Pre-Strike Multi-Index Autocall NotesJanuary 13, 2015 - 14:48
The following is a list of
multi-index linked autocallable notes currently available pre-strike in the
market (12 January 2015). All the products below have a maturity of six years
and are linked to two of the following:
- FTSE 100
- Euro Stoxx 50
- S&P 500
The table and the charts
below show the risk/return ratings of the products by Future Value Consulting
(FVC) and Investment Product Research (IPR).
Both firms use proprietary
models and metrics to evaluate the products; descriptions of these models and
metrics are available on their respective websites:
The IPR data reported above are based on research on the
performance of the investment products listed, commissioned by CUBE from an
independent company, Investment Product Research Ltd (‘IPR’). If you require
access to more detailed research, or want a full description of IPR’s
calculations, please visit www.investmentproductresearch.com. You will be
required to register to access IPR uses its proprietary methodology to create
approximately five million simulations of how the investment product may perform
in the future; each simulation is based on a different re-ordering of the
historical daily price movements of the underlying index (or indices) since the
start of 1993. The time span 1993-2014 includes periods of both positive and
negative performance of stock markets, so we consider it a useful data series
on which to base simulations of market performance.
The tabulations and charts below provide
indications, based on these simulations, of the likelihood that the products
will generate different levels of return. We also indicate for comparison the
likelihood that the products will generate a given return based on a simple
‘historical back-test’, a customary measure of possible future performance
based on the assumption that the future will replicate a period of past
performance (again, the historical period used to generate the historical
back-tests is the period since 1993). The IPR simulations are a more
comprehensive test than the historical back-test: the great majority of the five million IPR simulations are not simple repetitions of a period of past
performance. The general effect of the IPR simulations is to produce more
conservative indications than the historical back-test of the return you may
achieve on your investment.
However past performance of markets is not a
reliable indicator of future performance, and should not be relied upon to make
investment decisions. Additionally, neither the IPR analysis nor the historic
back test take into account the possibility that the issuer may default; if the
Issuer defaults you will lose some or all of your money regardless of the
future performance of markets.
FUTURE VALUE CONSULTANTS RESEARCH
The FVC data reported above is based on analysis carried out by
FVC on the structured products listed above. CUBE and FVC are not affiliated
with each other. FVC uses a proprietary model to evaluate investment products. For FVC’s disclosures and the terms and conditions of using their analysis, as
well as an explanation of their methodology, please visit their website www.futurevc.co.uk
This document is neither an offer
to sell, purchase or subscribe for any investment nor a solicitation of such an
offer. It neither covers all
products available in the market nor is it intended to provide advice on the
investment suitability or otherwise of any of the ones reported.
This document is intended for
financial advisers and qualified investors only. It includes research produced
by IPR and FVC to help evaluate the product. It is the responsibility of the
reader to determine whether they are suitably qualified and have the correct
regulatory permissions to act in regard to any product mentioned in this
document. Private individuals who are not qualified investors should seek the
advice of a financial adviser and read the separate product brochure before
making a decision to invest. This document should not be distributed to private
individuals who are not qualified investors.
IPR and FVC provides research
service for structured investments available to UK investors. Full details of
the service offered, together with the Terms and Conditions of the service,
please visit the firms websites www.investmentproductresearch.com and www.futurevc.co.uk. Users may have to register to obtain full access to
this website. IPR and FVC reserve the right to alter or discontinue this
service at any time.
The research included in this
document is based on information from sources that IPR and FVC deem reliable,
but IPR, FVC and CUBE make no guarantee that the information is complete or
accurate and it should not be relied upon as such. Information included in this
document is correct as of the date of this document, however is subject to
change. No liability whatsoever is accepted for any losses incurred from using
the research included in this document. All prices shown are indicative only
and do not imply an offer of any kind.
None of the research included in this document can be
reproduced without the prior written consent of CUBE.
David has been involved in equity derivatives, equity structuring and the structured product market for over 25 years. Before setting up CUBE in 2013 David worked at J.P. Morgan, Barclays and RBS. David has worked with and for retail product providers, discretionary managers and institutional investors.