General Notes

Note Details Note Valuation
Short Name Currency ISIN Bid Initial Valuation Date Final Valuation Date Time Remaining To Final Valuation Cost Basis Note Return Notional
  EquityLinked Coupon Accumulator Issue 1 ZAR ZAE000210001 193.35 26/08/15 26/08/19 3 months 136.09 42.1% R4,613,859
  Guaranteed European Equity Structured Product II ZAR ZAE000253829 237.17 27/11/17 08/06/21 25 months 232.14 2.2% R4,519,091
  Developed Markets LockInLadder Issue 1 ZAR ZAE000218517 162.37 11/05/16 11/05/20 12 months 135.00 20.3% R21,291,795
  Best 5 of 20 Note ZAR ZAG000130576 1496.94 09/10/15 09/10/20 17 months 1000.00 49.7% R50,000,000
  EquityLinked Coupon Accumulator Issue 2 ZAR ZAE000217881 232.24 20/04/16 20/04/20 11 months 163.50 42.0% R25,083,026
  Best of European Giants Issue 1 ZAR ZAE000200648 315.18 12/12/14 18/12/19 7 months 214.08 47.2% R19,999,996
  Yield Enhancer Issue 1 ZAR ZAG000139288 1298.09 30/08/16 30/08/21 27 months 1000.00 29.8% R10,765,000
  Enhanced Returns and Equity Protector Issue 2 ZAR ZAE000267027 1055.42 28/06/17 28/06/22 37 months 1000.00 5.5% R20,013,000
  10Y Fixed Rate Note Issue 1 ZAR - 13/11/15 13/11/25 78 months 100.00 0.0% R24,408,000
  FTSE 100 Fixed Coupon note Issue 1 GBP XS0806143227 105.94 28/09/15 28/09/20 16 months 100.00 5.9% -
  10Y Fixed Rate Note Issue 2 ZAR - 29/03/16 30/03/26 82 months 100.00 0.0% R24,408,000

Split Term Notes

Note Details Underlying Info Note Valuation
Short Name Currency ISIN Bid Initial Valuation Date Final Valuation Date Time Remaining To Final Valuation Interim Valuation Date Fixed Return Participation Hold to Maturity Equity Component FX Rate Ratio Initial FX Current FX Cost Basis Note Return Notional
  Bespoke Structured Endowment Tandem Protector FX ZAR ZAE000267084 1058.08 01/09/17 26/08/22 39 months 24/08/20 40.4% 100.0% 7.3% USD/ZAR 12.8863 14.4702 1000.00 5.8% R40,001,000
  SA Fixed Return and Growth Protector Issue WP4 FX ZAR ZAE000267266 993.90 07/03/18 28/02/23 45 months 07/03/21 35.0% 100.0% 1.5% USD/ZAR 11.8712 14.4702 1000.00 -0.6% R17,544,000
  TAS Structured Endowment Tandem Protector Issue 3 FX ZAR ZAE000267217 1026.85 13/12/17 08/12/22 43 months 07/12/20 42.0% 100.0% 0.0% USD/ZAR 13.4775 14.4702 1000.00 2.7% R15,062,000
  TAS Structured Endowment Tandem Protector Issue 2 FX ZAR ZAE000267175 1021.22 07/11/17 30/10/22 42 months 07/11/20 39.0% 100.0% 0.0% USD/ZAR 14.2369 14.4702 1000.00 2.1% R22,030,000
  Global Fixed Return and Growth Protector FX ZAR ZAE000267100 1042.37 07/09/17 01/09/22 40 months 07/09/20 36.0% 100.0% 8.2% USD/ZAR 12.8425 14.4702 1000.00 4.2% R26,569,000
  SA Fixed Return and Global Growth Protector WP3 FX ZAR ZAE000267720 1014.64 13/12/17 08/12/22 43 months 13/12/20 36.0% 135.0% 0.0% USD/ZAR 13.4775 14.4702 1000.00 1.5% R7,406,000
  TAS Structured Endowment Tandem Protector FX ZAR ZAE000267092 1042.45 07/09/17 01/09/22 40 months 10/09/20 36.0% 100.0% 8.2% USD/ZAR 12.8425 14.4702 1000.00 4.2% R14,014,000
  Global Income and Growth Protector Issue 8 ZAR ZAE000266979 1118.41 20/04/17 20/04/22 35 months 20/04/20 46.5% 105.0% 8.7% - - 1000.00 11.8% R68,068,000
  Global Income and Growth Protector Issue 6 ZAR ZAE000266961 1145.21 20/02/17 14/02/22 33 months 20/02/20 49.3% 100.0% 9.5% - - 1000.00 14.5% R58,151,000
  Global Income and Growth Protector Issue 3 ZAR ZAG000141474 1182.51 12/12/16 19/12/21 31 months 12/12/19 51.0% 100.0% 16.8% - - 1000.00 18.3% R147,262,000
  Global Income and Growth Protector Issue 1 ZAR ZAG000139114 1184.95 22/08/16 23/08/21 27 months 22/08/19 40.5% 100.0% 20.8% - - 1000.00 18.5% R109,026,000
  European Income and Growth Protector Issue 8 ZAR ZAG000137803 1209.67 29/06/16 29/06/21 25 months 29/06/19 46.5% 125.0% 16.6% - - 1000.00 21.0% R200,209,000
  European Income and Growth Protector Issue 9 ZAR ZAG000138355 1149.71 20/07/16 29/06/21 26 months 20/07/19 40.5% 120.0% 11.1% - - 1000.00 15.0% R29,922,000
