AAA Country Double Protection Note

This 6 year GBP note pays a 7.75% annual coupon on the performance of  main indexes of 4 AAA rated countries: Canada, United Kingdom, Germany, and Hong Kong. The note pays its coupon every six months provided the worst performing index is above 80% of its initial price. The note will autocall  after the first year if all the indexes are above their initial price (100% autocall trigger).

Additionally, if 6 coupons are paid the note will provide a 100% capital guarantee. If the note does not pay 6 coupons nor autocalls, then the protection barrier is 60% of the initial value of the worst performing index.