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:

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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

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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:

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