SMI9002.9614349.51
OMX Stockholm 301522.0053256.08
S&P/ASX 2005202.5848719.719
S&P/TSX 60784.522138.906

STRIKE DATE 27/11/2015
RETURN & BARRIERS
6% p.a. if all above 60%, 100% autocall, 60% European Barrier
P.A. RETURN
ISIN XS1317748264
NEXT POTENTIAL MATURITY DATE 27/11/2017

    EXPAND CLOSE
    Natixis 60:60 Global Income Autocall
    ISIN: XS1270141168
    STRIKE DATE: 15/01/2016
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: DOWNLOAD

    COUNTERPARTY Natixis
    TYPE Note
    CURRENCY GBP
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    SMI8107.1314349.51
    OMX Stockholm 301305.2413256.08
    S&P/ASX 2004892.8018719.719
    S&P/TSX 60709.122138.906

    STRIKE DATE 15/01/2016
    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 XS1270141168
    NEXT POTENTIAL MATURITY DATE 16/01/2017

    EXPAND CLOSE
    BBVA Triple Index Phoenix Nov 2015 USD
    ISIN: XS1323612074
    STRIKE DATE: 20/11/2015
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: DOWNLOAD

    COUNTERPARTY BBVA
    TYPE Note
    CURRENCY USD
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    FTSE 1006334.6310840.35
    Eurostoxx 503452.456168.26
    Russell 20001175.1512767.269

    STRIKE DATE 20/11/2015
    RETURN & BARRIERS
    4.6% Semi-annual if all above 75%, 100% Autocall (end of yr5 only), 70% European Barrier
    P.A. RETURN
    ISIN XS1323612074
    NEXT POTENTIAL MATURITY DATE 22/11/2020

    EXPAND CLOSE
    Investec Low Hurdle Developed Markets Income GBP Oct 2015
    ISIN: XS1315185105
    STRIKE DATE: 30/10/2015
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: DOWNLOAD

    COUNTERPARTY Investec
    TYPE Note
    CURRENCY GBP
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    FTSE 1006361.0910840.35
    S&P 5002079.367744.06
    Eurostoxx 503418.236168.26

    STRIKE DATE 30/10/2015
    RETURN & BARRIERS
    2.3% Semi-annual if all above 50%, 50% European Barrier
    P.A. RETURN
    ISIN XS1315185105
    NEXT POTENTIAL MATURITY DATE 29/10/2021

    EXPAND CLOSE
    Natixis World Markets Income Autocall
    ISIN: XS1270137307
    STRIKE DATE: 03/12/2015
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: DOWNLOAD

    COUNTERPARTY Natixis
    TYPE Note
    CURRENCY EUR
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    SMI8852.1414349.51
    OMX Stockholm 301502.4133256.08
    S&P/ASX 2005227.7178719.719
    S&P/TSX 60784.382138.906

    STRIKE DATE 03/12/2015
    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: 3.8% semi-annual (7.6% annual) Coupon Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
    P.A. RETURN
    ISIN XS1270137307
    NEXT POTENTIAL MATURITY DATE 07/06/2017

    EXPAND CLOSE
    BBVA 70:70 Triple Index Income Autocall
    ISIN: XS1317080098
    STRIKE DATE: 27/11/2015
    INDICATIVE PRICE: Not available
    STATUS: Matured
    FACTSHEET: DOWNLOAD

    COUNTERPARTY BBVA
    TYPE Note
    CURRENCY GBP
    CURRENT PRICE Not available

    UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
    FTSE 1006375.1510840.35
    S&P 5002090.117744.06
    Eurostoxx 503488.996168.26

    STRIKE DATE 27/11/2015
    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: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
    P.A. RETURN
    ISIN XS1317080098
    NEXT POTENTIAL MATURITY DATE 26/05/2017

    EXPAND CLOSE