Structured Product Capital protected...

Structured Product Capital protected Product Growth Product & Coupons Products

SANTINI Jacques Francois

YANG Guang

CHENG Jiaqi

Essec Business School MSTF

Business Overview

Customer typology : Private Banking Retail Distribution Intitutional Corporate Flow Business

29/04/11 Capital Protected Product

2

Private Banking Business

Business at a glance Business rationale: Structured Equity as an alternative to direct equity investment

What matters most are guaranteed/potential gains (high coupon, leveraged participation, etc..), i.e. capital risk is perceived as a means to leverage views

Business model: High-margin, with recurrent small-sized trades summing up to huge volumes Average issue size: USD 3M

Wrapper: Structured Notes or Certificates

Key products Reverse Convertibles & Maxi Reverse Convertibles Europe & Asia Autocallable Floored Accruals & Accumulator Forwards on stocks/stock baskets - Asia Growth structures on Global Indices ( S&P 500, DJ Eurostoxx 50, Nikkei 225, FTSE 100, etc..) -

World

Autocallable structures on all kinds of underlyings - Europe


3

Private Banking Business

Standard ways in the market Sellers of volatility on stocks to get attractive coupons Buyers of volatility on indices to capture performance Appetite for new underlyings (ADRs, GDRs, regional indices) Short & medium maturities involved (from 3m to 5y)

What client expects Push trade ideas (new payoffs / market opportunities / axes) Price structures in a reactive, accurate & competitive manner Provide top-quality secondary market conditions & smooth settlement processes


4

Retail Distribution business

Business at a glance Business rationale: Structured Equity as a value-added diversification asset for end clients

Retailers sell a payout formula throughout their networks that has often been originated by their IM arm

Business model: Price-driven, with very large-sized trades on a regular basis Average trade size: USD 100 / 250m

(from USD 10m to USD 1bn for largest players, split between several hedge counterparties)

Wrapper: Depends on regional distribution legal frame Europe: OTC hedging swaps of dedicated closed-end funds, insurance policies, public issues,

certificates, deposits

Japan, USA : Structured Notes (EMTN or CD)

Key products Very large range of products traded (except for autocallables) From vanilla to highly exotic (the latter mostly in Continental Europe & Asia) 100% capital protection for 90% of structures traded


5

Retail Distribution business

Standard ways in the market Buyers of indices & stocks correlation Two ways on volatilities Longer maturities involved compared to Private Banking business (from 4y to 8y)

What client expects Pay specific attention to idea generation Provide high level of Structuring & Trading services

Structuring: Variation pricing, price refresh during pre-trade phase, historical & MtM simulations Trading: Books capacities to take on huge sizes and provide volume flexibility until end of subscription

period (often 3 months after trade date)

Provide top-quality secondary market conditions & smooth settlement processes


6

Institutional business

Business at a glance Institutional: Real Money Accounts excluding Distributors & including the following players

Pension funds, Life insurance companies, Banks

Business rationale: Structured Equity as an asset class generating alpha for stakeholders (end clients - insurance policy holders, retirees- & shareholders)

Business model: Innovation-driven, encompassing various types of investment purposes ALM : Macro hedging, Equity portfolio management Pension funds : Long-term investment for matching liabilities Treasury : Yield generation

Wrapper: Depends on investment purposes Hedging: OTC options Investment: EMTN

Key products Market access products (Structured Equity to loosen regulatory & accounting constraints) From vanilla to hybrid (Inflation/Equity; Rainbow on Credit/Equity/Rates; etc)


7

Institutional business

Standard market ways Buyers of volatilities on indices Very long maturities involved (from 8y to 12y)

What client Push value-added propositions and innovations (for instance, develop an hybrid platform) Be able to trade large volumes


8

Corporate (Treasury)

Business at a glance Business rationale: Structured Equity as an alternative to money-market investments Business model for clients investing more than 1M

Time-to-market trades (Treasurer has a view) Lots of Rate Derivatives-like products

Book building for smaller customers Wrapper: Depends on countries

EMTN in most cases Less frequently, structured swaps

Key products Minimum guaranteed coupon, even when principal is at risk Accrual Family Call spreads / Up & Out Growth structures


9

Corporate (Treasury)

Standard market ways Short to medium-term maturities Neutral to short volatility

What client expects from you Fully packaged investment ideas Market view translated in enhanced returns


10

Corporate (ALM)

