sp500 auto callable note

8/12/2019 SP500 Auto Callable Note

1/4

Medium

RiskYield

Enhancement

Autocallable Market-Linked Step Up Note on S&P 500

Investment Terms

Issuer Credit Sussie

Notional- $19,855,930

Unit Size-1,985,593 notes

CUSIP-22545F375

Underlying-S&P 500

Pricing date- June 26, 2014

Maturity data- July 30, 2017

Max Return-28% +

Performance

Minimum Return- 0%

Issuer Details

Issuer Credit Sussie S&P Credit Rating:

Market capitalization 100 Bn

CDS 5y spread 80 bps

Investment underlying opportunity: The S&P 500 has been rising ever since 2008,with a few

stumbles here and there. Since this time last year the index went from $1692.39 to $1973.63,

which gained of 281.24 points. This gain speaks to the general recovery in the economy. This could

be because a few outliers are pulling the market or each of the individual industry sectors, that

participate, in the S&P 500 are doing well and growing. On the other hand it could just be the

market sentiment increasing due to the growth in the value of the index, sort of like a self fulfilling

prophesy. It should be noted that during the start of the Credit Crisis the S&P 500 fell for about a

year and half and it took a little longer than that amount of time to recover. The index is exploring

new territory and it is up to each investor to decipher what they see to the best of their ability.

Further analysis

GatickGlobalsolutions:www

.gatick.com


2/4

Risk Return Dashboard

Expected

Return

6 %

Volatility 11.5%

Risk Score 3

Capital

Guaranteed

No

Maximum

Loss

100% of

investment

Performance Measure

Expected

Return

Medium

Market Risk

Issuer Risk Low

Complexity Low

S&P 500 statistics

Beta N.A.

P/E N.A.

RoE N.A.

Current Ratio N.A.

Leverage Ratio N.A.

Altman's Z-Score N.A.

Dividend Yield N.A.

Total Debt/Equity N.A.

S&P 500 Index

The Expected Return is 6%. The

volatility is at a low 11.5%. The Risk

Score is at a 3. This note does not

have a capital guarantee and there

is a 1-to-1 downside exposure.

Investment Metrics


.gatick.com

-70

-60

-50

-40

-30

-20

-10

0

10

20

30

-100 -50 0 50 100 150

Note Return

Note Return


3/4

Note Performance

(Historical)

Note Performance

(Future Stress test )

Return 6.1% per annum 6.9% per annum

% of called 14.246% 14.398%

Probability of

Gain

90.5 90.5

Risk Score 3 3

Volatility 11.5% 11.5%

Probability of

Loss

9.42 9.42

ExpectedMaturity

3 Years 3 Years

An Index is a safe investment, especially those that are used as a reference benchmark like the

S&P 500. The note gives a return of 6.1% per annum historically with a probability of gain of 90.5.

As the note gets closer to maturity, the returns and the probability of gain increases.

Investment Performance


.gatick.com

-100

-50

0

50

100

150

0

500

1000

1500

2000

2500

12/20/1996 9/16/1999 6/12/2002 3/8/2005 12/3/2007 8/29/2010 5/25/2013

Historical AnalysisAsset Level

Asset performance

Note Return


4/4

This investment is good investment from the perspective of the metrics. On the other side, because of

the 3 year maturity is not sufficient for a complete market top to bottom cycle this note looks a bit

unattractive. Had this been a 2 or 4 year note it would have been better. As if the S&P 500 takes a down

turn, it will take at least 3 years for it to recover. A shorter maturity would stem a down turn or a longer

maturity would be better recover any loss before the note expires.

Pros Cons

Note provides a step up feature

between 0-28% that provides a return

of 28% and everything beyond that is

1-to-1 exposure.

Note offers exciting opportune

exposure to S&P 500 for $10 per note.Call feature gives investor an early

redemption feature and can exit the

market earlier than expected

Note has potential to loss due to

1-to-1 downside exposure.

S&P 500 has been on a long bull run.

Score Card: Autocallable Market-Linked Step Up

Note on S&P 500

Market Direction (SP 500):

Market Vol (SP 500):

Underlying Direction:

Underlying Vol:

Issuer Credit (CDS):

Investor Risk Appetite:

Investment Recommendation


.gatick.com

Disclaimer: This report is prepared by Gatick Global solutions team. This is

not an investment advise.

Contact Details:

Karthik Misra and Chandra S Khandrika for further details and questions

Bearish Bullish

Low High

Bearish Bullish

Low High

Low High

Low High

sp500 auto callable note

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