If on any yearly autocall observation date (years 1,2,3 and 4), the closing level of the S&P 500 Index is at or above its initial level (2,108.920), the policyholders will receive 100% of their premium invested (plus the yearly fixed coupon of 3.25%) and the Fund will close.
Upon maturity (year 5), given that the Fund was not earlier redeemed, 100% of the premium invested will be payable to the policyholder unless the closing level of the S&P 500 Index on the final observation date is below the capital protection barrier level (1,265.352). In this case the policyholder will be fully exposed to the performance of the underlying index.
The expected payoff is illustrated in the diagram below.
