IDENTIFICACIÓN DE POSIBLES AFECTACIONES AMBIENTALES

FIXED

I

NTEREST

R

ATE

Specified at issue

Parameter Typical value

Interest Rate Near market interest rates

End of the interest period

The investor receives a fixed interest rate.

During the interest period

The fixed interest rate is not affected by changes in the price of the underlying

Price factor Price will be higher when

Underlying price no effect

Implicit volatility no effect

Interest rates decline Remaining term is shorter

V

ARIABLE

I

NTEREST

R

ATES

Barrier Digital Specified at issue

Parameter Typical value

Interest barrier  (Far) below the price of the underlying (down-and-in and down-and-out)  (Far) above the price of the underlying

(up-and-in and up-and-out) Interest barrier

observation period

The whole term

Digital interest rate Above market interest rate

End of the interest period

The investor receives interest equal to the digital interest rate if:

 in case of down-and-out or up-and-out: no barrier event has occurred.  in case of down-and-in or up-and-in: a barrier event has occurred. Otherwise the investor receives no interest.

In case the Barrier Digital interest rate is down-and-out or down-and-in a barrier event has occurred if the price of the underlying during the interest barrier observation period has touched or fallen below the barrier; otherwise a barrier event has occurred if the price of the underlying during the barrier observation period has touched or risen above the barrier.

During the interest period

The Barrier Digital interest rate generally develops in the same (down-and-out or up-and-in) resp. opposite (down-and-in or up-and-out) direction as the underlying, but to a different extent. If the price of the underlying is below (down-and-in or up-and-out) resp. above (down-and-out or up-and-in) the barrier a change in the underling’s price may cause only a very small change in the Barrier Digital interest rate.

Price factor Price will be higher when

Underlying price  rises (down-and-out and up-and-in)  declines (down-and-in and up-and-out) Implicit volatility  rises (down-and-in and up-and-in)

 declines (down-and-out and up-and- out)

Interest rates  decline (generally)

 rise (down-and-out near the barrier)  rise (up-and-in far below the barrier) Remaining term  is longer (down-and-in and up-and-in)

 is shorter (down-and-out and up-and- out)

Range Digital with Knock-Out Specified at issue

Parameter Typical value

Interest lower barrier

(Far) below the price of the underlying

Interest upper barrier

(Far) above the price of the underlying

Interest barrier observation period

The whole term

Digital interest rate Above market interest rate

End of the interest period

The investor receives interest equal to the digital interest rate if the price of the underlying during the interest barrier observation period has (i) never touched or fallen below the interest lower barrier, and (ii) never touched or risen above the interest upper barrier. Otherwise the investor receives no interest.

During the interest period

The Range Digital interest rate develops in the same direction as the underlying, but to a different extent, if the price of the underlying is near the interest lower barrier. The Range Digital interest rate develops in the opposite direction as the underlying, but to a different extent, if the price of the underlying is near the interest upper barrier. If the price of the underlying is near the middle of both barriers a change in the underling’s price may cause only a very small change in the Range Digital interest rate.

Price factor Price will be higher when

Underlying price  rises (near the interest lower barrier)  declines (near the interest upper

barrier) Implicit volatility declines

Interest rates  decline (generally)

 rise (near the interest lower barrier) Remaining term is shorter

Range Digital with Knock-In Specified at issue

Parameter Typical value

Interest lower barrier

(Far) below the price of the underlying

Interest upper barrier

(Far) above the price of the underlying

Interest barrier observation period

The whole term

Digital interest rate Above market interest rate

End of the interest period

The investor receives interest equal to the digital interest rate if the price of the underlying during the interest barrier observation period has (i) touched or fallen below the interest lower barrier, or (ii) touched or risen above the interest upper barrier. Otherwise the investor receives no interest.

