MINIs. Product Disclosure Statement Part 1

Transcription

1 MINIs Product Disclosure Statement Part May April Issuer: The Royal Bank of Scotland plc ABN , AFSL (a public limited company incorporated in Scotland).

2 2 Product Disclosure Statement MINIs 1 PDS Part 1 Key commercial terms Date: August April This Product Disclosure Statement is provided in two parts: Part 1 Key commercial terms ( PDS Part 1 ), and Part 2 General information ( PDS Part 2 ) PDS Part 1 and PDS Part 2 together form the PDS. You should read the entire PDS (i.e. both PDS Part 1 and PDS Part 2), including the Terms (as set out in Section 9 Terms of the MINIs of PDS Part 2), before making any investment decision. All references to this PDS are references to the entire PDS, unless PDS Part 1 or PDS Part 2 is specified. PDS Part 2 should be read and construed in conjunction with PDS Part 1 for each Series of MINIs. The Royal Bank of Scotland plc is a foreign Authorised Deposit-Taking Institution under the Banking Act 1959 (Cth). The obligations of The Royal Bank of Scotland plc do not represent deposits or other funds of The Royal Bank of Scotland plc. The obligations of The Royal Bank of Scotland plc are unsecured obligations which (save for certain obligations required to be preferred by law) rank equally with all other unsecured obligations of The Royal Bank of Scotland plc, and in a winding up you may not receive these amounts. This PDS offers one or more Series of warrants (called MINIs ). The MINIs issued pursuant to this PDS are to be traded on the market operated by ASX Limited ( ASX ) over Underlyings specified in PDS Part 1. PDS Part 1 sets out the key commercial terms of the MINIs offered under the PDS, including whether they are MINI Long or MINI Short, the relevant Underlyings, Interest Rate, Settlement Currency, FX Hedge feature, Multiplier, Strike Price, Issue Date, Issue Size, Relevant Exchange, initial Stop Loss Level, Strike Price Currency (if not AUD) and ASX codes for each of the relevant Series, each of which may be adjusted in accordance with the provisions of the Terms. For each issue of MINIs, there will be a new PDS Part 1 that must be read in conjunction with PDS Part 2. PDS Part 2 sets out the general information relevant to the MINIs, including the offer description, risks and benefits associated with the MINIs, tax considerations, description of the Issuer and a copy of the Terms. No person is authorised by the Issuer to give any information or to make any representations not contained in this PDS. Any information or representation not contained in this PDS must not be relied upon as having been authorised by, or on behalf of, the Issuer. Nothing in this PDS is, or may be relied upon as, a representation as to the future performance of the MINIs. No MINIs will be issued on the basis of this PDS after the offer of a Series of MINI closes on the dates specified in PDS Part 1. The Issuer reserves the right to close the offer of any or all Series of MINIs at an earlier time without prior notice. The meanings of capitalised terms appearing in this PDS are explained in Section 10 Definitions in PDS Part 2. If you have accessed an electronic version of this PDS, the Issuer will send a paper copy of the PDS to you free of charge upon request by calling The Issuer has made an application to the ASX for the admission of each new Series of MINIs to quotation on the ASX.

3 Issuer: Issue Date: Date of PDS 1: Date of PDS 2: Registrar: FX Hedge: Fixed Exchange Rate: Interest Rate: Settlement Currency: Relevant Exchange: Stop Loss Rounding: Notional Dividend Amount: The Royal Bank of Scotland plc ABN , AFSL (a public limited company incorporated in Scotland) 12 April April September 2012 Link Market Services Limited Not Applicable Not Applicable Indicative -0.65% to 4.75% MINI Shorts AUD Please see Price Source 2 decimal places Not Applicable Summary Table of New MINIs MINI Short Series Underlying Related Index Price Source Strike Price Currency Initial Strike Price Initial Stop Loss Multiplier Issue Size Initial Exchange Rate XJOQRS ASX SPI 200 Futures S&P/ASX 200 Index ASX AUD 5, , ,000 N/A DJXKRX E-mini Dow ($5) Futures Dow Jones Industrial Average Index CBT USD 15, , , (AUD/USD) DJXKRY E-mini Dow ($5) Futures Dow Jones Industrial Average Index CBT USD 15, , , (AUD/USD) DJXKRZ E-mini Dow ($5) Futures Dow Jones Industrial Average Index CBT USD 15, , , (AUD/USD) MINIs 3

4 XML to PDF by RenderX XEP XSL-FO Formatter, visit us at 4 Product Disclosure Statement Multiplier For MINIs with a Multiplier less than 1 only, the value of the MINI will not move on a one-to-one basis with price movements of the Underlying, but will move in proportion with the Multiplier for price movements of the Underlying. For more information please refer to Section 2.6 The Multiplier of PDS Part 2. How to purchase MINIs Please read PDS Part 1 and PDS Part 2 in their entirety for further information. PDS Part 1 provides specific terms of this Series of MINIs. PDS Part 2 provides more general information in relation to MINIs. The initial consideration contributed by potential investors for the MINIs is the Capital Outlay. As the MINI is quoted on the ASX, the Capital Outlay will be quoted on the ASX. For more information please refer to Section 4 Costs & fees of PDS Part 2. If you would like to purchase MINIs or get further information and current pricing, please contact your financial adviser or the Issuer by calling About RBS The RBS Group is a large international banking and financial services group. Headquartered in Edinburgh, the RBS Group operates in the United Kingdom, Europe, the Middle East, the Americas and the Asia-Pacific region, serving over 30 million customers. The RBS Group provides a wide range of products and services to personal, commercial and large corporate and institutional customers through its principal subsidiaries, The Royal Bank of Scotland and NatWest, as well as through a number of other well-known brands, including Citizens, Charter One, Ulster Bank, Coutts & Co, Direct Line and Churchill. In the Asia-Pacific region, the RBS Group serves corporate, institutional and public sector clients in 11 countries and is a leading provider of corporate and financial services. The RBS Group has had a local presence since 1974 and has worked on some of the local market s largest and most complex transactions and projects for the RBS Group s corporate, institutional and public sector clients. RBS is a public limited company incorporated in Scotland with registration number SC RBS is regulated by the Financial Services Authority in the United Kingdom and has registered with ASIC as a foreign company with ABN RBS registered office in Australia is provided in the Directory at the back of PDS Part 2. As at 31 December 2011, RBS had net assets of GBP billion. This figure is updated from time to time at The value of the MINIs and the ability of RBS to meet its obligations in respect of the MINIs depends on, among other things, the financial performance of RBS. The obligations of RBS are unsecured obligations which (save for certain obligations required to be preferred by law) rank equally with all other unsecured obligations of RBS. Financial information for the RBS Group is available at rbs.com, however, please note that no other RBS Group entity is guaranteeing the obligations of RBS in respect of the MINIs and therefore any financial information regarding other RBS Group entities is not directly relevant to your decision whether or not to invest in MINIs. You should instead focus on the financial information relating to RBS itself and not the RBS Group. Holders must make their own assessment of RBS ability to meet its obligations in respect of the MINIs. Additional information can be located at the global website, or the Australian website, More information in relation to the Underlyings ASX SPI 200 Futures contract The S&P/ASX 200 Index consists of over 90% of the total market capitalisation of all companies, unit trusts and stapled securities listed on the Australian Securities Exchange (ASX). The S&P/ASX 200 Index is calculated and maintained by Standard & Poors (S&P). The S&P/ASX 200 is comprised of the largest 200 ASX listed companies by market capitalisation (plus liquidity considerations) in Australia. Further description, constituent list and Index calculation methodologies are available from S&P s global website at The ASX SPI 200 Futures contract is based on the S&P/ASX 200 Index. The ASX SPI 200 Futures contract is traded on ASX Trade24. It is available in quarterly months with maturities in March, June, September and December and up to six quarterly months ahead and the nearest two non-quarterly expiry months. The price of the MINIs will generally be based on the immediate quarterly month ASX SPI 200 Futures contract i.e. March, June, September and/or December. The contracts will be rolled over as the ASX SPI 200 Futures contract expires. Please refer to Part 2 of this PDS for further details of the rollover process. The trading hours for the ASX SPI 200 Futures contract as at the date of Part 2 of this PDS, are currently from 5:10pm to 7am (8am during US non daylight saving time) and 9:50am to 4:30pm but the MINIs will only trade during ASX market hours, which as at the date of this PDS for MINIs linked to the ASX SPI 200 Futures contract, is 9:50am to 4:00pm (EST). Please note that although the ASX SPI 200 Futures contract continues to trade on the ASX Trade24 after the ASX market closes, if the Stop Loss Level is triggered during this time it will not affect the MINIs unless the ASX SPI 200 Futures contract price stays at or below the Stop Loss Level when ASX market re-commences trading. Market price information on the ASX SPI 200 Futures contract can be readily obtained from the ASX website (search for commodity code AP, and as of the date of Part 2 of this PDS, check asx.com.au/documents/products/asx_spi_200_futures.pdf or and click on the link for ASX SPI 200 Futures contract). E-mini Dow ($5) Futures contract The E-mini Dow ($5) Futures contract is based on the Dow Jones Industrial Average (DJIA) Index. The DJIA Index is one of several stock market indices created by 19th century Wall Street Journal editor and Dow Jones & Company co-founder Charles Dow. The DJIA is a price-weighted index of 30 blue-chip U.S. companies representing nine economic sectors including financial service, technology, retail, entertainment and consumer goods. The E-mini Dow ($5) Futures contract is quoted in Index points, size of the contract is US$5 times the DJIA Index. The E-mini Dow ($5) Futures contracts are listed and traded on Chicago Board of Trade (CBT) Exchange and is denominated in USD. The E-mini Dow ($5) Futures contract is available for trade for four months in the March quarterly cycles with maturities starting in March, June, September and December.

5 XML to PDF by RenderX XEP XSL-FO Formatter, visit us at MINIs 5 The trading hours for the E-mini Dow ($5) Futures contract, as at the date of Part 2 of this PDS, on the Globex Electronic platform is from Monday to Thursday 5:00pm to 3:15pm (US Central Time) and 3:30pm to 4:30pm and on Sunday from 5:00pm to 3:15pm. However the MINIs linked to the E-mini Dow ($5) Futures contract will only trade during the ASX market hours, which at the time of printing of Part 2 of this PDS, is 10:00am to 4:00pm (Australia Eastern Standard Time) for this Underlying. Market price information on the E-mini Dow ($5) Futures contract can readily be obtained from cmegroup.com (search for the YM Ticker Symbol and, as of the date of Part 2 of this PDS, check cmegroup.com/trading/equity-index/us-index/e-mini-dow_learn_more_ education.html). S&P500 E-MINI FUT ( E-mini S&P 500 Futures contract ) The E-mini S&P 500 Futures contract is based on the Standard and Poor s 500 Index (S&P 500 Index). The S&P 500 Index is a market capitalisation-weighted index of 500 large cap common stocks which represent all major industries actively traded in the US. The S&P 500 Index is designed to measure the performance of the broad domestic economy and is one of the world s most widely followed financial benchmarks. The components of the S&P 500 Index are selected by committee so that they are representative of various industries in the US economy and are restricted to companies that are traded publicly with sufficient liquidity. The S&P 500 Index is owned and maintained by Standard & Poor s, a division of McGraw-Hill. The E-mini S&P 500 Futures contract is quoted in Index points. The E-mini S&P 500 Futures contracts are listed and traded on the Chicago Mercantile Exchange (CME) and are denominated in USD. The E-mini S&P 500 Futures contract is available for trade for five months in the March quarterly cycles with maturities starting in March, June, September, December and March the following year. The price of the MINIs is linked to the E-mini S&P 500 Futures contract and will generally be based on the immediate quarterly month contract i.e. March, June, September and/or December. The E-mini S&P 500 Futures contracts will be rolled over as they expire. Please refer to Part 2 of this PDS for further details of the rollover process. The trading hours for the E-mini S&P 500 Futures contract as at the date of Part 2 of this PDS on the Globex Electronic platform is currently from Monday to Thursday, (US Central Time) 3:30pm to 4:30pm and 5:00pm to 3:15pm the next day, closing Friday at 3:15pm, with maintenance shutdown between 4:30pm and 5:00pm each day. The trading hours for the E-mini S&P 500 Futures contract as at the date of Part 2 of this PDS on the Globex Electronic platform for Sunday and Holidays is 5:00pm to 3:15pm the next day. However the MINIs linked to the E-mini S&P 500 Futures contract will only trade during the ASX market hours, which as at the date of Part 2 of this PDS, is 10:00am to 4:00pm (Australia Eastern Standard Time) for this Underlying. Market price information on the E-mini S&P 500 Futures contract can readily be obtained from cmegroup.com (search for the ES Ticker Symbol and, as of the date of Part 2 of this PDS, check cmegroup. com/ trading/ equity- index/ us- index/ e- mini- sandp500_ contract_specifications.html).

6 6 Product Disclosure Statement S&P Disclaimer The MINIs are not sponsored, endorsed, sold or promoted by Standard & Poor's ( S&P ) or its third party licensors. Neither S&P nor its third party licensors makes any representation or warranty, express or implied, to the owners of the MINIs or any member of the public regarding the advisability of investing in securities generally or in the MINIs particularly or the ability of the S&P/ASX 200 (the Index ) to track general stock market performance. S&P's and its third party licensor s only relationship to The Royal Bank of Scotland plc is the licensing of certain trademarks and trade names of S&P and the third party licensors and of the Index which is determined, composed and calculated by S&P or its third party licensors without regard to The Royal Bank of Scotland plc or MINIs. S&P and its third party licensors have no obligation to take the needs of The Royal Bank of Scotland plc or the owners of the MINIs into consideration in determining, composing or calculating the Index. Neither S&P nor its third party licensors is responsible for and has not participated in the determination of the prices and amount of the MINIs or the timing of the issuance or sale of the MINIs or in the determination or calculation of the equation by which the MINIs are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the MINIs. NEITHER S&P, ITS AFFILIATES NOR THEIR THIRD PARTY LICENSORS GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN OR ANY COMMUNICATIONS, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATIONS (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P, ITS AFFILIATES AND THEIR THIRD PARTY LICENSORS SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS OR DELAYS THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE MARKS, THE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P, ITS AFFILIATES OR THEIR THIRD PARTY LICENSORS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE OR CONSEQUENTIAL DAMAGES, INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY OR OTHERWISE. SPDR, S&P and Standard & Poor s are trademarks of Standard & Poor s and have been licensed for use by The Royal Bank of Scotland plc. ASX Disclaimer ASX is a trademark of ASX Operations Pty Ltd. ( ASXO ). The MINIs are not sponsored, endorsed, sold or promoted by ASXO. ASXO does not make any representation or warranty, express or implied, to the holders of MINIs or any member of the public regarding the advisability of investing in securities generally or in the MINIs particularly or the ability of the S&P/ASX 200 (the Index ) to track general stock market performance. ASXO is not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the MINIs to be issued or in the determination or calculation of the equation by which the MINIs is to be converted into cash. ASXO DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND ASXO SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. ASXO MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY RBS, OWNERS OF THE MINIS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR ANY DATA INCLUDED THEREIN. Dow Jones Industrial Average Disclaimer The "Dow Jones Industrial Average Index" is a product of Dow Jones Indexes, a licensed trademark of CME Group Index Services LLC ("CME ). "Dow Jones ", Dow Jones Industrial Average Index" and "Dow Jones Indexes" are service marks of Dow Jones Trademark Holdings, LLC ("Dow Jones ). The MINIs are not sponsored, endorsed, sold or promoted by Dow Jones, CME or their respective affiliates. Dow Jones, CME and their respective affiliates make no representation or warranty, express or implied, to the owners of the MINIs or any member of the public regarding the advisability of investing in securities generally or in the MINIs particularly. The only relationship of Dow Jones, CME or any of their respective affiliates to the Licensee is the licensing of certain trademarks, trade names and service marks of Dow Jones and of the Dow Jones Industrial Average Index, which is determined, composed and calculated by CME without regard to the MINIs. Dow Jones and CME have no obligation to take the needs of the owners of the MINIs into consideration in determining, composing or calculating the Dow Jones Industrial Average Index. Dow Jones, CME and their respective affiliates are not responsible for and have not participated in the determination of the timing of, prices at, or quantities of the MINIs to be issued or in the determination or calculation of the equation by which the MINIs are to be converted into cash. Dow Jones, CME and their respective affiliates have no obligation or liability in connection with the administration, marketing or trading of the MINIs. Notwithstanding the foregoing, CME Group Inc. and its affiliates may independently issue and/or sponsor financial products unrelated to the MINIs currently being issued by the Issuer, but which may be similar to and competitive with the MINIs. In addition, CME Group Inc. and its affiliates may trade financial products which are linked to the performance of the Dow Jones Industrial Average Index. It is possible that this trading activity will affect the value of the Dow Jones Industrial Average Index and MINIs. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES DO NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE DOW JONES INDUSTRIAL AVERAGE INDEX OR ANY DATA INCLUDED THEREIN AND DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, OWNERS OF THE MINIS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE DOW JONES INDUSTRIAL AVERAGE INDEX OR ANY DATA INCLUDED THEREIN. DOW JONES, CME AND THEIR RESPECTIVE AFFILIATES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE DOW JONES INDUSTRIAL AVERAGE INDEX OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL DOW JONES, CME OR THEIR RESPECTIVE AFFILIATES HAVE ANY LIABILITY FOR ANY LOST PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CME AND THE ISSUER, OTHER THAN THE LICENSORS OF CME.

7 4 Product Disclosure Statement MINIs 7 Worked Examples The below worked examples are applicable to the Underlying(s) for the Series of MINIs in this PDS Part 1 only. Only worked examples relating to the relevant type of Underlying of a Series will be included in the PDS. For further information please contact your financial adviser or the Issuer by calling These worked examples are to be read in conjunction with PDS Part 2. The below examples are hypothetical only and are not forecasts or simulations of returns or a reference to past performance of the MINIs or relevant Underlyings. The actual returns on the MINIs and the Underlying(s) they reference may be materially different from what is shown in these examples. These examples do not take into account Exchange Rates or Expenses (unless otherwise stated). Notes to Worked Examples: - In the Worked Examples, an Exchange Rate is referenced even where the Underlying is (or the components that comprise the Underlying are) denominated in AUD. In such a case, the Exchange Rate is given a value of $ meaning that the value of the MINI will not have any foreign currency exposure on the value of the Underlying (or components that comprise the Underlying) and the reference to Exchange Rate in such an example is included only as a placeholder to illustrate that a MINI will have foreign currency exposure on the value of the Underlying (demonstrated by an Exchange Rate other than $1.0000) where the Underlying is (or components that comprise the Underlying are) not denominated in AUD. - In the Worked Examples, the MINI Long Price or MINI Short Price is rounded to 4 decimal places for illustrative purposes only. The buy and sell orders on the ASX for MINI Longs and MINI Shorts will be rounded to 2 decimal places. -The daily Funding Cost will be added or subtracted daily from the Strike Price. Whether the Funding Cost is added or subtracted is at the Calculation Agent s discretion, be added to, or deducted from, the Strike Price for a MINI (depending on the type of Underlying and the MINI Funding Cost Factors at the relevant time) before trading opens the next day. - Expenses will not be incurred when investors buy and sell the MINIs on the ASX, but Expenses will be incurred upon exercise of a MINI. In the Worked Examples, unless otherwise specified, it is assumed that Expenses are zero, but investors should note that Expenses may reduce the Cash Amount by up to 20% upon exercise. For more information on Expenses and how they affect the Cash Amount can please refer to Section 2.13 Expenses of PDS Part 2.

8 826 Product Disclosure Statement Index Futures Worked example: Trading MINIs on ASX Section 2.5 How do MINIs work The examples below are hypothetical only and are not a forecast or simulation of returns nor is it a reference to past performance of the MINIs or relevant Underlyings. The actual returns on the MINIs and the Underlyings they reference may be materially different from what is shown in these examples. Example of a MINI Long (with no FX Hedge feature) Strike Price Stop Loss Level Multiplier Exchange Rate Underlying Price $1, $1, $ $1, Value of the MINI Long or Capital Outlay relating to a MINI Long (MINI Long price) = [(Underlying Price Strike Price) x Multiplier] / Exchange Rate = [($1, $1, ) x 0.01]/ $ = $ Worked example: MINI Long (with no FX Hedge feature) Underlying: Index Futures Underlying Price: $1, Strike Price: $1, Exchange Rate: $ Multiplier: 0.01 Funding Cost per day: $ (Interest Rate of 5.0% p.a.) On Day 1, an investor buys a MINI Long: Value of MINI Long or Capital Outlay = [($1, $1, ) x 0.01] / $ = $ On Day 2, the daily Funding Cost is added to the Strike Price Strike Price = ($1, x 5.0%)/365 + $1, = $1, of the MINI Long as the investor has held the MINI Long for more than 1 day: Value of MINI Long or Capital Outlay = [($1, $1, ) x 0.01] / $ = $ If an investor purchases a MINI Long on Day 1 and holds the MINI Long until the day after they purchased it (Day 2), that Holder will incur a daily Funding Cost which increases the Strike Price and reduces the value of the MINI Long which is held on Day 2. If a new investor buys a MINI Long on Day 2 (in the above example), such new Holder will not be affected by any Funding Costs incurred on Day 1 and the associated increase in the Strike Price and reduction in value of the MINI Long, which they would have experienced if they had purchased the MINI Long on Day 1 and held the MINI Long until Day 2. This is because the new Holder buys the MINI Long for the lesser value (or Capital Outlay) of $ on Day 2. If this new Holder sells the MINI Long intra-day on Day 2, the Funding Cost will not be applied to increase the Strike Price of the MINI Long on Day 2.

9 MINIs 279 Example of a MINI Long (with no FX Hedge feature) Linked to an Underlying Index Future S&P 500 Index Futures Action Units Multiplier Underlying Price Strike Price Exchange Rate Value of a MINI Long or Capital Outlay (MINI Long price) Stop Loss Level Profit / Loss % Profit or Loss Buy 1, $1, $1, $ $ $1, S&P 500 Index Futures rise to $1, SELL 1, $1, $1, $ $ $1, $ % (same day) SELL (2 weeks) 1, $1, $1, $ $ $1, $ % S&P 500 Index Futures fall to $1, SELL 1, $1, $1, $ $ $1, $ % (same day) SELL (2 weeks) 1, $1, $1, $ $ $1, $ % The first line in the Example of a MINI Long (with no FX Hedge feature) table shows a position of 1,000 MINI Longs, purchased because a Holder expects the S&P 500 Index Futures price to increase. The MINI Long is purchased for a price (i.e. Capital Outlay) of $ when the S&P 500 Index Futures were trading at $1, The Strike Price (i.e. leverage) of the MINI Long is $1, , with a Stop Loss Level at $1, S&P 500 Index Futures price rises to $1, Buy and sell on the same day: The second line shows the outcome of a $ increase in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Longs on the same day as they were purchased. The MINI Long price has increased to $ (reflecting the $ increase in the Underlying Price of the S&P 500 Index Futures), and the Strike Price and Stop Loss Levels are unchanged. The sale by the Holder of 1,000 MINI Longs at $ has realised a $ profit (1,000 x ($ $2.8037)), which equates to a 33.33% profit. Buy and sell two weeks later: The third line shows the outcome of a $ increase in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Longs two weeks (which includes two weekends) after the date they were purchased. The Strike Price has increased to $1, , to reflect the addition of two weeks Funding Costs to the initial $1, Strike Price. The MINI Long price has increased to $ (reflecting the $ increase in the Underlying Price of the S&P 500 Index Futures and the $ increase in the Strike Price). The sale by the Holder of 1,000 MINI Longs at $ has realised a $ profit (1,000 x ($ $2.8037)), which equates to a 32.63% profit. S&P 500 Index Futures price falls to $1, Buy and sell on the same day: The fourth line shows the outcome of a $ decrease in the Underlying Price of the S&P 500 Index Futures to $1,300.00, and assumes the Holder sells their MINI Longs on the same day as they were purchased. The MINI Long price has decreased to $ (reflecting the $ decrease in the Underlying Price of the S&P 500 Index Futures), and the Strike Price and Stop Loss Levels are unchanged. The sale by the Holder of 1,000 MINI Longs at $ has realised a $ loss (1,000 x ($ $2.8037)), which equates to a 33.33% loss. Buy and sell two weeks later: The fifth line shows the outcome of a $ decrease in the Underlying Price of the S&P 500 Index Future shares to $1,300.00, and assumes the Holder sells their MINI Longs two weeks (which includes two weekends) after the date they were purchased. The Strike Price has increased to $1, , to reflect the addition of two weeks Funding Costs to the initial $1, Strike Price. The MINI Long price has decreased to $ (reflecting the $ decrease in the Underlying Price of the S&P 500 Index Futures and the $ increase in the Strike Price). The sale by the Holder of 1,000 MINI Longs at $ has realised a $ loss (1,000 x ($ $2.8037)), which equates to a 34.04% loss. Example of a MINI Short (with no FX Hedge feature) Strike Price Stop Loss Level Multiplier Exchange Rate Underlying Price $1, $1, $ $1, Value of the MINI Short or Capital Outlay relating to a MINI Short (MINI Short price) = [(Strike Price Underlying Price) x Multiplier] / Exchange Rate = [($1, $1,400.00) x 0.01]/ $ = $2.8037

10 10 28 Product Disclosure Statement Worked example: MINI Short (with no FX Hedge feature) Underlying: Index Futures Underlying Price: $1, Strike Price: $1, Exchange Rate: $ Multiplier: 0.01 Funding Cost per day: $ (Interest Rate of 5.0% p.a.) On Day 1, an investor buys a MINI Short: Value of MINI Short or Capital Outlay = [($1, $1,400.00) x 0.01]/ $ = $ On Day 2, the daily Funding Cost is deducted from the Strike Price of the MINI Short as the investor has held the MINI Short for more than 1 day: Value of MINI Short or Capital Outlay = [($1, $1,400.00) x 0.01 ]/ $ = $ Strike Price = $1, ($1, x 5.0%)/365 = $1, If an investor purchases a MINI Short on Day 1 and holds the MINI Short until the day after they purchased it (Day 2), that Holder will incur a daily Funding Cost which decreases the Strike Price and reduces the value of the MINI Short which is held on Day 2. If a new investor buys a MINI Short on Day 2 (in the above example), such new Holder will not be affected by any Funding Costs incurred on Day 1 and the associated decrease in the Strike Price and decrease in value of the MINI Short, which they would have experienced if they had purchased the MINI Short on Day 1 and held the MINI Short until Day 2. This is because the new Holder buys the MINI Short for the lesser value (or Capital Outlay) of $ on Day 2. If this new Holder sells the MINI Short intra-day on Day 2, the Funding Cost will not be applied to decrease the Strike Price of the MINI Long on Day 2. Example of a MINI Short (with no FX Hedge feature) Linked to an Underlying Index Future S&P 500 Index Futures Action Units Multiplier Underlying Price Strike Price Exchange Rate Value of a MINI Short or Capital Outlay (MINI Short price) Stop Loss Level Profit / Loss % Profit or Loss Buy 1, $1, $1, $ $ $1, S&P 500 Index Futures fall to $1, SELL 1, $1, $1, $ $ $1, $ % (same day) SELL (2 weeks) 1, $1, $1, $ $ $1, $ % S&P 500 Index Futures rise to $1, SELL 1, $1, $1, $ $ $1, $ % (same day) SELL (2 weeks) 1, $1, $1, $ $ $1, $ % The first line in the Example of a MINI Short (with no FX Hedge feature) table shows a position of 1,000 MINI Shorts, purchased because a Holder expects the S&P 500 Index Futures price to decrease. The MINI Short is purchased for a price (i.e. Capital Outlay) of $ where the S&P 500 Index Future were trading at $1, The Strike Price (i.e. leverage) of the MINI Shorts is $1, , with a Stop Loss Level at $1, S&P 500 Index Futures price falls to $1, Buy and sell on the same day: The second line shows the outcome of a $ decrease in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Shorts on the same day as they were purchased. The MINI Short price has increased to $ (reflecting the $ decrease in the Underlying Price of the S&P 500 Index Futures), and the Strike Price and Stop Loss Levels are unchanged. The sale by the Holder of 1,000 MINI Shorts at $ has realised a $ profit (1,000 x ($ $2.8037)), which equates to a 33.33% profit. Buy and sell two weeks later: The third line shows the outcome of a $ decrease in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Shorts two weeks (which includes two weekends) after the date they were purchased. The Strike Price has decreased to $1, , to reflect the subtraction of two weeks Funding Costs from the initial $1, Strike Price. The MINI Short price has increased to

11 MINIs $ (reflecting the $ decrease in the Underlying Price of the S&P 500 Index Futures and the $ decrease in the Strike Price). The sale by the Holder of 1,000 MINI Shorts at $ has realised a $ profit (1,000 x ($ $2.8037)), which equates to a 32.25% profit. S&P 500 Index Future price rises to $1, Buy and sell on the same day: The fourth line shows the outcome of a $ increase in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Shorts on the same day as they were purchased. The MINI Short price has decreased to $ (reflecting the $ increase in the Underlying Price of the S&P 500 Index Futures), and the Strike Price and Stop Loss Levels are unchanged. The sale by the Holder of 1,000 MINI Shorts at $ has realised a $ loss (1,000 x ($ $2.8037)), which equates to a 33.33% loss. Buy and sell two weeks later: The fifth line shows the outcome of a $ increase in the Underlying Price of the S&P 500 Index Futures to $1, and assumes the Holder sells their MINI Shorts two weeks (which includes two weekends) after the date they were purchased. The Strike Price has decreased to $1, , to reflect the subtraction of two weeks Funding Costs from the initial $1, Strike Price. The MINI Short price has decreased to $ (reflecting the $ increase in the Underlying Price of the Underlying S&P 500 Index Futures and the $ decrease in the Strike Price). The sale of 1,000 MINI Shorts at $ has realised a $ loss (1,000 x ($ $2.8037)), which equates to a 34.42% loss. Worked example: MINI Long Section 2.8 FX Hedge Feature This example demonstrates the impact of the AUD/USD Exchange Rate where the Underlying Index Future is denominated in USD (United States Dollars), the MINI Long is denominated in AUD (Australian Dollars) and the MINI Long has a FX Hedge feature. If the MINI Long has a FX Hedge feature, the Holder will not have a foreign currency exposure that is, the value of the FX Hedged MINI Long is not affected by foreign exchange rate movements. This worked example assumes that the value of the Underlying Index Future has been converted from its currency of denomination (USD) to AUD on the Issue Date (using a Fixed Exchange Rate of $1.0000, where such rate will remain constant until the MINI Long is exercised or otherwise terminated early), such that all values described in this example are expressed in AUD. Example of a MINI Long (with FX Hedge feature) Strike Price Stop Loss Level Multiplier Underlying Price $1, $1, $1, Value of the MINI Long or Capital Outlay relating to a MINI Long (MINI Long price) = (Underlying Price Strike Price) x Multiplier ($1, $1, ) x 0.01 = $ Worked Example: MINI Long (with FX Hedge feature) Underlying: Index Futures Underlying Price: $1, Strike Price: $1, Multiplier: 0.01 Funding Cost per day: $ (Interest Rate of 6.0% p.a.) On Day 1, an investor buys a MINI Long: Value of MINI Long or Capital Outlay = ($1, $1, ) x 0.01 = $ On Day 2, the daily Funding Cost is added to the Strike Price of the MINI Long as the investor has held the MINI Long for more than 1 day: Strike Price = ($1, x 6.0%)/365 + $1, = $1, Value of MINI Long or Capital Outlay = ($1, $1, ) x 0.01 = $ Exchange Rate movement Value of MINI Long or Capital Outlay on Day 2 where: The AUD/USD Exchange Rate has moved from $ (on Day 1) to $ (on Day 2); and there is no movement in the Underlying Price Value of MINI Long or Capital Outlay = ($1, $1, ) x 0.01 = $ Due to the FX Hedge feature and the Fixed Exchange Rate, the movement in the Exchange Rate does not impact the value of the FX Hedged MINI Long or Capital Outlay.

