Cube Investing - Quarterly Income Notes GBP on HSCEI SX5E UKX - 16/09/2016

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1 Quarterly Income Notes GBP on HSCEI SX5E UKX - Product Description Soft protection 70% European 1.95% coupon paid out for any quarter that all underlyings close above 70% of their starting levels Prices Current Level Underlying FTSE100, Euro Stoxx 50, HSCEI_Index Note Bid 94.90% (16th Sep) Product Type Enhanced Income - Phoenix Note Offer 95.90% (16th Sep) Overview IPR Risk [Volatility] Defensive Cautious Balanced Enhanced Adventurous Speculative % 0% 5% 10% 15% 25% 40% +50% Chance of Loss % 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% IPR Return (Annualised) 2-5% -1% 3% 7% 11% 15% Chance of Gain 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% 3 1 General Information Wrappers ISA No Target Market Security Pension Yes Tax treatment General Investment Account Complexity High Offshore Bond Page: 1

2 Simulated Investment Outlook Expected Profit or Loss Simulated Probability Historic Probability Annualised Return Average Payoff Gain (excl. Red. at face value) 72.4 % 78.4 % 11.2 % % Loss (excl. Red. at face value) 27.6 % 21.6 % % 62.1 % Redemption at face value % % Chance of Barrier Hit 27.6 % % 62.1 % Simulated Outcome Probability Average Payoff M a r k e t Ev ent Date Lev el Probability Payoff Annual Return Capital Apr-2018 At or above 70.0 % 72.4 % % 11.2 % Downside Apr % 27.6 % % % Capital Apr % 0.0 % 0.00 % 0.0 % Page: 2

3 Income Barriers M a r k e t Lev el Probability Payoff Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % % 1.95 % Income At or above 70.0 % 99.7 % 1.95 % Income At or above 70.0 % 89.9 % 1.95 % Income At or above 70.0 % 83.4 % 1.95 % Income At or above 70.0 % 79.3 % 1.95 % Income At or above 70.0 % 76.4 % 1.95 % Income At or above 70.0 % 74.0 % 1.95 % Income At or above 70.0 % 72.4 % 1.95 % Page: 3

4 Risk & Returns Return Market Market & Issuer Historic Expected arithmetic return (IRR) 2.0% 1.4% 4.0% Compound expected return (CAGR) -0.5% -1.4% 1.6% The chance of gain is 72.4% 71.3% 78.4% Conditional gain 11.2% 11.2% 11.1% Expected return if there is a gain (% p.a.) 11.2% 11.2% 11.1% Ri sk Market Market & Issuer Historic What is the chance of a loss? 27.6% 28.7% 21.6% If there is a loss, what is the expected return? -24.5% -25.4% -24.1% What is the expected loss overall (p.a.)? -6.8% -7.3% -5.2% What is the expected tail return (p.a.)? -36.1% -38.4% -36.6% What is the chance of the capital protection barrier being hit? 27.6% 27.6% 21.6% If the capital protection barrier is hit, what is the expected payoff 62.1% 61.6% 62.5% On the 1-8 Risk scale, what is the risk rating of the Note? On the 1-11 Risk scale, what is the risk rating of the Note? What is the annualised volatility of the expected returns? 32.6% 34.7% 34.6% Please click here for a full description of calculations Issuer Risks Name Ratings Ratings Agency S&P Moody's Fitch Rating BBB+ A3 A Tier 1 Capital 17.4% Market Capitalisation (bn) USD 60.4 Chance of default over 12 months (Source: Bloomberg) 0.07% Page: 4

5 Key Dates Offer Close Strike Date Final Valuation Date Maturity Date 16-Apr Apr Apr Apr-2018 Details Promoter Issuer Issuer Rating (S&P) ISIN BBB+ XS Format Tax Key Barriers & Triggers FTSE100 Current Index Price Identifying Codes Cube Reference #2754 ISIN Bloomberg XS IDXS Reuters IPR Disclaimer This information has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any investment offered by Investment Product Research Limited (IPR). IPR uses historical information in order to provide an illustration of how certain parameters may have performed over a defined period. This presentation may also contain certain performance data based on backtesting, i.e., calculations of the hypothetical performance of a strategy, index or asset as if it had actually existed during a defined period of time. The scenarios, simulations, development expectations and forecasts contained in this presentation are for illustrative purposes only. Capitalised terms like ExpectedReturn are based on our stresstest methodology and are therefore not forecasts - they should only be used to assess a product's ranking versus the corresponding scores for the other products listed on our site. IPR analysis is based on or derived from information generally available to the public from sources believed to be reliable. No representation or warranty can be given with respect to the accuracy or completeness of the information. We do not undertake to update this information. IPR and its affiliates disclaim any and all liability relating to this information, including without limitation any express or implied representations or warranties for statements contained in, and omissions from, this information. Additional information is available on request. IPR does not give investment, tax, accounting and legal or regulatory advice and investors should consult with their professional advisers. Page: 5

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