During the interest period

The Range Digital interest rate develops in the opposite direction as the underlying, but to a different extent, if the price of the underlying is near the interest lower barrier. The Range Digital interest rate develops in the same direction as the underlying, but to a different extent, if the price of the underlying is near the interest upper barrier. If the price of the underlying is near the middle of both barriers a change in the underling price may cause only a very small change in the Range Digital interest rate.

Price factor Price will be higher when

Underlying price  rises (near the interest upper barrier)  declines (near the interest lower

barrier) Implicit volatility rises

Interest rates  decline (generally)

 rise (near the interest upper barrier) Remaining term is longer

Rate

The underlying of a Rate interest rate is always an interest rate.

Specified at issue

Parameter Typical value

Interest participation 100%

End of the interest period

The investor receives interest equal to the underlying rate multiplied by the interest participation.

During the interest period

The Rate interest rate develops identically with the price of the underlying, but, if the participation is not 100%, to a different extent.

Price factor Price will be higher when

Underlying price rises Implicit volatility (no effect)

Interest rates (no effect)

Performance Specified at issue

Parameter Typical value

Interest strike Near the price of the underlying Interest participation 100% or lesser

End of the interest period

If the price of the underlying is above the interest strike, the investor receives interest that is proportional to the interest participation multiplied by the amount by which the price of the underlying exceeds the interest strike; otherwise the investor receives no interest.

During the interest period

The Performance interest rate generally develops in the same direction as the underlying, but to a different extent. If the price of the underlying is below the interest strike a change in the underling's price may cause only a very small change in the interest rate.

Price factor Price will be higher when

Underlying price rises Implicit volatility rises Interest rates rise Remaining term is longer

Capped Performance Specified at issue

Parameter Typical value

Interest strike Near the price of the underlying Interest cap (Far) above the interest strike Interest participation 100% or greater

End of the interest period

If the price of the underlying is above the interest strike, the investor receives interest that is proportional to the interest participation multiplied by the amount by which the price of the underlying or the interest cap, whichever is lesser, exceeds the interest strike; otherwise the investor receives no interest.

During the interest period

The value of the Capped Performance interest rate generally develops in the same direction as the underlying, but to a different extent. If the price of the underlying is below the interest strike or above the interest cap a change in the underling's price may cause only a very small change in the interest rate.

Price factor Price will be higher when

Underlying price rises

Implicit volatility  rises (near and below the interest strike)

 declines (near and above the interest cap)

Interest rates  rise (generally)

 declines (above the interest cap) Remaining term  is longer (far below the interest cap)

 is shorter (near and above the interest cap)

Capped Absolute Performance Specified at issue

Parameter Typical value

Interest strike Near the price of the underlying Interest cap (Far) above the interest strike Interest floor (Far) below the interest strike Interest positive participation 100% or greater Interest negative participation 100% or greater

End of the interest period

If the price of the underlying is above the interest strike, the investor receives interest that is proportional to the interest positive participation multiplied by the amount by which the price of the underlying or the interest cap, whichever is lesser, exceeds the interest strike.

If the price of the underlying is below the interest strike, the investor receives interest that is proportional to the interest negative participation multiplied by the amount by which the price of the underlying or the interest floor, whichever is greater, falls below the interest strike.

During the interest period

The value of the Capped Absolute Performance interest rate develops in the same direction (above the interest strike) resp. opposite direction (below the interest strike) as the underlying, but to a different extent. If the price of the underlying is far below the interest floor, far above the interest cap or near the interest strike a change in the underling's price may cause only a very small change in the interest rate.

Price factor Price will be higher when

Underlying price  rises (above the interest strike)  declines (below the interest strike) Implicit volatility  declines (generally)

 rises (near the interest strike) Interest rates  decline (generally)

 rise (near the interest strike) Remaining term  is shorter (generally)

 is longer (near the interest strike)

Barrier Performance Specified at issue

Parameter Typical value

Interest strike Near the price of the underlying Interest participation 100% or lesser

Interest barrier  (Far) below the price of the underlying (down-and-in and down-and-out)  (Far) above the price of the underlying

(up-and-in and up-and-out) Interest barrier

observation period

The whole term

End of the interest period

The investor receives interest that is proportional to the interest participation multiplied by the amount by which the price of the underlying exceeds the interest strike, if the price of the underlying is above the interest strike and:

 in case of down-and-in or up-and-in: a barrier event has occurred.