Business at a glance Business rationale: Equity Derivatives as a value added diversification asset, an alternative

monetization source for equity stake and a flexible hedging tool Business model: Risk advisory approach focusing on large trades and non-sensitive

price transactions with major customers amongst CIBM portfolio Wrapper: Mainly delivered as OTC, some sold as EMTN

Key products Ranging from Delta One to Convex products Usually not too complex but highly constrained by legal, tax and accounting issues

Corporate needs Corporate engineering: Structuring and hedging of employee incentive schemes Hedging: Hedging of dilutive instruments (stock options, convertible bonds),

as well as building end disposal of participations

Portfolio management: Dynamic management of economic exposure Financing: Optimized cash extraction from equity stakes Investment: Bespoke equity based investment products


11

Flow business

Business at a glance Diverse clients group, including the following players

Hedge Funds, Asset Managers, Prop desks

Business rationale: Structured Equity generating absolute performance by leverage or carry trades

Business model: Arbitrage-driven, sensitive to state-of-the-art market models Wrapper: OTC

Key products Short options Variance swaps Correlation swaps Dividend certificates


12

Flow business

Standard market ways Market movers Very large tickets

What client expects Sharp prices for size


13

What is a Structured Equity product ?

It is composed of a payoff structure, a set of underlyings and a wrapper

Underlying Stocks Indices Exchange-Traded Funds ADRs

Payoff

Vanilla Slightly Exotic Exotics Delta One

Wrapper OTC

Listed options EMTN /

Certificates Securitized

products Funds

Product Structuring


14

Payoff Strategy classification

What to track ? Underlying

Single index / Single stock Index basket / Stock basket

How much risk in the investment principal can one take ? Capital Protection

Full Partial No protection


15


How is the underlying expected to perform? Market view Market view

Bullish vs Bearish Range trading Market neutral Volatile vs Stable Convergence vs Divergence

How is the return paid ? Payoff Nature

Coupon Conditional coupon Performance driven


16


How and when one gets his investment principal back ? Redemption feature

Fixed maturity Autocallable Callable Target Redemption


17

Product structuring General features

For a given Product Family, there exist various ways to either cheapen the price or increase expected performance :

Underlying: Mono underlying or Multi underlying / Index or Stock Capital at risk: More money available for investing in same potential

upside Cap on payoff: Sets a maximum payout that cannot be exceeded Averaging : Modifies the expected value of final observation Lowering effect: Performance standard averaging Increasing effect: Smart Averaging (Please refer to Smart Average

Family) Minimum return: Makes the structure more expensive unless it is below

expected value Early redemption: Structure is statistically or automatically redeemed

before full expected return is paid


18

What do I bought


19

HSBC Financial Products (France) SNC Contact : (00331) 5652 4228

email : [email protected] Page 1 of 3

April 29, 2011

Page 1 of 3

April 29, 2011

Global Structured Equity Products

USD Capped Growth (ZC + call) Due 28 Nov. 2013

Any offers of the Notes described in this Term Sheet will be subject to the restrictions of Directive 2003/71/EC of the European Parliament and of the Council of November 4

th, 2003 (the "Prospectus Directive") including any relevant implementing measures in each Member State of the

European Economic Area in which the Prospectus Directive has been implemented. Potential investors into whose possession this Term Sheet comes are required by the Issuer and the Dealers to inform themselves about and to observe these restrictions. Any offers made in violation of these restrictions will be unlawful.

Indicative General Terms of the Notes

Brief Product Description / Risk

: The GROWTH Notes offer a participation to the positive performance of the underlying while providing a partial principal protection at Maturity. At Maturity, each Note is redeemed at the

partial principal protection level plus the participation to the positive performance of the underlying. In case of sales of the product before Maturity, the selling price can be, depending on market

conditions at the selling date, below its initial price.

