Kickouts and correlation

This multi-asset two-year autocallable from Credit Suisse offered a potentially healthy fixed return based on the performance of the S&P 500 and Russell 2000 indexes, but capital is at risk if the final day barrier of 70% is breached

Credit Suisse launched a two-year autocallable product linked to the performance of two US indexes, which was reviewed In Structured Products in November 2011. The product has an opportunity for kickout in September so we will consider the possibility of an early maturity.

The product offered a fixed return of 19.35% if, on the first anniversary of the strike date, both indexes are at or above their initial level. If the product does not kickout out, it will continue until the September 2013