New Invest Ideas

There are three new notes for you:


1Y USD 75% LS RC on USD 3 Month Libor, 6.50% p.a. guaranteed

Qualified investors expecting the USD 3-Month Libor ($3mL) to remain stable at current levels or potentially decrease moderately in one year could consider the enclosed strategy offering a rather attractive guaranteed return over a less volatile underlying when compared to equities

In one year, the capital is at risk if the $3mL closes 25% below its initial level (low strike 75% equivalent to 1.91991 - 1Y forward level is actually at 2.2013). The annual guaranteed return is at 6.50% p.a. paid at maturity with conditional capital protection thanks to a 75% leveraged put. If the underlying closes below 75%, then the investors receive a value of cash which would be less than initially invested (see below scenarios)

London Interbank Offered Rate is the average interest rate at which leading banks borrow funds from other banks in the London market. Often considered a benchmark, regulators have planned to discontinue the use of it in the coming years

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 1 Year
Underlying USD 3 Month Libor (ref. 2.55988)
Guaranteed coupon 6.50% p.a.
Coupon payment At maturity
Leveraged put 75% (equivalent 1.91991)
Investor profile Neutral sophisticated
Alternative 75% European Barrier, guaranteed coupon 7.90% p.a.

Mechanism

In all cases, qualified investors get a 6.50% p.a. guaranteed coupon paid at maturity

Scenario 1: At maturity, $3mL is up by 10% from its initial level (above 75% Leveraged put)
Payoff: Qualified investors get 100% capital back + 6.50% p.a. coupon

Scenario 2: At maturity, $3mL is down by 30% from its initial level (below 75% Leveraged put)
Payoff: Qualified investors get 93.33% (70%/75%) capital back + 6.50% p.a. coupon = 99.83%

The following graph represents the performance of the underlying over the last 5 years:

 gr21

2Y USD 100% KG Call Up & Out on SX7E, 4.00% rebate

The Eurostoxx 50 Index (SX5E) and the Eurostoxx Banks Index (SX7E) are rather positively correlated (0.734) but since end of 2015 the spread between both increased. Since the beginning of 2016, SX5E increased by 6.18% and while SX7E decreased by 25.06%

The environment benefits from the current pricing environment, with at-the-money call options on SX7E trading near 10-year lows. The European Central Bank’s extension of the TLTRO facility rate should be a positive move for the liquidity of the European Banking sector. This also should generate opportunities for a potential recovery – compared to SX5E, in upcoming months

The enclosed strategy referred to as “Up-And-Out Participation Note” provides qualified investors with an attractive exposure to the positive performance of SX7E, provided the knock-out barrier has not been reached throughout the product's lifetime (see scenarios below). If the barrier has been reached, qualified investors will receive the invested capital back and a rebate of 4% at maturity

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 2 Years
Underlying SX7E Index
Observations Daily-close
Up & Out barrier 130%
Rebate 4.00%
Capital protection 100%
Final Redemption(if no barrier event) 100% + Max(0%, Performance)
Investor Profile Bullish sophisticated

Mechanism

Scenario 1: At maturity if SX7E up by 25% and never closed above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 25% participation

Scenario 2: At maturity if SX7E up by 15% but closed at a point above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 4% rebate

Scenario 3: At maturity if SX7E down by 10% but closed at a point above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 4% rebate

Scenario 4: At maturity if SX7E down by 10% and never closed above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back. No participation

The following graphs represent the performance of the underlying over the last 5 years, and the spread SX5E-SX7E:

 gr21

1Y USD 100% KG Double Digital on Tech Spread, 10.00% p.a.

The US-China Trade War is having an impact on the technology sector in both countries. Since September 2018, the below suggested US technology basket (Amazon, Google, Apple, Netflix, Tesla and Nvidia – Long basket EW) has outperformed the Chinese one (Baidu, Tencent Holding and Alibaba Holding – Short basket EW) by 23% on average. Over the last 3.5 years and since the beginning of trade tensions between the US and China, the rolling 1Y outperformance has remained above 15% during more than 75% of the considered period

This strategy is a 12-month duration 100% principal protected note. It provides a potential return of 10% p.a. if both conditions are met. Qualified investors will benefit from attractive correlation pricing levels driven by classic structured product flows

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 1 Year
Exposure (spread) Long basket - Short basket
Long basket (EW) Amazon, Google, Apple, Netflix, Tesla, Nvidia
Short basket (EW) Baidu, Tencent Holding, Alibaba Holding
Observation At maturity
Digital barrier 1 Spread ≥ 15%
Digital barrier 2 Short basket ≥ 100% of its initial level
Digital coupon 10.00% p.a.
Capital protection 100%
Investor profile Bullish sophisticated

Mechanism

Scenario 1: At maturity, Spread is above 15% AND Short basket performance is positive
Payoff: Qualified investors get 100% capital back + 10% p.a. coupon

Scenario 2: At maturity, Spread is below 15% BUT Short basket performance is positive
Payoff: Qualified investors get 100% capital back. No coupon paid

Scenario 3: At maturity, Spread is above 15% BUT Short basket performance is negative
Payoff: Qualified investors get 100% capital back. No coupon paid

Final payout formula: At maturity, if Long Basket – Short Basket ≥ 15%, And Short Basket ≥ 100%: Final Redemption = 100% + 10% p.a. coupon
Otherwise: Final Redemption = 100%

The following graph represents the performance of both baskets over the last 5 years:

 gr21


Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.


