CROSS-ASSET MONTHLY FOCUS NEWSLETTER
OCTOBER 2021
Gabriel Garcin, Le danger des images, 2009 @Societe Generale Art Collection
MARKET
WATCH
RESEARCH
&
INSIGHTS
EQUITIES
PRODUCT
RATES
PRODUCT
OUR PLATFORM
CONTACTS
LE DANGER DES IMAGES
There's a Hitchcockian atmosphere about these pictures within pictures. Gilbert Garcin appears in his own existentialist photos with tongue-incheek titiles. Meeting midway between humour and angst, these small fictional self-portraits (in which Mrs. Garcin has also featured on occasion) serve as a pretext for a pwoerful allegory of the human condition. Allusions to art history, Calder, Serra and Morellet are all present.
Black-and-white Baryta print.
GILBERT GARCIN
Born in 1929 in La Ciotat. Lives and works in Marseille.
Some things improve with age. Former manager of a light factory, Gilbert Garcin began his brilliant career as a photographer after taking his well-earned retirement at 65. The situations he presents in his small Surrealist installations all have one thing in common: a highly developed sense of the absurd and self-mockery. Garcin could easily be the sporitual son of Magritte or a cousin of Jacques Tati's character, M. Hulot. Assembled with the help of cardboard, glue, sand, cut-up photographs and Meccano pieces, his magical, minimalist enactments are also ironic references to the reigh of virtual images.
Interested in contemporary art?
Please visit www.collectionsocietegenerale.com
ART PICK OF THE MONTH
Insights – Overview of Structured Product Flows Observed in Americas
in the last 3 months
As the financial landscape becomes ever more complex and correlated across asset classes and geographic regions, the ability to provide relevant information and independent insight becomes increasingly important. Please hear insights from Societe Generale’s leading global researchers by visiting our SG Markets page or by clicking on the links below.
SOCIETE GENERALE CROSS ASSET RESEARCH
04 October 2021 : Morning Call (Week Ahead) - US shutdown averted, the debt limit is the next immediate challenge
07 October 2021 : Fixed Income Portfolio Strategy - Reflation trade to fight through the turbulence
EQUITIES - Phoenix mEMORY 1Y SWITCH TO SINGLE UNDERLYING
USD 2 YEARS 6.25% p.a. POTENTIAL COUPONS
Switch Effect: After 1 year, the product automatically switches from a Multi Underlying product to a Single Underlying product based on the Worst Performing Underlying at the end of Year 1.
6.25% p.a. potential quarterly coupons if:
- In Year 1, each Underlying closes above the Coupon Barrier.
- In Year 2, the Single Underlying closes above the Coupon Barrier.
Conditional Principal Redemption at Maturity.
KEY FEATURES
INDICATIVE TERMS
PAYOFF AND PRODUCT MECHANISM
Macro-Economic Highlights
For other Societe Generale Cross Asset Research highlights and publications, please explore the below from our SG Markets Platform :
08 October 2021 : Global Strategy Weekly - No-one is mentioning the R-word - yet it could put growth impostors to the sword
13 September 2021 : 4Q21 Outlook - The Big Picture: Big Trends
Recent Cross-Asset Highlights
Recent Rates Strategy Highlights
Recent Equity Strategy Highlights
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11 October 2021 : On Our Minds: Europe - UK Bank of England’s new Chief Economist tending to the hawkish
30 September 2021 : 2050 Investors Podcast - The Frog & Climate Change
OBSERVED UNDERLYING (Switch Mechanism)
From Q1-Q4, the Observed Underlying is the:
From Q5 to Q8, the Observed Underlying switches to a:
QUARTERLY COUPON (Subject to Autocall)
At the end of each quarter, has the Observed Underlying closed above the Coupon Barrier (75% of the initial level)?
The Memory Coupon Mechanism: the potential coupon, if any, may include the quarterly coupons that were missed in prior periods if, at later periods, each Underlying level is above the Coupon Barrier .
