Equities

Three-year memory Phoenix autocall on firms related to machine learning

Product Rationale

We present a product which may be of interest to investors who have a bullish view on firms related to machine learning: Alphabet, IBM and Intel.

    The product has the following features:
  • The investor will receive a coupon if on any observation date, the worst performing underlying is at or above a certain level, compared with its strike level
  • The investor will receive their invested capital, in addition to the coupon, if the worst performing underlying is at or above a certain level, compared with its strike level. The product will then terminate
  • This product is capital-protected, subject to the credit risk of the issuer, if the worst performing underlying is above a certain level at maturity, compared with its strike level
Product Description
  • Issuer: Commerzbank AG (Format: Note)
  • Issuer credit rating: A1 stable (Moody’s) / A– (S&P) / ­A– (Fitch), ‘preferred’ senior unsecured debt
  • Maturity: 3 years
  • Currency: USD
  • Underlyings:

Underlying name

Description

Bloomberg ticker

Alphabet Inc.

Internet media

GOOGL US Equity

IBM Corp.

IT services

IBM US Equity

Intel Corp.

Semiconductor devices

INTC US Equity

  • Autocall observation frequency: Quarterly, first observation on 12th month
  • Autocall trigger: 100%
  • Coupon observation frequency: Quarterly, first observation on 3rd month

  • Coupon barrier: 85%

  • European barrier: 70%
  • Strike level: 100%
  • Coupon level per period: 4.3%
  • On each coupon observation date: If the worst performing underlying closes above the coupon barrier, then the investor receives:

    (T+1) x Cpn

  • On each autocall observation date: If the worst performing underlying closes above the autocall trigger, then the investor receives 100% and the product is redeemed

  • At maturity:
    • If the product has not been redeemed early and the worst performing underlying closes above the coupon barrier, then the investor receives:

      100% + (T+1) x Cpn

    • Otherwise, if the worst performing underlying closes above the European barrier, the investor receives:
      
100%

    • Else, the investor receives:
      
W(f) / W(i)

    Where:

    • W(f) is the final level of the worst performing underlying

    • W(i) is the initial level of the worst performing underlying

    • Cpn is the coupon level

    • T is the number of previously unpaid coupons

Key Benefits
  • The investor receives a coupon and may receive their invested capital back early if their bullish view on firms related to machine learning is correct

Key Risks
  • The level of capital protection is subject to the credit risk of Commerzbank

  • If the performance of the underlying is less than –30% after three years, the investor’s capital is at risk

  • 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.