This 5 year note pays an 11.64% p.a. coupon with monthly observations. The coupon trigger is 60% and it comes with a memory feature. It has an autocall trigger at 95% with no delay.
Highlight of this structure is the 60% Strike Level. The Low Strike helps to “cushion” losses when there is a Barrier breach. With the usual 100% Strike Level, if Note matured at 50% for example, investor would only receive half of his initial capital. In the same scenario but with a 60% Strike Level, the investor would receive 50%/60% = 83.33% back of his Capital. Assuming all Coupons received 11.64% p.a. * 5Y = 58.2%, the investor still gained a decent amount from the investment despite a Barrier breach (83.33% + 58.2% = 141.53%; when annualized gives roughly 8.3% p.a. despite a Barrier breach of 10%).