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:

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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:

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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


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