Product Type (SVSP) : CAPITAL PROTECTED PRODUCTS - Uncapped capital protected (410)

Issuer : HSBC Bank plc (Notes and Warrants Program)

Applicable Law : English Law

Domicile and Head Office : 8 Canada Square, London E14 5HQ United Kingdom

Regulatory : The issuer is authorized and regulated by the FSA (United Kingdom)

Status : Senior, unsecured

Issuers Ratings : Aa1 (Moodys) / AA (S&P)

ISIN / TELEKURS : Tba/tba

Denomination : USD 1 000

Issue Size : USD 750 000

Trade Date : 12 Nov. 2010

Set Date : 12 Nov. 2010

Issue Date : 26 Nov. 2010

Valuation Date : 14 Nov. 2013

Maturity Date : 28 Nov. 2013

Issue Price : 100%

Minimum Investment : 1 Note

Trading Volume / Ratio : 1 Note

Underlying : The Following Indices

i Indice Bloomberg

Ticker

Isin Code Siinitial Exchange

1 ISHARES MSCI EMERGING

MARKET INDEX

EEM UP US4642872349

Redemption

: For each Note, a cash amount equal to Denomination times:

[ ][ ]1;%0maxP [Cap;min Re !"+ finalPerfdemptionMin

Perffinal : i

initial

i

final

S

S

Min Redemption : 90%

Cap : 143%

P : 100 %



April 29, 2011

Page 2 of 3

N : Number of Indices: 1

Sifinal : Closing price of the Index/Share i on Valuation Date.

Siinitial : Closing price of the Index/Share i on Set Date.

Settlement : CASH SETTLEMENT

Buisiness Days : New York, London Target

Listing : Unlisted / Private Placement

Clearing : Euroclear (N24921)

Form of the Notes : Bearer notes evidenced by a permanent global note. Definitives will not be printed

Selling Restrictions: : As described in detail in the the Issuers EMTN Programme

Calculation Agent : HSBC Bank plc 8 Canada Square, London E14 5HQ

Paying Agent : HSBC Bank plc

Additional fees payable to the issuer or to the dealer

: None

Additional Information : http://www.hsbcnet.com/treasury/investor-solutions/swispriv.html

Governing Law : English

Jurisdiction : The Courts of England

Documentation : The Issuers EMTN Programme

Notification : In case of a corporate event, HSBC Financial Products France will notify the buyer of the note and will send an amended Termsheet.

Secondary Market : UNDER NORMAL MARKET CONDITIONS, HSBC Financial Products (France) SNC will endeavour to provide on Reuters HSSP and on Bloomberg a Bid/Offer Level with a spread of : 1.00%

Reuters RIC : ISIN = HSBP

Bloomberg : ISIN Corp Go

During the term of the product, Bid and Offer prices may possibly differ to a greater or

lesser extent (spread).

Fiscal Terms* : All tax relevant information contained in this document is purely indicative and based upon a diligent analysis of the laws and regulations applicable on the date this document is issued and any

other information available to the Issuer considered to be reliable. The Issuer explicitly excludes all and any liability in respect of any tax implications based upon the information contained in this

document. The Issuer cannot be held responsible for any tax matter arising from any investment made in this product. The investors only will be liable for all current and future taxes and duties. All

investors should therefore consult their legal and tax advisors on the tax implications of buying, holding and selling this financial product taking into account their particular circumstances.

Bond Floor at issue (indicative) : 91.31%

This product is classified as a bond-like derivative financial instrument with predominantly one time interest payment (IUP) for Swiss tax purposes.

As a result, the positive difference between the value of the bond floor at the redemption/disposal of the product and the value of the bond floor at the issue/acquisition of

the product is taxable income for Swiss resident individual investors holding the product for private investment purposes.

The gain obtained from the derivative part is qualified for Capital gain.

No Swiss withholding tax. No Swiss stamp tax at issuance. Secondary market transactions are subject to Swiss stamp transfer tax

For Swiss paying agents, the product is not subject to EU Savings tax (TK2)

*This is a general overview of the potential fiscal impact of this product at the time of issue. Tax treatment will depend on each client's individual circumstances. Tax laws and interpretations may change and with a possible retroactive effect.



April 29, 2011

Page 3 of 3

Simulation of Redemption at Maturity

Basket Level at Maturity (Basis 100)

-80%

-50%

-20%

-5%

0%

5%

15%

25%

45%

100%

Redemption of the Note 90% 90% 90% 90% 90% 95% 105% 115% 133% 133%

For illustration purpose only. Such simulations are not a reliable indicator of future performance.

Risks for the investor

In case of sales of the product before Maturity, there is no capital protection and therefore the selling price can be,

depending on market conditions at the selling date, below its initial price

Investors bear the Issuer risk. The investment instruments value is dependent not only on the development of the

underlying, but also on the creditworthiness of the Issuer, which may vary over the term of the structured product

Warning In case of a decrease of the underlying, this product is exposed to equity risk and could expose the investor to a partial

loss.