12 12 30 Product Disclosure Statement Worked example: MINI Short This example demonstrates the impact of the AUD/USD Exchange Rate where the Underlying Index Future is denominated in USD (United States Dollars) and the MINI Short is denominated in AUD (Australian Dollars) and the MINI Short has a FX Hedge feature. If the MINI Short has a FX Hedge feature, the Holder will not have a foreign currency exposure that is, the value of the FX Hedged MINI Short is not affected by foreign exchange rate movements. This worked example assumes that the value of the Underlying Index Future has been converted from its currency of denomination (USD) to AUD on the Issue Date (using a Fixed Exchange Rate of $1.0000, where such rate will remain constant until the MINI Short is exercised or otherwise terminated early), such that all values described in this example are expressed in AUD. Example of a MINI Short (with FX Hedge feature) Strike Price Stop Loss Level Multiplier Underlying Price $1, $1, $1, Value of the MINI Short or Capital Outlay relating to a MINI Short (MINI Short price) = (Strike Price Underlying Price) x Multiplier ($1, $1,400.00) x 0.01 = $ Worked Example: MINI Short (with FX Hedge feature) Underlying: Index Futures Underlying Price: $1, Strike Price: $1, Multiplier: 0.01 Funding Cost per day: $ (Interest Rate of 6.0% p.a.) On Day 1, an investor buys a MINI Short: Value of MINI Short or Capital Outlay = ( $1, $1,400.00) x 0.01 = $ On Day 2, the daily Funding Cost is deducted from the Strike Price of the MINI Short as the investor has held the MINI Short for more than 1 day: Strike Price = $1, ($1, x 2.0%)/365 = $1, Value of MINI Short of Capital Outlay = ($1, $1,400.00) x 0.01 = $ Exchange Rate movement Value of MINI Short or Capital Outlay, on Day 2 where: The AUD/USD Exchange Rate has moved from $ (on Day 1) to $ (on Day 2); and there is no movement in the Underlying Price Value of MINI Short of Capital Outlay = ($1, $1,400.00) x 0.01 = $ Due to the FX Hedge feature and the Fixed Exchange Rate, the movement in the Exchange Rate does not impact the value of the FX Hedged MINI Short or Capital Outlay.

13 MINIs Section 2.10 Rolling of Futures Contracts An Underlying that is a Futures Contract does have an expiry date, even though the MINIs do not have a fixed expiry date. In order to preserve the perpetual character of the MINIs, the existing Futures Contracts will be rolled over by the Issuer to the next liquid Futures Contract just prior to expiry of the existing Futures Contract. At the time of the Rollover, the market price of the old and new Futures Contracts will not be the same. In order that the price of the MINI is not affected by the Futures Contract Rollover, an adjustment is made to the Strike Price and Stop Loss Level that reflects the difference between the price at which the old Futures Contract was sold and the new Futures Contract was purchased. Please refer to Section 3 Risks in PDS Part 2 for more details on the liquidity of the Futures Contract. The example below relates to a MINI Long linked to an Index Future that is subject to a Rollover. In this example, an investor purchases a MINI Long linked to an Index Future in late November and on a day in December the Index Future is subject to a Rollover by the Issuer ( Rollover Date ). On the Rollover Date and in relation to the MINI Long, the Strike Price is $1, , the Stop Loss Level is $1,210.00, the Futures Contract to which the MINI Long is linked (prior to the Rollover) is an Index Future due to expire in the immediately following December ( Index Future (December) ) and such Index Future (December) has an Underlying Price of $1, The value of the MINI Long prior to the Rollover on the Rollover Date is $ In order to preserve the perpetual character of the MINI Long, the Index Future is subject to a Rollover on the Rollover Date such that the old Index Future (December) is sold and the next liquid new Index Future with the closest expiry month to December (being March) is purchased ( Index Future (March) ). The Underlying Price of the new Index Future (March) is $1, In order to adjust (or reset): (a) the Strike Price, the Issuer will add the original Strike Price on the Rollover Date (prior to the Rollover) to the difference in Underlying Price between the new Index Future (March) and Index Future (December) on the Rollover Date (determined by subtracting the Underlying Price of Index Future (December) on the Rollover Date from the Underlying Price of Index Future (March)) on the Rollover Date, the Underlying Price Difference ) giving the New Strike Price ; and (b) the Stop Loss Level, the Issuer will add the Underlying Price Difference to the original Stop Loss Level on the Rollover Date giving the New Stop Loss Level. The value of the MINI Long after the Rollover on the Rollover Date, will then be determined as follows: [(Underlying Price of Index Future (March) New Strike Price) x Multiplier]/Exchange Rate. This ensures that the value of the MINI Long is consistent at $ both before and after the Rollover. Example of an Index Futures Rollover Strike Price on Rollover Date Stop Loss Level Multiplier Exchange Rate Underlying Price of Index Future (December) Underlying Price of Index Future (March) New Strike Price New Stop Loss Level $1, $1, $ $1, $1, $1, $1, New Strike Price = Strike Price on Rollover Date + (Underlying Price of Index Future (March) Underlying Price of Index Future (December)) = $1, ($1, $1,400.00) = $1, Value of MINI Long (pre-rollover) = [(Underlying Price of Index Future (December) Strike Price on Rollover Date) x Multiplier] / Exchange Rate = [($1, $1, ) x 0.01 ]/$ = $ per MINI Long Value of MINI Long (post-rollover) =[(Underlying Price of Index Future (March) - New Strike Price) x Multiplier ]/ Exchange Rate = [($1, $1, ) x 0.01] / $ = $ per MINI Long The example below relates to a MINI Short linked to an Index Future that is subject to a Rollover. In this example, an investor purchases a MINI Short linked to an Index Future in late November and on a day in December the Index Future is subject to a Rollover by the Issuer ( Rollover Date ). On the Rollover Date and in relation to the MINI Short, the Strike Price is $1, , the Stop Loss Level is $1,550.00, the Futures Contract to which the MINI Short is linked (prior to the Rollover) is an Index Future due to expire in the immediately following December ( Index Future (December) ) and such Index Future (December) has an Underlying Price of $1, The value of the MINI Short prior to the Rollover on the Rollover Date is $ In order to preserve the perpetual character of the MINI Short, the Index Future is subject to a Rollover on the Rollover Date such that the old Index Future (December) is sold and the next liquid new Index Future with the closest expiry month to December (being March) is purchased ( Index Future (March) ). The Underlying Price of the new Index Future (March) is $1, In order to adjust (or reset): (a) the Strike Price, the Issuer will add the original Strike Price on the Rollover Date (prior to the Rollover) to the difference in Underlying Price between the new Index Future (March) and Index Future (December) on the Rollover Date (determined by subtracting the Underlying Price of Index Future (December) on the Rollover Date from the Underlying Price of Index Future (March) on the Rollover Date, the Underlying Price Difference ) giving the New Strike Price ; and (b) the Stop Loss Level, the Issuer will add the Underlying Price Difference to the original Stop Loss Level on

