# Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance), Division 18: Auto-callable equity product

Extent: E+W+S+N.I.

Long position
Booking on 19 September2018
Notional amount ( ‘ capital ’ ) 1million
Underlying: Index Euro STOXX 50® (Ticker: SX5E)
Currency: EUR
Maturity: 5 years
Annual payout and annual observation ( 19.9.2019 , 18.9.2020 , 20.9.2021 , 19.9.2022 , 19.9.2023 ). Payout occurs 10 days after reference date.
Coupon 6 %
Autocall level ( ‘ initial value ’ ): end of day 17 October 2017
Barrier coupon payment 60 % of autocall level
Protection barrier: 55 % of autocall level
Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro rata if the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level, the capital returned is 40 %);
If SX5E >= 60 % (barrier coupon) of initial value at the end of any year, the coupon is paid out 6 %;
If SX5E >= 100 % of initial value at the end of any year, the product is called and the payout is the coupon plus the capital (100 %);
If SX5E < 60 % (barrier coupon) of initial value at the end of any year, no coupon is paid;
If SX5E < 55 % (protection barrier) of initial value at the end of year 5, the capital is only paid pro rata . If SX5E >= 55 % (protection barrier) of initial value at the end of year 5, the capital is fully paid.

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/V/division/2/division/1/division/18 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-V/division-2/division-1/division-18
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.