|Product type||Defensive Autocall|
|Capital|| At risk
|Investment Length||6 years|
|Opening date||18 Aug 2017|
|ISA transfer date||06 Sep 2017|
|Closing date||22 Sep 2017|
|Strike date||29 Sep 2017|
|Final market date||29 Sep 2023|
|Report published||22 Aug 2017|
|Underlying Asset||EURO STOXX 50 Index , FTSE 100 Index|
|Issuer credit rating||Commerzbank AG (S&P A-), Credit Suisse AG (S&P BBB+), Banco Santander S.A. (S&P A-), Goldman Sachs Group (S&P BBB+)|
|Credit rating band||BBB band|
|Tax wrapper(s)||Direct investment , 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|
|Date of first AC point||30 Sep 2019|
|First AC level - return||100 - 113|
|Num of AC points||5|
|Zero coupon bond||100%|
Potential Returns:This product is classified by FVC as a 'Defensive Autocall'.
If the worst performing underlying 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 6.5% for each year the product has been in force. The first autocall opportunity is after 2 years. This product has multiple defensive levels down to 65%.
If for example, at the first autocall observation point (after 2 years) the worst performing underlying is above its strike level, the product will be called and make a final payment of 113% (including capital investment). If the product is not called at the first two opportunities but on the third autocall date (at 4 years) the worst performing underlying is above 90% of its strike level, the product will be called and make a final payment of 126% (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 worst performing underlying asset is below 60% of the strike level. If the worst performing underlying 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 worst performing underlying is below the barrier level. If the worst performing underlying finishes between the barrier level and the final autocall level, the investor will be repaid 100% of their initial investment.
If the worst performing underlying asset finishes below the 60% barrier, the investor will be paid an amount equal to the final level of the worst performing underlying asset, with respect to its strike level. For example, if the final level of the worst performing underlying is 40% of its strike level and therefore the barrier is breached, the investor will be returned 40% of their capital investment.
The direct credit risk of this product is not solely dependent on the solvency of Societe Generale, but is diversified across the following four institutions: Commerzbank AG, Credit Suisse AG, Banco Santander S.A and Goldman Sachs Group. 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|
|Riskmap (0-10 scale)||4.62||3.69||3.95|
Figure 2 : Payoff chart
Figure 3 : Comparison chart
Figure 4 : Investor results summary
|Autocall on 30 Sep 2019 if above 100%||2.00||113.00||48.72||44.95|
|Autocall on 29 Sep 2020 if above 95%||3.00||119.50||15.40||14.88|
|Autocall on 29 Sep 2021 if above 90%||4.00||126.00||9.12||14.07|
|Autocall on 29 Sep 2022 if above 85%||5.00||132.50||5.59||1.64|
|Autocall on 29 Sep 2023 if above 65%||6.00||139.00||8.54||14.23|
|Full capital return||6.00||100.00||1.93||8.54|
Figure 5 : Prospects for return of capital
|Outcome||Simulated probability||Backtested frequency|
|Return less than capital||10.70||1.68|
|Return exactly capital||1.93||8.54|
|Return more than capital||87.37||89.78|