US range accrual
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Maturity | 6 years.
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Indices | A leading benchmark US equity index and a mid cap US equity index |
Start level | The closing level of the indices on 20 November 2017. |
Capital at risk | Should the level of the lower performing index drop by 40% or more from its start level at the close of business on 20 November 2023 (the final level), the fund will lose money and the amount lost will be at least 40% of the amount invested by the fund in this pay-off (due to the nature of the capital protection barrier). The amount of money the fund would lose would be the percentage by which the final level of the index is below its start level. For example, if the index has fallen by 70%, the fund would lose 70% of the money invested in this structured product. In an extreme scenario, if the index is at zero, all the money invested by the fund in this pay-off would be lost. |
Return | 2.04% per quarter accrued daily provided both indices are within the coupon barrier, as below. |
Call feature | If at the close of business on 20 November 2019 the official close of both indices is within the autocall barrier, as below, the structured product will pay the accrued coupon and terminate. Otherwise, the structured product continues and the call feature is observed annually thereafter. |
Coupon barrier | 85% - 115% of the Start Levels
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Autocall barrier | 100–115% of the start levels, decreasing by 5% per annum for the lower autocall barrier only. |