Investment Length | 6.01 years |
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Product currency | GBP |
Product type | Income Autocall |
Vehicle | Security |
Capital | At risk
|
Aim | Income |
Asset style | Worst-of |
Closing date | 01 Jun 2018 |
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Strike date | 01 Jun 2018 |
Final market date | 03 Jun 2024 |
Maturity payment date | 05 Jun 2024 |
Report published |
Underlying Asset | EURO STOXX 50 Index , Hang Seng China Enterprises Index , Nikkei 225 Index , Russell 2000 Index |
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Counterparty | Investec Bank plc |
Issuer credit rating | Moody's A2 |
Credit rating band | A band |
Tax wrapper(s) | Available via a selection of offshore portfolio bonds |
Min/Max Investment | £5,000 and multiples of £1 in excess thereof |
Potential Returns:
This product is classified by FVC as an 'Income Autocall'.This type of product has both contingent income and autocall components. It will pay the quarterly return of 1.5%, if, on the relevant quarterly measurement date, the worst performing underlying is at or above the contingent coupon level of 60%. If the worst performing underlying is above the required level on any of the autocall observation dates, the product will mature early, returning the initial investment in addition to any income owed.
This product includes a memory feature which allows investors to recover missed payments. If the level of the worst performing underlying is above 60% of its strike level at subsequent measurement dates, the investor will receive the missed coupon payment and the current coupon payment at once. For example, if the level of the worst performing underlying is 80%, 80%, 50%, 80%, the investor would receive no coupon payment on the third coupon payment date but as the fourth observation is above 60%, both coupon payments will be paid, resulting in a coupon stream as follows: 1.5%, 1.5%, 0%, 3%.
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 60% of the strike level and will be breached if the final level of the worst performing underlying asset is below 60% of the strike level. If the worst performing underlying finishes below the European barrier of 60% 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 repayment of capital will depend on whether or not the final level of the worst performing underlying is below the barrier level. If the worst performing underlying finishes at or above the barrier level, the investor will be repaid 100% of their initial investment in addition to any income accrued.
If the worst performing underlying asset finishes below the 60% barrier, the investor will be paid an amount equal to the final level of the worst performing underlying asset, with respect to its strike level. For example, if the final level of the worst performing underlying is 40% of its strike level and therefore the barrier is breached, the investor will be returned 40% of their capital investment.
Figure 1 : Statistics
This product | All products | All At risk | |
---|---|---|---|
Overall score | 8.89 | 7.28 | 7.24 |
Price score | 8.43 | 7.45 | 7.41 |
Return score | 9.34 | 7.12 | 7.08 |
Riskmap (0-10 scale) | 3.90 | 3.75 | 3.82 |
Market riskmap | 3.50 | 3.55 | 3.62 |
Credit riskmap | 0.40 | 0.20 | 0.20 |
Maturity | 6.01 | 4.79 | 4.92 |
Duration | 4.39 | 2.74 | 2.72 |
Figure 2 : Payoff chart
Figure 3 : Comparison chart
Figure 4 : Investor results summary
Result | Investment length (years) |
Average payoff (%) |
Simulated probability (%) |
Backtested frequency (%) |
---|---|---|---|---|
Autocall on 01 Jun 2021 if at or above 100% | 3.00 | 118.00 | 39.76 | 41.99 |
Autocall on 01 Sep 2021 if at or above 100% | 3.25 | 119.50 | 4.44 | 2.22 |
Autocall on 01 Dec 2021 if at or above 100% | 3.50 | 121.00 | 3.36 | 2.35 |
Autocall on 01 Mar 2022 if at or above 100% | 3.75 | 122.50 | 2.91 | 2.75 |
Autocall on 01 Jun 2022 if at or above 100% | 4.00 | 124.00 | 2.09 | 2.13 |
Autocall on 01 Sep 2022 if at or above 100% | 4.25 | 125.50 | 2.05 | 2.97 |
Autocall on 01 Dec 2022 if at or above 100% | 4.50 | 127.00 | 1.63 | 3.91 |
Autocall on 01 Mar 2023 if at or above 100% | 4.75 | 128.50 | 1.47 | 1.95 |
Autocall on 01 Jun 2023 if at or above 100% | 5.00 | 130.00 | 1.38 | 1.73 |
Autocall on 01 Sep 2023 if at or above 100% | 5.25 | 131.50 | 1.26 | 1.78 |
Autocall on 01 Dec 2023 if at or above 100% | 5.50 | 133.00 | 1.05 | 3.15 |
Autocall on 01 Mar 2024 if at or above 100% | 5.75 | 134.50 | 1.12 | 1.11 |
Full capital return | 6.00 | 136.00 | 22.37 | 19.62 |
Total return loss | 6.00 | 69.22 | 15.11 | 12.34 |
Figure 5 : Prospects for return of capital
Outcome | Simulated probability | Backtested frequency |
---|---|---|
Return less than capital | 15.11 | 12.07 |
Return exactly capital | 0.00 | 0.00 |
Return more than capital | 84.89 | 87.93 |