New Invest Ideas

There are three new notes for you:


1.5Y USD Athena on Pharmaceuticals, 9.90% p.a. memory

The Pharmaceutical sector has been a source of strong growth, despite the potentially high-risk nature of a business heavily dependent on research, development of new products, and patent protection. The below basket composed by Novartis, Pfizer and Allergan, moved by -8.57%, +17.42% and -57.83% respectively since June 2015

There are some buy signals on these stocks which could be reversed. Uncertainties provide volatility on the above basket which could help build strategies

The enclosed strategy is suitable for qualified investors with neutral/bullish views on Pharmaceutical sector. The structure allows qualified investors to get quarterly exits with a 9.90% p.a. cumulative recall coupon (2.475% p.q.) and a capital protection on the downside up to -45% (leveraged put 55%)

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 1,5Y
Underlyings (WO) NNovartis (NOVN SE), Allergan (AGN UN), Pfizer (PFE UN)
Observations Quarterly
Autocall Trigger decreasing 100% to 87.50% (-2.50% p.q.)
Memory recall coupon 9.90% p.a.
Leveraged put 55%
Investor Profile Neutral/Bullish speculative
Alternatives 2.5Y GBP, Leveraged put 55%, 7.70% p.a. 2.5Y EUR, Leveraged put 60%, 6.60% p.a. 2.5Y CHF, Leveraged put 60%, 6.20% p.a.
Pricing date 26/04/2019

Mechanism

Scenario 1: On Q1, WO is up by 2% from its initial level (above 100% AC Trigger)
Payoff: Qualified investors get 100% capital back + 2.48% coupon (9.90% p.a.). Product early redeemed

Scenario 2: On Q2, WO is down by 15% from its initial level (below 97.50% AC Trigger)
Payoff: No coupon paid, product continues

Scenario 3: At maturity, WO is up by 2% from its initial level (above 87.50% AC Trigger)
Payoff: Qualified investors get 100% capital back + 14.85% coupon (1.5 * 9.90% p.a.)

Scenario 4: At maturity, WO is down by 20% from its initial level (below 87.50% AC Trigger but above 55% Leveraged put)
Payoff: Qualified investors get 100% capital back. No coupon paid

Scenario 5: At maturity, WO is down by 50% from its initial level (below 55% Leveraged put)
Payoff:Qualified investors get 90.91% (50%/55%) capital back. No coupon paid

The following graph represents the performance of the underlyings over the last 5 years:

 gr21

1Y EUR RC on EUR CMS 10Y, 3.65% p.a. guaranteed

The European Central Bank (ECB) made no changes to its monetary policy in April. This left interest rates at record-low levels against the backdrop of a sharp cool-off in growth. Some investors are expecting EUR long term rates to not significantly decrease. They could therefore be interested in investing in a bullish short-term structured note on EUR 10-year swaps

The enclosed strategy is suitable for qualified and sophisticated investors with a view on EUR long term rates over one-year horizon. The annual guaranteed coupon is at 3.65% (paid semi-annually) in EUR. On the downside, the capital is protected thanks to a leveraged put / low strike mechanism (50%, 25.30bps)

A constant maturity swap (CMS) is a variation of the regular interest rate swap. The floating portion of the swap is reset periodically against the rate of a fixed maturity instrument, such as a Treasury note, with a longer maturity than the length of the reset period

The main risk is that EUR CMS 10Y fixes below the strike (50%, 25.30bps) at maturity, in which case investors could lose up to 100% of their principal investment. For CMS Linked structures, it should be noted that CMS rates will be affected by several factors and may be extremely volatile (e.g. when compared to Euribor). Economic and market factors will impact the CMS rates too

Product Parameters

Issuer rating AA- (rated by S&P)
Currency EUR
Maturity 1Y
Underlyings EUR CMS 10Y (EUSS10)
Observations Semi-Annually
Memory coupon 3.65% p.a.
Leveraged put 50% (25.30bps)
Spot reference 50.60bps
Investor Profile Neutral Sophisticated
Alternatives 6M, 3.98% p.a. guaranteed 18M, 3.14% p.a. guaranteed
Pricing date 25/04/2019

Mechanism

In all cases, qualified investors get a 3.65% p.a. guaranteed coupon paid semi-annually Scenario 1: At maturity, EUR CMS 10Y is up by 10% from its initial level (above 50% Leveraged put)
Payoff: Qualified investors get 100% capital back + 1.84% coupon (3.65% p.a.)

Scenario 2: At maturity, EUR CMS 10Y is down by 60% from its initial level (below 50% Leveraged put)
Payoff: Qualified investors get 80% (40%/50%) capital back + 1.84% coupon (3.65% p.a.)

The following graph represents the performance of the 3 underlyings over the last 5 years:

 gr21

3Y USD Autocall BRC on Italian Banks, 8.80% p.a. guaranteed

Italian banks could benefit from the new TLTRO-III (targeted longer-term refinancing operations) cost potentially going lower. Though, it might not go as low as the deposit rates. This would suggest that the risk premium in Italy should decline with the renewed program, which is beneficial for Italian banks

Italian banks are still more volatile when compared to other European banks. The preferred underlyings picked up for our enclosed strategy are: Unicredit (UCG IM), Mediobanca (MB IM) and Intesa (ISP IM), with YTD performances of +26.38, +29.87% and +22.69% respectively vs SX7E YTD performance of +15.75% and 2018 performances of -37%, -21.70% and -29.56% vs SX7E 2018 performance -33.35%

The enclosed strategy, an autocallable reverse convertible on a basket (WO) of Unicredit, Mediobanca and Intesa offering a guaranteed return of 8.80% p.a. paid quarterly. Qualified investors can benefit from quarterly exits even if the stocks enter a slight bearish trend. At maturity the capital is protected with a 65% low strike (leveraged put mechanism)

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 3Y unless called
Underlyings (WO) Unicredit (UCG IM), Mediobanca (MB IM), Intesa (ISP IM)
Observations Quarterly
Autocall trigger Q1 100%, Q2 95% then -5% every two quarters
Coupon 8.80% p.a. guaranteed
Leveraged put 65%
Max payout 126.40%
Investor Profile Neutral/Bullish speculative
Alternative 3Y EUR, 6.90% p.a. guaranteed
Pricing date 29/04/2019

Mechanism

Scenario 1: On Q1, WO is up by 2% from its initial level (above 100% AC Trigger)
Payoff:Qualified investors get 100% capital back + 2.20% coupon (8.80% p.a.). Product early redeemed

Scenario 2: On Q2, WO is down by -15% from its initial level (below 95% AC Trigger)
Payoff: Qualified investors 2.20% coupon (8.80% p.a.). Product continues

Scenario 3: At maturity, WO is down by 20% (above 65% Leveraged put)
Payoff: Qualified investors get 100% capital back + 2.20% coupon (8.80% p.a.)

Scenario 4: At maturity, WO is down by 40% (below 65% Leveraged put)
Payoff: Qualified investors get 92.3% (60%/65%) capital back + 2.20% coupon (8.80% p.a.)

The following graph represents the performance of the underlyings over the last 5 years:

 gr21


Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.


New Invest Ideas

New structured notes for you:


7th January: 3Y USD RC on global Indices, 4.32% p.a. 55% low strike

The investment strategy, suggested on the 07th of January 2019, was engineered following the spike in volatility end of 2018. Such spike meant better terms (coupon, protection, duration, etc) to issue such investment strategy and therefore a better entry point for qualified investors. If we were to issue such strategy today the coupon be lower (2.88% p.a. guaranteed as of 26th of March 2019 vs 4.32%)

For those who invested in this strategy back then, they could be cashing-in June (six month later) a return of 2.16% in USD

Below a summary of the solution showed, back in January 7th

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 3 Years
Underlying (WO) Nikkei 225 (NKY), FTSE 100 (UKX), S&P 500 (SPX)
Frequency Semi-annually
Guaranteed coupon 4.32% p.a.
Leveraged put 55%
Investor Profile Neutral Conservative
Delivery Cash
Alternatives also showed on the 7th of January EUR, Low strike 55%, 1.50% p.a. guaranteedGBP, Low strike 55%, 2.88% p.a. guaranteed

Mechanism

In all cases, qualified investors get a 4.32% p.a. guaranteed coupon paid semi-annually (total return = 12.96%)


Scenario 1:At maturity, WO is up by 10% from its initial level (above 55% Leveraged put)
Payoff:Qualified investors get 100% capital back + 2.16% coupon (4.32% p.a.)

Scenario 2:At maturity, WO is down by 60% from its initial level (below 55% Leveraged put)
Payoff:Qualified investors get 72.73% (40%/55%) capital back + 2.16% coupon (4.32% p.a.)

