An investment in a quarterly autocall structure, with a 6 year maturity linked to the performance of the FTSE 100, Euro Stoxx 50 and S&P 500 Index.
Each quarter from the end of Year 1, the Notes can redeem early if all of the Underlying Assets close at or above the Autocall Barrier. On early redemption, the Notes return 100% of the invested capital plus an investment return of 3.625% USD (14.5% annualized) for every quarter that has passed since the Strike date.
In case there is no early redemption, at maturity, an investment return of 187% in USD is paid if all the Underlying Assets close at or above the Autocall trigger.
The Notes will return 100% of invested capital as long as none of the Underlying Assets close below 70% of their initial level.
Capital is at risk at maturity if any Underlying Assets close below the Protection Barrier of 70% of its initial level in which case investors will receive the invested capital decreased by the performance of the worst performing Underlying Asset.