  European Income and Growth Protector Issue 6 ZAR ZAG000137076 1191.76 24/05/16 24/05/21 24 months 31/05/19 40.5% 145.0% 19.4% - - 1000.00 19.2% R40,769,000
  European Income and Growth Protector Issue 5 ZAR ZAE000217949 193.45 20/04/16 20/04/21 23 months 23/04/19 40.5% 140.0% 166.2% - - 163.50 18.3% R25,083,026
  European Income and Growth Protector Issue 7 ZAR ZAG000137712 1173.64 22/06/16 22/06/21 25 months 22/06/19 40.5% 124.5% 16.9% - - 1000.00 17.4% R35,135,000
  European Income and Growth Protector Issue 4 ZAR ZAG000135823 1179.93 20/04/16 20/04/21 23 months 30/04/19 40.5% 133.0% 12.4% - - 1000.00 18.0% R21,859,000
  European Income and Growth Protector Issue 3 ZAR ZAG000135096 517.22 23/03/16 23/03/21 22 months 01/04/19 40.5% 158.0% 20.5% - - 1000.00 -48.3% R22,185,000
  European Income and Growth Protector Issue 2 ZAR ZAG000134297 1063.95 29/02/16 22/02/21 21 months 24/02/19 40.5% 154.0% 24.3% - - 1000.00 6.4% R120,600,000
  European Income and Growth Protector Issue 1 ZAR ZAG000132432 1038.72 10/12/15 10/12/20 19 months 18/12/18 36.0% 174.0% 17.9% - - 1000.00 3.9% R95,107,000
  SA Fixed Return and Growth Protector Issue WP1 Oct 2018 UKX ZAR ZAE000267589 963.79 04/10/18 04/10/23 52 months 04/10/21 26.5% 125.0% 0.0% - - 1000.00 -3.6% R35,411,000
  Global Fixed Return and Growth Protector Issue HL5 ZAR ZAE000267555 920.56 18/09/18 18/09/23 52 months 18/09/21 36.1% 100.0% 0.0% - - 1000.00 -7.9% R59,927,000
  SA Fixed Return and Growth Protector Issue WP11FX ZAR ZAE000267571 938.32 27/09/18 27/09/23 52 months 27/09/21 36.8% 100.0% 0.0% USD/ZAR 14.0581 14.4702 1000.00 -6.2% R21,023,000
  Global Fixed Return and Growth Protector Issue HL6 ZAR ZAE000267530 926.61 31/08/18 31/08/23 51 months 31/08/21 36.1% 100.0% 0.0% - - 1000.00 -7.3% R10,532,000
  SA Fixed Return and Growth Protector Issue WP12 ZAR ZAE000267514 947.98 21/08/18 21/08/23 51 months 21/08/21 27.1% 110.0% 0.0% - - 1000.00 -5.2% R19,946,000
  SA Fixed Return and Growth Protector Issue WP8FX ZAR ZAE000267522 951.59 21/08/18 21/08/23 51 months 21/08/21 38.0% 100.0% 0.0% USD/ZAR 14.3513 14.4702 1000.00 -4.8% R29,377,000
  Global Fixed Return and Growth Protector Issue HL4 ZAR ZAE000267506 925.58 21/08/18 21/08/23 51 months 21/08/21 36.1% 100.0% 0.0% - - 1000.00 -7.4% R59,444,000
  SA Fixed Return and Growth Protector Issue WP9FX ZAR ZAE000267498 953.34 20/08/18 21/08/23 51 months 20/08/21 42.5% 100.0% 0.0% USD/ZAR 14.6487 14.4702 1000.00 -4.7% R7,004,000
  Global Fixed Return and Growth Protector Issue HL3 ZAR ZAE000267464 924.51 20/07/18 20/07/23 50 months 20/07/21 34.2% 100.0% 0.0% - - 1000.00 -7.5% R15,000,000
  SA Fixed Return and Growth Protector Issue WP7FX ZAR ZAE000267431 959.35 17/07/18 17/07/23 50 months 17/07/21 37.5% 100.0% 0.0% USD/ZAR 13.2250 14.4702 1000.00 -4.1% R48,041,000
  SA Fixed Return and Growth Protector Issue WP2FX ZAR ZAE000267183 1018.80 07/11/17 07/11/22 42 months 07/11/20 36.0% 134.0% 0.0% USD/ZAR 14.2369 14.4702 1000.00 1.9% R9,913,000
  SA Global Fixed Return and Growth Protector Issue 11 ZAR ZAE000267324 941.45 27/09/18 27/09/23 52 months 27/09/21 36.8% 100.0% 0.0% - - 1000.00 -5.9% R50,274,000
  Global Fixed Return and Growth Protector Issue HL2 ZAR ZAE000267449 924.10 17/07/18 17/07/23 50 months 17/07/21 34.0% 100.0% 0.0% - - 1000.00 -7.6% R12,593,000
  SA Fixed Return and Growth Protector Issue WP13FX ZAR ZAE000267597 952.82 22/10/18 23/10/23 53 months 22/10/21 38.4% 100.0% 4.3% USD/ZAR 14.3204 14.4702 1000.00 -4.7% R49,467,000
  Global Fixed Return and Growth Protector Issue HL7 ZAR ZAE000267605 975.71 22/10/18 23/10/23 53 months 22/10/21 40.1% 100.0% 4.3% - - 1000.00 -2.4% R79,375,000
  Global Fixed Return and Growth Protector Issue HL1 ZAR ZAE000267407 951.58 27/06/18 27/06/23 49 months 27/06/21 34.0% 100.0% 1.4% - - 1000.00 -4.8% R35,616,000
  Global Fixed Return and Growth Protector Issue 1 ZAR ZAE000267415 966.75 05/07/18 02/11/18 49 months 09/07/19 18.0% 150.0% 0.0% USD/ZAR 13.5913 14.4702 1000.00 -3.3% R16,023,000
  SA Fixed Return and Growth Protector Issue WP6FX ZAR ZAE000267399 1044.55 19/06/18 19/06/23 49 months 19/06/21 34.5% 100.0% 0.0% USD/ZAR 13.7800 14.4702 1000.00 4.5% R37,672,000
  Global Fixed Return and Growth Protector Issue 8 ZAR ZAE000267282 991.84 05/04/18 05/04/23 47 months 05/04/21 40.5% 105.0% 2.7% - - 1000.00 -0.8% R17,781,000
  SA Fixed Return and Growth Protector Issue WP5FX ZAR ZAE000267308 967.53 04/05/18 04/05/23 47 months 04/05/21 34.3% 100.0% 1.1% USD/ZAR 12.5907 14.4702 1000.00 -3.2% R27,881,000
  Tandem Protector Issue WPFX2 ZAR ZAE000267241 1007.43 30/01/18 30/01/23 44 months 30/01/21 40.8% 100.0% 0.0% USD/ZAR 11.9569 14.4702 1000.00 0.7% R50,000,000
  Global Income and Growth Protector Issue 2 ZAR ZAE000234381 249.88 14/11/16 15/11/21 30 months 14/11/19 45.0% 107.5% 21.4% - - 209.79 19.1% R22,999,697
  Global Income and Growth Protector Issue 4 ZAR ZAG000140831 1209.71 17/11/16 17/11/21 30 months 17/11/19 51.0% 100.0% 19.2% - - 1000.00 21.0% R10,003,000
  Global Income and Growth Protector Issue 7 ZAR ZAG000141466 1183.64 15/12/16 15/12/21 31 months 15/12/19 51.0% 100.0% 13.6% - - 1000.00 18.4% R95,086,000
  Global Fixed Return and Growth Protector Issue 7 ZAR ZAE000267159 1018.21 20/10/17 20/10/22 41 months 20/10/20 40.5% 105.0% 0.6% - - 1000.00 1.8% R53,156,000
  Global Fixed Return and Growth Protector Issue 5 ZAR ZAE000267076 1057.99 30/08/17 30/08/22 39 months 30/08/20 44.0% 100.0% 8.3% - - 1000.00 5.8% R20,000,000
  Global Fixed Return and Growth Protector Issue 3 ZAR ZAE000267068 1054.00 22/08/17 22/08/22 39 months 22/08/20 43.5% 100.0% 7.5% - - 1000.00 5.4% R58,742,000
  Global Fixed Return and Growth Protector Issue 1 ZAR ZAE000266987 1081.33 22/06/17 22/06/22 37 months 22/06/20 46.5% 100.0% 5.7% - - 1000.00 8.1% R88,630,000
  Global Fixed Return and Growth Protector Issue 6 ZAR ZAE000267118 1033.44 14/09/17 14/09/23 52 months 14/09/21 60.8% 100.0% 5.1% - - 1000.00 3.3% R30,000,000
  Global Fixed Return and Growth Protector Issue 4 ZAR ZAE000267134 1035.57 17/09/17 19/09/22 40 months 17/09/20 42.0% 100.0% 4.5% - - 1000.00 3.6% R47,753,000
  Global Fixed Return and Growth Protector Issue 2 ZAR ZAE000267035 1056.15 20/07/17 20/07/22 38 months 20/07/20 43.5% 100.0% 5.5% - - 1000.00 5.6% R79,838,000
  Global Fixed Return and Growth Protector Issue HL8 ZAR ZAE000266474 986.74 20/11/18 20/11/23 54 months 20/11/21 40.5% 100.0% 8.4% - - 1000.00 -1.3% R107,309,000
  SA Fixed Return and Global Growth Protector Issue WP14 FX ZAR ZAE000267647 986.87 04/12/18 04/12/23 54 months 06/12/21 38.4% 100.0% 6.8% USD/ZAR 13.7132 14.4702 1000.00 -1.3% R41,092,000
  SA Fixed Return and Global Growth Protector Issue WP15 FX ZAR ZAE000269759 985.57 12/02/19 12/02/24 57 months 14/02/22 36.9% 100.0% 5.7% USD/ZAR 13.7888 14.4702 1000.00 -1.4% R36,134,000
  SA Fixed Return and Global Growth Protector Issue WP16 FX ZAR ZAE000271318 969.99 19/03/19 19/03/24 58 months 22/03/22 35.7% 100.0% 0.0% USD/ZAR 14.4375 14.4702 1000.00 -3.0% R12,606,000
  Global Fixed Return and Growth Protector Issue HL9 ZAR ZAE000267654 984.54 11/12/18 11/12/23 55 months 13/12/21 40.5% 100.0% 9.6% - - 1000.00 -1.5% R60,992,000
  SA Fixed Return and Global Growth Protector Issue WP17 FX ZAR ZAE000272787 966.86 16/04/19 16/04/24 59 months 19/04/22 35.7% 100.0% 0.0% USD/ZAR 14.0787 14.4702 1000.00 -3.3% R23,166,000
  Global Fixed Return and Growth Protector - Issue HL10 ZAR ZAE000268454 988.19 18/01/19 18/01/24 56 months 18/01/22 40.5% 100.0% 8.3% - - 1000.00 -1.2% R65,007,000
  Global Fixed Return and Growth Protector - Issue HL11 ZAR ZAE000269742 973.71 12/02/19 12/02/24 57 months 14/02/22 36.0% 100.0% 5.4% - - 1000.00 -2.6% R34,746,000
  Global Fixed Return and Growth Protector - Issue HL12 ZAR ZAE000271292 961.93 19/03/19 19/03/24 58 months 21/03/22 34.8% 100.0% 0.0% - - 1000.00 -3.8% R83,349,000