AUTOCALL (Quarterly Observation Periods)
During life of the Note, if the Observed Underlying has closed above its initial level, the product is early redeemed and the investor receives:
REDEMPTION AMOUNT AT MATURITY
At Maturity, has the Single Underlying closed above the Downside Barrier?
Yes, investors receive:
Yes, the investor receives:
No, investors receive:
No, the investor receives:
Worst Performing Underlying
Single Underlying
6.25% p.a. + Memory Coupon
No coupon for the observed period
100% of Initial Capital + Last Quarterly Coupon
Worst Single Underlying Level
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KEY FEATURES
INDICATIVE TERMS
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SOCIETE GENERALE STRUCTURED PRODUCTS FRANCHISE
structuring
&
legal
pricing
&
product design
Market Insight
marketing
operational process
Rates - Leveraged steepener ON usd cms spread
USD 10 YEARS, NON-CALLABLE 1Y 1.00-10.00% p.a. POTENTIAL COUPONS
europe
Cross-Asset Research
Trade contextualization Strategy
market insight
Tailor-made marketing documents
Legal requirements
Coordination with partners
marketing
Confirmation and settlements in a timely manner
Uncompromising standards
operational process
Multiple wrappers available
Local authorities agreement
structuring & legal
product
wrappers
notes
otc
warrants
funds
spvs
collateralized solutions
Generate trade ideas
Automatic pricing tools (web, mail based, single dealer platform, etc.)
pricing & product design
#1 Structured products issuer under 3(a)(2)
Synergies with Insurance Business and partnership with Asset Managers to offer FIA solutions to US Distribution Networks
Fully autonomous pricing and trading capabilities locally
Competitive market share among Tier-1 distribution channels
(as issuer and back-to-back hedge provider)
Market leader in structured products linked to US stocks
americas
Continuous innovation on new asset classes, payoffs, and indices
Active and competitive third party distribution provider in all the cash-saving pools for the rest of Europe
Integrated approach to fit uniformed regulatory environment (MIFID, KID, etc)
#1 in 80% of European countries
#1 Market share in France
60% Market share in France
Market Leader in France
europe
Advanced digitalization platform to cope with large volumes (pricing requests, documentation in local languages, etc.)
Large USD denominated structured products market
Independent provider: no retail and private bank networks owned across Asia
Active and competitive in all developed and growing Asian economies
#1 or #2 in all Asian Markets
asia pacific
Retail and Private Banking presence
Corporate & Investment Banking and Representative Office presence
Specialized financial services
Universal Banking Presence
Corporate & Investment Banking and Representative Office presence
Specialized financial services
LATIN AMERICA
STRUCTURED PRODUCT SALES
Ioannis Morales
Tel.: +1 212 278 6853
STRUCTURED PRODUCT SALES
Thomas Laborderie
Tel.: +1 212 278 6727
HEAD OF STRUCTURED PRODUCT SALES LATAM
Nestor Macias
Tel.: +1 212 278 4553
NORTH AMERICA
HEAD OF DISTRIBUTION NORTH AMERICA
Alexandre Ecot
Tel.: +1 212 278 5904
STRUCTURED PRODUCT SALES
Julien Salame
Tel.: +1 212 278 5495
STRUCTURED PRODUCT SALES
Josephine Chang
Tel.: +1 212 278 5254
CONTACT INFORMATION
alexandre.ecot@sgcib.com
julien.salame@sgcib.com
josephine.chang@sgcib.com
nestor.macias@sgcib.com
ioannis.morales@sgcib.com
thomas.laborderie@sgcib.com
TOP 5 STRUCTURES
TOP 5 MATURITIES
LYFT US
(Lyft Inc.)
ADBE US
(Adobe Inc.)
W UN
(Wayfair Inc.)
DIS US
(The Walt Disney Co.)
