5 year Single Asset autocallable note
| Autocall Observation Dates (n=5) | |
|---|---|
| i=1 | 08 June 2008 |
| i=2 | 08 June 2009 |
| i=3 | 08 June 2010 |
| i=4 | 08 June 2011 |
| i=5 | 08 June 2012 |
If the performance of the Underlying (Si/S0) on a given Autocall observation date is greater than the Autocall Barrier, the Autocall event is said to be triggered. The seller pays the buyer the Autocall Payout and the trade terminates.
Si is the closing price of the underlying on the ith observation date.S0 is the closing price of the underlying on the 08 June 2007.
If by the final observation date, the trade hasn't autocalled then the buyer receives the following payoff -
If S5/S0 > DIP Barrier then,
100% X Notional Amount
Else,
S5 / S0 X Notional Amount
Disclaimer
Structured transactions are complex and may involve a high risk of loss. Prior to entering into a transaction you should consult with your own legal, regulatory, tax, financial and accounting advisors to the extent you consider it necessary, and make your own investment, hedging and trading decisions (including decisions regarding the suitability of this transaction) based upon your own judgement and advice from those advisers you consider
necessary.
This document is for information purposes only and should not be construed as an offer, recommendation or solicitation to conclude a transaction and should not be treated as giving investment advice. The terms of any investment will be exclusively subject to the detailed provisions, including risk considerations, contained in the Information Memorandum.