  Global Fixed Return and Growth Protector - Issue HL13 ZAR ZAE000272779 962.18 16/04/19 16/04/24 59 months 18/04/22 34.8% 100.0% 0.0% - - 1000.00 -3.8% R55,267,000
  Global Fixed Return and Growth Protector - Issue HL15 ZAR ZAE000272795 961.53 18/04/19 18/04/24 59 months 18/04/22 35.0% 100.0% 0.0% USD/ZAR 14.0594 14.4702 1000.00 -3.8% R20,000,000
  Global Fixed Return and Growth Protector - Issue 10 ZAR ZAE000268462 994.53 18/01/19 18/01/24 56 months 18/01/22 45.0% 100.0% 8.3% - - 1000.00 -0.5% R2,728,000
  SA Fixed Return and Growth Protector - Issue WP2 (Nov 2018) UKX ZAR ZAE000267639 981.25 29/11/18 29/11/23 54 months 29/11/21 - 100.0% 2.7% - - 1000.00 -1.9% R13,190,000

Growth Notes

Note Details Underlying Info Note Valuation
Short Name Currency ISIN Term Issue Date Maturity Date Time Remaining To Final Valuation Trigger Level Pct to Barrier/Buffer Breached Capital Protection Capital At Risk Breach Max Return Participation Hold to Maturity Value FX Rate Ratio Initial FX Current FX Underlying Asset Return Cost Basis Bid Note Return Notional
  Absa Smart Allocator Note Issue 3 ZAR ZAG000121807 60 Months 11/21/14 11/21/19 6 months 0.0% 99.7% No 100.0% 0.26% - 120.0% 0.0% USD/ZAR 11.2239 14.4702 -0.3% 1000.00 1368.15 36.8% R15,011,000
  Absa Smart Allocator USD Issue 2 USD XS1068108932 60 Months 01/02/15 12/23/19 7 months 0.0% 99.3% No 100.0% 0.52% - 140.0% 0.0% - - -0.7% 100.00 98.86 -1.1% $2,251,000
  Global Market Explorer Issue 1 ZAR ZAE000243739 36 Months 04/04/17 03/20/20 10 months 0.0% 112.2% No 100.0% 0.00% - 130.1% 18.1% USD/ZAR 12.6760 14.4702 12.2% 201.02 228.59 13.7% R10,005,167
  Absa USD Smart Allocator 90 Balanced Issue 10 USD XS1099317130 60 Months 01/26/16 01/27/21 20 months 2.8% 107.0% No 97.2% 0.00% - 180.0% 17.6% - - 9.8% 100.00 109.94 9.9% $976,000
  Absa USD Smart Allocator 90 Balanced Issue 8 USD XS1266253084 60 Months 11/05/15 11/09/20 18 months 4.1% 101.2% No 95.9% 0.00% - 180.0% 9.6% - - 5.3% 100.00 104.42 4.4% $2,484,000
  European Growth Basket Issue 10 ZAR ZAE000213740 48 Months 01/11/16 01/06/20 7 months 0.0% 114.5% No 100.0% 0.00% - 213.0% 24.6% GBP/ZAR 22.9717 18.3106 14.5% 64.89 76.62 18.1% R14,028,115
  Absa USD Smart Allocator 90 Balanced Issue 7 USD XS1199777621 60 Months 09/03/15 09/03/20 15 months 2.0% 96.8% No 98.0% 0.65% - 180.0% 0.0% - - -1.2% 100.00 97.64 -2.4% $632,000
  Absa Smart Allocator Note Issue 5 ZAR ZAG000126681 60 Months 05/22/15 05/22/20 12 months 2.1% 93.7% No 97.9% 2.07% - 200.0% 0.0% USD/ZAR 11.8456 14.4702 -4.1% 1000.00 1145.46 14.5% R2,954,684
  Absa USD Smart Allocator 90 Balanced Issue 4 USD XS1144646947 60 Months 04/20/15 04/09/20 11 months 4.0% 89.8% No 96.0% 3.43% - 180.0% 0.0% - - -6.2% 100.00 92.30 -7.7% $1,599,000
  European Equity Enhancer Issue 1 ZAR ZAE000267480 60 Months 08/17/18 08/04/23 50 months 0.0% 94.8% No 100.0% - - - - - - -5.2% 1000.00 909.26 -9.1% R30,567,000
  European Equity Enhancer Issue 2 ZAR ZAE000267472 60 Months 08/17/18 07/27/23 50 months 0.0% 95.5% No 100.0% - - - - - - -4.5% 1000.00 933.32 -6.7% R30,000,000
  Global Growth Basket Issue AL3 ZAR ZAE000267456 60 Months 07/24/18 07/20/23 50 months 0.0% 97.4% No 100.0% 0.52% 20.0% 500.0% 0.0% USD/ZAR 13.2250 14.4702 -2.6% 1000.00 899.39 -10.1% R5,868,000
  Global Growth Basket Issue AL2 ZAR ZAE000267381 60 Months 07/03/18 06/22/23 49 months 0.0% 98.7% No 100.0% 0.26% 20.0% 500.0% 0.0% USD/ZAR 13.7800 14.4702 -1.3% 1000.00 901.63 -9.8% R14,391,000
  Global Growth Basket Issue ALI 1 ZAR ZAE000267340 60 Months 06/08/18 05/25/23 48 months 0.0% 97.4% No 100.0% 0.54% 20.0% 475.0% 0.0% USD/ZAR 12.5975 14.4702 -2.6% 1000.00 925.77 -7.4% R17,117,000
  Global Growth Basket Issue AL4 ZAR ZAE000267563 60 Months 09/25/18 09/21/23 52 months 0.0% 96.2% No 100.0% 0.71% 20.0% 540.0% 0.0% USD/ZAR 14.8294 14.4702 -3.8% 1000.00 874.02 -12.6% R16,308,000
  Global Growth Basket Issue 9 ZAR ZAE000267233 60 Months 02/01/18 02/02/23 44 months 0.0% 92.4% No 100.0% 1.36% 20.0% 560.0% 0.0% - - -7.6% 1000.00 868.90 -13.1% R11,742,000
