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Yield Enhancement

Low correlations, attractive returns: BRC on Swiss equities

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

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