SX7E Index
(EURO STOXX Banks (Prices) Index)
ARKK US
(ARK Innovation ETF)
BYND US
(Beyond Meat Inc.)
F UN
(Ford Motor Company)
GS US
(Goldman Sachs Group, Inc)
DKNG US
(DraftKings Inc.)
Source: Societe Generale Financial Engineering, as of 10/07/2021.
*Emergence of stock underlying structured products in America over the last 3 months versus the past 12 months.
THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
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TOP 5 UNDERLYINGS
TOP 10 NEW & EMERGING UNDERLYINGS*
SCENARIO ANALYSIS: EARLY REDEMPTION BEFORE SWITCH
S&P 500 is widely regarded as the best single gauge of large-cap U.S. equities and serves as the foundation for a wide range of investment products. The index includes 500 leading companies and captures approximately 80% coverage of available market capitalization.
Russell 2000 Index is comprised of the smallest 2000 companies in the Russell 3000 Index, representing approximately 8% of the Russell 3000 total market capitalization. The real-time value is calculated with a base value of 135.00 as of December 31, 1986. The end-of-day value is calculated with a base value of 100.00 as of December 29, 1978.
Euro Stoxx 50, Europe's leading blue-chip index for the Eurozone, provides a blue-chip representation of supersector leaders in the region. The index covers 50 stocks from 11 Eurozone countries. The index is licensed to financial institutions to serve as an underlying for a wide range of investment products such as exchange-traded funds (ETFs), futures, options and structured products.
Source: Bloomberg, as of 10/08/2021. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
The Phoenix Memory 1Y Switch to Single Underlying is designed for investors willing to sacrifice a little return for an autocallable product with a risk mitigation feature.
125
100
75
60
T0 Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8
SELECTION OF BENEFITS & RISKS
Indicative risk factors summary only. The risk factors are not complete and you should read the risk factors contained in a final offering document prior to investing in the product described herein. This product idea is provided for information purposes only and does not purport to summarize or contain all of the provisions that would be set forth in a final offering document.
Potential quarterly coupon of 6.25% p.a. (30/360) if each Underlying closes at or above the Coupon Barrier (75% of initial level) at the end of each quarter.
Conditional capital protection: At Maturity, investors receive the initial invested capital provided that the underlying level is above or equal to its Downside Barrier.
Potential short maturity product: the product is redeemed early if the Observed Underlying level closes at or above its Autocall Trigger on any of the observation dates.
After Year 1, potential to attenuate downside risk associated with a Multi Underlying product.
Benefits
The capital is not protected. In the worst case scenario, the investors may lose all of their investment.
If, on any coupon observation date, the Observed Underlying is below its Coupon Barrier, investors will not receive the coupon related to that observation date.
The product return is limited to the maximum amount of the potential coupon(s) to be paid. Investors will not participate in the Observed Underlying's potential increase (which may be significant) and do not benefit from potential dividends paid on the Observed Underlying.
Autocallable feature: Investors may face reinvestment risk should the product be auto-redeemed. Investors are exposed to credit risk of Societe Generale.
RISKS
The Leveraged Steepener on USD CMS Spread is a 10-year product designed for investors who expect the yield curve to steepen, especially on the 30Y-5Y segment.
Source: Bloomberg, as of 10/08/2021
This is only a sample portfolio for discussion purposes. Component underlyings are subject to change.
Source: Bloomberg, as of 10/08/2021.
This is only a sample portfolio for discussion purposes. Component underlyings are subject to change.