  Global Growth Basket Issue 12 ZAR ZAE000267274 60 Months 03/29/18 03/30/23 46 months 0.0% 96.3% No 100.0% 0.59% 20.0% 630.0% 0.0% USD/ZAR 11.6550 14.4702 -3.7% 1000.00 1049.11 4.9% R40,120,000
  Global Growth Basket Issue 11 ZAR ZAE000267258 60 Months 02/12/18 02/10/23 45 months 60.0% 36.3% No 40.0% 0.51% 20.0% 720.0% 0.0% USD/ZAR 11.9613 14.4702 -3.7% 1000.00 959.00 -4.1% R22,305,000
  Global Growth Basket Issue 10 ZAR ZAE000267290 60 Months 04/11/18 04/13/23 47 months 0.0% 103.9% No 100.0% 0.00% 20.0% 500.0% 23.7% USD/ZAR 12.0563 14.4702 3.9% 1000.00 966.43 -3.4% R21,466,000
  Global Growth Basket Issue 4 ZAR ZAE000267126 60 Months 09/20/17 09/20/20 16 months 0.0% 105.0% No 100.0% 0.00% 20.0% 530.0% 22.0% USD/ZAR 13.1575 14.4702 5.0% 1000.00 1030.63 3.1% R41,933,000
  Global Growth Basket Issue 6 ZAR ZAE000267712 60 Months 12/12/17 12/12/22 43 months 0.0% 99.4% No 100.0% 0.10% 20.0% 575.0% 0.0% USD/ZAR 13.6656 14.4702 -0.6% 1000.00 951.95 -4.8% R24,537,000
  Global Growth Basket Issue 5 ZAR ZAE000267167 60 Months 11/01/17 11/01/22 41 months 0.0% 99.3% No 100.0% 0.12% 20.0% 570.0% 0.0% USD/ZAR 14.1769 14.4702 -0.7% 1000.00 968.00 -3.2% R15,602,000
  Absa USD Smart Allocator 90 Balanced Issue 12 USD XS1132355782 60 Months 12/23/15 12/24/20 19 months 6.0% 99.5% No 94.0% 0.00% - 187.1% 10.3% - - 5.5% 94.81 108.26 14.2% $2,122,445
  S&P 500 Accelerator Issue 1 USD XS1349054921 60 Months 04/01/16 03/31/21 22 months 60.0% 78.3% No 40.0% 0.00% 29.2% 200.0% 29.2% - - 38.3% 96.48 137.14 42.1% $669,000
  Global Growth Basket Issue 16 ZAR ZAE000267548 60 Months 09/14/18 09/14/23 52 months 0.0% 100.5% No 100.0% 0.00% 20.0% 700.0% 3.6% USD/ZAR 15.1975 14.4702 0.5% 1000.00 948.26 -5.2% R16,477,000
  Global Growth Basket Issue 13 ZAR ZAE000267365 60 Months 06/04/18 06/02/23 48 months 0.0% 99.1% No 100.0% 0.18% 20.0% 500.0% 0.0% USD/ZAR 12.5675 14.4702 -0.9% 1000.00 904.35 -9.6% R10,519,000
  Global Growth Basket Issue 14 ZAR ZAE000267373 60 Months 06/21/18 06/22/23 49 months 0.0% 96.0% No 100.0% 0.63% 20.0% 640.0% 0.0% USD/ZAR 13.6813 14.4702 -4.0% 1000.00 916.23 -8.4% R19,211,000
  Global Growth Basket Issue 3 ZAR ZAE000267050 60 Months 07/18/17 07/18/22 38 months 0.0% 105.9% No 100.0% 0.00% 20.0% 575.0% 21.8% USD/ZAR 13.2637 14.4702 5.9% 1000.00 1072.57 7.3% R20,000,000
  Global Growth Basket Issue 2 ZAR ZAE000267043 60 Months 07/20/17 07/21/22 38 months 0.0% 105.3% No 100.0% 0.00% 20.0% 575.0% 22.4% USD/ZAR 12.9200 14.4702 5.3% 1000.00 1063.52 6.4% R19,396,000
  Global Growth Basket Issue 1 ZAR ZAE000266995 60 Months 07/12/17 07/12/22 38 months 0.0% 107.8% No 100.0% 0.00% 20.0% 610.0% 21.5% USD/ZAR 13.4325 14.4702 7.8% 1000.00 1114.08 11.4% R152,120,000
  European Equity Enhancer Issue 3 AL ZAR ZAE000267613 60 Months 10/29/18 10/26/23 53 months 0.0% 104.3% No 100.0% - - - - - - 4.3% 1000.00 736.42 -26.4% R19,138,000
  Global Growth Basket Issue 15 ZAR ZAE000267423 60 Months 07/09/18 07/10/23 50 months 0.0% 100.0% No 100.0% 0.00% 20.0% 550.0% 0.0% USD/ZAR 13.5913 14.4702 -0.0% 500.00 463.30 -7.3% R12,535,000
  Global Growth Basket Issue 7 ZAR ZAE000267191 60 Months 11/16/17 11/17/22 42 months 60.0% 33.1% No 40.0% 1.03% 20.0% 675.0% 0.0% USD/ZAR 14.5094 14.4702 -6.9% 1000.00 845.18 -15.5% R25,033,000
  Global Growth Basket USD Issue 3 USD MU0484D00059 60 Months 09/07/18 09/08/23 51 months 0.0% 96.1% No 100.0% 3.23% - 120.0% 0.0% - - -3.9% 10000.00 12105.95 21.1% $1,121,000
  Global Growth Basket USD Issue 2 USD MU0484D00042 60 Months 06/11/18 06/09/23 49 months 0.0% 97.5% No 100.0% 2.50% - 100.0% 0.0% - - -2.5% 10000.00 12049.45 20.5% $954,000
  Global Growth Basket USD Issue 1 USD MU0484D00034 60 Months 01/09/18 01/09/23 44 months 0.0% 96.4% No 100.0% 3.58% - 100.0% 0.0% - - -3.6% 10000.00 12170.48 21.7% $1,525,000
