Investment Length | 6 years |
---|---|
Product currency | GBP |
Product type | Growth Autocall |
Vehicle | Plan |
Capital | At risk
|
Aim | Growth |
Asset style | Single |
Closing date | 09 Jun 2017 |
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Strike date | 16 Jun 2017 |
Final market date | 16 Jun 2023 |
Report published | 03 May 2017 |
Underlying Asset | FTSE 100 Index |
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Counterparty | Multiple Counterparties |
Issuer credit rating | Aviva plc (S&P A), Barclays Bank plc (S&P A-), Lloyds Bank plc (S&P A), HSBC Bank plc (S&P AA-) |
Credit rating band | A band |
Tax wrapper(s) | Direct investment, Stocks and shares ISA, ISA transfer, SIPP/SSAS, Trustees of a trust, Corporate/Commercial, Charities, Direct Investment (for Joint Accounts) |
Min/Max Investment | Minimum £10,000. The overall ISA limit is £20,000 for the 2017/2018 tax year |
Potential Returns:
This product is classified by FVC as a 'Growth Autocall'.If the FTSE 100 is above the required target level on any of the observation dates, the product will mature early returning the initial investment and pay a fixed return of 7.55% for each year the product has been in force. The first autocall opportunity is after 2 years.
If for example, at the first autocall observation point (after 2 years 1 days) the FTSE 100 is above its strike level, the product will be called and make a final payment of 115.1% (including capital investment). If the product is not called at the first two opportunities but on the third autocall date (at 4 years) the FTSE 100 is above its strike level, the product will be called and make a final payment of 130.2% (including capital investment).
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 underlying asset is below 60% of the strike level. If the FTSE 100 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 FTSE 100 is below the barrier level. If the FTSE 100 finishes between the barrier level and the final autocall level, the investor will be repaid 100% of their initial investment.
If the underlying asset finishes below the 60% barrier, the investor will be paid an amount equal to the final level of the underlying asset, with respect to its strike level. For example, if the final level of the FTSE 100 is 40% of its strike level and therefore the barrier is breached, the investor will be returned 40% of their capital investment.
Additional Information:
The direct credit risk of this product is not solely dependent on the solvency of Societe Generale but is diversified across the following four UK institutions: Aviva plc, Barclays Bank plc, Lloyds Bank plc and HSBC Bank plc. For precise details of the credit exposure of this product, please refer to the brochure.
If Societe Generale were to become insolvent, there is a collateralisation mechanism in this product designed to return investors an amount equal to the value of the plan at the time of a Societe Generale credit event. The collateral is maintained daily, and will consist of a pool of assets consisting of government bonds, corporate bonds and/or shares which are held with an independent custodian; The Bank Of New York Mellon, (Luxembourg) S.A. The amount of collateral is dependent on the value of the plan and may be less than the initial investment.
Figure 1 : Statistics
This product | All products | All At risk | |
---|---|---|---|
Overall score | 6.84 | 7.26 | 7.24 |
Price score | 6.45 | 7.70 | 7.72 |
Return score | 7.22 | 6.83 | 6.76 |
Riskmap (0-10 scale) | 4.32 | 2.55 | 3.09 |
Market riskmap | 4.05 | 2.28 | 2.86 |
Credit riskmap | 0.28 | 0.27 | 0.23 |
Maturity | 6.00 | 6.09 | 6.61 |
Duration | 3.10 | 3.45 | 3.13 |
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 17 Jun 2019 if above 100% | 2.00 | 115.10 | 61.22 | 62.99 |
Autocall on 16 Jun 2020 if above 100% | 3.00 | 122.65 | 10.75 | 5.97 |
Autocall on 16 Jun 2021 if above 100% | 4.00 | 130.20 | 4.94 | 8.11 |
Autocall on 16 Jun 2022 if above 100% | 5.00 | 137.75 | 3.37 | 6.09 |
Autocall on 16 Jun 2023 if above 100% | 6.00 | 145.30 | 2.09 | 7.63 |
Full capital return | 6.00 | 100.00 | 8.87 | 9.21 |
Capital loss | 6.00 | 37.40 | 8.76 | 0.00 |
Figure 5 : Prospects for return of capital
Outcome | Simulated probability | Backtested frequency |
---|---|---|
Return less than capital | 8.76 | 0.00 |
Return exactly capital | 8.87 | 9.21 |
Return more than capital | 82.37 | 90.79 |