PAYOFF AND PRODUCT MECHANISM
QUARTERLY COUPON ( Subject to Call)
From Q1 to Q4, the investor receives fixed quarterly coupons of:
From the end of Q4 until maturity, the investor receives floating quarterly coupons of:
EARLY REDEMPTION ( Upon Call)
From the end of Q4 until maturity, the issuer, at its sole discretion, has the right to call the product. In this case. the product is early redeemed with investors receiving:
REDEMPTION AMOUNT AT MATURITY
At maturity, if the product has not been early redeemed, the investor receives:
100% of the Initial Capital +
Last Quarterly Coupon
100% of the Initial Capital +
Last Quarterly Coupon
4.00% p.a. Fixed Coupon
USD CMS 30Y AND 5Y EVOLUTION
SELECTION OF BENEFITS & RISKS
Indicative risk factors summary only. The risk factors are not complete and you should read the risk factors contained in a final offering document prior to investing in the product described herein. This product idea is provided for information purposes only and does not purport to summarize or contain all of the provisions that would be set forth in a final offering document.
Fixed coupon of 4.00% p.a. (30/360) from Q1 to Q4.
From the end of Q4 until maturity, the investor receives leveraged floating coupon payments linked to the level of the USD CMS Spread, floored at 1.00% p.a. and capped at 10.00% p.a. (30/360).
Callable feature: Possibility of quarterly early redemption with a return up to 10.00% p.a. (30/360).
100% Capital Protected Note upon call or at maturity.
Benefits
IInvestors are exposed to the credit risk of Societe Generale.
Callable feature : The issuer, at its sole discretion, has the right to call the product. Therefore, the investor does not know the exact length of their investment, which can vary from 1 to 10 years.
Investors may face reinvestment risk should the product be early redeemed.
Investors may suffer a loss if the Notes are sold prior to redemption.
Quarterly coupons are capped at 10.00% p.a. (30/360).If the USD CMS Spread is at or below 0.22%. after Q4, investors may receive 1.00% p.a. (30/360) quarterly coupons.
After 2021, the permanent discontinuance of Libor may affect the way CMS rates are calculated which may adversely affect the value and return on the notes; the calculation of CMS rates will change after the cessation of LIBOR because LIBOR is an element of CMS rates.
RISKS
Format
Issuer
Currency
Maturity
Callable
Principal Redemption
Underlyings
Coupon
Downside Barrier
Coupon Barrier
Autocall Trigger
Notes
Societe Generale (A,A1,A)
USD
2 Years
Yes (Quarterly)
Conditional, 100% of principal at risk
SPX Index, RTY Index, SX5E Index
6.25% p.a. (subject to 30/360 day count convention)
75% of the initial level
75% of the initial level
100% of the initial level
Coupon/Downside Barrier
Autocall Trigger
Underlying 1
Underlying 2
Underlying 3
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
OVERVIEW OF UNDERLYINGS
We observe the worst of 3 Underlyings at the end of each quarter, until potentially the end of Q4.
100% of the Notional + Last Quarterly Coupon of 6.25% p.a.
Scenario Analysis:
Redemption at Maturity
Scenario Analysys: Switch Mechanism
Payoff Mechanism
Benefits
&
Risks
Take A Closer Look
Underlyings Overview
Product Terms
Scenario Analysis: Switch Mechanism
Payoff Mechanism
Product Terms
Scenario Analysis:
Unfavorable
TAKE A CLOSER LOOK
Format
Issuer
Currency
Maturity
Callable
Principal Redemption
Underlying
Coupon Q1 - Q4
Coupons Q5 - Q40
Market References
Notes
Societe Generale (A,A1,A)
USD
10 Years, non-callable 1 Year
Quarterly, from Q4
100% at maturity or upon call
USD CMS 30Y - USD CMS 5Y Spread
4.00% p.a. (subject to 30/360 day count convention)
4.5 x Underlying, floored at 1.00% p.a. and capped at 10.00% p.a. (subject to 30/360 day count convention
USD CMS 30Y = 1.897% ; USD CMS 5Y = 1.102% ;
USD CMS 30Y – USD CMS 5Y Spread = 0.795% ;
USD CMS 10Y = 1.636%
Payoff Mechanism
Underlyings Overview
Product Terms
USD Curve Evolution History
Payoff Mechanism
Product Terms
Bloomberg Estimates
MAX RATE
AVG RATE
MIN RATE
USD CMS 30Y
6.440%
3.712%
0.652%
SCENARIO ANALYSIS: FAVORABLE
The observed performance at maturity of the USD 10Y rate is positive and the capital barrier was not breached. Thus the investors will receive at maturity:
100% Notional + 8.00% p.a.