  Global Growth Basket USD Issue 4 USD MU0484D00067 60 Months 12/03/18 12/01/23 54 months 0.0% 105.5% No 100.0% 0.00% - 125.0% 6.9% - - 5.5% 10000.00 13199.21 32.0% $1,488,000
  European Equity Enhancer Issue 5 AL ZAR ZAE000266482 60 Months 11/23/18 11/23/23 54 months 0.0% 106.8% No 100.0% - - - - - - 6.8% 1000.00 1049.79 5.0% R1,250,000

Autocall Notes

Note Details Note Valuation
Short Name Currency ISIN Bid Initial Valuation Date Final Valuation Date Time Remaining To Final Valuation Trigger Price Breached Coupons Left Next Observation Underlying Asset Return Cost Basis Bid Note Return
  EURO STOXX 50 Autocall Issue 25 USD XS1533322159 109.22 07/04/17 07/04/22 35 months 35.2% No 3 07/04/20 -4.8% 100.00 109.22 9.2%
  S&P 500 Defined Coupon Autocall Issue 1 USD XS1425902555 106.18 19/08/16 19/08/22 39 months 69.2% No 4 19/08/19 29.2% 100.00 106.18 6.2%
  EURO STOXX 50 Autocall Issue 7a USD XS1426173156 126.40 16/09/16 16/09/22 40 months 53.4% No 4 16/09/19 13.4% 100.00 126.40 26.4%
  Euro Stoxx 50 Autocall Issue 9a USD XS1583476525 104.55 03/07/17 03/07/23 50 months 35.3% No 5 03/07/19 -4.7% 100.00 104.55 4.5%
  FTSE 100 Autocall Issue 23a GBP XS1731961055 101.63 16/04/18 16/04/24 59 months 40.5% No 5 16/04/20 0.5% 100.00 101.63 1.6%
  FTSE 100 Autocall Issue 22a USD XS1731941453 105.33 29/03/18 02/04/24 59 months 42.5% No 5 30/03/20 2.5% 100.00 105.33 5.3%
  FTSE 100 Autocall Issue 34 USD XS1732480832 104.18 18/04/18 18/04/23 47 months 38.8% No 4 20/04/20 -1.2% 100.00 104.18 4.2%
  Euro Stoxx 50 Autocall Issue 32 USD XS1731963002 99.53 17/04/18 17/04/23 47 months 35.7% No 4 17/04/20 -4.3% 100.00 99.53 -0.5%
  Multi Index Defined Coupon WO Autocall Issue 1 GBP XS1731929599 105.52 26/03/18 27/03/23 47 months 41.5% No 4 26/03/20 1.5% 100.00 105.52 5.5%
  FTSE 100 Autocall Issue 21a USD XS1731577034 104.68 13/03/18 13/03/24 58 months 41.3% No 5 13/03/20 1.3% 100.00 104.68 4.7%
  Dual Index WO Autocall Issue 8 EUR XS1683920950 96.00 30/01/18 30/01/24 57 months 32.2% No 5 30/01/20 -7.8% 100.00 96.00 -4.0%
  Dual Index WO Autocall Issue 5 USD XS1583476798 107.16 03/07/17 03/07/23 50 months 35.3% No 5 03/07/19 -4.7% 100.00 107.16 7.2%
  FTSE 100 Autocall Issue 3 GBP XS1471993763 113.05 20/12/16 20/12/21 31 months 52.7% No 3 20/12/19 2.7% 100.00 113.05 13.1%
  FTSE 100 Defined Coupon Autocall Issue 2 GBP XS1471975430 104.19 14/12/16 14/12/22 43 months 54.1% No 4 16/12/19 4.1% 100.00 104.19 4.2%
  FTSE 100 Autocall Issue 14a EUR XS1471949864 114.01 02/12/16 02/12/22 43 months 47.4% No 4 02/12/19 7.4% 100.00 114.01 14.0%
  FTSE 100 Autocall Issue 13a GBP XS1471949195 115.85 02/12/16 02/12/22 43 months 47.4% No 4 02/12/19 7.4% 100.00 115.85 15.8%
  FTSE 100 Autocall Issue 11a USD XS1452800797 122.87 02/12/16 02/12/22 43 months 47.4% No 4 02/12/19 7.4% 100.00 122.87 22.9%
  FTSE 100 Autocall Issue 10a GBP XS1452801175 118.62 25/11/16 25/11/22 42 months 45.7% No 4 25/11/19 5.7% 100.00 118.62 18.6%
  EURO STOXX 50 Autocallable Issue 26 GBP XS1533316854 102.96 07/04/17 07/04/22 35 months 35.2% No 3 07/04/20 -4.8% 100.00 102.96 3.0%
  FTSE 100 Autocall Issue 8a USD XS1452710962 119.54 30/09/16 30/09/22 41 months 44.8% No 4 30/09/19 4.8% 100.00 119.54 19.5%
  EURO STOXX 50 Autocall Issue 9a GBP XS1511977875 109.75 23/02/17 23/02/23 45 months 39.8% No 4 24/02/20 -0.2% 100.00 109.75 9.7%
  FTSE 100 Autocall Issue 15a GBP XS1511977958 110.61 23/02/17 23/02/23 45 months 39.4% No 4 24/02/20 -0.6% 100.00 110.61 10.6%
  Dual Index WO Autocall Issue 6 USD XS1583477093 110.59 03/07/17 03/07/23 50 months 38.0% No 5 03/07/19 -2.0% 100.00 110.59 10.6%
  FTSE 100 Autocall Issue 16a USD XS1583476442 108.60 03/07/17 03/07/23 50 months 38.0% No 5 03/07/19 -2.0% 100.00 108.60 8.6%
  Step Down Dual Index WO Autocall Issue 17 USD XS1683885948 101.29 16/01/18 17/01/23 44 months 31.9% No 3 19/01/21 -8.1% 100.00 101.29 1.3%
  Step Down Dual Index WO Autocall Issue 16 USD XS1683898768 101.72 17/01/18 17/01/23 44 months 32.1% No 3 19/01/21 -7.9% 100.00 101.72 1.7%
