5 year Single Asset autocallable note

Bank XXX
Aa by Moody's and AA by S&P
Notional Amount
GBP 1,000,000
Business day convention
30/360 Modfollowing
Business Calendar
London Stock Exchange
Payment Currency
5 years
Trade date
8 June 2007
Final valuation date
8 June 2012
Maturity date
8 June 2012
Issue Price
Autocall Observation Dates
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
AutoCall Barrier
Autocall Event

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.

Autocall Payout
If the Autocall event is triggered on any of the observation dates prior to the final maturity (ie i = 1 to 4), the seller pays the buyer 100% of Notional.
Coupon Event
Given the trade hasn't been autocalled previously, if Si/S0 > 70% on the barrier observation date, then the buyer receives a coupon C from the seller after two business days following the observation date.
Coupon C
2.15% of Notional
Down and In Put (DIP) Barrier Level
Final Redemption Amount

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


S5 / S0 X Notional Amount


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

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.