The factsheet describes this as a bonus certificate with 120% participation. It pays on the worst of two indices — the S&P 500 and Vanguard Total International Stock — so the gearing applies to whichever of the two performs less well.
The barrier is European, which matters more than it sounds. It is tested on the final date rather than continuously, so a fall through 70% during the life of the note does no damage if the level has recovered by the final fixing.
Key product details
- Underlyings: S&P 500 (SPX Index) and Vanguard Total International Stock (VXUS US Equity), worst-of
- Participation: 120%
- Protection barrier: 70%, European
- Original duration: 24 months
- Currency: USD
- Delivery: Cash
- Expected redemption date: March 27, 2028
What happens at maturity
If the worst performer is above the protection barrier, the investor receives 100% plus 120% of that performer’s upside. If it is not, the redemption is calculated as the final level of the worst performer divided by its initial fixing, or the equivalent in shares.
Where the underlyings stand
The S&P 500 was fixed at 6,591.90 and trades at 7,743.51, up 17.47%, with its barrier at 4,614.33. Vanguard Total International was fixed at 77.08 and trades at 86.34, up 12.01%, with its barrier at 53.96 — making it the current worst performer, at a reference level of 112.01%. The note last traded at 109.26%, with an expected redemption value of 114.4162%. The factsheet does not quote an ISIN for this note.
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