Autocall Note — Major US Equity Index Basket

How This Note Works

This autocall structured note is linked to a basket of major US equity indices — providing exposure to the broad performance of US equity markets while incorporating conditional capital protection through a defined barrier mechanism.

Conditional Coupon Structure

The note offers a conditional coupon of 10.5% per annum. This coupon is paid on any annual observation date where all indices in the basket close at or above 70% of their initial levels (the coupon barrier). If the indices are between 60% and 70% of their initial levels on an observation date, no coupon is paid for that period — but depending on the note structure, a memory feature may accumulate the deferred coupon to be paid on the next eligible date.

The conditional nature of the coupon is the key distinction from a fixed-rate bond: the 10.5% is achievable only when markets remain above the barrier level. Investors receive no coupon in years where markets fall below the threshold.

Autocall Mechanism

On each annual observation date (beginning from year 1), if all indices in the basket close at or above their initial levels, the note is automatically redeemed. The investor receives their full capital back plus the coupon for that year. The maximum term is five years — the note cannot be extended beyond this point regardless of market performance.

Early redemption is beneficial in rising market environments: an investor who achieves an autocall in year 1 receives 10.5% on their capital in approximately 12 months, allowing redeployment into the next available opportunity.

Capital Protection at Maturity

If the note is not autocalled in years 1 through 4, it proceeds to its final observation date at the end of year 5. At maturity, capital protection is determined by whether any index in the basket has breached the 60% barrier:

• If no index has fallen to or below 60% of its initial level: the investor receives 100% of capital plus the final year coupon.
• If any index has breached the 60% barrier at maturity: the investor participates in the loss of the worst-performing index, with capital returned proportionally to that index's performance. For example, if the worst index is at 45% of its initial level, the investor receives 45% of capital (a 55% capital loss).

This structure is sometimes called a "European barrier" — the barrier is checked only at maturity, not throughout the life of the note. This is meaningfully more protective than a "daily barrier" (American barrier), where a single intraday breach would trigger capital exposure regardless of subsequent recovery.

Who Should Consider This Note

This note suits investors who:

• Have a moderately constructive or neutral view on US equities over a 1–5 year horizon
• Can accept capital risk if US indices fall more than 40% and do not recover by maturity
• Are seeking returns materially above deposit rates and investment-grade bond yields
• Can commit capital for up to 5 years without needing liquidity
• Are classified as sophisticated or high-net-worth investors

It is not suitable for investors who cannot afford to lose capital, who require regular guaranteed income, or who need access to their funds within the note's term.

Key Risks

Barrier breach risk: If major US indices decline by more than 40% and fail to recover by the maturity date, investors face proportional capital loss. Historically, sustained declines of this magnitude are uncommon over 5-year periods, but they are possible — as seen during 2008–2009 and other periods of severe market dislocation.

Counterparty risk: The note is an obligation of the issuing financial institution. If the issuer becomes insolvent, investors may not receive their capital or coupon regardless of the performance of the underlying indices. Notes are issued by investment-grade financial institutions, but no issuer is without risk.

Liquidity risk: This note does not trade on an exchange. If you need to sell before maturity, you must seek a bid from the issuer or a secondary market participant. Prices prior to maturity may be significantly below par, particularly if markets have declined and/or interest rates have risen since the note was issued.

How to Enquire

To receive the full term sheet, information memorandum, issuer details, and key information document for this note, contact our investment team using the button above. We will confirm current availability, pricing, and minimum subscription details. This note is available to sophisticated investors and high-net-worth individuals only, subject to compliance with applicable regulations in your jurisdiction.