SCENARIO ANALYSIS: UNFAVORABLE
The observed performance at maturity of the USD 10Y rate is negative and since the capital barrier has been breached, the investor would be entitled to receive at maturity:
68% Notional + 8.00% p.a.
Benefits & Risks
Underlyings Overview
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
The metrics for these 4 categories are provided in order to highlight innovations and to aid clients in determining the appropriate structured product solution of choice. Data has been pulled from the last 3 months of the calendar year.
Our attention is focused on the stock market rebound for the US and EU. This product offers exposure to a basket of 3 popular and well-performing market indices until Year 1.
At Q3, the Worst Performing Underlying is observed above the Autocall Trigger and therefore, the Note is early redeemed, with investors receiving:
The Worst Performing Underlying is observed above the Coupon Barrier. The Note would then deliver quarterly fixed coupons of 6.25% p.a.
KEY FEATURES
INDICATIVE TERMS
Source: Bloomberg, as of 10/08/2021.
This is only a sample portfolio for discussion purposes. Component underlyings are subject to change.
Format
Issuer
Currency
Maturity
Callable
Principal Redemption
Underlyings
Coupon
Downside Barrier
Coupon Barrier
Autocall Trigger
Notes
Societe Generale (A,A1,A)
USD
2 Years
Yes (Quarterly)
Conditional, 100% of principal at risk
SPX Index, RTY Index, SX5E Index
6.25% p.a. (subject to 30/360 day count convention)
75% of the initial level
75% of the initial level
100% of the initial level
Quarterly Coupons Features:
- 4.00% p.a. in Q1-Q4
- Q5-Q40 linked to the USD CMS 30Y-5Y Spread
- Capped at 10.00% p.a.
- Floored at 1.00% p.a.
Quarterly Callable from the end of Q4.
100% Principal protected note at Redemption, subject to credit risk of Issuer.
KEY FEATURES
INDICATIVE TERMS
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SOCIETE GENERALE 2021
COOKIES POLICY
LEGAL INFORMATION
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24 September 2021 : Invest with Baskets - European Fallen Angels, Asia Internet and Cybersecurity
100% of Initial Capital + Last Quarterly Coupon
125
100
75
60
T0 Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8
Coupon/Downside Barrier
Underlying 1
Underlying 2
Underlying 3
Autocall Trigger
SCENARIO ANALYSIS: EARLY REDEMPTION AFTER SWITCH
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
We observe the worst of 3 Underlyings at the end of each quarter, until potentially the end of Q4.
At Q6, the Single Underlying is observed above the Autocall Trigger and therefore, the Note is early redeemed, with investors receiving:
100% of the Notional + Last Quarterly Coupon of 6.25% p.a.
Scenario Analysis:
Autocall
Before
Switch
Underlyings Overview
After Q4, the Note switches to a Single Underlying product based on the Worst Performing underlying of that observation date.
125
100
75
60
T0 Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8
Coupon/Downside Barrier
Underlying 1
Underlying 2
Underlying 3
Autocall Trigger
SCENARIO ANALYSIS: REDEMPTION AT MATURITY
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
We observe the worst of 3 Underlyings at the end of each quarter, until potentially the end of Q4.
The Worst Performing Underlying is observed above the Coupon Barrier. The Note would then deliver quarterly fixed coupons of 6.25% p.a.
After Q4, the Note switches to a Single Underlying product based on the Worst Performing underlying of that observation date.
