Conditional Vanilla. Overview The following example demonstrates how the performance of an Underlying could result in a positive, neutral and negative return on the Notes. Upon maturity, the Notes will pay a redemption amount, determined in accordance with the Conditional Vanilla formula as specified on pages 281 et seq. of the Base Prospectus. The objective of the Conditional Vanilla is to pay an amount linked to the performance of an Underlying. The payment of this amount is nonetheless conditional on the fulfilment of one or several conditions. The Final Redemption Amount per Note may be less than the Nominal Amount, or even be equal to zero. The Conditional Vanilla will not bear interest and cannot be subject to an automatic early redemption mechanism. Worked Example The scenario below is based on an Index Linked Note (single index) allowing the Noteholders to receive on the Maturity Date, 150% of their initial capital investment if the performance of the Underlying is greater than or equal to 10%. If the performance of the Underlying is below 10% but greater than or equal to – (minus) 40%, they will recover their initial capital investment. Otherwise, they will bear a loss in capital which is equal to the negative performance of the Underlying. The Final Redemption Amount per Note is determined by the Calculation Agent on the Valuation Date in the Specified Currency in accordance with the following formula: 𝐂𝐚𝐥𝐜𝐮𝐥𝐚𝐭𝐢𝐨𝐧 𝐀𝐦𝐨𝐮𝐧𝐭 × [𝐑 + 𝐂𝐨𝐮𝐩𝐨𝐧 + (𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟏 × 𝐂𝐨𝐧𝐝𝐢𝐭𝐢𝐨𝐧𝟏 × 𝐅𝐗𝟏) + (𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟐 × 𝐂𝐨𝐧𝐝𝐢𝐭𝐢𝐨𝐧𝟐 × 𝐅𝐗𝟐) + (𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟑 × 𝐂𝐨𝐧𝐝𝐢𝐭𝐢𝐨𝐧𝟑 × 𝐅𝐗𝟑)] Where: 𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟏 = 𝐂𝐨𝐮𝐩𝐨𝐧𝟏 + 𝐆𝟏 × 𝐌𝐢𝐧(𝐂𝐚𝐩𝟏, 𝐌𝐚𝐱(𝐓𝐲𝐩𝐞𝟏 × (𝐁𝐚𝐬𝐤𝐞𝐭𝐏𝐞𝐫𝐟(𝐓) – 𝐊𝟏), 𝐅𝐥𝐨𝐨𝐫𝟏)) 𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟐 = ��𝐨𝐮𝐩𝐨𝐧𝟐 + 𝐆𝟐 × 𝐌𝐢𝐧(𝐂𝐚𝐩𝟐, 𝐌𝐚𝐱(𝐓𝐲𝐩𝐞𝟐 × (𝐁𝐚𝐬𝐤𝐞𝐭𝐏𝐞𝐫𝐟(𝐓) – 𝐊𝟐), 𝐅𝐥𝐨𝐨𝐫𝟐)) 𝐕𝐚𝐧𝐢𝐥𝐥𝐚𝟑 = 𝐂𝐨𝐮𝐩𝐨𝐧𝟑 + 𝐆𝟑 × 𝐌𝐢𝐧(𝐂𝐚𝐩𝟑, 𝐌𝐚𝐱(𝐓𝐲𝐩𝐞𝟑 × (𝐁𝐚𝐬𝐤𝐞𝐭𝐏𝐞𝐫𝐟(𝐓) – 𝐊𝟑), 𝐅𝐥𝐨𝐨𝐫𝟑)) The value of each Condition is determined as follows 𝐂𝐨𝐧𝐝𝐢𝐭𝐢𝐨𝐧𝟏 = 𝟏 𝐢𝐟 𝐁𝐚𝐬𝐤𝐞𝐭𝐏𝐞𝐫𝐟(𝐓) ≥ 𝐇 = 0 if not 𝐂𝐨𝐧𝐝𝐢𝐭𝐢𝐨𝐧𝟐 = 𝟏 𝐢𝐟 𝐁𝐚𝐬𝐤𝐞𝐭𝐏𝐞𝐫𝐟(𝐓) < 𝐁
Conditional Vanilla. Overview The following example demonstrates how the performance of an Underlying could result in a positive, neutral and negative return on the Notes. Upon maturity, the Notes will pay a redemption amount, determined in accordance with the Conditional Vanilla formula as specified on pages 286 et seq. of the Base Prospectus. The objective of the Conditional Vanilla is to pay an amount linked to the performance of an Underlying. The payment of this amount is nonetheless conditional on the fulfilment of one or several conditions. The Final Redemption Amount per Note may be less than the Nominal Amount, or even be equal to zero. The Conditional Vanilla will not bear interest and cannot be subject to an automatic early redemption mechanism. Worked Example The scenario below is based on an Index Linked Note (single index) allowing the Noteholders to receive on the Maturity Date, 150% of their initial capital investment if the performance of the Underlying is greater than or equal to 10%. If the performance of the Underlying is below 10% but greater than or equal to – (minus) 40%, they will recover their initial capital investment. Otherwise, they will bear a loss in capital which is equal to the negative performance of the Underlying. The Final Redemption Amount per Note is determined by the Calculation Agent on the Valuation Date in the Specified Currency in accordance with the following formula: × [ + + ( × × ) + ( × × ) + ( × × )] Where: = + × (, ( × (() – ), )) = + × (, ( × (() – ), )) = + × (, ( × (() – ), )) The value of each Condition is determined as follows = () ≥ = 0 if not = () < = 0 if not = () ≥ = 0 if not Where, for the purpose of this worked example only:
