MediumRisk90% Capitalguaranteed

Currency Note on Emerging market Basket

Investment Terms Issuer Barclays Notional- $2,721,050 Unit Size-10 notes CUSIP-06742W208 Underlying- Emerging

Market Currency Basket (EURINR, EURRUB, EURCNY)

Pricing date- July 7, 2014 Maturity data- June 24,

2016 Max Return-unlimited Minimum Return- 90%

Issuer Details Issuer - Barclays S&P Credit Rating. AAA Market capitalization 100

Bn CDS 5y spread 150 bps

Investment underlying opportunity: Emerging market currencies in general are volatile andreward risky and adventurous investors higher returns. This investment is designed to captureequally weighted basket appreciation in INR (Indian Rupee), CNY ( Chinese Yuan), RUB (RussianRouble) relative to euro. These 3 currencies have depreciated at least by 10% over 2 year perioddue to reasons like, Crisis in Ukraine, Indias inflation and growth issues and chinas slowdown ineconomy. This has gotten priced into the Currency forward markets. Now there is high probabilityfor these currencies to start appreciating as India has elected a new government with strongmandate for economy growth, Russia with great new deals on Natural gas and stronger economyin china. If due to some reason these currencies flounder the investment is protected beyond 10%depreciation in the currency.

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0102030405060708090

100

12/15/1998 9/10/2001 6/6/2004 3/3/2007 11/27/2009 8/23/2012

EUR/CNY

EUR/INR

EUR/RUB

Risk Return Dashboard

ExpectedReturn

3.836 %

Volatility 7.5%

Risk Score 3

CapitalGuaranteed

Yes (90%)

MaximumLoss

10% ofinvestment

Performance Measure

ExpectedReturn

Medium

Market Risk Medium

Issuer Risk Low

Complexity Low

Currency statistics (2y forwards)EURINR 92.457

EURRUB 54.36

EURCNY 8.68

Structured note investment underlyingCurrency forwards suggest a depreciation inthe currency basket.We think forwards are pricing higher rate ofDepreciation despite strong indicators in favor ofEconomic growth.This will be a good opportunity to capture thisMispricing in the product.

This note has 2 years to maturity.The expected return is good. Notehas a payoff similar toa digital call option and Call option.This position pays unlimited amount on

the upside with potential to loss10% of the initial investment . This is agood investment if the underlyingbasket appreciates significantly .At theSame time it is protected from losesOn the downside beyond 10%depreciation

Investment Metrics

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-15

-10

-5

0

5

10

15

20

25

30

-30 -20 -10 0 10 20 30

Note Return

Note Return

Note Performance(Historical)

Note Performance(Future Stress test)

Return 3.836 % per annum 3.836 per annum

Note Payoff 103.86 103.86

Probability of Gain 93.7 93.7

Risk Score 3 3

Volatility 7.5% 7.5%

Probability of Loss 63.2 63.2

Expected Maturity 24 months 24 months

History does not Repeat but rhymes. This note has returned 3.836% per annum historicallywith a probability of gain of 37%. Therefore from a mathematical perspective, this note is mostCertain not to deliver the expected return.

Investment Performance

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-30

-20

-10

0

10

20

30

12/20/19969/16/19996/12/2002 3/8/2005 12/3/20078/29/20105/25/2013

Historical Analysis Assetperformance

Note Return

Recommendation: Metrics and historical analysis concludes this investment is a not an attractiveinvestment. Investments on Emerging market stock or currencies in general are risk in nature. Thisinvestment in particular is a safe way to gain exposure to those currencies with a chance to lose 10% ondownside with unlimited upside. In current market environment for an investor this investment willdefinitely help to obtain 21.5% per annum with protection up to a 10% decline in the currency basket.

Pros ConsNote provides a coupon of 21.5% aslong as note is above initial level andmarket performance above 21.5%appreciationNote offers exciting opportunisticexposure to EM currency basketNote offers a pre packed approach tocombine a Digital call, Out of themoney call and short put.

Note has potential to loss 10% ofinvested principal if markets declinebelow initial level

Historically this note has lost moneymany timesThese 3 options are long dated (2Y)and are illiquid. Therefore volatilityskew and volatility spread becomesimportant

Score Card: Reverse Convertible on GMCR

Market Direction (SP 500):

Market Vol (SP 500):

Underlying Direction: (INR)

Underlying Direction: (RUB)

Underlying Direction: (CNY)

Underlying Vol:

Issuer Credit (CDS):

Investor Risk Appetite:

Investment Recommendation

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Disclaimer: This report is prepared by Gatick Global solutions team. This isnot an investment advise.

Contact Details:Karthik Misra and Chandra S Khandrika for further details and questions

Bearish Bullish

Low High

Bearish Bullish

Low High

Low High

Low High

Bearish Bullish

Bearish Bullish

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