STRUCTURED PRODUCTS. Weekly Ideas

Transcription

1 STRUCTURED PRODUCTS Weekly Ideas 17 th April

2 2 222 Table of Contents 17/04/2009 New Issues GBP Month JP Morgan Chase & Co. Inverse Reverse Convertible USD Month Gold ETF Yield Enhancement Note 4 USD Month ishares MSCI Brazil Index Fund Reverse Convertible 5 USD 2 Month JP Morgan & Co. Reverse Convertible 6 Trade Ideas 7 USD 1 Year United States Oil Fund Up and Out Note 7 EUR 1 Year SPDR Gold Trust Up and Out Note 8 USD Year S&P 500 Index Participation Note 9 GBP 1 Year SPDR Gold Trust Callable Range Accrual Note 10 EUR Year Digital Coupon USD 10 Year Swap Rate Linked Note 11 GBP Year GBP m Libor Switchable Note 12 Secondary Offerings 1 USD Principal Protected Callable Range Accrual Notes 1 USD / CAD Principal Protected Inflation Linked Notes 14 Market Data 15 Contact Us 16 Disclaimer 17 2

3 New Issues GBP Month JP Morgan Chase & Co. Inverse Reverse Convertible JPMorgan Chase & Co. provides global financial services and retail banking. This Month Inverse Reverse Convertible pays a 11.25% guaranteed per annum coupon. The note will pay back 100% of the capital invested unless a 10% European barrier is breached. The investor will have a loss in capital invested if the barrier has been breached at maturity i.e. if JP Morgan closes up 0% or higher. Months Currency: GBP Denomination: GBP 1,000 Underlying: JP Morgan Chase & Co. Bloomberg ticker: JPM US Equity Trade Date: 16 April 2009 Initial Reference Date: 16 April 2009 Settlement Date: 2 April 2009 Final Reference Date: 16 July 2009 Maturity Date: 2 July 2009 ISIN: TBC Internal Code: JPM22-IRC Coupon: 11.25% p.a., 2.81% bullet coupon Initial Level: USD Strike Level: USD (10% of the Initial Level) Barrier Level: USD (10% of the Initial Level) Barrier Type: European barrier If at Maturity, 1) Final Level < Barrier Level, the investor will receive 100% Principal Invested 2) Final Level >= Barrier Level, the investor will receive Cash Delivery Amount given by: (per denomination) 100% Principal Invested + Max [ 0%, 100% - ( Final Level Strike Level) / Initial Level ] Bullet Coupon of 2.81% guaranteed in all scenarios If Underlying goes down from Initial Level, the investor will receive 100% of Principal Invested If Underlying goes up 20% from Initial Level, the investor will receive 100% of Principal Invested Examples: If Underlying goes up 50% from Initial Level, the investor will receive 80% of Principal Invested If Underlying goes up 100% from Initial Level, the investor will receive 0% of Principal Invested If Underlying goes up 10% or more, the investor will receive 0% of Principal Invested Historical Performance Source: Bloomberg as of 16 th April 2009

4 4 444 New Issues USD Month Gold ETF Yield Enhancement Note ETFS Physical Gold is an open-ended Exchange Traded Commodity, incorporated in Jersey and UCITS eligible. This Month Gold ETF Yield Enhancement Note pays a 1.00% guaranteed per annum coupon. The note will pay back 100% of the capital invested unless the Underlying closes at or below the Strike Level at maturity. There is a chance that the investor will receive physical delivery of the Underlying at maturity if the barrier is breached. Months Currency: USD Denomination: USD 255,000 Underlying: ETFS Physical Gold ETF Bloomberg ticker: PHAU LN Equity Trade Date: 16 April 2009 Initial Reference Date: 16 April 2009 Settlement Date: 2 April 2009 Final Reference Date: 16 July 2009 Maturity Date: 2 July 2009 Internal Code: PHAU_P85_0709c ISIN: XS Valoren Code: Coupon: 1.00% p.a.,.25% bullet coupon Strike Level: USD 85 If at Maturity, 1) Final Level > Barrier Level, the investor will receive 100% Principal Invested 2) Final Level =< Barrier Level, the investor will receive Physical Delivery of Underlying Where Physical Delivery = Denomination / Strike Level =,000 Shares Bullet Coupon of.25% guaranteed in all scenarios Historical Performance Source: Bloomberg as of 16 th April

