New Invest Ideas

There are three new notes for you:


1Y USD 75% LS RC on USD 3 Month Libor, 6.50% p.a. guaranteed

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 25% below its initial level (low strike 75% equivalent to 1.91991 - 1Y forward level is actually at 2.2013). The annual guaranteed return is at 6.50% p.a. paid at maturity with conditional capital protection thanks to a 75% leveraged put. If the underlying closes below 75%, then the investors receive a value of cash which would be less than initially invested (see below scenarios)

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 A (rated by S&P)
Currency USD
Maturity 1 Year
Underlying USD 3 Month Libor (ref. 2.55988)
Guaranteed coupon 6.50% p.a.
Coupon payment At maturity
Leveraged put 75% (equivalent 1.91991)
Investor profile Neutral sophisticated
Alternative 75% European Barrier, guaranteed coupon 7.90% p.a.

Mechanism

In all cases, qualified investors get a 6.50% p.a. guaranteed coupon paid at maturity

Scenario 1: At maturity, $3mL is up by 10% from its initial level (above 75% Leveraged put)
Payoff: Qualified investors get 100% capital back + 6.50% p.a. coupon

Scenario 2: At maturity, $3mL is down by 30% from its initial level (below 75% Leveraged put)
Payoff: Qualified investors get 93.33% (70%/75%) capital back + 6.50% p.a. coupon = 99.83%

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

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2Y USD 100% KG Call Up & Out on SX7E, 4.00% rebate

The Eurostoxx 50 Index (SX5E) and the Eurostoxx Banks Index (SX7E) are rather positively correlated (0.734) but since end of 2015 the spread between both increased. Since the beginning of 2016, SX5E increased by 6.18% and while SX7E decreased by 25.06%

The environment benefits from the current pricing environment, with at-the-money call options on SX7E trading near 10-year lows. The European Central Bank’s extension of the TLTRO facility rate should be a positive move for the liquidity of the European Banking sector. This also should generate opportunities for a potential recovery – compared to SX5E, in upcoming months

The enclosed strategy referred to as “Up-And-Out Participation Note” provides qualified investors with an attractive exposure to the positive performance of SX7E, provided the knock-out barrier has not been reached throughout the product's lifetime (see scenarios below). If the barrier has been reached, qualified investors will receive the invested capital back and a rebate of 4% at maturity

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 2 Years
Underlying SX7E Index
Observations Daily-close
Up & Out barrier 130%
Rebate 4.00%
Capital protection 100%
Final Redemption(if no barrier event) 100% + Max(0%, Performance)
Investor Profile Bullish sophisticated

Mechanism

Scenario 1: At maturity if SX7E up by 25% and never closed above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 25% participation

Scenario 2: At maturity if SX7E up by 15% but closed at a point above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 4% rebate

Scenario 3: At maturity if SX7E down by 10% but closed at a point above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back + 4% rebate

Scenario 4: At maturity if SX7E down by 10% and never closed above the 130% Up & Out barrier
Payoff: Qualified investors get 100% capital back. No participation

The following graphs represent the performance of the underlying over the last 5 years, and the spread SX5E-SX7E:

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1Y USD 100% KG Double Digital on Tech Spread, 10.00% p.a.

The US-China Trade War is having an impact on the technology sector in both countries. Since September 2018, the below suggested US technology basket (Amazon, Google, Apple, Netflix, Tesla and Nvidia – Long basket EW) has outperformed the Chinese one (Baidu, Tencent Holding and Alibaba Holding – Short basket EW) by 23% on average. Over the last 3.5 years and since the beginning of trade tensions between the US and China, the rolling 1Y outperformance has remained above 15% during more than 75% of the considered period

This strategy is a 12-month duration 100% principal protected note. It provides a potential return of 10% p.a. if both conditions are met. Qualified investors will benefit from attractive correlation pricing levels driven by classic structured product flows

Product Parameters

Issuer rating BBB+ (rated by S&P)
Currency USD
Maturity 1 Year
Exposure (spread) Long basket - Short basket
Long basket (EW) Amazon, Google, Apple, Netflix, Tesla, Nvidia
Short basket (EW) Baidu, Tencent Holding, Alibaba Holding
Observation At maturity
Digital barrier 1 Spread ≥ 15%
Digital barrier 2 Short basket ≥ 100% of its initial level
Digital coupon 10.00% p.a.
Capital protection 100%
Investor profile Bullish sophisticated

Mechanism

Scenario 1: At maturity, Spread is above 15% AND Short basket performance is positive
Payoff: Qualified investors get 100% capital back + 10% p.a. coupon

Scenario 2: At maturity, Spread is below 15% BUT Short basket performance is positive
Payoff: Qualified investors get 100% capital back. No coupon paid

Scenario 3: At maturity, Spread is above 15% BUT Short basket performance is negative
Payoff: Qualified investors get 100% capital back. No coupon paid

Final payout formula: At maturity, if Long Basket – Short Basket ≥ 15%, And Short Basket ≥ 100%: Final Redemption = 100% + 10% p.a. coupon
Otherwise: Final Redemption = 100%

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

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