New Investment Ideas
There are three new notes for you:3Y USD, 100% KG on USD CMS Spread 10Y-2Y, 2.50% p.a. guaranteed, 3.20x leveraged
The difference between the yield on the benchmark 10-year and 2-year Treasury note recently inverted amid the trade war and growth concerns (yield spread is seen by many investors as a tool to forecast the probability of future recessions and rebounds). The spread 10Y-2Y hit its lowest level since 1989 when it was at -0.59%Product Parameters
Issuer rating | AA- (rated by S&P) |
Currency | USD |
Maturity | 3 Years |
Exposure : | USD CMS Spread 10Y-2Y(Ref: -0.0921%) |
Frequency: | Quarterly |
Guaranteed Coupon (Q1-Q4): | 2.50% p.a. over the 1st year |
Coupon leveraged (Q5-Q12): | 3.20 * USD CMS Spread (quarterly fixing in advance, floor 0%, no cap, 30/360) |
At maturity: | 100% capital guaranteed |
Pricing date: | 14/08/2019 |
Investor Profile: | Bullish/Neutral sophisticated |
Mechanism
In any case qualified investors will get a 2.50% p.a. guaranteed coupon over the first year, paid quarterlyThe following graph represents the performance of the underlyings over the last 5 years:
3mth USD, 3.00x Leveraged Certificates
Leveraged Certificates allow qualified investors to either invest in markets with a directional view (without the effect of volatility and time value) or hedge a particular positionProduct Parameters
Issuer rating | A2 (rated by S&P) |
Currency | USD |
Maturity | 3 Months |
Pricing Date: | 16/08/2019 |
Investor Profile: | Neutral sophisticated |
Mechanism
Positive scenario: VIX Sept19 increased by 10% (USD 21.49). Value of the Certificate is now USD 8.3900 (+28.85%)See below Leveraged Certificates on other underlyings:
5Y USD, CLN on Republic of Italy, 4.05% p.a. guaranteed
Matteo Salvini, Deputy Prime Minister of Italy intended to recall parliament from its summer break for a vote of no confidence. As a result, the Italian debt was under pressure. The 5-year Italian CDS Spread yield increased by 12.93% on the 09th of August (+28% from the 1st of August). The Senate opted to calm the political turmoil by rescheduling the no confidence vote to the 20th of August 2019 in response to the crisis facing the government: Prime Minister Conte may choose to resign if he loses the no confidence vote.Product Parameters
Issuer rating | A(rated by S&P) |
Currency | USD |
Maturity | 5 Years |
Exposure: | Republic of Italy (BBB, rated by S&P)(ITALY CDS USD SR 5Y D14, i.e. 217.635) |
Coupon Payment: | Quarterly |
Guaranteed Coupon: | 4.05% p.a., 30/360, up to credit event |
Market Recovery: | Floating (determined by ISDA) |
Pricing Date: | 09/08/2019 |
Investor Profile: | Neutral sophisticated |
Mechanism
Scenario 1: In Y2, no credit event occurredThe following graph represents the spread between underlyings over the last 5 years:
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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)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 LevelThe following graph represents the performance of the underlyings over the last 5 years:
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)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 levelThe following graph represents the performance of the underlying over the last 5 years:
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%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)The following graph represents the spread between underlyings over the last 5 years:
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New Investment Ideas
There are three new notes for you:2Y USD 103% KG Twin Win on SPX +/-12%
Following tensions over the international trade war and some sign of weaknesses in the US economy growth, the S&P 500 Index (SPX) recorded a loss of -5.84% in May (YTD +14.94%). Since the beginning of the year the SPX recorded 62.40% positive sessions vs 37.60% negative sessionsProduct Parameters
Issuer rating | A3 (rated by Moody's) |
Currency | USD |
Maturity | 2 Years |
Exposition | S&P 500 (SPX Index) |
Capital protection | 103% |
Participation | 100% |
Barrier type | European |
Upper Knock-Out (KO) | 112% at maturity |
Lower Knock-Out (KO) | 88% at maturity |
Investor Profile | Neutral sophisticated |
Alternative 1 | 100% KG Twin-Win on SPX, European Barriers [124%, 76%] |
Alternative 2 | 100% KG Twin-Win on SX5E, European Barriers [123%, 77%] |
Alternative 3 | 100% KG Twin-Win on NDX, European Barriers [128%, 72%] |
Mechanism
Scenario 1:At maturity, SPX is down by 10% (between the 112% Upper KO and 88% Lower KO)The following graph represents the performance of the underlying over the last 5 years and the payoff at maturity:
15M USD Athena on Brent, 7.60% p.a. memory
Brent has been under pressure last month (-10.65% in May) almost reverting to the Q4 2018 level, mainly due to the lower demand in oil. In addition to unplanned outages in refineries and fear that Iranian oil would come back to the market. Recently there was a decline on the forecast of unplanned outages. The next OPEC meeting in June may result in a continuation of production cuts until the end of the year. This could mean a slight recovery in Brent over next monthsProduct Parameters
Issuer rating | A (rated by S&P) |
Currency | USD |
Maturity | 15 Months |
Exposition | Brent (CO1 Comdty) |
Observations | Monthly |
Autocall Triggers (from M3) | Decreasing from 100% to 70% (-5% every two months) |
Recall Rate | 7.60% p.a. (memory) |
European Barrier | 60% |
Investor Profile | Neutral to slightly Bullish |
Alternative 1 | 15M USD Autocall BRC, 7.25% p.a. guaranteed |
Alternative 2 | 15M GBP Athena, European Barrier 65%, 6.40% p.a. memory |
