Low Strike Memory Autocallable

Key product details

• ISIN: XS3295285293
• Currency: USD
• Underlyings (worst-of): Alphabet Inc. Class A, Amazon.com Inc., Apple Inc., Microsoft Corp.
• Original duration: 36 months
• Coupon: 12.95% p.a., paid monthly at 1.079%, with memory
• Coupon trigger: 65% of the initial level, observed monthly
• Autocall trigger: 100% of the initial level, observed monthly from month 18
• Low strike barrier: 65%
• Delivery: Physical
• Final observation: 9 March 2029

How it works

• Autocall, at each monthly autocall observation: if the worst performer is above the autocall trigger (100%), the product redeems early at 100%. If not, the product continues.
• Coupon, at each monthly observation: if the worst performer is above the coupon barrier (65%), the product pays 1.079% x (1 + n), where n is the number of previously unpaid coupons. If not, no coupon is paid on that date, but it will be paid if the coupon condition is met at a later observation.
• At maturity, worst performer above the low strike: the investor receives 100% of the amount invested and, if the worst performer is above the coupon trigger, 1.079% x (1 + n).
• At maturity, worst performer below the low strike: the investor receives an amount calculated as "Final level of the worst performer / Low strike" (or the equivalent in shares).

Capital is at risk: if the worst performer ends below the 65% low strike at maturity, the investor receives less than the amount invested.

Initial fixing levels

• Alphabet (A): 306.36
• Amazon.com Inc: 213.49
• Apple: 259.88
• Microsoft: 409.41

Status as of 24 September 2026

• Status: Live
• Market price: 102.42%
• Coupons paid: six monthly coupons of 1.0792%, from 9 April to 9 September 2026, 6.4752% in total
• Alphabet (A): 338.53, +10.50% since initial fixing
• Amazon.com Inc: 246.04, +15.25% since initial fixing
• Apple: 336.99, +29.67% since initial fixing
• Microsoft: 492.36, +20.26% since initial fixing

Based on those levels, the factsheet projects redemption at 100% on 9 September 2027, the first autocall observation, for an expected total return of 19.426%. This is a projection from current levels, not a guarantee.

Observation schedule

Coupons are observed monthly for the life of the product. Autocall observations run monthly from 9 September 2027 to 9 February 2029. The final observation, on 9 March 2029, covers the last coupon and the 65% protection.

Backtest

• Simulations: 3,129, with strike dates between 26 September 2011 and 23 September 2023
• Coupons: 100.00% of all coupons paid
• Autocalled: 96.20% of the time
• Arrived at maturity: 3.80% of the time
• Full notional repaid: 100.00% of the time (including autocall)

Backtest results are simulations based on historical data, not the actual performance of this product. Past performance is not indicative of future results.