UniCredit has issued on the market a new series of 13 Autocallable Worst Of Low Barrier Cash Collect Certificates on Italian, European and American stocks which add up to the numerous Cash Collect issues of the last few months, traded on the SeDeX and Cert-X of Borsa Italiana.
The operation
For the first time the Barrier level of these products drops below 40% of the Initial Value: in fact, in this issue we find many products that have a 30% barrier, in addition to those with a 40% and 50% barrier: this means that the decline of the worst underlying must be greater than 70% compared to the initial values for the 30% barrier %, above 60% for the 40% Barrier and above 50% for the 50% Barrier. The new Certificates have baskets of Italian, European and American stocks as underlyings, have a three-year maturity (August 2026) and they pay a conditional monthly premium ranging from a minimum of 0.80% (9.6% annualized) to a maximum of 1.35% (16.20% annualized) depending on the underlyings.
Low Barrier Cash Collect Certificates allow investors to receive periodic premiums conditional on the performance of the underlying on the monthly observation dates and envisage the possibility of early repayment: starting from June 2024, in fact, if the value of the underlying share which, within the basket, recorded the worst return will be equal to or greater than the repayment value, the Certificate will mature in advance by repaying the nominal value equal to 100 euros.
Step-Down effect and deadline scenarios
The Step-Down effect is present in these issues, a feature which facilitates the possibility of early repayment reducing the prepayment threshold by 5% for every five observation dates: this threshold starts from 100% of the Strike in December 2023, after five months it will be equal to 95%, then it will progressively reduce until reaching a maximum level equal to 85% of the Strike, therefore corresponding to a potential worse performance of the underlying equal to -15% compared to the Initial Value.
If at the time of expiry, i.e. in August 2026, the Certificates should not have matured early two scenarios are possiblei:
a) if the underlying with the worst performance within the basket has a value equal to or higher than the barrier value, set for this issue between 30% and 50% of the initial value (corresponding to a negative performance between – 70% and – 50%), the Certificate reimburses €100, in addition to the premium, in addition to any previously unpaid premiums;
b) if the underlying with the worst performance within the basket has a value below the barrier level, the Certificate repays a value of less than €100 which will linearly follow the performance of the worst performing underlying.
The complete list of new products
It is possible to view the information on the products updated in real time on the website www.investimenti.unicredit.it