Alternative 3 | 15M EUR Athena, European Barrier 65%, 5.55% p.a. memory |
Alternative 4 | 15M CHF Athena, European Barrier 65%, 5.15% p.a. memory |
Mechanism
Scenario 1: In M5, Brent is down by 3% (above the 95% Autocall Trigger)The following graph represents the performance of the underlying over the last 5 years:
5Y USD Hybrid CLN on French Republic and Steepener USD 30-2Y Swap Rates
Spread 30Y – 2Y USD Rates Swap recovered from February 2018 level. Qualified investors who missed a good entry point in December 2018, but still interested in gaining exposure to long term USD rates with a belief in the rise in long-term interest rates, could consider the below strategy (hybrid product offering exposure on the spread 30-2 including a Sovereign Credit Default Swap (CDS) risk on French Republic)Product Parameters
Issuer rating | BBB+ (rated by S&P) |
Currency | USD |
Maturity | 5 Years |
Credit Exposure | French Republic (AA rated by S&P, FRANCE CDS USD SR 5Y D14 Corp, 28.52) |
Rates Exposure | USD 30-2Y Swap Rates (USSW30 - USSW2, 0.4160) |
Observations | Annually |
Coupon Y1 | 3.00% p.a. guaranteed |
Coupon Y2 to Y5 | 4.81 * max(0%, 30-2Y USD) |
Coupon convention | 30/360, Up to Credit event, Fixing in Arrears |
Recovery | Market Recovery |
Settlement | European |
Investor Profile | Bullish Sophisticated |
Mechanism
Scenario 1: On Y1, no Credit event occurredThe following graph represents the performance of the Credit and Rates exposures over the last 5 years:
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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 monthsProduct 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)The following graph represents the performance of the underlyings over the last 5 years:
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 growthProduct 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)The following graph represents the performance of the underlyings over the last 5 years:
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 yearProduct 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)The following graph represents the performance of the underlying over the last 5 years:
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New Investment Ideas
There are three new notes for you:3Y USD Athena decreasing on US Stocks, 16.00% p.a. memory
According to NY Times, both the United States and China seem to be digging into their positions in ways that will be hard to resolve with the kinds of mutual face-saving that typically turns high-stakes negotiations into deals. Nevertheless, media reported recently a commitment on both sides to solve the conflict. The actual political tensions create uncertainty in markets and allow qualified investors to benefit from potential dropsProduct Parameters
Issuer rating | A (rated by S&P) |
Currency | USD |
Maturity | 3 Years, unless called |
Underlying (WO) | Coca-Cola (KO US), Apple (APPL US), McDonalds (MCD US) |
Observations | Quarterly |
Autocall triggers | From 100% to 75% (-5% every 2 quarters) |
Recall Coupon | 16.00% p.a. (memory) |
European barrier | 50% |
Alternative 1 | - USD, Athena Airbag (last AC Trigger = EU KI = 50%), Recall Coupon 11.60% p.a. (memory) |
Alternative 2 | - GBP, Athena, Recall Coupon 13.30% p.a. (memory) |
Alternative 3 | - EUR, Athena, Recall Coupon 10.95% p.a. (memory) |
Alternative 4 | - CHF, Athena, Recall Coupon 10.40% p.a. (memory) |
Mechanism
Scenario 1:On Q3, if not called before, WO is down by 2% from its initial level (above 95% AC Trigger)The following graph represents the performance of the 3 underlyings over the last 5 years
3Y USD 120% Participation on SX5E, 10.80% p.a.
Equities in Europe have been recovering since the beginning of the year with an ongoing tense geopolitical situation and the fear of global growth, market appreciation should run out of steam. The Euro Stoxx 50 Index (SX5E) increased by 19.65% from January to beginning of May. Since the beginning of the month, SX5E decreased by 5.50% and is now slowly recoveringProduct Parameters
Issuer rating | A+ (rated by S&P) |
Currency | USD |
Maturity | 3 Years |
Coupon Observations | Quarterly (Q1, Q2, Q3, Q4) |
Conditional Coupon | 10.80% p.a. |
Coupon Condition | If closes below its initial level |
Participation Observation | At maturity (Y3) |
Participation | 120% on the positive performance |
European barrier | 70% |
Investor Profile | Bearish Speculative over 1Y, Bullish Speculative in 3Y |
Alternative | 5Y USD, 28.20% p.a. paid quarterly on the first year, 120% participation on the positive performance at maturity (Y5) |
Mechanism
Scenario 1: On Q1, SX5E is down by 20% (below its initial level)The following graph represents the performance of the underlying over the last 5 years
5Y USD CLN on iTraxx Main [4-8], 7.20% p.a. guaranteed (*)
Recently, iTraxx spreads have widened (+19.73% in one month on the iTraxx Main 5Y). The iTraxx Main Index has just overtaken its 5-year historical average (average 66.76, actual spread 67.97)Product Parameters
Issuer rating | A+ |
Currency | USD |
Maturity | 5 Years |
Underlying | iTraxx Main S31 |
Tranche | 2.40%-6.40% [4-8] |
Coupon payment | Quarterly |
Guaranteed Coupon | 7.20% p.a. unless credit event |
Recovery | Fixed at 0% |
Settlement | European |
Investor Profile | Sophisticated |
If N Credit Events (N > 3): | Coupon = Max[7.20% * [1 - (N - 3) / 5], 0%], Redemption = Max[100% - [1 - (N - 3) / 5)], 0%] |
Mechanism
Scenario 1: On Q2, the Number of entities impacted by a Credit Event is equal to 0The following graph represents the performance of the underlying over the last 5 years:
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