The two products, the Quarterly Income Notes and the Phoenix Autocallable Notes – both dated April 2012, offer investors exposure to the FTSE 100, S&P 500 and HSCEI indices and offer capital protection.
Gilliat said the Quarterly Income Notes – April 2012 offer a regular quarterly income providing the FTSE 100 and S&P 500 are both above one of the given reference levels. The higher reference level is set at 75% of strike levels and offers 1.875% per quarter (USD) whilst the lower reference level is set at 60% of strike levels and offers 1.25% per quarter (USD) meaning that even falls of up to 40% in the FTSE 100 can still result in a regular quarterly income.
The notes also include a capital protection barrier which is set at 60% of the strike level which means, providing both indices are above this level on the end date, capital will be returned to the investor in full – subject to counterparty risk.
Meanwhile, the Phoenix Autocallable Notes – April 2012 offer the potential to “kick out” (take payment) after year one or, if they are not at the level required for a kick out to occur, the potential for an annual income payment instead. For the notes to kick out, all three indices must be above their strike levels on an anniversary whilst for an income payment, they must be above 70%. Both the early maturity payment and the income payment are 12.25% (USD).
The notes are linked to the FTSE 100, S&P 500 and HSCEI and have a capital protection barrier at 50% of strike levels with observations on the start and end dates only.
Both products are available in GBP, EUR and USD.
Gilliat hired Andrew Savill from The Royal Bank of Scotland in December with a view to establishing the company in the international market and said these products mark its first step in this direction.