Disclaimer

Capital Protected

Growth Products Growth Famaly Smart Average Family


20

Growth Family STANDARD PAYOFF

AGGRESSIVE UPSIDE

LIMITED UPSIDE

Super Bull Growth

Best Of Growth

Binary Up +Growth

UPSIDE EXPOSURE & PRICE

FLOORED UPSIDE

Ladder Growth

Growth

Up & Out Growth

Max Lookback Strike

Floor continuous lock-in features & upside participation

Guaranteed floor & upside participation

Conditional floor at maturity & upside participation

Mono with full upside (Available on Worst Of)

Mono / Basket with leveraged participation

Mono / Basket with leveraged participation

Leveraged upside participation conditional to KO

Mono underlying American barrier with Compensative Rebate

Short-term volatility play to enhance upside participation

Mono with 1-Month Strike Lookback Period

INVESTMENT RATIONALE

Upside participation

Enhanced exposure to large outperformances

Mono / Basket

Discrete Ladder Floor discrete lock-in features & upside participation

Mono with full upside (Available on Worst Of)

BENCHMARK

Rainbow Overweight on best performers on average Basket


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Up & Out Growth

Investment case Objective : Capital protection & leveraged exposure to underlyings small

performances Performance is paid at maturity as long as it does not reach desactivating Knock-Out level. Compensative rebate is paid if breached

Investors view : Moderately bullish ; Short-term bias ; Short volatility

Indicative terms & conditions Underlying : DJ Eurostoxx 50 Currency/Maturity : EUR, 2-Year Payoff at maturity

if KO Level not triggered (continously observed) : 100% + 100% SX5EPerf2y if KO Level reached once : 100% + Rebate

KO Level / Rebate : 125 % / 5%


22

Up & Out Growth

Structure is optimized when increasing or decreasing U&O barrier makes it more expensive

Avantage Coupon/Growth in-between structure Cheaper way to capital gain than

pure Growth 100% participation achieved on short-term maturities Enhanced exposure to small market movements Suitable to any investors view

Against Underperformance in case of strongly

bullish scenarios, mitigated by Rebate .

Return Profile (aggregated view)

-20%-15%-10%

-5%0%5%

10%15%20%25%

70% 90% 110% 130%

Final Level of Underlying

Payo

ff


23

Ladder Growth

Investment case Objective : Capital protection & uncapped upside with global floor continuous lock-

in feature If underlying outperforms Lock Up anytime (continuously observed), Lock Up becomes a global floor to final performance

Investors view : Bullish with market corrections ; Long-term bias ; Long ATM&OTM volatility

Indicative terms & conditions Underlying : DJ Eurostoxx 50 Currency/Maturity : EUR, 10-Year Payoff at maturity : 100% + 100%*Max [ Lock Up ; SX5EPerf10y ] Lock Up :

11% if SX5EPerf>=11% anytime 22% if SX5EPerf>=22% anytime 33% if SX5EPerf>=33% anytime 44% if SX5EPerf>=44% anytime


24

Ladder Growth

Because one has to go for long maturities, key pricing parameter is FORWARD Please prefer low forward underlyings (i.e. Nikkei 225 rather than Nasdaq)

Plus Conditional protection against market corrections Ladder Growth allows to capture short-term outperformances hitting

Lock Up levels

Minus : Very expensive Highly sensitive to dividend yield Attractive structure for long

maturities only

Return Profile (if 133% Lock Up Level has been reached once) 60%

45%

55%

33%33%33%33%

30%

35%

40%

45%

50%

55%

60%

90% 110% 130% 150%Final Level of Underlying

Payo

ff


25

SuperBull Growth

Investment case Objective : Capital protection & gradual participation to underlyings

performances Investors are Overweight on large outperformances

Investors view : Strongly bullish ; Long-term bias ; Long ATM&OTM volatility

Indicative terms & conditions Underlying : DJ Eurostoxx 50, SP 500, N225 Currency/Maturity : USD, 5-Year Payoff at maturity :

100% capital +75% on BasketPerf5y between [0% ; 20%] +150% on BasketPer5yf between [20% ; 40%] +225% on BasketPerf5y >= 40%


26

SuperBull Growth

The most skew sensitive product of Growth Family

Avantage Large outperformance if underlying performs strongly

Against Large underperformance if underlying performs below

breakeven Long maturities better suited

to get reasonable breakeven

.