Otherwise the investor receives interest equal to the interest rebate (which might be zero), if:  in case of down-and-out or up-and-out: a barrier event has occurred.

 in case of down-and-in or up-and-in: no barrier event has occurred. In any other case the investor receives no interest.

In case the Barrier Performance interest rate is down-and-out or down-and-in, a barrier event has occurred if the price of the underlying during the interest barrier observation period has touched or fallen below the interest barrier; otherwise a barrier event has occurred if the price of the underlying during the interest barrier observation period has touched or risen above the interest barrier.

During the interest period

The Barrier interest rate generally develops in the same direction as the underlying, but to a different extent. If the price of the underlying is below the interest strike a change in the underling’s price may cause only a very small change in value of the interest rate. Despite what was mentioned before, the interest rate may rise (up-and-in and down-and-in) resp. fall (up-and-out and down-and-out) if the price of the underlying comes close to the barrier.

Price factor Price will be higher when

Underlying price situation-related

Implicit volatility situation-related

Interest rates situation-related

Remaining term situation-related

Capped Barrier Performance Specified at issue

Parameter Typical value

Interest strike Near the price of the underlying Interest cap (Far) above the interest strike Interest participation 100% or lesser

Interest barrier  (Far) below the price of the underlying (down-and-in and down-and-out)  (Far) above the price of the underlying

(up-and-in and up-and-out) Interest barrier

observation period

The whole term

End of the interest period

The investor receives interest that is proportional to the interest participation multiplied by the amount by which the price of the underlying or the interest cap, whichever is lesser, exceeds the interest strike, if the price of the underlying is above the interest strike and:

 in case of down-and-out or up-and-out: no barrier event has occurred.  in case of down-and-in or up-and-in: a barrier event has occurred.

Otherwise the investor receives interest equal to the interest rebate (which might be zero), if:  in case of down-and-out or up-and-out: a barrier event has occurred.

 in case of down-and-in or up-and-in: no barrier event has occurred. In any other case the investor receives no interest.

In case the Capped Barrier Performance interest rate is down-and-out or down-and-in, a barrier event has occurred if the price of the underlying during the interest barrier observation period has touched or fallen below the interest barrier; otherwise a barrier event has occurred if the price of the underlying during the interest barrier observation period has touched or risen above the interest barrier.

During the interest period

The Capped Barrier Performance interest rate generally develops in the same direction as the underlying, but to a different extent. If the price of the underlying is below the interest strike or above the interest cap a change in the underling’s price may cause only a very small change in value of the interest rate. Despite what was mentioned before, the interest rate may rise (up-and-in and down-and- in) resp. fall (up-and-out and down-and-out) if the price of the underlying comes close to the barrier.

Price factor Price will be higher when

Underlying price situation-related

Implicit volatility situation-related

Interest rates situation-related

Remaining term situation-related

Cliquet

Specified at issue

Parameter Typical value

Interest performance valuation dates

At least two equidistant dates within each interest period

Interest performance cap

Near or above market interest rates

Interest performance floor

0% or below (negative possible)

Interest participation 100% Variable interest

rate cap

Near or above market interest rates

Variable interest rate floor

0% or above (negative not possible)

End of the interest period

The investor receives interest equal to the interest participation multiplied by the sum of the performances of the underlying from one interest performance valuation date to the next, whereas each performance value is maximum the interest performance cap and at least the interest performance floor. In any case the interest rate is at least the variable interest rate floor and maximum the variable interest rate cap.

During the interest period

The Cliquet interest rate generally develops in the same direction as the underlying, but to a different extent.

