Conditional Vanilla Clause Samples

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 = () ≥ = () < = () ≥