New Investment Ideas

There are three new notes for you:


5Y USD Athena Airbag on US Stocks, 25.00% p.a. memory

The upcoming G20 meeting (28th and 29th of June) coupled with the uncertain outcome of US-China trade war, and a potential risk of global recession will hopefully lead to strong volatility in the coming months

This strategy offers an exposure on 5 US stocks showing a rather solid balance sheet with positive cash flows and quite a strong business model: Apple, HP, Microsoft, Micron and Walt Disney. Gaining an exposure on these selected 5 stocks are considered a good way to benefit from the expected moves by ideally cumulating a conditional 25.00% coupon p.a. (maximum payout = 125%) even in a negative market scenario

This 5-year strategy with semi-annual liquidities enables the qualified investor to exit the investment even if the stocks enter a bear trend thanks to descending autocall triggers (-5% every six months). This solution offers a potential cumulative return of 25.00% p.a. paid only if the strategy is early redeemed. The strategy also offers qualified investors a conditional capital protection up to 48% on the downside in 5 years (equivalent to 52% European barrier on the least performing stock) and maximise the coupon payment at maturity, thanks to an Airbag effect (the last autocall trigger is equal to the European Barrier)

This strategy has already been launched on the 18th of June (Strike price as below), investors could either subscribe in the existing structure or define different parameters for a new launch

Product Parameters

Issuer rating A (rated by S&P)
Currency USD
Maturity 5 Years unless called
Exposure (WO): Apple (APPL US, Strike 198.45); HP (HPQ US, Strike 20.52); Microsoft (MSFT US, Strike 135.16); Micron Technology (MU US, Strike 34.29); Walt Disney (DIS US, Strike 139.24)
Observations: Semi-annually
Autocall Triggers S1-S9: From 100% to 60% (-5% every semesters)
Last Autocall S10 (Airbag): 52%
Recall Coupon: 25.00% p.a. (memory), Max payout 125%
European Barrier: 52%
Investor Profile Neutral sophisticated
Status: Traded on the 18/06/2019

Mechanism

Scenario 1:On S4, WO is down by 12% from its initial level (above 85% Autocall Trigger)
Payoff: Qualified investors get 100% capital back + 4 * 12.50% coupon (25.00% p.a.). Final payout = 150%. Product early redeems

Scenario 2: On S8, WO is down by 32% from its initial level (below 65% Autocall Trigger)
Payoff: No coupon paid. Product continues

Scenario 3: At maturity, WO is down by 35% (above 52% Autocall Trigger and European Barrier)
Payoff: Qualified investors get 100% capital back + 10 * 12.50% coupon (25.00% p.a.). Final payout = 225%

Scenario 4: At maturity, WO is down by 55% (below above 52% Autocall Trigger and European Barrier)
Payoff: Qualified investors get 45% capital back. No coupon paid

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

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15M USD Bearish Autocall BRC BO on Tech Stocks, 18.75% p.a. guaranteed

Trump’s recent decision to impose tariffs on Mexico, with which it technically already had a deal in place, suggests that the trade war is here to stay. It is likely that even if a deal is reached with a country, it may not even hold. Nonetheless, American economic activity continues to be solid. If there is no news on US-China trade negotiations, macro data (retail sales, production, employment, etc.) will be important for the markets to gauge the “amplitude” of the slowdown in American growth

The strategy is based on a best of (BO) 3 stocks, whose level increased substantially since the end of Dec18: Twitter (+34.60%), Netflix (+58.12%) and Alibaba (+28.25%). According to forwards, the trend should not increase a lot: forward in 3 months are around +0.50% and +2.30% in 15 months

The below 15-month strategy allows qualified investors to benefit from a monthly 18.75% p.a. guaranteed coupon, monthly exits from M3 and a 150% conditional capital protection, observed at maturity on the best of the basket (to get 100% capital back, the best performance should not increase more than 50% at maturity from its initial value)

