This is a 3 year note tha provides a 97% capital guarantee. The note equally weights the returns of the UK, EuroStoxx 50 and the Swiss stock market observed at maturity. If the return of this basket of indexes is greater than +20%, the note pays 97% of the principal and a bonus of 15% return, i.e. a +12% return.
If the basket returns a positive return up to and including +20%, the note will retun the postive growth of the equally weighted basket, and 97% of the principal invested. The product is most profitable if the equally weighted basket ends up to +20% but not above this barrier, producing a 17% return for the investor.
If the equally weighted basket has a negative return at the end of 3 years, the note returns 97% of capital invested.