Índice del Macizo Rocoso (RMi) – Palmström (1995)

Reference Item Linked Notes that bear interest by reference to the change in value of the relevant Reference Item over a specified observation period have similar characteristics and give rise to certain common risks. Whilst the risks connected with the particular Reference Item will differ (see the relevant section of risk factor 5 in this respect), investors in the following types Notes should consider the further risks highlighted below: (i) Index Linked Interest Notes for which the Interest Variable Option is specified to be Evolution of Index, (ii) Equity Linked Interest Notes for which the Interest Variable Option is specified to be Evolution of Underlying Equity or Evolution of Basket of Underlying Equities, (iii) Inflation Linked Interest Notes for which the Interest Variable Option is specified to be Evolution of Inflation and (iv) Currency Linked Interest Notes for which the Interest Variable Option is specified to be Evolution of Currency.

Each Interest Amount payable on such Notes is determined by reference to how (i) the value of the specified Reference Item determined for the relevant interest period (the “Latest Value”) has increased or decreased from (ii) the product of the Scaling Factor (see risk factor 8.5) and the value for the immediately preceding interest period (or, for the first variable rate, the initial value) (the “Previous Value” and, after application of the Scaling Factor, the “Evolution Hurdle Value”). Such increase or decrease in value is expressed as a percentage of the Previous Value (the “Evolution”), following which the Margin (if any) is added or subtracted and the result is multiplied by the applicable Interest Multiplier (see risk factor 8.3).

Currency Linked Interest Notes differ as a result of the basis on which currency exchange rates are published, such that Latest Value and Previous Value are reversed (the Previous Value is compared with the product of (i) the Scaling Factor (see risk factor 8.5) and (ii) the Latest Value (such product being the “Evolution Hurdle Value” for the purposes of Currency Linked Interest Notes). Otherwise, the pay-out operates identically.

Where the Interest Multiplier is positive, if such Latest Value (or, in respect of Currency Linked Interest Notes, the Previous Value) does not exceed the relevant Evolution Hurdle Value, no Interest Amount will be payable in respect of such Interest Period unless the shortfall when presented as a percentage against the Previous Value (or, in respect of Currency Linked Interest Notes, the Latest Value) is less than any positive Margin applicable to the Notes. Even if the Latest Value (or, in respect of Currency Linked Interest Notes, the Previous Value) does exceed the relevant Evolution Hurdle Value, such excess when presented as a percentage against the Previous Value (or, in respect of

Currency Linked Interest Notes, the Latest Value) must be greater than any negative Margin for an Interest Amount to be payable.

Conversely, where the Interest Multiplier is negative, if such Latest Value (or, in respect of Currency Linked Interest Notes, the Previous Value) exceeds the relevant Evolution Hurdle Value, no Interest Amount will be payable in respect of such Interest Period unless the excess when presented as a percentage against the Previous Value (or, in respect of Currency Linked Interest Notes, the Latest Value) is greater than any negative Margin applicable to the Notes. Even if the Latest Value (or, in respect of Currency Linked Interest Notes, the Previous Value) does not exceed the relevant Evolution Hurdle Value, the value of such shortfall when presented as a percentage against the Previous Value (or, in respect of Currency Linked Interest Notes, the Latest Value) must be greater than any positive Margin for an Interest Amount to be payable.

Subject to the relevant Interest Multiplier, Margin and Reference Item to which such Notes are linked, the performance of the relevant Reference Item shall affect the amount of interest, if any, payable to Noteholders.

7.2 Asian Option Pay-outs

Reference Item Linked Notes that bear interest by reference to the average value of the relevant Reference Item over a number (n) of specified observation dates in respect of an Interest Period have similar characteristics and give rise to certain common risks. Whilst the risks connected with the particular Reference Item will differ (see the relevant section of risk factor 5 in this respect), investors in the following types Notes should consider the risks highlighted below: (i) Floating Rate Notes for which the Interest Variable Option is specified to be Asian Option – Interest Rates, (ii) Index Linked Interest Notes for which the Interest Variable Option is specified to be Asian Option – Index, (iii) Equity Linked Interest Notes for which the Interest Variable Option is specified to be Asian Option – Underlying Equity / Basket of Underlying Equities, (iv) Inflation Linked Interest Notes for which the Interest Variable Option is specified to be Asian Option – Inflation and (v) Currency Linked Interest Notes for which the Interest Variable Option is specified to be Asian Option – Currency.

Each Interest Amount payable on such Notes is determined by reference to how (i) the average of the values of the specified Reference Item that could be determined for each of the “n” observation dates relating to the relevant interest period (the result, after application of any of the potential adjustments below, the “Latest Average Value”) has increased or decreased from (ii) the product of the Scaling Factor (see risk factor 8.5) and the average of the values of the Reference Item determined for the initially specified observation dates (the “Initial Value” and, after application of the Scaling Factor, the “Asian Hurdle Value”). Such increase or decrease in average value is expressed as a percentage of the Initial Value (the “Asian Performance”), following which the Margin (if any) is added or subtracted and the result is multiplied by the applicable Interest Multiplier (see risk factor 8.3).

Currency Linked Interest Notes differ as a result of the basis on which currency exchange rates are published, such that the Latest Average Value and Initial Value are reversed (the Initial Value being compared with the product of (i) the Scaling Factor (see risk factor 8.5) and (ii) the Latest Average Value (such product being the “Asian Hurdle Value” for the purposes of Currency Linked Interest Notes)). Otherwise, the pay-out operates identically.