The following graph represents the performance of the underlyings:

 gr21


7th January: 1Y USD BRC WO on WTI and Brent, 9.16% p.a. guaranteed

Since the end of 2018, oil seemed to be under pressure. For qualified investors willing or used to trade and invest in oil-related instruments (via futures), the enclosed strategy was engineered around two oil commodities, Brent and Crude (WO) to get better return and protection

The strategy presented on the 07th of January 2019, offered a guaranteed return of 9.16% p.a. and a 30% protection buffer after 3 years (equivalent to 33.964 for WTI and 40.131 for Brent). If we were to issue the strategy today, qualified investors would cash in a coupon of 2.00% p.a. guaranteed (refreshed on the 29th of March 2019) with a 50% protection and a less favourable entry point as both underlyings have recovered already by around 20% (if we were to offer similar protection on the downside with spot references back in January)

For those who invested in this strategy back then, they would have cashed in March (three month later) a return of 2.29% in USD and would be less exposed to the downside compared to investing today (Brent +19%, WTI +23% since strategy showed)

Below a summary of the solution showed, back in January 7th

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 1 Year
Underlying (WO) WTI (CL1), Brent (CO1)
Frequency Quarterly
Guaranteed coupon 9.16% p.a.
European barrier 70%
Investor Profile Sophisticated Speculative
Delivery Cash

Mechanism

In all cases, qualified investors get a 9.16% p.a. guaranteed coupon paid quarterly


Scenario 1:At maturity, WO is up by 10% from its initial level (above 70% European Barrier)
Payoff:Qualified investors get 100% capital back + 2.29% coupon (9.16% p.a.)

Scenario 2:At maturity, WO is down by 40% from its initial level (below 70% European Barrier)
Payoff:Qualified investors get 60% capital back + 2.29% coupon (9.16% p.a.)

The following graph represents the performance of the underlyings:

 gr21


4th February: 5Y USD 100% KG Callable Step Up Note, 3.18%-3.98% p.a.

The yield curve at the end of last year inverted between the 2-5 years maturities and compressed transversely. The yield topology expressed usually the increase of recession fears which the FED cannot ignore. On the 04th February 2019, the recent tightening path spilled globally and slowed economic activity, and the FED should be aware not to provoke recession

The enclosed strategy offered a guarantee of the capital initially invested, in 5 years unless earlier called. The qualified investor would receive a first guaranteed coupon of 3.18% after one year, if not called in the following years the coupon steps up by 20 bps every year. This strategy would fit qualified investors with a neutral view of rates with potentially rates going down overtime. The callability of the investment is at the discretion of the issuer and callability usually happens if rates have gone down

The strategy refreshed as of 29th of March 2019 offers now a 2.70% p.a. coupon after one year, 48bps less than when we showed it

Below a summary of the solution showed, back in January 4th

Product Parameters

Issuer rating A+ (rated by S&P)
Currency USD
Maturity 5 Years unless issuer called
Capital protection 100% at maturity
Guaranteed coupon Y1 3.18% p.a.
Guaranteed coupon Y2 to 5 3.38%, 3.58%, 3.78%, 3.98% (0.20% step up per year, until maturity, unless issuer called)
Frequency Annually (30/360 basis)
Max payout 117.90%
Comparable 5Y USD Swap rate (spot 2.527%)
Delivery Cash
Investor Profile Neutral sophisticated

Mechanism

Scenario 1:After 1 year, rates are lower than today (comparable is 5Y Annual Swap USD)
Payoff:The issuer will probably call the Note and qualified investors get 3.18% coupon. Product might early redeem

Scenario 2:After 3 years, rates are higher than today (comparable is 5Y Annual Swap USD)
Payoff:The issuer will probably not call the Note and qualified investors get 100% capital back + 3.58% coupon = 103.58% (6.56% already paid). Investment continues

Scenario 3:At maturity, if the Note has not been called by the issuer
Payoff:Qualified investors get 100% capital back + 3.98% coupon = 103.98% (13.92% already paid)

The following graph represents the performance of 5Y USD Swap:

 gr21


4 March: 5Y USD CLN Hybrid Brazil and USD 3 Month Libor, 6.04% p.a.

Since Bolsonaro was elected on the 28th of October 2018 for a term of 4 years, markets have shown confidence in the intended reforms of Brazil's new president - placing a pro-business American style aura in the country. Conditions have softened, as a consequence of the change in credit risk of the Federative Republic of Brazil

The strategy offered a potential enhancement of yield when comparing to investing into Brazilian sovereign debt over 5 years. The coupon of 6.04% p.a. paid quarterly was dependent not only on a possible credit event of Brazil but also on the 3 months USD Libor ($3mL) daily movement. The coupon accrues daily as long as $3mL quotes within the range [2% - 5%]

The Credit Default Swap (CDS) increased slightly since first priced (24th of January 2019, +10.28%). On the other hand, rates seem under pressure. Overall it could still be a good time to consider such investment if your profile and conviction fit