Price factor Price will be higher when

Underlying price rises Implicit volatility rises Interest rates rise Remaining term is longer

Ladder

For each interest ladder level an interest ladder rate is associated, whereat for increasing interest ladder levels also the associated interest ladder rates increase.

Specified at issue

Parameter Typical value

Interest ladder levels

At or above the price of the underlying

Interest ladder rates 0% or above; usually about half of the rates are above market interest rates

End of the interest period

The investor receives interest equal to the greatest interest ladder rate for which the associated interest ladder level is smaller than or equal to the price of the underlying. If no interest ladder level is smaller than or equal to the price of the underlying the investor receives no interest.

During the interest period

The Ladder interest rate generally develops in the same direction as the underlying, but to a different extent.

Price factor Price will be higher when

Underlying price rises Implicit volatility rises Interest rates  rise (generally)

 decline (above the greatest interest ladder level)

Remaining term  is longer (generally)

 is shorter (near or above the greatest interest ladder level)

Accumulated Distribution Specified at issue

Parameter Typical value

Relevant Distribution Ordinary Dividend Relevant Distribution Amount Net Distribution

End of the interest period

The investor receives interest equal to the sum of all distribution yields (e.g. dividend yields) of the underlying within the interest period.

During the interest period

The Accumulated Distribution interest rate is usually not affected by changes in the price of the underlying, but instead by changes in the expected distribution payments within the interest period.

Price factor Price will be higher when

Underlying price no effect

Implicit volatility no effect

Interest rates no effect

Range Accrual with Stay-in Specified at issue

Parameter Typical value

Interest lower barrier

(Far) below the price of the underlying

Interest upper barrier

(Far) above the price of the underlying

Interest barrier observation period

The whole interest period

Digital interest rate Above market interest rate

End of the interest period

The investor receives interest equal to the digital interest rate multiplied by the ratio of the days the underlying stays within the range specified by the interest lower barrier and interest upper barrier to the total number of days within the interest period. If the relevant price of the underlying was every day of the interest period not within such range, the investor receives no interest.

During the interest period

The Range Accrual interest rate develops in the same direction as the underlying, but to a different extent, if the price of the underlying is near the interest lower barrier. The Range Accrual interest rate develops in the opposite direction as the underlying, but to a different extent, if the price of the underlying is near the interest upper barrier. If the price of the underlying is near the middle of both barriers, a change in the underling’s price may cause only a very small change in the Range Accrual interest rate.

Price factor Price will be higher when

Underlying price  rises (near the interest lower barrier)  declines (near the interest upper

barrier) Implicit volatility declines

Interest rates  decline (generally)

 rise (near the interest lower barrier) Remaining term  is longer (within the range)

 is shorter (outside the range)

Range Accrual with Stay-out Specified at issue

Parameter Typical value

Interest lower barrier

Below the price of the underlying

Interest upper barrier

Above the price of the underlying

Interest barrier observation period

The whole interest period

Digital interest rate Above market interest rate

End of the interest period

The investor receives interest equal to the digital interest rate multiplied by the ratio of the days the underlying stays outside the range specified by the interest lower barrier and interest upper barrier to the total number of days within the interest period. If the relevant price of the underlying was on any day of the interest period not within such range, the investor receives no interest.

The Range Accrual interest rate develops in the opposite direction as the underlying, but to a different extent, if the price of the underlying is near the interest lower barrier. The Range Accrual interest rate develops in the same direction as the underlying, but to a different extent, if the price of the underlying is near the interest upper barrier. If the price of the underlying is near the middle of both barriers, a change in the underling price may cause only a very small change in the Range Accrual interest rate.

Price factor Price will be higher when

Underlying price  rises (near the interest upper barrier)  declines (near the interest lower

barrier) Implicit volatility rises

Interest rates  decline (generally)

 rise (near the interest upper barrier) Remaining term  is longer (outside the range)

UNDERLYINGS

In document Programa Alterno Al Manejo De Residuos Especiales Para Las Heces De Animales Domésticos En Tres Parques Bosa (página 50-54)