5 5 555 New Issues USD Month ishares MSCI Brazil Index Fund Reverse Convertible ishares MSCI Brazil Index Fund is an exchange-traded fund in the USA. The Fund's objective is to provide investment results that correspond to the performance of the MSCI Brazil (Free) Index. This Month Reverse Convertible pays a 19.00% guaranteed per annum coupon. The note will pay back 100% of the capital invested unless a 60% American barrier is breached. There is a chance that the investor will receive physical delivery of the Underlying at maturity if the barrier has been breached. Months Currency: USD Denominations: USD 1,000 Underlying: ishares MSCI Brazil Index Fund Bloomberg ticker: EWZ US Equity Trade Date: 15 April 2009 Initial Reference Date: 15 April 2009 Settlement Date: 24 April 2009 Final Reference Date: 15 July 2009 Maturity Date: 24 July 2009 Internal Code: EWZ45 ISIN: XS Valoren Code: Coupon: 19.00% p.a., 4.75% bullet coupon Initial Level: USD 4.08 Barrier Level: USD (60% of the Initial Level) Barrier Type: American continuous barrier If at Maturity, 1) Final Level >= Initial Level, the investor will receive 100% Principal Invested 2) Initial Level > Final Level > Barrier Level and the Underlying has not traded at or below the Barrier Level at anytime throughout the term of the note, the investor will receive 100% Principal Invested ) Otherwise, the investor will receive physical delivery of the Underlying given by: (per denomination) (USD 1,000 / Initial Level) Bullet Coupon of 4.75% guaranteed in all scenarios Historical Performance Source: Bloomberg as of 16 th April

6 6 666 New Issues USD 2 Month JP Morgan Chase & Co. Reverse Convertible JPMorgan Chase & Co. provides global financial services and retail banking This Month Reverse Convertible pays a 6.00% guaranteed per annum coupon. The note will pay back 100% of the capital invested unless a 60% American barrier is breached. There is a chance that the investor will receive physical delivery of the Underlying at maturity if the barrier has been breached. Months Currency: USD Denominations: USD 1,000 Underlying: JP Morgan Chase & Co. Bloomberg ticker: JPM US Equity Trade Date: 15 April 2009 Initial Reference Date: 15 April 2009 Settlement Date: 24 April 2009 Final Reference Date: 15 June 2009 Maturity Date: 24 June 2009 ISIN: XS Internal Code: JPM21 Coupon: 6.00% p.a., 6% bullet coupon Initial Level: USD Barrier Level: USD (60% of Initial Level) Barrier Type: American continuous barrier If at Maturity, 1) Final Level >= Initial Level, the investor will receive 100% Principal Invested 2) Initial Level > Final Level > Barrier Level and the Underlying has not traded at or below the Barrier Level at anytime throughout the term of the note, the investor will receive 100% Principal Invested ) Otherwise, the investor will receive physical delivery of the Underlying given by: (per denomination) (USD 1,000 / Initial Level) Bullet Coupon of 6.00% guaranteed in all scenarios Historical Performance Source: Bloomberg as of 16 th April

7 7 777 Trade Ideas USD 1 Year United States Oil Fund Up and Out Note United States Oil Fund LP (USO US) is an exchange-traded fund incorporated in the USA. The Fund's objective is for the units' net asset value to reflect the performance of the spot price of West Texas Intermediate light. This 1 Year Up and Out note provides 100% participation of the upside performance of the United States Oil Fund. If the Underlying never trades at or above the Up and Out Limit at anytime throughout the term, the investor will be able to receive upside performance of the Underlying up to the Up and Out Limit. The structure is 98% capital guaranteed. 1 Year Currency: USD Denomination: USD 1,000 Trade Date: [ ] April 2009 Initial Reference Date: [ ] April 2009 Settlement Date: [ ] April 2009 Initial Reference Date: [ ] April 2010 Maturity Date: [ ] April 2010 Underlying: United States Oil Fund LP Bloomberg Ticker: USO US Equity ISIN: TBC Up and Out Limit: 140% of the Initial Level Capital Protection: 98% of Principal Invested If the Underlying has not traded at or above the Up and Out Limit at anytime throughout the term, the investor will receive: 98% Principal Invested + Max [ 0, (Final Level Initial Level ) / Initial Level ] Otherwise, the investor will receive 98% Principal Invested Historical Performance Source: Bloomberg as of 16 th April

