New Investment Ideas

There are three new notes for you:


10Y USD, Autocall Lookback WO on Indices, 6.70% p.a. recall, 3.50% p.a. conditional

European Central Bank’s recent meeting has led to a stimulative signal rate cut and the restart of bond purchases for the future, aiming to support confidence in an economy which still struggling with disappointing economics data. Stocks markets in Europe have just recovered their last year’ losses and still have appetite for gains. That is why the strategy is based on a European index: SX5E (1Y perf = -0.55%) and a French index: CAC 40 (1Y perf = +1.07%), one of the leader indices in Europe this year (YTD +14.52%), supported by strong earnings and new investments (+1.2% in Q2 against +0.7% in Q1)

This 10-year strategy allows qualified investors to benefit from an annual conditional coupon of 3.50% p.a. if the Worst off (WO) is above the 75% coupon trigger at each annual observation date. The strategy offers an optimisation of the strike thanks to a lookback-min effect during the first 3 months. It offers annual exits if the WO is above the autocall trigger and a 6.70% p.a. (Max payout 67%) recall coupon (memory) if the product is early redeemed. The autocall trigger is decreasing at maturity at 75% to increase the probability of benefitting from the recall coupon. This strategy also offers qualified investors conditional capital protection up to 45% on the downside at maturity (55% European barrier on the least performing index)

Lookback: The strike used for the product’s life is the lowest level of the underlyings recorded during the Lookback observations

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 10 Years unless called
Exposure (WO): Eurostoxx 50 (SX5E),CAC 40 (CAC)
Frequency: Annually
Lookback Observations: 3 observations over the 3 first months
Autocall Triggers: Y1-9 102%, Y10 75%
Recall Coupon: 6.70% p.a. (memory), Max payout = 67%
Coupon Trigger: 75%
Conditional Coupon: 3.50% p.a.
European Barrier: 55%
Pricing Date: 01/08/2019
Investor Profile: Neutral/bullish sophisticated
Alternative: Same parameters, Recall Coupon 4.50% p.a.(memory) + Conditional Coupon 4.50% p.a. (no memory)

Mechanism

Indices’ levels will be observed on the Initial Strike Date, Lookback Observation Dates 1 and 2. The lowest point observed over the 3 Observation Dates will be the Strike Level

Scenario 1:On Y2, WO is up by 4% from its strike level (above 102% Autocall Trigger and 75% Coupon Trigger)
Payoff: Qualified investors get 100% capital back + 13.40% recall coupon (2 * 6.70% p.a.) + 3.50% coupon = 116.90%. Product early redeems

Scenario 2: On Y3, WO is down by 10% from its strike level (below 102% Autocall Trigger but above 75% Coupon Trigger)
Payoff: Qualified investors get 3.50% coupon. Product continues

Scenario 3: On Y4, WO is down by 40% from its strike level (below 102% Autocall Trigger and 75% Coupon Trigger)
Payoff: No coupon paid. Product continues

Scenario 4: At maturity, WO is down by 20% from its strike level (above 75% Autocall Trigger and 75% Coupon Trigger)
Payoff: Qualified investors get 100% capital back + 67% recall coupon (10 * 6.70% p.a.) + 3.50% coupon = 170.50%

Scenario 5: At maturity, WO is down by 40% from its strike level (below 75% Autocall Trigger and 75% Coupon Trigger but above 55% European Barrier)
Payoff: Qualified investors get 100% capital back. No coupon paid

Scenario 6: At maturity, WO is down by 60% from its strike level (below 55% European Barrier)
Payoff: Qualified investors get 40% capital back (100% - 60%). No coupon paid

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

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18M USD, 95% Capital Guaranteed Lookback Call on FTSE 250

Boris Johnson has been recently appointed as Prime Minister and intends to ensure a bold Brexit strategy with the EU, this could leadto a potential increase in uncertainty. There is currently no majority for no-deal neither in parliament nor amongst the electorate (anextension is still practicable)

This strategy offers an exposure to the FTSE 250 (the 250 most highly capitalized companies, outside of the FTSE 100, traded on theLondon Stock Exchange)