Impossible d'afficher l'image. Votre ordinateur manque peut-tre de mmoire pour ouvrir l'image ou l'image est endommage. Redmarrez l'ordinateur, puis ouvrez nouveau le fichier. Si le x rouge est toujours affich, vous devrez peut-tre supprimer l'image avant de la rinsrer.

Performance breakeven :30%


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Smart Average Family

LOOKBACK MECHANISM

Average Lookback

Floored Average

Growing Average

OPTIMIZED EXPOSURE

Best Growing Average

Best Of Fixings

STABLE FLOOR

Double BO Fixings

Local floor: None Global floor: Best Of Best Of Average

FINAL PAYOFF CALCULATION

Local floor: Highest fixing previously observed

Average: New Highs Only

Average: H Best Fixings

Average: H Best Fixings

Fixings: Average of J Best Performers

DYNAMIC GROWING FLOOR

Highest fixings within reference periods

Average Growth BENCHMARK Periodical performance averaging modifying expected return


28

Average Growth (Benchmark)

Investment case Objective : Capital protection & participation in an

optimized performance : i.e. the arithmetic average of periodical performances

Investors view : Bullish ; Medium-term bias ; Long volatility

Indicative terms & conditions Underlying : DJ Eurostoxx 50, SP 500, N225 (World Basket) Currency/Maturity : EUR, 3-Year Averaging frequency : Quarterly Payoff at maturity : 100% + 122.5% * Average (RecordedPerfi)


29

Average Growth (Benchmark)

Avantage Higher gearing than vanilla call Uncapped upside exposure Very straightforward to explain

Against Final average is damped by any temporary

underperformance

Average GrowthParticipation 122.50%Fixing dates Perfi

1 -22 103 204 75 -56 -157 -108 -59 15

10 3511 2512 20

Average (Perfi) 7.92Payoff at maturity 109.70


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Capital Protected

Coupon Products Coupon Multi Autocallable Family Accrual Family


31

Coupon Multi MARKET VIEW

Multi Range

Best Coupon / Recovery BC

Binary Up

Binary Lock Captain *

Best Climber *

Performance Spread

Maxi Coupon

NO DOWNSIDE

CONVERGENCE /

DIVERGENCE Maxi Spread *

ALL UP UNCAPPED

Captain * (Local Cap)

Binary Captain *

Multi Coupon

ALL UP CAPPED

* Large stock basket only (from 12 to 25 stocks)


32

Binary Captain

Investment case Objective : Yield enhancement through single stock volatility selling

Structure pays the average of individual capped / unfloored performances since inception (performance is set as a predefined level if one stock outperforms its initial level, otherwise is unfloored)

Investors View : Globally bullish on basket ; Medium-term bias ; Correlation play ; Long skew

Indicative terms & conditions Underlying : Diversified 20-Stock Basket Currency/Maturity : EUR, 5-Year Coupon payments dates t : Annual (t=1 to 5) Guaranteed Coupont) : 5% (t=1 to 2) Variable Coupont : Max [ 0%; Average (Individual Perfi,t )] Individual Perfi,t : 10% if Stocki outperforms its initial level

Min [ 10% ; Perfi,t ] else


33

Binary Captain

Avantage High periodical conditional coupon if stocks outperform

initial level

Easy to explain

Against Limited return (no upside participation) Will underperform in case of divergence


34

Performance Spread

One of the cheapest options, hence good pick for granting investors with a minimum return

Investment case Objective : Capital protection & enhanced return if underlyings

performances converge A periodical variable coupon is paid based on the difference between worst & best performers

Investors View : Convergence ; Medium-term bias ; Short volatility ; Long correlation

Indicative terms & conditions Underlyings : World Basket + Hang Seng Index Currency/Maturity : USD, 3-Year Coupon payments dates i : Annual (t=1 to 3) Couponi : Max [ 4% ; 15% - (BestOfPerfi WorstOfPerfi)]


35

Performance Spread

Plus High coupon for correlated basket Minimum guaranteed coupon Capital protection

Minus Limited return (no upside participation) High probability that structure will underperform


36

Multi Coupon

Investment case Objective : Capital protection & increasing coupons depending on the

number of outperformers (relative to Barrier) at observation dates Investors View : Bullish ; Medium-term bias ; Slightly short volatility ; Long

correlation

Indicative terms & conditions Underlyings : SX5E, HSI,KOSPI2,NKY,SPX Currency/Maturity : GBP, 3-Year Coupon payments dates i : Annual (i=1 to 3) Couponi :