  Step Down Dual Index WO Autocall Issue 4 USD XS1555615134 109.19 05/05/17 05/05/22 36 months 30.9% No 3 05/05/20 -9.1% 100.00 109.19 9.2%
  StepDown Euro Stoxx 50 Autocall Issue 26 USD XS1570703980 108.49 09/06/17 09/06/22 37 months 32.8% No 4 10/06/19 -7.2% 100.00 108.49 8.5%
  Step Down Dual Index WO Autocall Issue 6 GBP XS1556092812 107.31 24/05/17 24/05/22 36 months 32.8% No 3 26/05/20 -7.2% 100.00 107.31 7.3%
  Step Down Dual Index WO Autocall Issue 5 CHF XS1556092572 105.53 22/05/17 23/05/22 36 months 33.0% No 3 22/05/20 -7.0% 100.00 105.53 5.5%
  Step Down Dual Index WO Autocall Issue 2 USD XS1533359235 115.04 21/04/17 21/04/22 35 months 36.7% No 3 21/04/20 -3.3% 100.00 115.04 15.0%
  Step Down Euro Stoxx 50 Autocall Issue 23B USD XS1512002814 115.39 03/03/17 03/03/23 46 months 37.8% No 4 03/03/20 -2.2% 100.00 115.39 15.4%
  Step Down Euro Stoxx 50 Autocall Issue 23A USD XS1511999333 114.90 03/03/17 03/03/23 46 months 37.8% No 4 03/03/20 -2.2% 100.00 114.90 14.9%
  FTSE 100 Defined Coupon Autocall Issue 1 GBP XS1397315810 110.69 10/06/16 10/06/22 37 months 68.2% No 4 10/06/19 18.2% 100.00 110.69 10.7%
  Euro Stoxx 50 Autocall Issue 31 ZAR ZAE000267316 932.40 09/05/18 09/05/23 48 months 33.2% No 4 11/05/20 -6.8% 1000.00 932.40 -6.8%
  Euro Stoxx 50 Autocall Issue 24 ZAR ZAE000267001 1135.03 22/03/17 22/03/22 34 months 37.3% No 3 23/03/20 -2.7% 1000.00 1135.03 13.5%
  Step Down Euro Stoxx 50 Autocall Issue 29 ZAR ZAE000267357 1020.28 25/05/18 25/05/23 48 months 34.6% No -5.4% 1000.00 1020.28 2.0%
  Step Down Dual Index WO Autocall Issue 1 ZAR ZAE000267019 1198.34 25/04/17 25/04/22 35 months 32.9% No -7.1% 1000.00 1198.34 19.8%
  Step Down Dual Index WO Autocall Issue 22 GBP XS1850828143 100.24 31/10/18 31/10/24 66 months 44.1% No 4.1% 100.00 100.24 0.2%
  Step Down Dual Index WO Autocall Issue 7 USD XS1583480717 110.50 05/07/17 05/07/22 38 months 35.7% No -4.3% 100.00 110.50 10.5%
  Step Down Dual Index WO Autocall Issue 15 ZAR ZAE000267209 926.95 22/11/17 22/11/22 42 months 33.4% No -6.6% 1000.00 926.95 -7.3%
  Step Down Dual Index WO Autocall Issue 12 USD XS1620615184 104.51 29/09/17 29/09/22 41 months 32.6% No -7.4% 100.00 104.51 4.5%
  Step Down Dual Index WO Autocall Issue 13 USD XS1673937303 103.58 15/12/17 15/12/22 43 months 33.4% No -6.6% 100.00 103.58 3.6%
  Step Down Dual Index WO Autocall Issue 14 USD XS1641415861 102.01 01/11/17 01/11/22 42 months 30.0% No -10.0% 100.00 102.01 2.0%
  Step Down Dual Index WO Autocall Issue 9 USD XS1731950363 106.21 06/04/18 06/04/23 47 months 37.6% No -2.4% 100.00 106.21 6.2%
  Step Down Dual Index WO Autocall Issue 19 USD XS1771165484 101.50 08/06/18 08/06/23 49 months 36.5% No -3.5% 100.00 101.50 1.5%
  Step Down Dual Index WO Autocall Issue 18 USD XS1828575131 100.01 04/09/18 05/09/23 52 months 37.4% No -2.6% 100.00 100.01 0.0%
  FTSE 100 Autocall Issue 17a USD XS1583497018 - 12/07/17 26/07/23 50 months 37.5% No 5 12/07/19 -2.5% 100.00 - 0.0%
  FTSE 100 Autocall Issue 18a GBP XS1620615267 103.73 29/09/17 29/09/23 53 months 38.1% No 5 30/09/19 -1.9% 100.00 103.73 3.7%
  FTSE 100 Autocall Issue 19a GBP XS1673937568 100.77 15/12/17 15/12/23 55 months 36.5% No 5 16/12/19 -3.5% 100.00 100.77 0.8%
  FTSE 100 Autocall Issue 20a USD XS1673927098 101.07 15/12/17 15/12/23 55 months 36.5% No 5 16/12/19 -3.5% 100.00 101.07 1.1%
  FTSE 100 Autocall Issue 24a GBP XS1771171458 94.58 08/06/18 10/06/24 61 months 34.1% No 5 08/06/20 -5.9% 100.00 94.58 -5.4%
  FTSE 100 Autocall Issue 25a GBP XS1771165138 95.23 07/06/18 07/06/24 61 months 33.9% No 5 08/06/20 -6.1% 100.00 95.23 -4.8%
  FTSE 100 Autocall Issue 26a GBP XS1828549722 94.15 28/08/18 28/08/24 64 months 34.9% No 5 28/08/20 -5.1% 100.00 94.15 -5.8%
  FTSE 100 Autocall Issue 27a GBP XS1850746337 95.44 01/10/18 01/10/24 65 months 36.5% No 5 01/10/20 -3.5% 100.00 95.44 -4.6%
  FTSE 100 Autocall Issue 28a GBP XS1850795201 100.61 18/10/18 18/10/24 65 months 42.9% No 5 19/10/20 2.9% 100.00 100.61 0.6%
