Global Quarterly Income Note (GBP)

This Note is an investment with a 6-year maturity linked to a basket of 4 Indexes: Nikkei 225 Index, Hang Seng Index, Russell 2000 Index, OMX Stockholm 30 Index.

At each quarterly observation date, if all the Underlying Indexes close at or above the 80% Coupon Barrier, a coupon of 1.4125% will be paid. All missed coupons will be made up, if the Underlying Indexes close at or above the 80% Coupon Barrier.

At each quarterly observation date from end of Year 1, the Notes can redeem early if all the Underlying Assets close at or above the 100% Autocall Barrier. On early redemption, the Notes return 100% of the invested capital.

In case there is no early redemption, at maturity, all quarterly coupons are paid if all the Underlying Assets close at or above the Coupon Barrier. The Notes will return 100% of invested capital as long as none of the Underlying Assets close below 60% of their initial level.

Capital is at risk at maturity if any Underlying Assets close below the Protection Barrier of 60% of its initial level in which case investors will receive the invested capital decreased by the performance of the worst performing Underlying Asset.