No early redemption has occurred. At Maturity, the Single Underlying level is observed above the Downside Barrier with investors receiving:
100% of the Notional + Last Quarterly Coupon of 6.25% p.a.
Scenario Analysis:
Capital Loss
Scenario Analysis:
Autocall Before
Switch
The note delivers the missed coupon from Q4 in Q5 thanks ot the Memory Coupon Mechanism, which is activated when the observed Underlying is observed again above the Coupon Barrier.
125
100
75
60
T0 Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8
Coupon/Downside Barrier
Underlying 1
Underlying 2
Underlying 3
Autocall Trigger
SCENARIO ANALYSIS: CAPITAL LOSS AT MATURITY
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
We observe the worst of 3 Underlyings at the end of each quarter, until potentially the end of Q4.
The Worst Performing Underlying is observed above the Coupon Barrier. The Note would then deliver quarterly fixed coupons of 6.25% p.a.
After Q4, the Note switches to a Single Underlying product based on the Worst Performing underlying of that observation date.
The note does not benefit from the Memory Coupon Mechanism, which delivers missed coupons when the observed Underlying is observed again above the Coupon Barrier.
In this worst case scenario, the Single Underlying is observed below the Downside Barrier. At Maturity, investors receive:
Capital Loss Based on the Single Underlying Level = 68% of Notional
Risks
&
Benefits
Scenario Analysis:
Redemption at Maturity
Benefits
&
Risks
Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8
4.5 x (USD CMS 30Y – USD CMS 5Y ) p.a.
(Floored at 1.00% and capped at 10.00%)
MAX RATE
AVG RATE
MIN RATE
USD CMS 5Y
5.772%
2.633%
0.243%
MAX RATE
AVG RATE
MIN RATE
USD CMS 30Y-5Y
2.404%
1.078%
-0.019%
Source: Bloomberg, as of 10/11/2021. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
The hypothetical examples, scenarios or figures herein are provided for illustrative purposes. They allow an understanding of the product’s mechanism and how the product would have performed during different market stages over previous years, excluding taxes and expenses. They are NOT an estimate or forecast of the future performance of the product described herein and have no contractual value. There is no assurance that a transaction will be entered into on any indicative terms.
For SG Research on USD rate curve steepening prediction, please see the below extract from Fixed Income Weekly On the move report published on September 31st ,2021 or browse through our Fixed Income Weekly reports in SG Markets.
Source: Bloomberg, as of 10/11/2021. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PAST PERFORMANCES REFER OR RELATE TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. THIS ALSO APPLIES TO HISTORICAL MARKET DATA.
HISTORICAL EVOLUTION - USD CURVE
Bloomberg Rates
Estimates
Underlying Overview
Source: Bloomberg Bond Yield Forecasts: Analysts, survey as of October 8th , 2021. The accuracy, completeness or relevance of the information which has been drawn from external sources is not guaranteed although it is drawn from sources reasonably believed to be reliable. Subject to any applicable law, Societe Generale shall not assume any liability in this respect.
ANALYSTS SURVEY: BLOOMBERG BOND YIELD CURVE FORECASTS
Risks
&
Benefits
USD Curve Evolution History
Bloomberg collects Interest Rates Forecasts from more than 40 banks’ analysts. The below extracts present statistics on these forecasts – “Responses” represent the number of forecasts collected on a given future date.
USD 30 Year Rate Analysts Forecasts
USD 5 Year Rate Analysts Forecasts
Discover Societe Generale's financially engineered indices. Our highlighted Societe Generale Index (SGI) of the month is the SG Entelligent Agile 6% VT Index, an index which prioritizes investing for the future through climate change scoring.
The SG Entelligent Agile 6% VT Index uses Entelligent’s Smart Climate® model to predict profitability and share price performance under different climate scenarios. This model is distilled into an “E-Score®” for each company in the S&P 500, which allows the Index to rank each by climate risk preparedness. Its decision-making criteria are fully systematic and rules-based.
