Equities

Five-year double coupon autocall on SX5E

Product Rationale

The equity markets have experienced some volatility recently after a prolonged quiet period. Some investors might have a bullish long-term view on the equity markets but, at the same time, they might think that the equity markets will suffer a correction in 2018.

We present a double coupon autocall product, whereby, if the EURO STOXX 50 Price EUR Index closes below the bearish barrier on any monthly observation date during the first year (12 observations), then all potential coupons are doubled; otherwise the coupons remain the same. This feature increases the potential return in case the underlying index suffers a correction during the first year.

This product is suitable for investors who are long-term bullish but short-term bearish on EURO STOXX 50 Price EUR.

The product has the following features:

  • If the underlying index closes below the bearish barrier on any monthly observation date during the first year (12 observations), then the potential future coupons are doubled
  • Capital protection at maturity is subject to a 70% European barrier
Product Description
  • Issuer: Commerzbank AG
  • Maturity: 5 years
  • Currency: USD
  • Underlying: 

Underlying name

Bloomberg ticker

EURO STOXX 50 Price EUR

SX5E Index

  • Autocall frequency: Annually
  • Autocall trigger: 100%
  • European barrier: 70%
  • Coupon trigger: 100%
  • Bearish barrier: 90%
  • Boosting observations: Every month of the first year
  • Coupon: 9.9% yearly
  • On each autocall date: 
    If the underlying closes above the autocall trigger, then the product is early redeemed and the investor receives:
    100% + Cpn x T x m
    Where:
    • T is the number of years passed on the respective autocall observation date
    • m is equal to 2, if on any monthly observation date of the first year the underlying closes below the bearish barrier; otherwise m is equal to 1
      Otherwise, nothing happens.
  • At maturity: 
    If the product has not been early redeemed and if the underlying closes above the coupon trigger, then the investor receives:
    100% + Cpn x T x m
    Otherwise, if underlying closes above the European barrier, then the investor receives:
    100%
    Else, the investor receives:
    UL(f) / UL(i)
    Where:
    • UL(f) is the final level of the underlying
    • UL(i) is the initial level of the underlying
    • Cpn is the Coupon level
    • m is equal to 2, if on any monthly observation date of the first year the underlying closes below the bearish barrier; otherwise m is equal to 1

Key Benefits
  • The investor might receive a conditional coupon
  • The product might terminate early

Key Risks
  • The investor might endure a capital loss if the underlying drops by more than 30% of its initial price
  • The investor faces the credit risk of the issuer
  • Please also refer to Additional Risk Disclosures below
Key Sensitivity Factors

Delta

Vega

Correlation

+

N/A

Legend: ++/––: very sensitive, +/–: sensitive, 0: none

Additional Risk Disclosures
Before investing in this product, investors should carefully consider its appropriateness and suitability, and the following additional risks: 1. Issuer Risk: Any failure by the issuer to perform its contractual obligations, when due, may result in the loss of all or part of the invested capital. 2. Counterparty Risk: Any failure by Commerzbank AG to perform its contractual obligations, when due, may result in the loss of all or part of the invested capital. 3. Market Risk: Various market factors may affect the value of the investment or the underlying assets, including but not limited to the impact of volatility, interest rates, dividends (if any), foreign exchange. 4. Liquidity/Secondary Market Risk: Under normal market conditions Commerzbank will endeavour to provide a secondary market price. However, Commerzbank has no obligation to make a secondary market in the instruments concerned. Accordingly, under some circumstances, the secondary market for the investment may be limited and subject to wide bid/offer spreads. 5. Reinvestment Risk: The risk that the investment redeems prior to maturity at a time when reinvestment opportunities are not favourable for the investor. 6. Redemption Risk: The risk that the investor may receive substantially less than the amount invested, if they liquidate the investment prior to maturity. 7. Tax Risk: There may be tax implications based on where the investor resides. Please consult a tax professional before investing. 8. Legal Risk: There may be legal restrictions depending on where the investor is domiciled. It is advised to seek legal guidance prior to investing. When specified, the terms ‘guaranteed’ and ‘protected’ are subject to the creditworthiness and solvency of Commerzbank and although financially strong there is the possibility that returns may not be met in the unlikely event of a Commerzbank failure. For additional information on the product features and key risks, please contact your sales advisor or refer to the contacts page.