FVC Structured Product Research Report

Transcription

1 FVC Structured Product Research Report This version of this FVC Structured Product Research Report is made available to you, under our usual terms and conditions. For free full access to the FVC research service please visit Societe Generale SG UK Step Down Kick-Out Plan 5 (UK Gilts) Summary information Report 4196 Documents from the product provider Brochure Provider Societe Generale Issuer Plan Manager UK Gilts Walker Crips Structured Investments Provider contact details: Website: ifa@sgcib.com Provider page: Societe Generale Product features Total of 5 autocall points First autocall point after 2 years and then every year Potential annual return of 5.7% p.a. (not compounded) Autocall levels reduce by 5% each time Defensive final autocall level of 8% European barrier of 6%

2 Key product information Product type Vehicle Capital Aim Investment Length Product currency Asset style Defensive Autocall Plan At risk Growth 6 years GBP Single ISA Transfer date 7 Apr 217 Closing date 28 Apr 217 Strike date 5 May 217 Final market date 5 May 223 Pay date 19 May 223 Report published 27 Mar 217 Underlying Asset FTSE 1 Issuer credit rating Tax wrapper(s) Min/Max Investment UK Government (S&P AA) (AA band) Cash ISA transfer, Charities, Corporate/Commercial, Direct Investment, Direct Investment (for Joint Accounts), ISA, ISA transfer, SIPP/SSAS, Trustees of a trust Minimum: 1,. ISA investment of up to 2, for the 217/218 tax year

3 Product description Strike 1% Barrier type European Zero coupon bond 1% Downside gearing 1% Barrier 6% Num of AC points 5 Date of first AC point 6 May 219 First AC level - return Potential Returns: This product is classified by FVC as a 'Defensive Autocall'. If the FTSE 1 is above the required target level on any of the observation dates, the product will pay a fixed return and mature early, returning the initial investment in addition to a fixed return. The first autocall opportunity is after 2 years. If for example, at the first autocall observation point (after 2 years) the FTSE 1 is above its initial level, the product will be called and make a final payment of 111.4% (including capital investment). If the product is not called at the first two opportunities but on the third autocall date, the FTSE 1 is above 9% of its initial level, the product will be called and make a final payment of 122.8% (including capital investment). The full autocall schedule for this product is shown in figure 4. Capital Repayment: The product has a European barrier. This means that the barrier is observed at maturity only. The barrier is set at 6% and will be breached if the final level of the underlying asset is below 6% of its initial level. If the FTSE 1 finishes below the European barrier of 6% on the final day of the investment some capital is lost. If the product has not been called on any of the observation dates, the investor will not receive any additional returns and the repayment of capital will depend on whether or not the final level of the FTSE 1 is below the barrier level. If the FTSE 1 finishes between the barrier level and the final autocall level, the investor will be repaid 1% of their initial investment. If the underlying asset finishes below the 6% barrier, the investor will be paid an amount equal to the final level of the underlying asset, with respect to its starting level. For example, if the final level of the FTSE 1 is 4% of its initial level and therefore the barrier is breached, the investor will be returned 4% of their capital investment. Additional Information: The direct credit risk of this version of the kick-out plan is not dependent on the solvency of Societe Generale, but is dependent on the UK Government. For precise details of the credit exposure of this product, please refer to the brochure. If Societe Generale were to become insolvent, there is a collateralisation mechanism in this product designed to return investors an amount equal to the value of the plan at the time of a Societe Generale credit event. The collateral is maintained daily, and will consist of a pool of assets consisting of government bonds, corporate bonds and/or shares which are held with an independent custodian; The Bank Of New York Mellon, (Luxembourg) S.A. The amount of collateral is dependent on the value of the plan and may be less than the initial investment. The product is open for charities, corporate/commercial, ISA/ISA transfer, cash ISA transfer, SIPP/SSAS investment, trustees of a trust and direct investment (single and joint). According to the product literature, any gains made via direct investment will be subject to CGT.

4 Assessment Figure 1 : Statistics This figure shows some key statistics of the product and compares them to averages of other open products in the market. Full details of the methodology can be found here The overall, price and return scores are expressed on a scale of -1 with 1 representing the most favourable. The price score is derived from our estimate of value for money while the return score gives an indication of risk-adjusted return prospects. The overall score is the average of the price and risk scores. The riskmap is expressed on a scale of to 1, where represents lowest risk and 1 the highest. It is calculated from contributions from market risk and credit risk which are shown separately. The maturity and duration (expected maturity) are also stated. This product All products All At risk Overall score Price score Return score Riskmap (-1 scale) Market riskmap Credit riskmap.2.17 Maturity Duration Figure 2 : Payoff chart This chart shows a sample of simulated outcomes of the final underlying value and the product payoff for the structured product to help identify the risk and return prospects of the investment. Figure 3 : Comparison chart This chart plots the riskmap and overall score for all products on report center, all products listed on UK research which are open for investment. The current product is shown with a red marker. 2 Product payoff outcomes versus underlying Score vs Risk for all open products, this product marked in red Product payoff (%) 1 Overall score (/1) Final underlying value (%) Riskmap (/1)

5 Breakdown of results and outcomes Figure 4 : Investor results summary Summary of possible product performances. Calculations from forward looking simulation and 1 year historical backtest (market risk only). This table shows a number of mutually exclusive outcomes of product performance classifications and associated statistics. Result Investment length (years) Average payoff (%) Simulated probability (%) Backtested frequency (%) Auto-call on 6 May 219 if above 1% Auto-call on 5 May 22 if above 95% Auto-call on 5 May 221 if above 9% Auto-call on 5 May 222 if above 85% Auto-call on 5 May 223 if above 8% Full capital return Capital loss

6 Figure 5 : Prospects for return of capital This figure shows prospects for return of capital, calculating whether the return might be greater than, equal to or lower than capital invested. This is measured as probabilities from forward looking simulations and the observed frequencies from a 1 year historical backtest. Outcome Simulated probability Backtested frequency Return less than capital Return exactly capital Return more than capital Figure 6 : Charts of product outcomes (annualised and simple returns) Charts of distribution of structured product returns based on forward looking simulation. These two charts illustrate the probabilities of return. The first chart shows the annualised return of the product in 2.5% buckets. The second chart shows the simple return of the product. Both of these charts are market risk only. 1 Annualised returns (p.a.) Simple returns (total return including capital) Probabilities (%) 5 Probabilities (%) < -15 < < -1 < -7.5 < -5 < -2.5 < < 2.5 < 5 Annualised return (%) < 7.5 < 1 < 12.5 < 15 >= Simple return (%)

7 Disclaimer: This report has been compiled by Future Value Consultants (FVC), a UK based structured products specialist. The analysis presented here is based on the prospectus, brochure or other literature made available to FVC. This research is aimed at financial professionals only as part of their product evaluation process. This research is not intended for investors in any jurisdiction nor is it a recommendation to buy or sell securities. The scores and assessments made are based on an objective, consistent, standardised methodology developed by FVC using its own pricing models and methods and independently sourced data. The factual information is prepared in good faith by FVC. However no recommendation of any investment is made or implied and the user should draw their own conclusions and take account of the needs of any individual investor. About Structured Edge Structured Edge is the structured product research service from FVC. As well as all the latest product research it has a searchable database, comparison tools, rankings, news and education. It can be accessed at About FVC Future Value Consultants (FVC) is a research and analytics consultancy, specialising in structured product research, stress testing structured products, independent valuations and index calculation. Company contact details Future Value Consultants Limited Auckland House, 151 Sheen Lane London, SW14 8LR, UK Copyright Future Value Consultants Ltd. All rights reserved.