  FTSE 100 Autocall Issue 29a USD XS1850802692 102.83 22/10/18 22/10/24 65 months 42.7% No 5 22/10/20 2.7% 100.00 102.83 2.8%
  FTSE 100 Autocall Issue 30a USD XS1874488759 101.03 09/11/19 11/11/24 66 months 41.8% No 4 09/11/21 1.8% 100.00 101.03 1.0%
  Euro Stoxx 50 Autocall Issue 10a GBP XS1673937642 99.00 15/12/17 15/12/23 55 months 33.4% No 5 16/12/19 -6.6% 100.00 99.00 -1.0%
  Euro Stoxx 50 Autocall Issue 11a USD XS1673937212 99.82 15/12/17 15/12/23 55 months 33.4% No 5 16/12/19 -6.6% 100.00 99.82 -0.2%
  Euro Stoxx 50 Autocall Issue 12a USD XS1673937485 98.18 15/12/17 15/12/23 55 months 33.4% No 5 16/12/19 -6.6% 100.00 98.18 -1.8%
  Euro Stoxx 50 Auotcall Issue 30 USD XS1683773474 99.77 19/12/17 19/12/22 43 months 32.9% No 4 19/12/19 -7.1% 100.00 99.77 -0.2%
  Euro Stoxx 50 Auotcall Issue 28 USD XS1683978289 98.46 01/02/18 01/02/23 45 months 23.0% No 4 03/02/20 -7.0% 100.00 98.46 -1.5%
  Euro Stoxx 50 Autocall Issue 13a EUR XS1771171532 97.82 08/06/18 10/06/24 61 months 36.5% No 5 08/06/20 -3.5% 100.00 97.82 -2.2%
  Euro Stoxx 50 Autocall Issue 14a USD XS1771165054 99.29 07/06/18 07/06/24 61 months 36.2% No 5 08/06/20 -3.8% 100.00 99.29 -0.7%
  Euro Stoxx 50 Autocall Issue 15a EUR XS1812330527 95.63 30/07/18 30/07/24 63 months 34.7% No 5 30/07/20 -5.3% 100.00 95.63 -4.4%
  Euro Stoxx 50 Autocall Issue 17a USD XS1828593548 102.07 10/09/18 10/09/24 64 months 40.5% No 5 10/09/20 0.5% 100.00 102.07 2.1%
  Euro Stoxx 50 Auotcall Issue 29 ZAR ZAE000267225 945.93 18/12/17 19/12/22 43 months 12.2% No 4 18/12/19 -7.8% 1000.00 945.93 -5.4%
  Multi Index Defined Coupon WO Autocall Issue 3 GBP XS1856026304 - 28/06/18 28/06/24 62 months 36.1% No 6 28/06/19 1.1% 100.00 - 0.0%
  Multi Index Defined Coupon WO Autocall Issue 2 ZAR ZAE000267332 1076.62 11/05/18 13/05/24 60 months 32.7% No 5 27/05/19 -2.3% 1000.00 1076.62 7.7%
  Multi Index Defined Coupon WO Autocall Issue 4 ZAR ZAE000267621 1045.24 01/11/18 01/11/24 66 months 37.0% No 6 01/11/19 2.0% 1000.00 1045.24 4.5%
  Dual Index WO Autocall Issue 9 GBP XS1874488676 101.98 09/11/18 09/11/23 54 months 41.8% No 5 11/11/19 1.8% 100.00 101.98 2.0%
  Dual Index WO Autocall Issue 7 GBP XS1620571387 102.23 21/09/17 21/09/23 52 months 34.0% No 5 23/09/19 -6.0% 100.00 102.23 2.2%
  FTSE 100 Autocall Issue 31a GBP XS1874529024 101.03 05/12/18 05/12/24 67 months 44.5% No 5 07/12/20 4.5% 100.00 101.03 1.0%
  Euro Stoxx 50 Autocall Issue 34 USD XS1874540930 104.97 13/12/18 13/12/23 55 months 46.9% No 5 13/12/19 6.9% 100.00 104.97 5.0%
  Multi Index Defined Coupon WO Autocall Issue 6 USD XS1728652832 - 23/11/18 25/11/24 67 months 40.7% No 5.7% 100.00 - 0.0%
  Multi Index Defined Coupon WO Autocall Issue 5 GBP XS1728652758 - 23/11/18 25/11/24 66 months 40.7% No 5.7% 100.00 - 0.0%
  Step Down Dual Index WO Autocall Issue 23 USD XS1874517102 102.56 30/11/18 02/12/24 67 months 42.2% No 2.2% 100.00 102.56 2.6%
  Multi Index Defined Coupon WO Autocall Issue 7 GBP XS1920287445 - 04/12/18 04/12/24 67 months 38.0% No 6 04/12/19 3.0% 100.00 - 0.0%

Autocall Notes Notes

Note Details Underlying Info Note Valuation Portfolio
Short Name Note Type CUSIP Issuer Term Currency Payoff Issue Date Maturity Date Time Remaining Underlying Return Cost Basis Valuation Note Return Notional Unrealized G/L Market Value
  Step Down Dual Index WO Autocall - Issue 26 General Note XS1874517102 Barclays 72 Months USD 9.20% coupon per annum, first payment/call date in Year 3 - Autocall level decreases from 100% at Year 1 by 5% per annum 12/14/18 12/16/24 67 months 2.2% 100.00 103.06 3.1% $284,000 $8,690 $292,690
  Step Down Dual Index WO Autocall - Issue 29 General Note XS1914014680 Barclays 72 Months USD 9.20% coupon per annum, first payment/call date in Year 3 - Autocall level decreases from 100% at Year 1 by 5% per annum 03/28/19 03/28/24 58 months -0.4% 100.00 100.00 0.0% $200,000 $0 $200,000