Equities

Three-year lookback autocall on SPX, SX5E and NKY

Product Rationale

The equity markets in the US, Europe and Japan have experienced some volatility recently after a prolonged quiet period. If the drawdown in the equity market continues, it could present an interesting entry level for some investors.

We present the below classical autocall product linked to European, Japanese and US large cap indices. The product has a six-week lookback period (daily observation) to potentially lock a lower entry level. The product is only suitable for investors that have a medium- to long-term bullish view on European, Japanese and US equities but are expecting a further short-term correction.

The product has the following features:

  • Lookback strike feature: Strikes fixed at the lowest levels of respective indices observed daily on the close during the first six weeks
  • Capital protection at maturity is subject to a 70% European barrier on the worst of EURO STOXX 50 Price Index, Nikkei 225 and S&P 500 Index (based on lookback strike)
Product Description
  • Issuer: Commerzbank AG
  • Maturity: 3 years
  • Currency: USD
  • Underlyings:

Underlying name

Bloomberg ticker

DJ EURO STOXX 50 Price Index

SX5E Index

S&P 500 Index

SPX Index

Nikkei 225

NKY Index

  • Autocall frequency: Annually
  • Lookback strike type: Minimum
  • Lookback strike observation frequency: Daily
  • Lookback strike: The minimum daily closing level of the respective indices over first six weeks of the product’s tenor
  • Autocall trigger: 100%
  • European barrier: 70%
  • Coupon: 14.35% yearly
  • On each autocall date: 
    If the worst performing underlying (relative to lookback strike) closes above the autocall trigger, then the product is early redeemed and the investor receives:
    100% + T x Cpn
    Where T is the number of years passed on the respective autocall observation date. Otherwise, nothing happens.
  • At maturity: 
    If the product has not been early redeemed, if the worst performing underlying (relative to lookback strike) closes above the autocall trigger, then the investor receives:
    100% + T x Cpn
    Where T is the number of years passed at maturity. Otherwise, if the worst performing underlying (relative to lookback strike) closes above the European barrier, the investor receives:
    100%
    Else, the investor receives:
    Worst(f) / Worst(i)
    Where:
    • Worst(f) is the final level of the worst performing underlying
    • Worst(i) is the lookback strike of the worst performing underlying
    • Cpn is the coupon level

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 worst performing 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

+

+

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.