8 8 888 Trade Ideas EUR 1 Year SPDR Gold Trust Up and Out Note SPDR Gold Trust (GLD US) is an investment fund incorporated in the USA. The investment objective of the Trust is for the Shares to reflect the performance of the price of gold bullion, less the Trust's expenses. This 1 Year Up and Out note provides 100% participation of the upside performance of the SPDR Gold Trust. If the Underlying never trades at or above the Up and Out Limit at anytime throughout the term, the investor will be able to receive the upside performance of the Underlying up to the Up and Out Limit. There is also a 2% rebate coupon in the event of Knock Out i.e. if the Underlying hits the Up and Out Limit at any time. The structure is 98% capital guaranteed. 1 Year Currency: EUR Denomination: EUR 1,000 Trade Date: [ ] April 2009 Initial Reference Date: [ ] April 2009 Settlement Date: [ ] April 2009 Initial Reference Date: [ ] April 2010 Maturity Date: [ ] April 2010 Underlying: SPDR Gold Trust Bloomberg Ticker: GLD US Equity ISIN: TBC Up and Out Limit: 125% of the Initial Level Capital Protection: 98% of Principal Invested Rebate Coupon: 2% Alternative Pricing: USD, 98% capital protection, 2% rebate coupon with 120% Up and Out Limit If the Underlying has not traded at or above the Up and Out Limit at anytime throughout the term, the investor will receive: 98% Principal Invested + Max [ 0, (Final Level Initial Level ) / Initial Level ] Otherwise, the investor will receive 98% Principal Invested + 2% Rebate Historical Performance Source: Bloomberg as of 16 th April

9 9 999 Trade Ideas USD Year S&P 500 Index Participation Note Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks. This Year Participation Note provides 7% participation of the upside performance of the S&P 500 Index. The note provides 90% capital protection at maturity i.e. if the Underlying has negative performance at maturity, investor will receive 90% of the principal invested. Maximum redemption is unlimited subject to a 7% participation on the upside. Years Currency: USD Denomination: USD 1,000 Trade Date: [ ] April 2009 Initial Reference Date: [ ] April 2009 Settlement Date: [ ] April 2009 Initial Reference Date: [ ] April 2012 Maturity Date: [ ] April 2012 Underlying: S&P 500 Index Bloomberg Ticker: SPX Index ISIN: TBC Participation Rate: 7% Capital Protection: 90% of Principal Invested 1) Final Level >= Initial Level, the investor will receive: 90% Principal Invested + Max [ 0%, Participation Rate * (Final Level Initial Level) / Initial Level ] 2) Final Level < Initial level, the investor will receive 90% of Principal Invested. Historical Performance Source: Bloomberg as of 16 th April