14 14 32 Product Disclosure Statement the Rollover Date giving the New Stop Loss Level. The value of the MINI Short after the Rollover on the Rollover Date, will then be determined as follows: [(New Strike Price - Underlying Price of Index Future (March)) x Multiplier]/Exchange Rate. This ensures that the value of the MINI Short is consistent at $ both before and after the Rollover. Example of a Index Futures Rollover Strike Price on Rollover Date Stop Loss Level Multiplier Exchange Rate Underlying Price of Index Future (December) Underlying Price of Index Future (March) New Strike Price New Stop Loss Level $1, $1, $ $1, $1, $1, $1, New Strike Price = Strike Price on Rollover Date + (Underlying Price of Index Future (March) Underlying Price of Index Future (December)) = $1, ($1, $1,400.00) = $1, Value of MINI Short (pre-rollover) = [(Strike Price on Rollover Date - Underlying Price of Index Future (December)) x Multiplier] / Exchange Rate = [($1, $1,400.00) x 0.01]/$ = $ per MINI Short Value of MINI Short (post-rollover) = [(New Strike Price - Underlying Price of Index Future (March)) x Multiplier]/ Exchange Rate = [($1, $1,360.00) x 0.01 ] / $ = $ per MINI Short Section 2.11 Stop Loss Example of a Stop Loss Event MINI Longs (with no FX Hedge feature and the Multiplier is 0.01) Action Underlying Underlying Price Buy a MINI Long Day 1 Day 1 at 11:00 am Rest of Day 1 Day 2 at 2:00 pm Day 3 at 4:00 pm Strike Price Stop Loss Level Exchange Rate Value of MINI Long or Capital Outlay (MINI Long price) S&P 500 Index $1, $1, $1, $ $ Futures US share prices starts falling due to adverse market conditions. At 11:00am on Day 1, the Underlying Price of the S&P 500 Index Futures falls below the Stop Loss Level of $1, MINI Long trading is Suspended. The Issuer unwinds its Hedge Position (on a best effort basis) by selling S&P500 Index Futures and achieves a fair value price of the S&P 500 Index Futures of $1, (the Stop Loss Termination Reference Price). Trading in the MINI Long re-commences but Holders can only sell the MINI Long to the Issuer at the Remaining Value. Trading in the MINI Long ceases. Action Underlying Strike Price Stop Loss Termination Reference Price Close-out S&P 500 Index Futures Remaining Value Exchange Rate $1, $1, $ = [(Stop Loss Termination Reference Price Strike Price) x Multiplier] / Exchange Rate. The Exchange Rate is $ and the Multiplier is 0.01, the calculation for the above example is: Remaining Value = [($1, $1, ) x 0.01]/$ = $ per MINI Long Therefore, there is a loss of $ per MINI Long.

15 MINIs Example of a Stop Loss Event MINI Shorts (with no FX Hedge feature and the Multiplier is 0.01) Action Underlying Underlying Price Buy a MINI Short Day 1 Day 1 at 1:00pm: Rest of Day 1 Day 2 at 2:00 pm Day 3 at 4:00 pm Strike Price Stop Loss Level Exchange Rate Value of MINI Short or Capital Outlay (MINI Short price) S&P 500 Index $1, $1, $1, $ $ Futures The US share prices are now recovering from the earlier sell-off. At 1:00pm on Day 1, the Underlying Price of the S&P 500 Index Futures rises above the Stop Loss Level of $1, MINI Short trading is Suspended. The Issuer unwinds its Hedge Position (on a best effort basis) by buying S&P 500 Index Futures and achieves a fair value price of the S&P 500 Index Futures of $1, (the Stop Loss Termination Reference Price). Trading in the MINI Short re-commences but Holders can only sell the MINI Short to the Issuer at the Remaining Value. Trading in the MINI Short ceases. Action Underlying Strike Price Stop Loss Termination Reference Price Close-out S&P 500 Index Futures Remaining Value Exchange Rate $1, $1, $ = [( Strike Price Stop Loss Termination Reference Price) x Multiplier] / Exchange Rate The Exchange Rate is $ and the Multiplier is 0.01, the calculation for the above example is: Remaining Value = [($1, $1,600.00) x 0.01] / $ = $ per MINI Short Therefore, there is a loss of $ per MINI Short. If the Underlying Price on the Relevant Exchange or Price Source: for a MINI Long falls to a point where the Stop Loss Termination Reference Price for a MINI Long is equal to or less than the Strike Price; or for a MINI Short rises to a point where the Stop Loss Termination Reference Price for a MINI Short is equal to or greater than the Strike Price, the Remaining Value will be deemed zero (even if it is negative) and Holders will lose their entire Capital Outlay. However, Holders will not have to make any further payments to the Issuer. If a Holder fails to sell an affected MINI back to the Issuer during the trading window following a Stop Loss Event, the Holder will receive the Remaining Value within ten Business Days after the end of Stop Loss Termination Valuation Period (at which time the MINIs expire).