Income Note w/ Memory

• 24% p.a. income or 2% paid monthly, with a memory feature that allows missed coupons to accrue and be paid later if conditions are met.

-Auto-callable on monthly observations after 6 months, where the note may redeem early with full principal and due coupons.

-At maturity, principal is returned if the worst-performing underlier is not down more than 50%.

-Coupons are subject to 50% barrier.