The BO version of the basket is for qualified investors with a bearish view on the Technology market in US and China. For qualified investors with a neutral-bullish view on those stocks, an alternative with a worst of (WO) basket could also pay 12.20% p.a. guaranteed with monthly exits from M3 and a conditional capital protection at 50% observed at maturity on the worst performance

Product Parameters

Issuer rating A3 (rated by Moody’s)
Currency USD
Maturity 15M unless called
Exposure (BO): Twitter (TWTR UN); Netflix (NFLX UQ); Alibaba (BABA UN)
Observations Monthly (from M3)
Autocall Triggers 100%
Guaranteed Coupon: 18.75% p.a.
European Barrier: 150%
Pricing Date: 21/06/2019
Investor Profile: Bearish Speculative
Alternative with opposite view: 15M USD Autocall BRC WO on US Tech Stocks, Monthly observations (from M3), Autocall Trigger 100%, European barrier 50%, 12.20% p.a. guaranteed

Mechanism

Scenario 1: On M3, BO is down by 10% from its initial level (below 100% Autocall trigger)
Payoff: Qualified investors get 100% capital back + 1.5625% coupon (18.75% p.a.). Final payout = 104.6875%. Product early redeems

Scenario 2: On M10, BO is up by 15% from its initial level (above 100% Autocall trigger)
Payoff: 1.5625% coupon paid (18.75% p.a.). Product continues

Scenario 3: At maturity, BO is up by 30% from its initial level (below 150% European barrier)
Payoff: 100% capital back + 1.5625% coupon (18.75% p.a.). Final payout = 123.4375%

Scenario 4: At maturity, BO is up by 55% from its initial level (above 150% European barrier)
Payoff: 45% capital back + 1.5625% coupon (18.75% p.a.). Final payout = 68.4375%

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

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1Y USD, LS 50% RC on USD 3 Month Libor, 10.50% p.a. guaranteed

The recent shift from the Fed over a more dovish outlook and an increased likelihood of global recession has led the term structure to invert in the shorter-end since the beginning of the year

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 50% below its initial level (low strike 50% equivalent to 1.1746 - 1Y forward level is actually at 1.59). The annual guaranteed return is at 10.50% p.a. paid quarterly with a conditional capital protection thanks to a 50% leveraged put. If the underlying closes below 50%, then the investors receive a value of cash which would be less than initially invested (see below scenarios)

The below exposure was shown one month ago. Pricings are quite volatile and are subject to daily refresh

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 BBB+ (rated by S&P)
Currency USD
Maturity 1 Year
Exposure: USD 3 Month Libor (Spot: 2.3492)
Coupon Payment: Quarterly
Guaranteed Coupon: 10.50% p.a.
Leveraged Put: 50% (Strike 1.1746)
Pricing Date: 21/06/2019
Investor Profile: Neutral sophisticated
Alternative 1 6M USD, Leveraged Put 50%, 3.61% p.a. guaranteed
Alternative 2 1Y GBP, Leverage Put 50%, 10.28% p.a. guaranteed
Alternative 3 1Y EUR, Leveraged Put 50%, 9.10% p.a. guaranteed
Alternative 4 1Y CHF, Leverage Put 50%, 8.35% p.a. guaranteed

Mechanism

Scenario 1: At maturity, $3mL is up by 10% from its initial level (above 50% Leveraged put)
Payoff: Qualified investors get 100% capital back + 2.625% coupon (10.50% p.a.). Final payout = 110.50%

Scenario 2: At maturity, $3mL is down by 55% from its initial level (below 50% Leveraged put)
Payoff: Qualified investors get 90% (45%/50%) capital back + 2.625% coupon (10.50% p.a.). Final payout = 100.50%

Scenario 3: At maturity, $3mL is down by 80% from its initial level (below 50% Leveraged put)
Payoff: Qualified investors get 40% (20%/50%) capital back + 2.625% coupon (10.50% p.a.). Final payout = 50.50%

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

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