Below a summary of the solution showed, back in March 4th

Product Parameters

Issuer rating A+ (rated by S&P)
Currency USD
Maturity 5 Years
Exposure credit Brazil Sovereign CDS (level 173.032)
Exposure rates USD 3m Libor (spot 2.76)
Market recovery At maturity
Conditional coupon 6.04% p.a. * n/N
Convention Quarterly, 30/360 basis, accrued unless credit event
Investor Profile Neutral sophisticated
Delivery Cash
Pricing Date 24/01/2019
  n = # of days where $3mL is in the range [2% - 5%] N = # of days in the period

Mechanism

In all cases, qualified investors get a 4.32% p.a. guaranteed coupon paid semi-annually (total return = 12.96%)


Scenario 1:During Q1, $3mL traded daily within the range [2% - 5%] and there was no credit event on Brazil
Payoff:Qualified investors get 1.51% coupon (6.04% p.a.), the investment continues

Scenario 2:At the end of Q8, $3mL traded 10 days out of the range and no credit event occurred
Payoff:Qualified investors get 1.34% coupon (1.51% p.q. * 80/90), the investment continues

Scenario 3:At the end of Q12, a credit event occurred, regardless of how $3mL traded
Payoff:Market recovery determined by ISDA, paid at maturity. No coupon paid

Scenario 4:At maturity, during Q20, $3mL traded daily within the range [2% - 5%] and there was no credit event on Brazil
Payoff:Qualified invertors get 100% capital back + 1.51% coupon (6.04% p.a.)

Credit Event:If a credit event occurs, further coupons are forgone and the CLN will redeem at the final auction settlement price determined by International Swaps and Derivatives Association (ISDA: www.isda.org)

The following graph represents the performance of the Credit and Rates exposures:

 gr21


18 February: 1Y USD LS 85% RC on USD 3 Month Libor, 8.20% p.a. guaranteed

The enclosed strategy, suggested on the 18th of February 2019, was engineered following a market selloff in US equities and a slowdown in FED hiking cycle

This strategy was suitable for qualified investors with a view on US rates over one-year horizon. Since the pricing date, $3mL decreased by 1.61% but the lower barrier (-15%, equivalent 2.278) has never been reached. Qualified investors will benefit, at maturity from conditional capital protection (low strike 85%) and an 8.20% p.a. guaranteed coupon

Below a summary of the solution showed, back in February 18th

Product Parameters

Issuer rating A+ (rated by S&P)
Currency USD
Maturity 1 Year
Underlying USD 3 Month Libor (US0003M Index)
Spot 2.68
Leveraged put 85% (equivalent: 2.278)
Floor 0%
Guaranteed coupon 8.20% p.a. paid at maturity
Delivery Cash
Investor Profile Bearish Speculative
Alternatives also showed on the 18th of February 3 Months, USD 5.15% p.a.; 12 Months, EUR 4.35% p.a.

Mechanism

Scenario 1:At maturity, $3mL is up by 10% from its initial level (above 85% Leveraged put)
Payoff:Qualified investors get 100% capital back + 8.20% coupon

Scenario 2:At maturity, $3mL is down by 20% from its initial level (below 85% Leveraged put)
Payoff:Qualified investors get 94.12% (80%/85%) capital back + 8.20% coupon

The following graph represents the performance of the underlying:

 gr21


4th March: 9M USD Outperf on Coffee, 175% participation, Max redemption 152.50%

The enclosed strategy was engineered for qualified investors that had a view on Coffee over the following nine months and play the increase of the coffee price

In 2018, the estimated total demand for coffee has been around 9.7M tons whereas the estimated coffee production for 2019 is at 10.01M tons. The possibility of China and India increasing coffee consumption to developed countries levels should push Coffee prices up. Also, if the US dollar starts to lose ground against LatAm currencies, local farmers should be disincentivized to exporting extra amounts of coffee (the case in 2018), causing the supply to further contract

For qualified investors looking to have an exposure to the commodity, the enclosed strategy offers leveraged exposure of 1.75 times on the upside over 9 months with a maximum payout at 152.50%. As the coffee price decreased since the 4th of March, it is maybe still a good time to take a coffee boost

Below a summary of the solution showed, back in March 4th

Product Parameters

Issuer rating BBB (rated by S&P)
Currency USD
Maturity December 2019
Underlying Coffee (KCZ9 Comdty)
Downside participation 100%
Upside participation 175% on call spread 100-130%
Max payout 152.50%
Strike 100%
Investor Profile Bullish Speculative
Delivery Cash
Alternatives also showed on the 4th of March: Outperf on (EW) Starbucks, Mc Donald's, Coca-Cola, Nestle, 177.40% upside participation, no cap

Mechanism

Scenario 1:At maturity, Coffee is up 25%
Payoff:Qualified investors get 100% capital back + 43.75% participation (25% * 175%)

Scenario 2:At maturity, Coffee is up 37%
Payoff:Qualified investors get 100% capital back + 52.50% (cap is reached)

Scenario 2:At maturity, Coffee is down 20%
Payoff:Qualified investors get 80% capital back

The following graph represents the performance of the underlying:

 gr21



Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.


