Memory Autocallable (Autocalled)

Key product details

• ISIN: XS3287528320
• Currency: USD
• Underlyings (worst-of): Amazon.com Inc. (AMZN UQ), Apple Inc. (AAPL UQ), Microsoft Corp. (MSFT UW)
• Original duration: 42 months
• Coupon: 25.35% p.a., paid monthly at 2.113%, with memory
• Coupon trigger: 100% of the initial level, observed monthly
• Autocall trigger: 100% of the initial level, observed monthly, first observation after 6 months
• Delivery: Physical

How it worked

• Autocall, at each monthly autocall observation: if the worst performer is above the autocall trigger, 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, the product pays 2.113% 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 protection barrier: the investor receives 100% of the amount invested and, if the worst performer is above the coupon trigger, 2.113% x (1 + n).
• At maturity, worst performer below the protection barrier: the investor receives an amount calculated as "Final level of the worst performer / Initial fixing" (or the equivalent in shares).

Initial fixing levels

• Amazon.com Inc: 213.49
• Apple: 259.88
• Microsoft: 409.41

Life cycle

• 10 April 2026: no coupon. Worst performer Microsoft, 9.41% below the trigger.
• 11 May 2026: 4.225% paid (this coupon plus one unpaid). Worst performer Microsoft, 0.79% above the trigger.
• 10 June 2026: no coupon. Worst performer Microsoft, 2.94% below the trigger.
• 10 July 2026: no coupon. Worst performer Microsoft, 5.94% below the trigger.
• 10 August 2026: 6.3375% paid (this coupon plus two unpaid). Worst performer Apple, 18.62% above the trigger.
• 10 September 2026: autocalled at 100%, plus a 2.1125% coupon. Worst performer Amazon, 17.99% above the trigger.

Outcome

• Redemption date: 10 September 2026
• Redemption value: 100%
• Total coupons paid: 12.675%
• Total return: 12.675%

Backtest

• Simulations: 2,998, with strike dates between 26 September 2011 and 23 March 2023
• Coupons: 100.00% of all coupons paid
• Autocalled: 100.00% 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.