10 Trade Ideas GBP 1 Year SPDR Gold Trust Callable Range Accrual Note SPDR Gold Trust is an investment fund incorporated in the USA. The investment objective of the Trust is for the Shares to reflect the performance of the price of gold bullion, less the Trust's expenses. This 1 Year Callable Range Accrual Note accrues a daily coupon of 5% per annum, for each day that the Underlying trades above the Coupon Barrier. If the Underlying is above the Initial Level on any quarterly observation date, the note will be called early. If the note is not called early and if the Underlying closes at or below the Barrier Level on the Final Reference Date, there will be physical delivery of the Underlying. Currency: GBP Denomination: GBP 1,000 Underlying: SPDR Gold Trust Bloomberg ticker: GLD US Equity ISIN: TBC Trade Date: [ ] April 2009 Initial Reference Date: [ ] April 2009 Settlement Date: [ ] April 2009 Final Reference Date: [ ] April 2010 Maturity Date: [ ] April 2010 Coupon: 5% * n/n, where n = number of days that the Underlying closes above the Conditional Coupon Barrier; N = number of days in the Observation Period Coupon Payment Date: Quarterly Observation Date: Quarterly Condition Coupon Barrier: TBC (80% of the Initial Level) Barrier Level: TBC (80% of the Initial Level) Barrier Type: European Barrier Autocall Trigger: TBC (100% of the Initial Level) Early Redemption: The investor will receive the Early Redemption Amount if on any Observation Date, the Underlying closes at or above the Autocall Trigger Early Redemption Amout: 100% Principal Invested + Accumulated Coupon for that Observation Period 1) If Final Level > Barrier Level, the investor will receive 100% Principal Invested 2) Final Level =< Barrier Level, the investor will receive physical delivery of the Underlying given by: (per denomination) (GBP 1,000 / Initial Level) * FX Rate Where USD/GBP FX-RATE as the mid-point foreign exchange rate at 11:00am New York time as determined by the World Markets Company of Edinburgh, Scotland (published on Bloomberg page WMCO) on the Final Reference Date and expressed as USD units per 1 GBP. Historical Performance Source: Bloomberg as of 16 th April

11 Trade Ideas EUR Year Digital Coupon USD 10 Year Swap Rate Linked Note This Year Digital Coupon pays a digital coupon per annum as long as the level of USD 10Y Swap Rate is above the Trigger Level. The note is 100% capital protected. The investor will receive 100% of principal back even if there has not been any coupons paid. Years Currency: EUR Denomination: EUR 1,000 Underlying: USD 10 Year Swap Rate Bloomberg ticker: USSW10 Curncy Trade Date: [ ] April 2009 Initial Reference Date: [ ] April 2009 Settlement Date: [ ] April 2009 Final Reference Date: [ ] April 2012 Maturity Date: [ ] April 2012 ISIN: TBC Capital Protection: 100% of Principal Invested Coupon Payment Condition: On each Observation Date, if the level of the Underlying is above the Specified Level, the investor will receive coupon. Pricings: Coupon (p.a.) Coupon Frequency Trigger Level Maximum Redemption 5.10% Annually.75% 115.0% 6.10% Annually 4.00% 118.0% 7.40% Annually 4.25% % Final Redemption: 100% of Principal Invested Historical Levels of USD 10 Year Swap Rate 6.5 Historical Levels for USSW10 Index USSW10 Index.75% Trigger Level 4.00% Trigger Level 4.25% Trigger Level Apr-06 Jul-06 Oct-06 Jan-07 Apr-07 Jul-07 Oct-07 Jan-08 Apr-08 Jul-08 Oct-08 Jan-09 Apr-09 USD 10 Year Swap Rate Source: Bloomberg as of 17th April

12 Trade Ideas GBP Year GBP m Libor Switchable Note This Year Switchable Note pays a floating rate coupon linked to m GBP Libor on a quarterly basis. The coupon payment is switchable to a fixed rate of 2.25% p.a. every quarter by the Issuer, after the first six months period. The note pays 100% of principal back at maturity. Years Currency: GBP Denomination: GBP 1,000 Trade Date: [ ] April 2009 Settlement Date: [ ] April 2009 Maturity Date: [ ] April 2012 ISIN: TBC Coupon Payment Dates: Quarterly starting from [ ] July 2009 Initial Switch Date: [ ] October 2009 Switch Frequency: The issuer has the right, on each quarter, from and including [ ] October 2009 up to [ ] January 2012, to switch the Floating Rate Coupon to paying a Fixed Coupon. Pricings: Final Redemption: Floating Coupon Day Count Basis Fixed Coupon Day Count Basis M GBP Libor + 70bps Act/65 unadjusted.60% p.a. Act/65 unadjusted M GBP Libor + 100bps Act/65 unadjusted.15% p.a. Act/65 unadjusted 100% of Principal Invested Payoff Illustration 4.5 Payoff Illustration 4.5 Coupon Rate (% p.a.) GBP m Libor Forw ard Fixed Coupon at.60% Fixed Coupon at.15% Spread = + 70bps Spread = bps 0 Apr-09 Jul-09 Oct-09 Jan-10 Apr-10 Jul-10 Oct-10 Jan-11 Forward Curve Source: Bloomberg as of 17th April

