Week 43: 12M BRC on Swiss Re and Swiss Life in CHF/EUR/USD
Risk-adjusted investment on Swiss Re and Swiss Life
This week we have developed a 12M Barrier Reverse Convertible with a guaranteed coupon and optional One Star Feature on the flagships of the swiss insurance industry Swiss Re and Swiss Life. This product is equipped with a Barrier 69% (european or american). The structure is particularly suitable for investors those a direct investment seems to risky. It is also a great and effective diversification option of your portfolio. To provide additional security mechanisms we construct this product also with the popular One Star Feature. Since there has been a high correlation between these two underlyings we can offer this feature very adventageously.
One Star Feature
Even in case of a barrier event, if the best-of (at least one of the underlyings) ≥ 100% at maturity; redemption = 100%. So the One Star Feature provides a second chance.
The guaranteed coupons exceed the average dividend yields of:
- Swiss Life (SLHN SW) 1.47%
- Swiss RE (SREN SW) 8.59%
and provide also a conditional capital protection.
Market opinion:
- weakening prices possible, but not below the barrier level
- sideways trend or slightly rising underlying
12M BRC on Swiss Life and Swiss Re in CHF/EUR/USD
| Maturity | 12 months | ||
| Currency | CHF | EUR | USD |
| Denomination | 1000 CHF | 1000 EUR | 1000 USD |
| Underlyings (worst of) | Swiss Life (SLHN SW) Swiss RE (SREN SW) |
||
| Coupon guaranteed with European Barrier 69% |
9.70% p.a. | 9.70% p.a. | 10.70% p.a. |
| Coupon guaranteed with European Barrier 69% + One Star |
9.60% p.a. | 9.60% p.a. | 10.60% p.a. |
| Coupon guaranteed with American Barrier 69% |
13.20% p.a. | 13.00% p.a. | 13.80% p.a. |
| Coupon guaranteed with American Barrier 69% + One Star |
12.80% p.a. | 12.60% p.a. | 13.40% p.a. |
| Observation | Quarterly | ||
| Autocall | 95% after 3 months | ||
| Indication | 20.10.2020 | ||
| Size | CHF 1'000'000;-- | EUR 1'000'000;-- | USD 1'000'000;-- |
| Issuer | Rating A- minimum | ||
| Issue Price | 100% | ||
| Finders Fee | Upon request | ||
We are happy to customize the relevant components exactly to your personal preferences. Please imagine that the indications can change day by day.
Are you interested in this topic? Please contact us and we will replicate your personal market view "tailor made" with our innovative products. We would be delighted to develop further hedging - arbitrage - or speculation opportunities for you. If you have already exact ideas of your favourite product we'll generate you the best conditions from more than 25 issuers.
Text und analysis by Florian Franz
Partner at Carat Solutions AG
Please find below the chart with the development of the relevant underlyings during the last 12 months:
