Global Quarterly Income Note (GBP)

February 18, 2019

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.

Global Quarterly Income Note

February 18, 2019

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 2.0625% 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.

Classics Note in GBP

February 18, 2019

An investment in a quarterly autocall structure, with a 6 year maturity linked to the performance of the FTSE 100, Euro Stoxx 50 and S&P 500 Index.

Each quarter from the end of Year 1, the Notes can redeem early if all of the Underlying Assets close at or above the Autocall Barrier. On early redemption, the Notes return 100% of the invested capital plus an investment return of 2.75% in GBP (11% annualized) for every quarter that has passed since the Strike date.

In case there is no early redemption, at maturity, an investment return of 166% in GBP is paid if all the Underlying Assets close at or above the Autocall trigger.

The Notes will return 100% of invested capital as long as none of the Underlying Assets close below 70% of their initial level.

Capital is at risk at maturity if any Underlying Assets close below the Protection Barrier of 70% of its initial level in which case investors will receive the invested capital decreased by the performance of the worst performing Underlying Asset.

Classics Note in USD

February 18, 2019

An investment in a quarterly autocall structure, with a 6 year maturity linked to the performance of the FTSE 100, Euro Stoxx 50 and S&P 500 Index.

Each quarter from the end of Year 1, the Notes can redeem early if all of the Underlying Assets close at or above the Autocall Barrier. On early redemption, the Notes return 100% of the invested capital plus an investment return of 3.625% USD (14.5% annualized) for every quarter that has passed since the Strike date.

In case there is no early redemption, at maturity, an investment return of 187% in USD is paid if all the Underlying Assets close at or above the Autocall trigger.

The Notes will return 100% of invested capital as long as none of the Underlying Assets close below 70% of their initial level.

Capital is at risk at maturity if any Underlying Assets close below the Protection Barrier of 70% of its initial level in which case investors will receive the invested capital decreased by the performance of the worst performing Underlying Asset.

Select Income Note (EUR)

February 18, 2019

This 6 year Note has potential annual coupon (with memory) of 5% p.a. payable if no index (FTSE 100, EuroStoxx 50, S&P 500) has fallen below the coupon trigger level of 85%. There is also the potential to mature early from end of year 1, if all indices are at or above their initial level.

The note is protected with a 65% Europen protection barrier.

Select Income Note (GBP)

February 18, 2019

This 6 year Note has potential annual coupon (with memory) of 5.9% p.a. payable if no index (FTSE 100, EuroStoxx 50, S&P 500) has fallen below the coupon trigger level of 85%. There is also the potential to mature early from end of year 1, if all indices are at or above their initial level.

The note is protected with a 65% Europen protection barrier.

Select Income Note (USD)

February 18, 2019

This 6 year Note has potential annual coupon (with memory) of 7.8% p.a. payable if no index (FTSE 100, EuroStoxx 50, S&P 500) has fallen below the coupon trigger level of 85%. There is also the potential to mature early from end of year 1, if all indices are at or above their initial level.

The note is protected with a 65% Europen protection barrier.

Quaterly Memory Income Autocall with Reduced Trigger (GBP)

February 18, 2019

A 6 year investment linked to the performance of the UK, European, Swedish and Australian Indices. If on any of the quarterly observation dates, including the Final Observation date, the closing levels of all the Underlyings are at or above 80% of their initial levels, the income (1.6% in GBP) will be paid plus any previously missed income payments (memory effect).

This investment will autocall and mature early if all Underlyings are equal to or above the 100% Autocall Trigger on any quarterly observation date starting at 12 months.

If early maturity occurs, full capital is returned and the investment will end. If early maturity does not occur the investment will continue to the Final Observation date. At the Final Observation date, if all Underlyings are at or above 60% of their initial levels, then full capital is returned. If any Underlying is below 60% of its original level, capital return will be reduced on a 1-for-1 basis.

Quaterly Memory Income Autocall with Reduced Trigger

February 18, 2019

A 6 year investment linked to the performance of the UK, European, Swedish and Australian Indices. If on any of the quarterly observation dates, including the Final Observation date, the closing levels of all the Underlyings are at or above 80% of their initial levels, the income (2% in USD) will be paid plus any previously missed income payments (memory effect).

This investment will autocall and mature early if all Underlyings are equal to or above the 100% Autocall Trigger on any quarterly observation date starting at 12 months.

If early maturity occurs, full capital is returned and the investment will end. If early maturity does not occur the investment will continue to the Final Observation date. At the Final Observation date, if all Underlyings are at or above 60% of their initial levels, then full capital is returned. If any Underlying is below 60% of its original level, capital return will be reduced on a 1-for-1 basis.

USD Quarterly Step Down Autocall Note

February 18, 2019

This USD note is an investment in a quarterly autocall structure, with a 6 year maturity linked to a basket of indices (Japan, China, Australia, and the UK). In flat, rising or moderately falling equity markets, investors can receive a return, which accumulates for every quarter the Notes are not autocalled.

Each quarter from Q4, the Notes can redeem early if all of the Underlyings close at or above the Autocall Barrier. The Autocall Barrier decreases by 2.5% every quarter satrting with Q5. On early redemption, the Notes return 100% of the invested capital plus an investment return of 2.5% for every quarter that has passed since the Strike date.

In case there is no early redemption, at maturity:
• An investment return of 160% is paid if all the Underlyings close at or above the final Autocall barrier (75%). If the Autocall barrier is not met, the Notes will return 100% of invested capital as long as none of the Underlyings close below 60% of their initial level. Capital is at risk at maturity if any Underlyings 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 thus resulting in a partial or total loss of their invested capital.