6 Year USD Autocall on US, Spain, Italy & Australia

September 27, 2018

This 6 year US, Spain, Italy and Australian stock market indexes note autocalls after the first year, when all 4 indexes are above their initial value.  It pays a 4% coupon twice a year (8% annualized), as long as all indexes are above 85% of their initial value. The coupon has a memory function, so any missed premiums will be paid if the coupon trigger level is met in the future.

The note provides 100% of the notional back at maturity as long as all the underlying Index (worst of) finishes equal to or above the 65% European Barrier. Otherwise, the investor will receive the cash equivalent of the worst performing Index.

 

6 Year Quanto Classic Autocall Note (GBP)

September 25, 2018

This 6 year note pays a coupon of 5% including any previously unpaid coupon every 6 months after the first 12 months, where all underlyings close at or above 100% of their starting levels.

The note will be early redeemed when the all indexes are above their initial levels on an Observation Date.

Capital is protected at maturity provided all indices have not fallen by more than 40% (60% European barrier).

6 Year Quanto Classic Autocall Note (USD)

September 25, 2018

This 6 year note pays a coupon of 7.50% including any previously unpaid coupon every 6 months after the first 12 months, where all underlyings (Switzerland, Sweden, Asutralia, and Eurostoxx) close at or above 100% of their starting levels.

The note will be early redeemed when the all indexes are above their initial levels on an Observation Date.

Capital is protected at maturity provided all indices have not fallen by more than 40% (60% European barrier).

60-60 Quarterly Memory Income Autocall

September 25, 2018

This note is 6 year investment linked to the performance of Chinese, Italian, Swedish and Australian indices.

If on any of the quarterly observation dates, including the final observation, the closing levels of all the underlyings are at or above 60% of their initial levels, the income will be paid plus any previously missed income payments. This investment will autocall and mature early if all underlyings are equal to or above the Autocall Trigger (100% of initial value) on any quarterly observation date starting at 24 months. If early maturity occurs, full capital is returned and the investment will end.

If early maturity does not occur the investment will continue to the final observation date. At the final observation date, if all underlyings are at or above 60% of their initial levels, then full capital is returned. If any underlying is below 60% of its original level, capital return will be reduced on a 1-for-1 basis. For example if the worst performing underlying has fallen to 40% of its original level, 40% of the capital will be returned.

24 Months USD Phoenix Memory Decreasing on 3 US Techs

September 25, 2018

This two year note offers a 1.75% quarterly dividend so long as the worst perfoming of three technology stocks remian above 70% of its initial value. The coupon payment has a memory effect, so if a coupon is missed but the stocks rise above 70% during the term, then all previous coupons will be paid.

The three stocks are stalwarts of US technology – Microsoft (MSFT), Oracle (ORCL) and Salesforce (CRM).

The note will redeem early if the worst preforming stock is above the Autocall level. The Autocall starts at 100% and decreases by 3 basis points every quarter. If the note does not autocall early, the note will return 100% of capital at maturity, so long as the worst perfoming stock does is not more than 30% down from its intitial price. If the worst performing stock is below that level the note will lose money on 1 for 1 basis.

FTSE Twin Win 5 Year USD Note

September 25, 2018

A 5 year investment linked to the performance of the FTSE 100 index.
The investment is designed to deliver gains if the index moves either up or down as long as the Protection Barrier is not breached on the Final Observation Date.
If, at maturity, the index is above its initial level, capital will be returned plus 160% participation in the growth. This means that for every 1.0% the index rises, 1.6% will be paid.
If, at maturity, the index is below its initial level and above the 65% Protection Barrier, capital will be returned plus 1% for each 1% the index is down.
If, at maturity, the index is below 65% of its initial level, capital return will be reduced on a 1-for-1 basis. For example if the index has fallen to 40% of its original level, 40% of the capital will be returned with no coupon.

Classic Autocall on 4 Developed Markets (GBP)

September 25, 2018

A 6 year investment linked to the performance of the UK, Swedish, Australian and European indices.
If on any semi-annual observation date (including the Final Observation Date), starting at 12 months, all of the underlyings are at or above their initial levels, the investment will autocall. Initial capital plus the coupon for each semi-annual period which has elapsed is paid and the investment will end.
If the investment does not autocall then at the final observation date, if all underlyings are at or above 60% of their initial levels, full capital is returned.
If any underlying is below 60% of its original level at maturity, capital return will be reduced on a 1-for-1 basis. For example if the worst performing underlying has fallen to 40% of its original level, 40% of the capital will be returned and no coupon is paid.

Classic Autocall on 4 Developed Markets (USD)

September 25, 2018

A 6 year investment linked to the performance of the UK, Swedish, Australian and European indices.
If on any semi-annual observation date (including the Final Observation Date), starting at 12 months, all of the underlyings are at or above their initial levels, the investment will autocall. Initial capital plus the coupon for each semi-annual period which has elapsed is paid and the investment will end.
If the investment does not autocall then at the final observation date, if all underlyings are at or above 60% of their initial levels, full capital is returned.
If any underlying is below 60% of its original level at maturity, capital return will be reduced on a 1-for-1 basis. For example if the worst performing underlying has fallen to 40% of its original level, 40% of the capital will be returned and no coupon is paid.