Thursday, 11 May 2023 Reading time : 3 minutes

Correlation as a return driver
Not only the implied volatility of a basket of stocks influences the return of a BRC, the correlation of the stocks in a basket can also push the option price up or down. The closer the correlation is to 1, the more similar the price movements of these stocks. The resulting reduced probability of a barrier hit is reflected in the option premium, which is lower compared to less correlated baskets. With lower basket correlations, the option premium - and thus the coupon of a BRC - rises.

The underlyings in the following structures are not only characterised by low correlation: with the exception of Julius Baer ("market weight"), ZKB Equity Research rates all equities "overweight".

Callable BRC on Julius Baer, Swisscom and Nestlé

• 10% coupon p.a.
• 60% barrier
• 12 months maturity
• Subscription ends today, 11 May, 4:00 p.m.
• Termsheet

Callable BRC on Sika, Zurich and Roche

• 8% coupon p.a.
• 59% barrier
• 12 months maturity
• Subscription ends 15 May, 4:00 p.m.
• Termsheet

BRC on Swiss Life, Givaudan and Alcon

• 9% coupon p.a.
• 65% barrier
• 12 months maturity
• Subscription ends 19 May, 4:00 p.m.
• Termsheet

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Vola high: ams OSRAM
The semiconductor and sensor manufacturer suffered heavy share price losses last year (1Y performance: -45%) as a result of weak results and a difficult environment. With this share price decline, volatility rose sharply, especially since the beginning of May. This increases the premiums for put options; investors who expect a sideways trend of the share can enhance their yield with a reverse convertible.

Reverse Convertible on ams OSRAM

• 20% coupon p.a.
• Defensive strike at 70%
• 6 months maturity
• Subscription ends  today, 11 May, 4:00 p.m.
• Termsheet

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Good Performance: ZKB Annual Favourites 2023
Since its launch in January, the tracker certificate on the ZKB Favorite Stocks 2023 has gained a good 8%, thus outperforming the Swiss Performance Index SPI®. As a reminder: The tracker certificate on the ZKB Favorite Stocks 2023 combines ten of the most promising Swiss stocks according to research by Zürcher Kantonalbank, five large caps and five small and mid caps.

The certificate runs until 26 January 2024.

Read more

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all data indicative