Index Description

The Nasdaq-100 35% Volatility Compass 6D Autocallable A Index is designed to track the performance of a Portfolio of hypothetical autocallable contract replicas linked to the Nasdaq-100 Intraday 35% Volatility Compass 6% Decrement Index (the “Reference Index”). The Index employs a laddered structure of such hypothetical autocallable contract replicas, each a Component and which incorporates an autocall feature whereby they are “called” early if the performance of the Reference Index reaches or exceeds a pre-defined level at periodic observations. If a given Component is not called by its final Evaluation Date, the Index is exposed to downside risk on that Component through a European knock-in barrier. This means that for each Component, losses only apply if the performance of the Reference Index on the Expiration Date in relation to the Reference Index value on the Trade Date has fallen greater than the barrier level. The Index aims to generate enhanced premiums from the autocallable structure, but takes on downside risk for any Component that expires without being called, and breaches its knock-in barrier.

The Index live date was June 18, 2026.