3-Year Autocall Note — S&P 500 / FTSE 100 / EuroStoxx 50 Basket

How This Note Works

This three-year autocall structured note is linked to an equally weighted basket of three major global equity indices — the S&P 500 (US), the FTSE 100 (UK), and the EuroStoxx 50 (Europe). The basket provides broad global equity market exposure while the autocall structure converts that market exposure into a conditional fixed return, with a 40% downside buffer protecting capital at maturity.

The Three Index Basket

S&P 500: The primary benchmark of the US equity market, tracking the 500 largest companies listed on US exchanges. As of 2026, the S&P 500 represents the world's largest and most liquid equity market, with total market capitalisation of approximately $40–45 trillion. The index includes companies across all sectors, with significant weightings in technology, healthcare, financials, and consumer discretionary.

FTSE 100: The benchmark of the UK equity market, tracking the 100 largest companies by market capitalisation listed on the London Stock Exchange. The FTSE 100 is a globally diversified index despite its UK listing — approximately 75–80% of FTSE 100 constituent revenues come from outside the UK. Major constituents include global energy companies, international banks, mining companies, and global consumer brands.

EuroStoxx 50: The benchmark of the Eurozone equity market, tracking the 50 largest companies across Eurozone member states. Constituents include major European banks, energy companies, industrial conglomerates, and luxury goods groups from France, Germany, the Netherlands, Spain, and Italy.

The equal weighting (one-third to each index) provides genuine geographic diversification — unlike a note linked to a single equity index, performance is not driven solely by any one market.

Autocall Mechanism — Year 1 to Year 3

On each annual observation date (12 months, 24 months, and 36 months from the note's issue date), the closing levels of all three indices are compared to their initial levels (the index levels on the note's issue date):

If all three indices are at or above their initial levels: The note is automatically redeemed. The investor receives 100% of their invested capital plus 12% multiplied by the number of years elapsed. For example:

• Autocall at year 1: return of 12% (capital + 12%)
• Autocall at year 2: return of 24% (capital + 24%)
• Autocall at year 3 (maturity): return of 36% (capital + 36%)

If any index is below its initial level: No autocall. The note continues to the next observation date (or to maturity if this was the final observation).

Capital Return at Maturity

If the note is not autocalled at year 1 or year 2, it reaches its final observation at the end of year 3. At this point:

All three indices at or above their initial levels: The note autocalls at maturity. The investor receives 100% of capital plus the full 36% accumulated return (12% × 3 years).

All three indices at or above 60% of initial levels but at least one is below its initial level (no autocall): The investor receives 100% of capital only — no return component. This outcome occurs if indices have partially recovered but not reached their initial levels at maturity.

Any index has fallen below 60% of its initial level at the year 3 observation: The investor's capital is at risk. The capital returned equals 100% minus the percentage fall of the worst-performing index below its initial level. For example, if the worst index (say the EuroStoxx 50) is at 45% of its initial level at maturity, the investor receives 45% of capital — a 55% capital loss.

The 60% barrier is a European-style barrier, checked only at the final maturity observation, not throughout the life of the note. This is significantly more protective than an American barrier (checked daily), because the indices have three full years to recover from any intra-term drawdowns.

Historical Context for the 40% Buffer

For perspective on the 40% capital barrier, consider the historical maximum drawdowns of the three constituent indices:

The S&P 500 fell approximately 57% from peak to trough in the 2008–2009 financial crisis, and approximately 34% during the 2020 COVID-19 pandemic (which recovered within approximately five months). The FTSE 100 fell approximately 48% in 2008–2009. The EuroStoxx 50 fell approximately 60% in 2008–2009.

These figures represent the maximum intra-period drawdowns, which the European barrier structure avoids. What matters for capital protection is the index levels on the specific maturity observation date — three years after issuance. Over rolling three-year periods in developed equity markets, recoveries above the 40% drawdown threshold have been achieved in most historical scenarios, though this cannot be guaranteed in future periods.

Who This Note Suits

This autocall is well suited to investors who:

• Have a broadly neutral to moderately constructive view on global equity markets over a one-to-three-year horizon
• Want materially better returns than cash or investment grade bonds, without taking on full equity market upside/downside
• Can accept capital risk in a severe equity market crash scenario (all indices down more than 40% over three years)
• Can commit capital for up to three years without needing access to funds
• Are classified as sophisticated or high-net-worth investors

It is not suitable for investors who require capital certainty, need liquidity during the term, or are unwilling to accept any capital risk.

Key Risks

Index performance risk: If global equity markets decline significantly over the three-year period and any index closes below 60% of its initial level at maturity, investors face capital loss proportional to the worst-performing index.

Worst-of basket structure: The note references the worst-performing index at maturity for capital protection. Even if two of the three indices are performing well, a severe decline in one index alone can breach the barrier and create capital loss. This is the key structural risk of worst-of basket notes compared to single-index notes.

Counterparty risk: The note is a senior unsecured obligation of the issuing bank. Investor payments depend on the bank's financial standing. This note is issued by an investment-grade financial institution, but counterparty risk cannot be eliminated.

Liquidity risk: The note is not exchange-traded. Pre-maturity exit is possible via the issuer's secondary market, but prices will reflect current market levels, interest rates, and time to maturity, and may be below par.

Currency risk: The note is USD-denominated. FTSE 100 and EuroStoxx 50 are GBP and EUR indices respectively — the note's USD denomination introduces currency basis between the index performance and the note's USD return.

How to Enquire

Contact our investment team to receive the full term sheet, key information document, issuer prospectus, and current pricing for this note. Minimum investment USD 50,000. Available to sophisticated and high-net-worth investors.

Important: The 12% p.a. return is conditional on all three indices being at or above their initial levels on observation dates. Capital is at risk if any index falls below 60% at maturity. Structured notes are complex instruments — ensure you understand all terms before investing. Independent financial advice should be sought.