0% if 0 index fixes above initial level 1% if 1 index fixes above initial level 9% if 5 indices fix above initial price


37

Multi Coupon

Plus High coupon if underlyings outperform their initial level 100% capital protection

Minus Limited return (no upside participation)


38

Autocallable family

EXIT BONUS

FIXED COUPONS

Autocallable Floored Accrual

Autocallable Reverse Convertible

Autocallable short D&I put

Best Of Autocallable

Autocallable Leverage Airbag +

RETURN TYPE

Autocallable Coupon

Autocallable Call

FULL CAPITAL PROTECTION FULL CAPITAL RISK

Autocallable +

ACCRUAL COUPONS

CONDITIONAL COUPONS

EXIT BONUS & UPSIDE

UPSIDE AT MATURITY

..

Twin Autocallable

Retail / Institutionals

Autocallable Range Accrual

CAPITAL AT RISK VARIATIONS

Private Banking


39

Autocallable short DI put(Benchmark)

Investment case Objective : Yield enhancement conditional to early redemption, financed by

conditional capital protection. At predefined early redemption dates, if underlying outperforms its initial level, then investors will get 100% capital back & enhanced coupon. Otherwise, structure goes on until next date without any intermediary coupon payment

Investors View : Moderately bullish ; Short-term bias ; Short volatility

Indicative terms & conditions Underlying : DJ Eurostoxx 50 Currency/Maturity : EUR, 3-Year Early redemption dates i : Annual (i=1 to 3) Up&Out Condition : If SX5EPerfi > 0% Exit Bonus I : if redeemed : 12% * i Put strike : 100% Downside Barrier : 75% (American)


40

Autocallable short DI put(Benchmark)

Plus One yield scenario known from the beginning Leveraged exposure to small delta movements Full digital risk born on few dates only Financed by capital at risk Reasonable downside buffer protection

Minus Underperformance if underlying

outperforms more than Exit Bonus at early redemption dates

Coupon risk if not early redeemed Capital risk if no early call occurs and

underlying decreases more than Downside Barrie

Return Profile (Simulations)

70%75%80%85%90%95%100%105%110%115%120%

0 0.5 1 1.5 2 2.5 3

Year

Und

erly

ing

Leve

l

Redeemed at 124%

Redeemed at 136%

Redeemed at

100%

Redeemed at 80%

Redeemed at 112%

American Barrier


41

Accrual Family

FIXED MATURITY

AUTO CALLABILITY

NO TOUCH

RANGE OUT

Basket Range Accrual

Target Range Accrual

MAXIMUM COUPON

MARKET VIEW

Autocallable Range Accrual

Autocallable Range Out Accrual

FLOOR (SLIGHTLY BULLISH)

RANGE IN

Autocallable Floored Accrual

(Step Up) Floored Accrual

Basket Range Out Accrual

Double No Touch

Floored No Touch

UNKNOWN DURATION


42

Basket Range Accrual (Benchmark)

Investment case Objective : Capital protection & enhanced variable coupon if all

underlying(s) stay within accrual range. Coupon then accrues on a daily basis ; accrual ranges may be step up/down over product lifetime

Investors View : Range trading ; Short-term bias ; Short volatility ; Long correlation

Indicative terms & conditions Underlyings : DJ Eurostoxx 50, SMI, SP 500, FTSE 100, Nikkei 225 Currency/Maturity : EUR, 1-Year Accrual Range : [ 85% - 115% ] Accrual Coupon : 5%*n/N Daily accrued, final payment

n : Nb of days when all indices are within Range N : Total number of days of interest payment period

Global Floor : 1%


43

Basket Range Accrual (Benchmark)

Avantage Easy-to-sell alternative to money market short-term

investments

Highly probable coupon payments, at least during first interest period

Against Limited return (no upside

participation)

Unstable Mark-to-Market over product lifetime

Return Profile (Simulations)

70%

75%

80%85%

90%

95%

100%

105%110%

115%

120%

0 0.25 0.5 0.75 1U

nder

lyin

g Le

vel

Redeemed at 100% + Coupon of 5%*(3/4) =3.75%

Redeemed at 100% + Coupon of max (1%, 5%*(54/365)) = 1%

Redeemed at 100% + Coupon of 5%


44

Conclusion


45

Questions - Answers


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