This GBP note has a maximum maturity of 3.5 years and pays a potential return of 10.5% per annum. The note’s performance is tied to 4 large British financial institutions: HSBC, Barclays, Lloyds, and Prudential.
The note is callable monthly if all the underlyings are above their initial strike prices. The note pays a 0.875% coupon monthly (with memory) as long as the the worst performing underlying has not fallen 30% or more from its strike price.
Capital is only at risk if after 3.5 years the product has not redeemed early (autocalled) and the worst performing basket member has fallen by 40% or more.
The note is issued by an A rated bank.