Medium

Risk
Yield
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
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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
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-70
-60
-50
-40
-30
-20
-10
0
10
20
30
-100 -50 0 50 100 150
Note Return
Note Return
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
Expected
Maturity
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 annumhistorically 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
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-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 Analysis
Asset Level
Asset performance
Note Return
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
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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