This strategy allows qualified investors to potentially capturing short-term instability of the FTSE 250 by capturing the loweststrike over 4 observation dates over the 4 first months (Lookback-Min effect). October 31st is captured in the observation dates toachieve the maximum benefit from the Lookback-Min Strike (following the 2016 Referendum, the FTSE 250 lost 7.2% in a singleday). At maturity, this product offers 95% capital guaranteed and offers the performance (capped at 22.50%) between the finallevel of FTSE 250 and the minimum level of FTSE 250 observed on the lookback observations

Lookback: The strike used for the product’s life is the lowest level of the underlying recorded during the Lookback observations

Product Parameters

Issuer rating A+ (rated by S&P)
Currency USD
Maturity 18 Months
Exposure: FTSE 250 (MCX Index)
Lookback Observations: 4 observations over the 4 first months
At maturity: 95% Capital guaranteed
Cap: 22.50%
Payoff: 95% + Min(22.50%; Max((Index Final - Minimum Strike)-1; 0%))
Pricing Date: 31/07/2019
Investor Profile: Bullish sophisticated

Mechanism

Scenario 1: At maturity, FTSE 250 is up by 20% from its strike level
Payoff: Qualified investors get 95% capital back + 20% participation = 115%

Scenario 2: At maturity, FTSE 250 is up by 30% from its strike level
Payoff: Qualified investors get 95% capital back + 22.50% (22.50% cap) = 117.50%

Scenario 3: At maturity, FTSE 250 is down by 10% from its strike level
Payoff: Qualified investors get 95% capital back. No participation

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

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1Y USD, Participation Spread Long Airbus / Short Boeing

The strategy is based on the spread between (long) Airbus and (short) Boeing (1Y spread performance: +16.07%

Boeing (YTD +5.29%) recently reported a massive 2nd quarter loss of $2.9 billion (its worst ever), the company also delivered 104 fewer airplanes to customers in the 2nd quarter compared to the same quarter last year. These results are the consequences of the aerospace giant’s flagship 737 Max jet remaining at the ground after two fatal crashes since mid-March

On the other hand, Airbus (YTD +44.57%) benefited from a positive competitive environment, the company recently reported a rise of its profit by 72% ($2.20 billion) and a 23% ($20.4 billion) increase in revenues for the 2nd quarter compared to the 1st one. Furthermore, Airbus captured 363 orders and commitments for commercial aircraft ahead of Boeing’s 282 at last Paris Air Show in June

The below 1-year strategy allows qualified investors to benefit from an exit at the end of the 1st semester and a 7.00% flat coupon if the spread is above 0%. If not redeemed early on semester 1 (S1), the product offers 200% of the performance differential between the long and short equities after 1 year. The capital is at risk if Boeing outperforms Airbus

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 1 Year unless called
Exposure (spread): Long Airbus (AIR FP)/Short Boeing (BA US)
Frequency: Semi-annually
Autocall Trigger on S1: 0% on the Spread
Recall coupon: 7.00% flat
Participation At maturity, on the spread
Upside Participation: 200% (uncapped)
Downside Participation: 100% (floored at 0%)
European Barrier: 0% on the Spread
Pricing Date: 31/07/2019
Investor Profile: Bullish/Neutral Speculative

Mechanism

Scenario 1: On S1, Airbus is up by 5% and Boeing is down by 3%, Spread is 8% (above 0% Autocall Trigger)
Payoff: Qualified investors get 100% capital back + 7.00% coupon = 107%. Product early redeems

Scenario 2: On S1, Airbus is down by 1% and Boeing is up by 2%, Spread is -3% (below 0% Autocall Trigger)
Payoff: Product continues

Scenario 3: At maturity, Airbus is up by 45% and Boeing is up 5%, Spread is 40% (above 0% European Barrier)
Payoff: Qualified investors get 100% capital back + 80% return (200% * 40%) = 180%

Scenario 4: At maturity, Airbus is up by 15% and Boeing is down by 5%, Spread is 20% (above 0% European Barrier)
Payoff: Qualified investors get 100% capital back + 40% return (200% * 20%) = 140%

Scenario 5: At maturity, Airbus is up by 10% and Boeing is up by 25%, Spread is -15% (below 0% European Barrier)
Payoff: Qualified investors get 85% capital back.

Scenario 6: At maturity, if Airbus is down by 30% and Boeing is up by 20%, Spread is -50% (below 0% European Barrier)
Payoff: Qualified investors get 50% capital back.

The following graph represents the spread between underlyings over the last 5 years:

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