A type of multi-asset hybrid note which pays the holder fixed periodic coupons, typically above market rates, in addition to a final coupon at maturity linked to the performance of the shares that constitute the core of the underlying value. Throughout the life of the note, the worst performing shares are trimmed from the basket at different observation dates. At maturity, the basket holds just the remaining shares. However, at maturity the best performing ones are also removed from the basket. The remaining shares that are left in the final basket are typically known as the core of the basket.
The Kilimanjaro select is a growth and income product, but is not capital protected, i.e., the performance of the trimmed basket at maturity can be negative, implying a negative rate of return.