New Invest Ideas

There are three new notes for you:


5Y USD Athena Lookback on Global indices, 11.00% p.a. memo

The “lookback” concept enables qualified investors to optimise an entry point. There will be pre-defined observation dates during the lookback period (in the enclosed example 10 months with monthly readings). With the enclosed investment strategy, qualified investors gain an exposure to a basket of global indices (Japan, Europe and US) and will hopefully optimise the return, liquidity and capital protection thanks to the lookback feature

Once the lookback period is over, the lowest reading for each index (Nikkei 225 YTD +10.76%, S&P 500 YTD +15.98%, Euro Stoxx 50 YTD +14.88%) is considered as the initial strike level. Currently the equity markets are at an all time high and some fundamentalists are expressing concerns over growth and sustainability of recovery in some economies. Instead of waiting for a potential dip to occur it can be worth embracing such strategy now, and if equity indices enter a bear market, qualified investors would have a good entry point. Usually these strategies (lookback) are more expensive to build and launch during stressful times in the markets

Qualified investors are looking to capture an annual return of 11% with memory effect (cumulative effect if previously missed, max return 55%), quarterly exits and a capital protection level of 40% on the least performing index in 5 years if no early redemption

Product Parameters

Issuer rating A+ (rated by S&P)
Currency USD
Maturity 5 Years unless called
Underlyings (WO) Nikkei 225 (NKY Index), S&P 500 (SPX Index), Euro Stoxx 50 (SX5E Index)
Lookback effect Lowest strike level over the 10 first months
Lookback frequency (closing level) Monthly (10th of each month)
Autocall frequency Quarterly (from Q4)
Autocall trigger 100%
Coupon trigger 100%
Coupon 11.00% p.a. memory
European barrier 60%
Investor Profile Sophisticated Conservative
Lookback effect The strike date is not established at the start of the life of the product but will be chosen as the minimum among 10 strike dates

Mechanism

Scenario 1: The lowest point observed during the lookback is at month 3. At Q4, WO is up by 2% since the lowest strike date
Payoff: 100% capital back + 11% coupon (4*2.75%). Product early redeems

Scenario 2: The lowest point observed during the lookback is at month 8. At the end of Q5, WO is down by 3% since the lowest strike date
Payoff: No coupon paid (but memory effect). Product continues

Scenario 3: At maturity, the WO is up by 5% since the lowest strike date
Payoff: 100% capital back + 55% coupon (5*11%)

Scenario 4: At maturity, WO is down 30% since the lowest strike date
Payoff: 100% capital back. No coupon paid

Scenario 5: At maturity, WO is down 45% since the lowest strike date
Payoff: 55% capital back. No coupon paid

The following graph represents the performance of the 3 underlyings over the last 5 years:

 gr21

2Y USD AC BRC on Royalty Gold companies, 8.00% p.a. guaranteed

Royalty Gold companies provide upfront capital to gold mining producers to help with the expenditures of bringing the mine into production. In exchange for providing this upfront capital, they receive a royalty on future production and an excellent return on investment especially if the commodity price increases. In case qualified investors are looking to benefit from a potential appreciation of gold and mining prices, gaining an exposure to Gold Royalty companies could be a solution

Royal Gold (2018 +2%, YTD +8.07%), Franco Nevada (2018 -10.65%, YTD +6.31%) and Sandstorm Gold (2018 -8.53%, YTD +19.96%) are considered as the most popular royalty gold companies. We built a strategy whereby the return is guaranteed 8.00% p.a. paid quarterly. Qualified investors could benefit from quarterly exits should the least performing share trades at or above current level. After 2 years (in case the investment does not terminate earlier), investors’ capital is protected up to 35% downside level (observed in 2 years’ time). We can use different parameters to build different strategies on this exposure

We are currently looking into different strategies offering our qualified investors an exposure to mining (see enclosed) and energy sectors (below in “Alternative”). The timing might not be perfect now but a close follow up on these sectors could prove fruitful. We are entering earning seasons: 01st of May for Royal Gold, 07th of May for Sandstorm and 08th of May for Franco-Nevada

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency EUR
Maturity 2Y unless called
Underlyings (WO) Royal gold (RGLD UW), Franco Nevada (FNV UN), Sandstorm Gold (SAND UN)
Frequency Quarterly
Guaranteed coupon 8.00% p.a.
Autocall trigger 100%
European barrier 65%
Investor Profile Bullish Speculative
Alternatives WO (Chevron, BP, Exxon), 8.00% p.a. guaranteed, European Barrier 56.50%

Mechanism

Scenario 1: On Q1, WO is up by 2% from its initial level (above 100% AC Trigger)
Payoff: Qualified investors get 2% coupon (8% p.a.). Product early redeems

Scenario 2: On Q2, WO is down by 2% from its initial level (below 100% AC Trigger)
Payoff: Qualified investors get 2% coupon (8% p.a.). Product continues

Scenario 3: At maturity, WO is down by 20% (above 65% European Barrier)
Payoff: Qualified investors get 100% capital back + 2% coupon (8% p.a.)