Floating Rate Notes also differ when applying an Asian Option Interest Variable Option, such that the Interest Amount is solely based on the Latest Average Value, plus or minus the Margin (if any), with the result being multiplied by the applicable Interest Multiplier (see risk factor 8.3). This is because Rates Variance (see risk factor 4.3.2) covers the relative change in interest rates over a specified observation period.

Where the Interest Multiplier is positive (excluding Floating Rate Notes for this purpose), if such Latest Average Value (or, in respect of Currency Linked Interest Notes, the Initial Value) does not exceed the relevant Asian Hurdle Value, no Interest Amount will be payable in respect of such Interest Period unless the shortfall when presented as a percentage against the Initial Value (or, in respect of Currency Linked Interest Notes, the Latest Average Value) is less than any positive Margin applicable to the Notes. Even if the Latest Average Value (or, in respect of Currency Linked Interest Notes, the Initial Value) does exceed the relevant Asian Hurdle Value, such excess when presented as a percentage against the Initial Value (or, in respect of Currency Linked Interest Notes, the Latest Average Value) must be greater than any negative Margin for an Interest Amount to be payable. Conversely, where the Interest Multiplier is negative, if such Latest Average Value (or, in respect of Currency Linked Interest Notes, the Initial Value) exceeds the relevant Asian Hurdle Value, no Interest Amount will be payable in respect of such Interest Period unless the excess when presented as a percentage against the Initial Value (or, in respect of Currency Linked Interest Notes, the Latest Average Value) is greater than any negative Margin applicable to the Notes. Even if the Latest Average Value (or, in respect of Currency Linked Interest Notes, the Initial Value) does not exceed the relevant Asian Hurdle Value, the value of such shortfall when presented as a percentage against the Initial Value (or, in respect of Currency Linked Interest Notes, the Latest Average Value) must be greater than any positive Margin for an Interest Amount to be payable.

Subject to the relevant Interest Multiplier, Margin and Reference Item to which such Notes are linked, the performance of the relevant Reference Item shall affect the amount of interest, if any, payable to Noteholders.

Where the price, level, or rate of the applicable Reference Item is unable to be determined on the relevant observation date contemplated under the Conditions of the Notes, then the Calculation Agent will apply different fallback adjustment mechanisms to deal with such disruption event. Such adjustments may result in that relevant observation date being omitted, postponed or replaced with a different observation date that is not otherwise used for such Interest Period, in each case depending on what type of Reference Item the Notes are linked to and what elections are made in the applicable Final Terms. The relevant adjustment mechanism may reduce the number of averaging dates (n) that are used to determine the value of the Reference Item, or may result in the same value being used more than once.

7.3 Digital Option Pay-outs

Reference Item Linked Notes with Digital Option pay-outs will bear interest that depends on whether the relevant Digital Option Payment Condition is satisfied for the relevant Interest Period. Whilst the risks connected with the particular Reference Item will differ (see the relevant section of risk factor 5 in this respect), investors in the following types Notes should consider the risks highlighted below: Floating Rate Notes, Index Linked Interest Notes, Equity Linked Interest Notes, Inflation Linked Interest Notes and Currency Linked Interest Notes, in each case for which the Interest Variable Option is specified to be Digital Option.

If the Digital Option Variable, when compared to the product of (i) the Digital Option Strike and the (ii) Scaling Factor, satisfies the parameters of the relevant Digital Option Payment Condition, then the Notes may bear interest at a fixed rate or at a floating rate based on a Screen Rate Determination, which floating rate may be subject to an Interest Multiplier and a Margin (each of which may independently be positive or negative). It is also possible that a minimum and maximum rate of interest is applied, such that the rate can not be below or exceed such collar boundaries. If the Digital Option Payment Condition is not satisfied, then either a fallback rate of interest based on similar

methodologies may be applicable or ‎no interest shall apply. Consequently, depending on the particular terms of such Notes, investors should also consider in particular risk factors 4.2, 4.3, 8.3, 8.4 and 8.5. The Digital Option Variable will be a value of the relevant Reference Item that is determined for each Interest Period. The corresponding Digital Option Strike may either be (i) a specified level, price or rate or (ii) a value of the relevant Reference Item determined on a different basis to the Digital Option Variable.

Small movements in the Digital Option Variable may have very large effects on the value ‎of the Notes and the Interest Amounts to be paid.‎ The market value of Digital Option Notes is typically more volatile than market value of ‎other conventional Floating Rate or Reference Item Linked Notes or other equivalent ‎interest bearing Notes linked to the same interest variables and prospective investors in ‎such Notes should note that, in certain circumstances, they may not receive any interest. ‎

7.4 Single Fixing – Index and Asian Fixing - Index

Index Linked Interest Notes with an Interest Variable Option specified as Single Fixing – Index or Asian Fixing – Index will bear interest depending on the value or average value of the relevant Index that is determined for a particular Interest Period.

If the Interest Multiplier is positive and such value or average value, when divided by the specified Denominator, is less than any negative Margin, no Interest Amount will be payable. If the Interest Multiplier is negative and such value or average value, when divided by the specified Denominator, is greater than any negative Margin, no Interest Amount will be payable.

Subject to the relevant Interest Multiplier, Margin and Denominator, the performance of the relevant Index shall affect the amount of interest, if any, payable to Noteholders.