Friday, 5 November 2021 Reading time : 3 minutes

Market volatility is still very low levels; the Volatility Index of the Chicago Options Exchange, which refers to the implied volatility of the U.S. S&P 500 index, fell in October from over 23 to currently just over 16 points.

Popular choice: Swiss equities
The expected range of fluctuation for Swiss blue chips is also quite low, resulting in low option premiums. Nevertheless, Swiss equities are very popular underlyings for BRC - especially thanks to the relative price stability.

Low correlation, higher returns
One way to provide such a product with attractive parameters despite low volatilities is to look at the correlations of the selected underlyings. If underlyings with low correlations are combined, the probability of a barrier event increases, but so does the return. All selected equities are rated "overweight" by ZKB Equity Research - i.e. rising prices are expected.

Barrier Reverse Convertible on Nestlé, Swiss Life and Givaudan

• 6% coupon p.a. (9% total)
• 70% barrier
• 18 months maturity
• Subscription period until 10.11.2021
• Termsheet

Callable Barrier Reverse Convertible on Nestlé, Swiss Life and Givaudan

• 5% coupon p.a. (7.5% total)
• 60% barrier
• 18 months Maturity
• Subscription period until 10.11.2021
• Termsheet

Barrier Reverse Convertible on Zurich, Lonza and Swisscom

• 8% coupon p.a. (12% total)
• 70% barrier
• 18 months Maturity
• Subscription period until 10.11.2021
• Termsheet

Barrier Reverse Convertible on Zurich, Lonza and Swisscom

• 5% coupon p.a. (7.5% total)
• 60% barrier
• 18 months Maturity
• Subscription period until 10.11.2021
• Termsheet

all data are indicative

 

Disclaimer
This communication is for marketing purposes. It is neither an offer nor an invitation to submit an offer, to purchase or to subscribe to securities and does not constitute investment advice. You should consult your advisors before making an investment decision.
Forward-looking statements are subject to known and unknown risks, uncertainties and other factors that may cause the actual results, financial condition, development or performance of the issuer to be materially different from any future results, financial condition, development or performance expressed or implied by such statements.
The present document has not been drawn up by the research department as defined in the rules of the “Directives on the Independence of Financial Research” published by the Swiss Bankers Association, hence these rules do not apply to this document.
If securities are mentioned in the communication, the base prospectus, the final terms and any key information document may be obtained free of charge from Zürcher Kantonalbank, Bahnhofstrasse 9, 8001 Zurich, VRIS, and from www.zkb.ch/finanzinformationen.