Scenario 4: At maturity, WO is down by 40% (below 65% European Barrier)
Payoff: Qualified investors get 60% capital back + 2% coupon (8% p.a.)

The following graph represents the performance of the 3 underlyings over the last 5 years

 gr21

2Y EUR RC on TRYEUR, 10.00% p.a. guaranteed

Following JP Morgan’s recommendation to short the Turkish Lira, Erdogan hiked up interest rates to “kill the shorts” on his currency

TRYEUR reached its lowest level ever on the 29th of September 2018 (0.1422). The currency is currently at 0.15232 (+7.80% since the 29th of September). The actual TRYEUR level and political situation of Turkey could allow qualified investors to benefit from a potential good entry point

The enclosed strategy is suitable for qualified investors willing to have an exposure to the TRYEUR allowing them to benefit from 10% p.a. guaranteed coupon in EUR over 2 Years, and a capital protection with 20% buffer. Capital is at loss only when the exchange rate goes below 0.0529. Currently the forward are showing a TRYEUR at 0.0950

This strategy is only suitable for qualified investors with the view that the currency should not depreciate more than 20% over 2 years

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency EUR
Maturity 2 Years
Exposure TRYEUR
Guaranteed coupon 10% p.a.
European Barrier 80%
Leverage on the downside 1.375
Payout at maturity 110% - 1.375 * Max (80% - Performance; 0%)
Investor Profile Bullish Sophisticated
Delivery Cash

Mechanism

Scenario 1: On Y1, TRYEUR down by 10% from its initial level
Payoff: Qualified investors get 10% p.a. coupon

Scenario 2: At maturity, TRYEUR down 15% from its initial level (above European barrier = 80%)
Payoff: Qualified investors get 100% capital back + 10% p.a. coupon

Scenario 3: At maturity, WO down 25% (below European Barrier = 80%)
Payoff: Qualified investors get 110% - 1.375 * Max(80% - 75%; 0%) = 103.125% capital back

Scenario 4: At maturity, WO down 50% (below European Barrier = 80%)
Payoff: Qualified investors get 110% - 1.375 * Max(80% - 50%; 0%) = 68.75% capital back

The following graph represents the performance of the underlying over the last 5 years:

 gr21


Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.


New Invest Ideas

Three new notes for you:


2Y USD Participation Note on 5G, Cap 130%, 70% EU KI

5G is the cutting-edge technological overhaul that is set to transform and disrupt the cellular telecommunications sector. Through new standards and hardware, 5G will increase tenfold the data transfer rates. Companies that are likely in line to benefit from the 5G transition along the coming decade are Telecommunications companies (AT&T, Verizon, American Tower), Semiconductors and Network Systems Manufacturers (Qualcomm, Intel, Skyworks Solutions and Micron) and the Network Gear Manufacturers (Apple)

Commercial implementation will be in embryonic commercial stage during 2019-2020, with the first modules developed and applied to the consumer market. This will be followed by an overall upgrade in the infrastructure that will roll out for 5-10 years, until it’s estimated to achieve 90% population coverage (in developed countries)

The enclosed strategy is suitable for qualified investors believing in the above stocks (or the industry as a whole) should benefit from the 5G revolution on a short/medium-term horizon. The structure offers 100% exposure to an equally weighted performance of a basket of the below 8 shares with a max return of 30% in 2 years and a European barrier at 70% (downside of -30%)

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 2 Years
Underlying (EW) Verizon, Intel, Qualcomm, American Tower, Micron, Apple, AT&T, Skyworks
Participation 100%
European barrier 70%
Cap 130%
Investor Profile Bullish speculative
Alternatives 1) Different basket EW on Qualcomm, Cisco, Nokia, Motorola, Fujitsu, 70% EU KI, Cap 140%;
2) Different structure 2Y USD Phoenix memo WO on Verizon, Micron, American Tower, Quarterly, AC Trigger 100%, Coupon trigger 75%, EU KI 50%, 16.32% p.a. memory coupon

Mechanism

Scenario 1:At maturity, basket is up 25% (below cap level)
Payoff:Qualified investors get 100% capital back + 25% participation

Scenario 2:At maturity, basket is up 36% (above cap level)
Payoff:Qualified investors get 100% capital back + 30% participation (capped)

Scenario 3:At maturity, basket is down 20% (above European barrier)
Payoff:Qualified investors get 100% capital back

Scenario 4:At maturity, basket is down 35% (below European barrier)
Payoff:Qualified investors get 65% capital back in cash

