Product Description
The Deposit Notes are principal-protected deposit notes which aim to provide Holders with a Variable Return payable at maturity which is based on
the appreciation, if any, from the Issuance Date of the Deposit Notes, of the price return (except for the iShares® DEX Universe Bond Index Fund) of 12
Reference Assets.
The Deposit Notes will lock in every 6 months the highest Reference Share Return of the remaining eligible Reference Assets, subject to a maximum of
4.10%. Once the Reference Asset Return of a Reference Asset has been locked-in, this Reference Asset will be discarded for the purposes of computing
future Locked-In Performances, such that by process of elimination, each Reference Asset will be selected only once. At maturity, the Variable Return is
equal to the greater of (i) zero and (ii) the product of $100 and the Total Locked-in Performance, subject to a maximum of $61.96 per Deposit Note. There
is no limit or floor to the extent to which the Locked-In Performance may be negative as there is a limit of 4.10% of the positive performance.
Note
The Intrinsic value is the calculation of the payment at maturity using the Index Levels as of the last update. The Intrinsic value is different from the Price. Index Levels that have not been locked in yet may still decrease below their inception levels before maturity, which would reduce the payment that will be calculated at maturity.
Please note that because the US Markets were closed on Issuance Date (due to the hurricane) the Price Source (NYSE Arca) did not report any Closing Level and consequently, the Closing Level on the immediately following day on which closing price is reported will be used.