Source: Societe Generale from 8/23/2004 to 9/30/2021. All results are calculated for periods ending as the date above. The SG Entelligent Agile 6% VT Index was launched on 7/6/2020 and any performance prior to such date is hypothetical. This backtested, hypothetical, historical data has inherent limitations and is provided for illustrative purposes only. It should not be read as a guarantee or an indication of the future performance of the SG Entelligent Agile 6% VT Index. Results during these periods may have been different (perhaps considerably) had the strategy actually been in existence. Unlike actual performance records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints. THE FIGURES RELATING TO PAST PERFORMANCES AND/OR SIMULATED PERFORMANCES REFER TO PAST PERIODS AND ARE NOT A RELIABLE INDICATOR OF FUTURE RESULTS. PLEASE REFER TO CAUTIONARY STATEMENTS REGARDING HYPOTHETICAL SIMULATIONS UNDER “LEGAL INFORMATION” AT THE END OF THE PAGE.
SGI - SG ENTELLIGENT AGILE 6% VT INDEX
SOCIETE
GENERALE
INDEX
Format
Issuer
Currency
Maturity
Callable
Principal Redemption
Underlying
Coupon Q1 - Q4
Coupons Q5 - Q40
Market References
Notes
Societe Generale (A,A1,A)
USD
10 Years, non-callable 1 Year
Quarterly, from Q4
100% at maturity or upon call
USD CMS 30Y - USD CMS 5Y Spread
4.00% p.a. (subject to 30/360 day count convention)
4.5 x Underlying, floored at 1.00% p.a. and capped at 10.00% p.a. (subject to 30/360 day count convention
USD CMS 30Y = 1.897% ; USD CMS 5Y = 1.102% ;
USD CMS 30Y – USD CMS 5Y Spread = 0.795% ;
USD CMS 10Y = 1.636%
Payoff Mechanism
Benefits
&
Risks
Source: Bloomberg, as of 10/08/2021
This is only a sample portfolio for discussion purposes. Component underlyings are subject to change.
Payoff Mechanism
Benefits
&
Risks
STRUCTURED PRODUCT SALES
Ramy El Majzoub
Tel.: +1 212 278 4208
ramy.el-majzoub@sgcib.com
Asian equities face two downside risks: peak growth (the reflation trade struggles in East Asia) and China (regulatory tightening mostly, growth slowdown partly) and are unlikely to revert to their mid-February peak by the end of the year. Markets have barely reacted to a strong Q2 earnings season as the earnings momentum has started to slow.
‘Common Prosperity' is a goal enshrined in the constitution of China's Communist Party. On 17 August this year, President Xi reiterated that it is “an essential requirement of socialism”. It has since become the centre of attention in almost every policy discussion in China.
Markets should continue to reward policymakers who do their best to remove the economic stimuli in a slow and orderly manner. Credit markets could remain quiet for a while longer, dragging down equity volatility. Peak growth is now established as a theme, especially in China and the US, removing the threat of an overheating global economy.
Although it seems the bull market isn't over just yet, having reached all-time highs last month, our equity strategists believe the European equity market will probably expand at a slower pace in the coming years. Their analysis all help us identify THREE big trends: energy transition, digitalisation and cash spending.
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Switch Effect: After 1 year, the product automatically switches from a Multi Underlying product to a Single Underlying product based on the Worst Performing Underlying at the end of Year 1.
6.25% p.a. potential quarterly coupons if:
- In Year 1, each Underlying closes above the Coupon Barrier.
- In Year 2, the Single Underlying closes above the Coupon Barrier.
Conditional Principal Redemption at Maturity.
100%
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100%
+
100%
+
68%
Quarterly Coupons Features:
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Quarterly Callable from the end of Q4.
100% Principal protected note at Redemption, subject to credit risk of Issuer.
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No Switch has occured.
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