The following graph represents the performance of the underlying over the last 5 years:

m31

6Y EUR Athena Airbag on French stocks, 18.10% p.a. memo

It has been a difficult start of the year for France. The French movement ‘yellow vests' seen at the turn of the year negatively affected the French economic, particularly in retail sales. Looking at the broad French market through the CAC40 on a technical basis, the current YTD rally seems stretched on a daily and weekly basis, meaning a correction in the short-term is likely. The technical bias seems bullish and yearend target on the CAC40 (PX1) is expected by few analysts to be around 5,926 (~10% upside). Some qualified investors would prefer to wait for a pullback before getting a long exposition in French stocks, others could consider a structured product as a solution to accumulate future returns (see below returns in EUR, GBP, CHF) and benefit from a conditional protection on the capital

In the enclosed strategy 3 French stocks were picked up representing 3 sectors: Publicis (Advertising), Kering (Luxury) and Sanofi (Pharmaceutical). The same strategy could work on other French stocks such as LVMH, Safran, Hermes and Vinci

Publicis showed some weakness in the recent years and saw its stock dropping dramatically by nearly 15% in February this year. Sanofi has recently and successfully issued an EU 2bn bond, the Regeneron/Sanofi winning the US approval for expanded use of skin drugs could also help the company grow more. Finally, Kering a growing luxury group, owning brands such as Saint Laurent, Gucci, Boucheron etc, generated for 67% of its revenues outside of France

The strategy can be built on 4 or 6 years offering exits every six months. We are targeting an annualised return around 20% with memory effect. In the enclosed main idea, the investors benefit from an Airbag at 55% after 6 years (unless earlier called)

Product Parameters

Issuer rating A3 (rated by Moody's)
Currency EUR
Maturity 6Y unless called
Underlyings (WO) Kering, Publicis, Sanofi
Observations Semi-Annually
Memory coupon 18.10% p.a.
Autocall trigger decreasing From 100% (-3% per quarter)
Last observation trigger 55%
European barrier 55%
Investor Profile Balance Sophisticated
Alternatives 6Y USD, 21.70% p.a. memory; 4Y USD, 18.50% p.a. memory; 4Y EUR, 14.18% p.a. memory

Mechanism

Scenario 1:On S1, WO is up 2% (above 100% AC trigger)
Payoff:Qualified investors get 100% capital back + 9.05% coupon (18.10% p.a.). Product early redeemed

Scenario 2:On S4, WO is down 10% (below 91% AC trigger)
Payoff:No coupon paid, product continues

Scenario 3:At maturity, WO is down 25% (above 55% European barrier & AC trigger)
Payoff:Qualified investors get 100% capital back + 12 * 9.05% coupon (18.10% p.a.) = 208.60%

Scenario 4:At maturity, WO is down 60% (below 55% European barrier & AC trigger)
Payoff:Qualified investors get 40% capital back. No coupon paid

The following graph represents the performance of the 3 underlyings over the last 5 years:

m32

18M USD Autocall BRC on Gold and Silver, 6.20% p.a. guaranteed, 80% EU KI

With the ongoing global political and economic uncertainty, precious metals could work as a diversifier despite a good start of the year for equities. Since the 20th of February Gold and Silver respectively lost 3.50% and 6.25%, creating a potentially good entry point
China announced in February a small increase in its central bank gold holdings (for the first time in 2 years) and the country represents 27% of the worldwide demand
The structure runs for 18 months with quarterly exits (from Q2), offering a guaranteed return of 6.20% p.a. The European barrier observed at maturity is relatively low, respectively $1,043 and $12.51 for Gold and Silver

Product Parameters

Issuer rating BBB (rated by S&P)
Currency USD
Maturity 18 Months unless called
Underlyings (WO) Gold, Silver
Observations Quarterly
Autocall trigger 100% from Q2
Coupon 6.20% p.a. guaranteed
European barrier 80%
Max payout 109.30%
Investor Profile Neutral-bullish
Delivery Cash

Сценарии развития событий

Scenario 1:On Q2, WO up by 5% (above AC trigger)
Payoff:Qualified investors get 100% capital back + 1.55% coupon (6.20% p.a.) = 101.55%. Product early redeemed

Scenario 2:On Q3, WO down by 6% (below AC trigger)
Payoff:Qualified investors get 1.55% coupon (6.20% p.a.). Product continues

Scenario 3:At maturity, WO down 10% (above European barrier)
Payoff:Qualified investors get 100% capital back + 1.55% coupon (6.20% p.a.) = 101.55%

Scenario 4:At maturity, WO down 25% (below European barrier)
Payoff:Qualified investors get 75% capital back + 1.55% coupon (6.20% p.a.) = 76.55%

The following graph represents the performance of the underlying over the last 5 years and the forward and forecast curves:

m33


Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.


Personal manager

Please provide us with your contact details by clicking the button below and our manager will revert to you shortly to answer all your questions.