13 1 111 Secondary Offerings USD Principal Protected Callable Range Accrual Notes The Callable Range Accrual Notes accrue coupons for each day that the Underlying (Libor / CMS) trades within the specified range. Investors will receive 100% Principal back at maturity. Currency: USD 100% principal invested Pricings: ISIN Maturity Description Coupon Range Underlying XS Feb 18 10YNCM Libor Range Accrual 7.15% * n/n 0-6.5% m USD Libor XS Mar 18 10YNCM Residual CMS Range Accrual 7.00% * n/n 0 6% CMS Step Down XS Mar 18 10YNCM CMS Range Accrual 7.25% * n/n 0 6% 10 Year CMS XS May 18 10YNCM Libor Range Accrual 7.00% * n/n 0 7% m USD Libor XS Jun 19 12YNCM Libor Range Accrual 7.70% * n/n 0 7% m USD Libor XS04680 Dec 22 15YNCM Libor Range Accrual 8.10% * n/n 0 7% m USD Libor XS Mar 2 15YNCM Libor Range Accrual 9.00% * n/n 0 7% 6m USD Libor XS Mar 2 15YNCM Libor Range Accrual 9.15% * n/n % m USD Libor Size Available: ISIN Size Available XS ,000 XS ,000 XS ,000 XS ,000 XS ,000 XS ,000 XS ,000 XS ,

14 Secondary Offerings USD / CAD Principal Protected Inflation Linked Notes The Principal Protected Inflation Linked Notes pay a coupon linked to the US CPI and offer 100% principal protection if the investor holds the note to maturity. Periodic coupons will be paid to the investor calculated by a spread over the year on year change in the US CPI Index. Issuer: RBC [Aaa/AA-] Issue Type: US Medium Term Note 100% principal invested Pricings : CUSIP Maturity Date Currency Coupon Frequency Coupon Size Available KS4 19 May 2011 CAD Monthly YoY US CPI bps 701, FW1 01 Dec 2010 CAD Quarterly YoY US CPI + 8 bps 462, HU 22 Dec 2010 CAD Quarterly YoY US CPI + 8 bps 2,996, FV 05 Dec 2012 CAD Quarterly YoY US CPI + 64 bps 5,89, UX2 22 Nov 201 USD Monthly YoY US CPI bps 1,750, VD5 17 Dec 201 USD Monthly YoY US CPI bps 1,90, VL7 27 Dec 201 USD Monthly YoY US CPI bps 25,000 Historical US CPI Index Source: Bloomberg as of 1 st March

15 Market Data This data has been obtained from various market sources including Bloomberg. Interest Rates Canada United States EUR Zone United Kingdom Yield Bank Rate Yield Fed Funds Yield* Repo rate Yield Base Rate 2 Yr 10 Yr 2 Yr 10 Yr 2 Yr 10 Yr 2 Yr 10 Yr 17/04/ /04/ /04/ * German Bunds are used as a reference Currencies GBP/USD EUR/USD USD/JPY GBP / EUR GBP / CHF USD/CAD EUR/CAD CAD/JPY 17/04/ /04/ /04/ Commodities Gold (USD) Silver (USD) WTI Crude Oil (USD) Brent Crude Oil (USD) 17/04/ /04/ /04/ Equities FTSE 100 Eurostoxx 50 S&P 500 Nikkei Hang Seng 17/04/ /04/ /04/

16 Contact Us Structured Products, Private Bank Sales Contact Telephone Number Rupa Ganatra Olivier Rodieux Michela Borgia Belle Leung Mark Gerchen

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