Termsheet - 3.0-Year 100% Capital Protected Note - Cliquet performance

Bank XXX
Bank YYY
Notional Amount (NA)
USD 8,000,000
Issue Price
104.0% of NA
USD 80,000
Issue Date
23rd Nov 2007
Strike Set Date
26th Nov 2007
Final Observation Date
26th Nov 2010
Maturity Date
29th Nov 2010
Final Payoff
NA + NA x max (0, Participation x Cliquet Performance)
Indicatively 260%
Reference Basket

1. Index1 = IndexA Weight1= 30%

2. Index2 = IndexB Weight2= 30%

3. Index3 = IndexC Weight3= 40%

Cliquet Performance

Sum of monthly returns over the life of the trade

where Returnj is the monthly return of Reference Basket from Observation Datej-1 to Observation Datej as defined below:

Observation Datej
26th day of each month, starting from Strike Set Date + 1 month (Observation Date 1) and ending on Final Observation Date (Observation Date 36). If such a day is not a trading day for an index, the following trading Day for that index.
Business day
London, New York
Payment currency


Structured transactions are complex and may involve a high risk of loss. Prior to entering into a transaction you should consult with your own legal, regulatory, tax, financial and accounting advisors to the extent you consider it necessary, and make your own investment, hedging and trading decisions (including decisions regarding the suitability of this transaction) based upon your own judgement and advice from those advisers you consider

This document is for information purposes only and should not be construed as an offer, recommendation or solicitation to conclude a transaction and should not be treated as giving investment advice. The terms of any investment will be exclusively subject to the detailed provisions, including risk considerations, contained in the Information Memorandum.