A short-dated note on three Indian companies that does not depend on them rising. The coupon type is guaranteed: 3.55% is paid every quarter for as long as the note is alive, whether the underlyings rise, drift or fall. What the shares determine is how long the note lasts and how much capital comes back.
From the sixth month the note is observed quarterly. If the worst of the three ADRs is above the 100% autocall trigger on an observation date, the note redeems early at 100% and the coupons stop. If it is not, the note continues and pays another coupon.
Key product details
- ISIN: XS3351362416
- Underlyings: HDFC Bank (HDB UN), ICICI Bank (IBN UN) and Infosys (INFY UN), US-listed ADRs, worst-of
- Coupon: 3.55% quarterly (14.20% p.a.), coupon type guaranteed
- Original duration: 19 months
- Autocall: 100% trigger, observed quarterly, first observation in 6 months
- Low strike barrier: 80%
- Currency: USD
- Delivery: Physical
- Expected redemption date: November 15, 2027
What happens at maturity
If the note has not autocalled, the worst performer is compared with the low strike. Above it, the investor receives 100% plus the 3.55% coupon. Below it, the redemption is calculated as the final level of the worst performer divided by the low strike — or the equivalent in shares — plus the 3.55% coupon.
Where the underlyings stand
Against their initial fixings, ICICI Bank is up 5.00% (26.59 to 27.92), HDFC Bank is down 9.45% (25.41 to 23.01) and Infosys is down 15.53% (12.46 to 10.53). Infosys is the current worst performer, at 84.47% of its strike. The note last traded at 94.04%, has paid 3.55% in coupons, and carries an expected total return of 21.30%.
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