Equities

Three-year memory autocall on high-ESG-Score stocks

Product Rationale

We present a product which may be of interest to investors who have a bullish view on European companies that score well in environmental, social and governance (ESG) criteria. 


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 the autocall trigger

  • The investor will receive their invested capital in addition to the coupon, if the worst performing underlying is at or above the autocall trigger. 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 the European barrier 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: EUR
  • Autocall observation frequency: Yearly
  • Autocall trigger: 90%
  • European barrier: 60%
  • Strike level: 100%
  • Coupon level: See table
  • Underlyings:

Basket

Stock 1

Stock 2

Stock 3

Stock 4

Coupon p.a.

Basket 1

NOKIA FH Equity

TEF SM Equity

ORA FP Equity

DTE GY Equity

25%

Basket 2

KER FP Equity

ADS GY Equity

DAI GY Equity

ITX SM Equity

28%

Basket 3

ISP IM Equity

INGA NA Equity

CS FP Equity

MUV2 GY Equity

32%

Basket 4

BAYN GY Equity

AD NA Equity

SAN FP Equity

BN FP Equity

22%

  • On each autocall observation date:
    • If the worst performing underlying closes above the autocall trigger, then the product is redeemed early and the investor receives: 100% + (T+1) x Cpn

    • Otherwise, nothing happens

    Where:
    • T is the number of previous observations elapsed
    • Cpn is the coupon level

  • At maturity:
    • If the product has not been redeemed early and if the worst performing underlying closes above the autocall trigger, 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 previous observations elapsed
Key Benefits
  • The product can terminate early, returning the capital and accrued coupon, if all the stocks in the basket are above the autocall trigger on any annual observation date
Key Risks
  • The level of capital protection is subject to the credit risk of Commerzbank
  • If any of the stocks in the basket falls by more than 40% after three years, the investor's capital is at risk

  • Please also refer to Additional Risk Disclosures below Key Product Sensitivity Factors
Key Product 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.